Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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zFutures Diversified
(51201525)

Created by: z-_trader z-_trader
Started: 07/2010
Futures
Last trade: 3,905 days ago
Subscriptions not currently available.

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 $195.00 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.

0.4%
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.

(39.7%)
Max Drawdown
536
Num Trades
45.9%
Win Trades
1.1 : 1
Profit Factor
14.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                          (0.6%)+6.9%+9.3%+5.9%+4.5%+12.4%+44.3%
2011(1%)+0.4%(2.2%)+3.4%(4.1%)(8.4%)+2.4%(0.5%)(2.9%)(2.8%)+1.6%(2.2%)(15.7%)
2012(1.7%)(2.6%)(7.1%)+0.2%(6.8%)+1.1%(0.3%)(1.4%)(4.1%)(5.7%)+0.3%+1.5%(23.8%)
2013(1.4%)+2.2%(0.8%)+2.8%+0.4%+0.2%(0.3%)+0.5%+0.7%+1.0%+0.1%(0.9%)+4.6%
2014+0.9%+3.0%+4.7%(0.6%)  -  +0.4%  -    -    -    -    -    -  +8.6%
2015  -    -    -    -    -    -  (0.1%)  -    -    -    -    -  (0.1%)
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.

System developer has asked us to delay this information by 96 hours.

Trading Record

This strategy has placed 450 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4843 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/16/13 8:18 @HEJ4 LEAN HOGS LONG 1 85.800 4/14/14 9:00 124.975 0%
Trade id #78677098
Max drawdown$0
Time8/30/13 11:14
Quant open1
Worst price85.800
Drawdown as % of equity0.00%
 $15,662
Includes Typical Broker Commissions trade costs of $8.00
1/16/13 8:17 @YGJ3 Mini Gold NYSE Liffe SHORT 1 1677.2 4/26 9:02 1487.4 0.13%
Trade id #78677064
Max drawdown($229)
Time2/7/13 10:53
Quant open-1
Worst price1684.1
Drawdown as % of equity-0.13%
 $6,293
Includes Typical Broker Commissions trade costs of $8.00
11/14/12 10:27 @FVH3 US T-NOTE 5 YR LONG 2 124 23/64 3/28/13 9:00 124 12/64 0.75%
Trade id #77639245
Max drawdown($1,320)
Time1/4/13 7:43
Quant open2
Worst price123 44/64
Drawdown as % of equity-0.75%
 ($360)
Includes Typical Broker Commissions trade costs of $16.00
1/3/13 9:16 @DXH3 US Dollar Index SHORT 1 80.185 3/15 12:20 82.165 1.69%
Trade id #78454711
Max drawdown($2,995)
Time3/14/13 8:31
Quant open-1
Worst price83.180
Drawdown as % of equity-1.69%
 ($1,988)
Includes Typical Broker Commissions trade costs of $8.00
1/16/13 12:01 @WH3 WHEAT SHORT 1 778 3/4 3/14 9:22 701 0.35%
Trade id #78683571
Max drawdown($612)
Time1/31/13 3:38
Quant open-1
Worst price791
Drawdown as % of equity-0.35%
 $3,880
Includes Typical Broker Commissions trade costs of $8.00
1/16/13 8:36 @OJH3 Orange Juice LONG 1 113.20 3/8 9:02 124.50 0%
Trade id #78677345
Max drawdown$0
Time1/28/13 8:18
Quant open1
Worst price113.20
Drawdown as % of equity0.00%
 $1,687
Includes Typical Broker Commissions trade costs of $8.00
12/24/12 8:34 @BPH3 BRITISH POUND LONG 1 1.6168 1/18/13 9:01 1.5914 0.95%
Trade id #78298993
Max drawdown($1,637)
Time1/18/13 8:04
Quant open1
Worst price1.5906
Drawdown as % of equity-0.95%
 ($1,596)
Includes Typical Broker Commissions trade costs of $8.00
1/8/13 13:03 @CTH3 COTTON - #2 SHORT 1 7559 1/16 11:48 7773 0.62%
Trade id #78533880
Max drawdown($1,080)
Time1/16/13 11:48
Quant open-1
Worst price7775
Drawdown as % of equity-0.62%
 ($1,078)
Includes Typical Broker Commissions trade costs of $8.00
12/18/12 10:01 @SBH3 Sugar #11 LONG 1 19.22 1/15/13 6:24 18.76 0.45%
Trade id #78210981
Max drawdown($784)
Time1/9/13 11:09
Quant open1
Worst price18.52
Drawdown as % of equity-0.45%
 ($523)
Includes Typical Broker Commissions trade costs of $8.00
1/9/13 9:01 @LEJ3 LIVE CATTLE LONG 1 136.150 1/15 6:22 134.100 0.47%
Trade id #78550411
Max drawdown($820)
Time1/15/13 6:16
Quant open1
Worst price134.100
Drawdown as % of equity-0.47%
 ($828)
Includes Typical Broker Commissions trade costs of $8.00
12/27/12 10:17 @HEG3 LEAN HOGS LONG 1 86.825 1/9/13 12:17 84.525 0.52%
Trade id #78347477
Max drawdown($920)
Time1/9/13 12:14
Quant open1
Worst price84.525
Drawdown as % of equity-0.52%
 ($928)
Includes Typical Broker Commissions trade costs of $8.00
12/19/12 10:08 @LEG3 LIVE CATTLE SHORT 1 133.550 1/3/13 9:16 132.575 0.21%
Trade id #78233883
Max drawdown($380)
Time12/19/12 14:02
Quant open-1
Worst price134.500
Drawdown as % of equity-0.21%
 $382
Includes Typical Broker Commissions trade costs of $8.00
12/27/12 10:12 @ADH3 AUSTRALIAN DOLLAR LONG 1 1.0306 1/2/13 9:36 1.0457 0.1%
Trade id #78347326
Max drawdown($180)
Time12/27/12 12:32
Quant open1
Worst price1.0288
Drawdown as % of equity-0.10%
 $1,502
Includes Typical Broker Commissions trade costs of $8.00
12/24/12 8:34 @QMG3 MINY CRUDE OIL SHORT 1 88.425 12/26 10:39 90.850 0.81%
Trade id #78299010
Max drawdown($1,425)
Time12/26/12 10:08
Quant open-1
Worst price91.275
Drawdown as % of equity-0.81%
 ($1,221)
Includes Typical Broker Commissions trade costs of $8.00
12/10/12 11:25 @CCH3 COCOA LONG 1 2392 12/24 8:25 2292 0.57%
Trade id #78071902
Max drawdown($1,010)
Time12/24/12 8:20
Quant open1
Worst price2291
Drawdown as % of equity-0.57%
 ($1,008)
Includes Typical Broker Commissions trade costs of $8.00
11/20/12 11:05 @QMG3 MINY CRUDE OIL LONG 1 88.575 12/19 14:15 90.075 0.79%
Trade id #77749702
Max drawdown($1,387)
Time12/11/12 13:54
Quant open1
Worst price85.800
Drawdown as % of equity-0.79%
 $742
Includes Typical Broker Commissions trade costs of $8.00
11/1/12 13:49 @QGF3 MINY NATURAL GAS LONG 1 3.805 12/19 7:41 3.325 0.77%
Trade id #77432955
Max drawdown($1,362)
Time12/14/12 10:08
Quant open1
Worst price3.260
Drawdown as % of equity-0.77%
 ($1,208)
Includes Typical Broker Commissions trade costs of $8.00
12/14/12 11:27 @LEG3 LIVE CATTLE LONG 1 131.575 12/18 10:02 133.325 0%
Trade id #78164763
Max drawdown$0
Time12/14/12 11:29
Quant open1
Worst price131.575
Drawdown as % of equity0.00%
 $692
Includes Typical Broker Commissions trade costs of $8.00
11/30/12 10:03 @YGG3 Mini Gold NYSE Liffe SHORT 1 1727.8 12/18 9:53 1698.4 0.01%
Trade id #77924639
Max drawdown($19)
Time11/30/12 10:05
Quant open-1
Worst price1728.4
Drawdown as % of equity-0.01%
 $968
Includes Typical Broker Commissions trade costs of $8.00
11/30/12 10:02 @DXZ2 US Dollar Index SHORT 1 80.155 12/14 16:08 79.585 0.47%
Trade id #77924608
Max drawdown($820)
Time12/7/12 8:31
Quant open-1
Worst price80.975
Drawdown as % of equity-0.47%
 $562
Includes Typical Broker Commissions trade costs of $8.00
12/4/12 9:40 @BOF3 SOYBEAN OIL SHORT 1 49.89 12/14 13:40 49.95 0.51%
Trade id #77970631
Max drawdown($894)
Time12/6/12 21:32
Quant open-1
Worst price51.38
Drawdown as % of equity-0.51%
 ($44)
Includes Typical Broker Commissions trade costs of $8.00
11/30/12 10:04 @SBH3 Sugar #11 SHORT 1 19.26 12/10 11:17 18.87 0.44%
Trade id #77924676
Max drawdown($761)
Time12/3/12 11:49
Quant open-1
Worst price19.94
Drawdown as % of equity-0.44%
 $429
Includes Typical Broker Commissions trade costs of $8.00
12/5/12 11:25 @CH3 CORN SHORT 1 756 2/4 12/10 11:16 730 0.08%
Trade id #77997172
Max drawdown($137)
Time12/5/12 13:17
Quant open-1
Worst price759 1/4
Drawdown as % of equity-0.08%
 $1,317
Includes Typical Broker Commissions trade costs of $8.00
11/14/12 10:10 @HEG3 LEAN HOGS SHORT 1 86.575 12/7 10:56 83.400 0.39%
Trade id #77638508
Max drawdown($670)
Time11/21/12 12:42
Quant open-1
Worst price88.250
Drawdown as % of equity-0.39%
 $1,262
Includes Typical Broker Commissions trade costs of $8.00
9/20/12 8:53 @FVZ2 US T-NOTE 5 YR LONG 2 124 27/64 12/3 8:50 124 19/64 0.71%
Trade id #76708143
Max drawdown($1,242)
Time10/22/12 8:31
Quant open2
Worst price123 52/64
Drawdown as % of equity-0.71%
 ($267)
Includes Typical Broker Commissions trade costs of $16.00
10/4/12 7:31 @QGZ2 MINY NATURAL GAS LONG 1 3.680 11/20 10:59 3.755 0.3%
Trade id #76955098
Max drawdown($525)
Time11/12/12 5:16
Quant open1
Worst price3.470
Drawdown as % of equity-0.30%
 $180
Includes Typical Broker Commissions trade costs of $8.00
11/14/12 10:14 @KCH3 COFFEE SHORT 1 152.20 11/19 12:55 157.00 1.03%
Trade id #77638702
Max drawdown($1,800)
Time11/19/12 12:43
Quant open-1
Worst price157.00
Drawdown as % of equity-1.03%
 ($1,808)
Includes Typical Broker Commissions trade costs of $8.00
11/1/12 13:49 @CCZ2 COCOA LONG 1 2421 11/15 12:01 2493 0.6%
Trade id #77432962
Max drawdown($1,040)
Time11/9/12 8:41
Quant open1
Worst price2317
Drawdown as % of equity-0.60%
 $712
Includes Typical Broker Commissions trade costs of $8.00
11/1/12 13:50 @HEZ2 LEAN HOGS LONG 1 78.025 11/14 9:57 80.150 0.31%
Trade id #77432967
Max drawdown($540)
Time11/6/12 10:16
Quant open1
Worst price76.675
Drawdown as % of equity-0.31%
 $842
Includes Typical Broker Commissions trade costs of $8.00
10/10/12 10:39 @LEZ2 LIVE CATTLE SHORT 1 126.825 11/7 13:34 125.025 0.16%
Trade id #77058279
Max drawdown($270)
Time10/24/12 11:25
Quant open-1
Worst price127.500
Drawdown as % of equity-0.16%
 $712
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    7/19/2010
  • Suggested Minimum Cap
    $176,828
  • Strategy Age (days)
    5269.79
  • Age
    176 months ago
  • What it trades
    Futures
  • # Trades
    536
  • # Profitable
    246
  • % Profitable
    45.90%
  • Avg trade duration
    13.3 days
  • Max peak-to-valley drawdown
    39.71%
  • drawdown period
    April 10, 2011 - Jan 21, 2013
  • Annual Return (Compounded)
    0.4%
  • Avg win
    $1,558
  • Avg loss
    $1,242
  • Model Account Values (Raw)
  • Cash
    $199,736
  • Margin Used
    $0
  • Buying Power
    $199,736
  • Ratios
  • W:L ratio
    1.06:1
  • Sharpe Ratio
    -0.22
  • Sortino Ratio
    -0.33
  • Calmar Ratio
    0.072
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -448.42%
  • Correlation to SP500
    0.01870
  • Return Percent SP500 (cumu) during strategy life
    453.64%
  • Return Statistics
  • Ann Return (w trading costs)
    0.4%
  • Slump
  • Current Slump as Pcnt Equity
    40.80%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.004%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • 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
    $1,243
  • Avg Win
    $1,558
  • Sum Trade PL (losers)
    $360,383.000
  • Age
  • Num Months filled monthly returns table
    174
  • Win / Loss
  • Sum Trade PL (winners)
    $383,282.000
  • # Winners
    246
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    290
  • % Winners
    45.9%
  • Frequency
  • Avg Position Time (mins)
    19157.20
  • Avg Position Time (hrs)
    319.29
  • Avg Trade Length
    13.3 days
  • Last Trade Ago
    3905
  • Regression
  • Alpha
    -0.00
  • Beta
    0.01
  • Treynor Index
    -0.61
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.18
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    33.02
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.55
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    37.334
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.258
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.169
  • Hold-and-Hope Ratio
    0.027
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00297
  • SD
    0.11470
  • Sharpe ratio (Glass type estimate)
    0.02591
  • Sharpe ratio (Hedges UMVUE)
    0.02559
  • df
    60.00000
  • t
    0.05842
  • p
    0.47680
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84349
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89515
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84373
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89491
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.04070
  • Upside Potential Ratio
    1.68814
  • Upside part of mean
    0.12329
  • Downside part of mean
    -0.12032
  • Upside SD
    0.08722
  • Downside SD
    0.07303
  • N nonnegative terms
    14.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.33292
  • Mean of criterion
    0.00297
  • SD of predictor
    0.22017
  • SD of criterion
    0.11470
  • Covariance
    0.00301
  • r
    0.11925
  • b (slope, estimate of beta)
    0.06212
  • a (intercept, estimate of alpha)
    -0.01771
  • Mean Square Error
    0.01319
  • DF error
    59.00000
  • t(b)
    0.92253
  • p(b)
    0.18001
  • t(a)
    -0.31821
  • p(a)
    0.62428
  • Lowerbound of 95% confidence interval for beta
    -0.07262
  • Upperbound of 95% confidence interval for beta
    0.19687
  • Lowerbound of 95% confidence interval for alpha
    -0.12907
  • Upperbound of 95% confidence interval for alpha
    0.09365
  • Treynor index (mean / b)
    0.04784
  • Jensen alpha (a)
    -0.01771
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00342
  • SD
    0.11374
  • Sharpe ratio (Glass type estimate)
    -0.03007
  • Sharpe ratio (Hedges UMVUE)
    -0.02969
  • df
    60.00000
  • t
    -0.06780
  • p
    0.52691
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89929
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.83937
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89902
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83963
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.04555
  • Upside Potential Ratio
    1.59001
  • Upside part of mean
    0.11938
  • Downside part of mean
    -0.12280
  • Upside SD
    0.08419
  • Downside SD
    0.07508
  • N nonnegative terms
    14.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.30504
  • Mean of criterion
    -0.00342
  • SD of predictor
    0.21482
  • SD of criterion
    0.11374
  • Covariance
    0.00304
  • r
    0.12460
  • b (slope, estimate of beta)
    0.06597
  • a (intercept, estimate of alpha)
    -0.02354
  • Mean Square Error
    0.01295
  • DF error
    59.00000
  • t(b)
    0.96457
  • p(b)
    0.16935
  • t(a)
    -0.43106
  • p(a)
    0.66600
  • Lowerbound of 95% confidence interval for beta
    -0.07088
  • Upperbound of 95% confidence interval for beta
    0.20282
  • Lowerbound of 95% confidence interval for alpha
    -0.13283
  • Upperbound of 95% confidence interval for alpha
    0.08574
  • Treynor index (mean / b)
    -0.05184
  • Jensen alpha (a)
    -0.02354
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05284
  • Expected Shortfall on VaR
    0.06568
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02988
  • Expected Shortfall on VaR
    0.05627
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    61.00000
  • Minimum
    0.92153
  • Quartile 1
    0.99824
  • Median
    1.00000
  • Quartile 3
    1.00056
  • Maximum
    1.09117
  • Mean of quarter 1
    0.96855
  • Mean of quarter 2
    0.99987
  • Mean of quarter 3
    1.00007
  • Mean of quarter 4
    1.04409
  • Inter Quartile Range
    0.00232
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.22951
  • Mean of outliers low
    0.96445
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.21311
  • Mean of outliers high
    1.05045
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.97334
  • VaR(95%) (moments method)
    0.00910
  • Expected Shortfall (moments method)
    0.01007
  • Extreme Value Index (regression method)
    -0.49376
  • VaR(95%) (regression method)
    0.04460
  • Expected Shortfall (regression method)
    0.05594
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.33382
  • Quartile 1
    0.33382
  • Median
    0.33382
  • Quartile 3
    0.33382
  • Maximum
    0.33382
  • 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)
    0.02608
  • Compounded annual return (geometric extrapolation)
    0.02479
  • Calmar ratio (compounded annual return / max draw down)
    0.07426
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.37743
  • 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
    0.00481
  • SD
    0.12848
  • Sharpe ratio (Glass type estimate)
    0.03741
  • Sharpe ratio (Hedges UMVUE)
    0.03739
  • df
    1331.00000
  • t
    0.08435
  • p
    0.49853
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83185
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90666
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83187
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90664
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05513
  • Upside Potential Ratio
    5.20131
  • Upside part of mean
    0.45340
  • Downside part of mean
    -0.44860
  • Upside SD
    0.09431
  • Downside SD
    0.08717
  • N nonnegative terms
    356.00000
  • N negative terms
    976.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1332.00000
  • Mean of predictor
    0.34511
  • Mean of criterion
    0.00481
  • SD of predictor
    0.27988
  • SD of criterion
    0.12848
  • Covariance
    0.00391
  • r
    0.10878
  • b (slope, estimate of beta)
    0.04994
  • a (intercept, estimate of alpha)
    -0.01200
  • Mean Square Error
    0.01632
  • DF error
    1330.00000
  • t(b)
    3.99094
  • p(b)
    0.44561
  • t(a)
    -0.21869
  • p(a)
    0.50300
  • Lowerbound of 95% confidence interval for beta
    0.02539
  • Upperbound of 95% confidence interval for beta
    0.07448
  • Lowerbound of 95% confidence interval for alpha
    -0.12391
  • Upperbound of 95% confidence interval for alpha
    0.09905
  • Treynor index (mean / b)
    0.09624
  • Jensen alpha (a)
    -0.01243
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00342
  • SD
    0.12829
  • Sharpe ratio (Glass type estimate)
    -0.02668
  • Sharpe ratio (Hedges UMVUE)
    -0.02667
  • df
    1331.00000
  • t
    -0.06017
  • p
    0.50105
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89594
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.84257
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89592
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84259
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.03863
  • Upside Potential Ratio
    5.06746
  • Upside part of mean
    0.44901
  • Downside part of mean
    -0.45243
  • Upside SD
    0.09271
  • Downside SD
    0.08861
  • N nonnegative terms
    356.00000
  • N negative terms
    976.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1332.00000
  • Mean of predictor
    0.30500
  • Mean of criterion
    -0.00342
  • SD of predictor
    0.28401
  • SD of criterion
    0.12829
  • Covariance
    0.00392
  • r
    0.10750
  • b (slope, estimate of beta)
    0.04856
  • a (intercept, estimate of alpha)
    -0.01823
  • Mean Square Error
    0.01628
  • DF error
    1330.00000
  • t(b)
    3.94328
  • p(b)
    0.44625
  • t(a)
    -0.32150
  • p(a)
    0.50441
  • Lowerbound of 95% confidence interval for beta
    0.02440
  • Upperbound of 95% confidence interval for beta
    0.07271
  • Lowerbound of 95% confidence interval for alpha
    -0.12949
  • Upperbound of 95% confidence interval for alpha
    0.09302
  • Treynor index (mean / b)
    -0.07050
  • Jensen alpha (a)
    -0.01823
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01296
  • Expected Shortfall on VaR
    0.01622
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00492
  • Expected Shortfall on VaR
    0.01055
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1332.00000
  • Minimum
    0.94067
  • Quartile 1
    0.99970
  • Median
    1.00000
  • Quartile 3
    1.00044
  • Maximum
    1.06424
  • Mean of quarter 1
    0.99347
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00002
  • Mean of quarter 4
    1.00702
  • Inter Quartile Range
    0.00074
  • Number outliers low
    266.00000
  • Percentage of outliers low
    0.19970
  • Mean of outliers low
    0.99203
  • Number of outliers high
    256.00000
  • Percentage of outliers high
    0.19219
  • Mean of outliers high
    1.00883
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54594
  • VaR(95%) (moments method)
    0.00448
  • Expected Shortfall (moments method)
    0.01211
  • Extreme Value Index (regression method)
    0.35178
  • VaR(95%) (regression method)
    0.00556
  • Expected Shortfall (regression method)
    0.01170
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00320
  • Quartile 1
    0.02480
  • Median
    0.04256
  • Quartile 3
    0.05664
  • Maximum
    0.34591
  • Mean of quarter 1
    0.01161
  • Mean of quarter 2
    0.03533
  • Mean of quarter 3
    0.05367
  • Mean of quarter 4
    0.13035
  • Inter Quartile Range
    0.03184
  • 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
    0.05882
  • Mean of outliers high
    0.34591
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.78486
  • VaR(95%) (moments method)
    0.13823
  • Expected Shortfall (moments method)
    0.56137
  • Extreme Value Index (regression method)
    3.27793
  • VaR(95%) (regression method)
    0.10193
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02607
  • Compounded annual return (geometric extrapolation)
    0.02479
  • Calmar ratio (compounded annual return / max draw down)
    0.07165
  • Compounded annual return / average of 25% largest draw downs
    0.19014
  • Compounded annual return / Expected Shortfall lognormal
    1.52774
  • 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
    -0.02791
  • 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
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.70177
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.46127
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • 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
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.59382
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.46647
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6845310000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01300
  • 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
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    432972000000000002143442620645376.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • 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?
    -405688000
  • Max Equity Drawdown (num days)
    652
  • 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

Trades fully-diversified portfolio of major futures sectors including currencies, fixed income, metals, energy, grains, meats, softs. Systematic and quantitative trading system has intermediate to long-term time frame. Diversified in terms of both time frame and trading methodologies. Approach has produced good results in historical testing, blind-tests, bootstrapping, and live trading.

For those seeking a smaller initial account size, a combination of z-Trader Financials and z-Trader Commodities will track the performance of zFutures, with slightly more leverage.

Summary Statistics

Strategy began
2010-07-19
Suggested Minimum Capital
$100,000
# Trades
536
# Profitable
246
% Profitable
45.9%
Correlation S&P500
0.019
Sharpe Ratio
-0.22
Sortino Ratio
-0.33
Beta
0.01
Alpha
-0.00

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.