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Featured Strategy Trade ideas Algo V21/11 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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Wolf Testing Site
(52670485)

Created by: OferWolfson OferWolfson
Started: 09/2010
Futures
Last trade: 4,912 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.

11.3%

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(13.1%)
Max Drawdown
33
Num Trades
39.4%
Win Trades
1.5 : 1
Profit Factor
2.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                        +2.0%+14.0%(2.1%)+1.2%+15.1%
2011+9.2%(5.5%)(0.3%)(0.3%)(5%)(2.9%)  -    -    -    -    -    -  (5.2%)
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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

This strategy has placed 27 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5021 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/11/11 9:00 SPY SPDR S&P 500 LONG 400 128.00 6/13 9:43 128.19 0.66%
Trade id #62363323
Max drawdown($76)
Time6/13/11 9:31
Quant open400
Worst price127.81
Drawdown as % of equity-0.66%
 $68
Includes Typical Broker Commissions trade costs of $8.00
6/8/11 9:34 SPY1118R128 SPY Jun18'11 128 put SHORT 4 0.50 6/11 9:00 0.00 5.33%
Trade id #62227159
Max drawdown($616)
Time6/10/11 13:48
Quant open-4
Worst price2.04
Drawdown as % of equity-5.33%
 $197
Includes Typical Broker Commissions trade costs of $2.80
6/6/11 4:05 @ESM1 E-MINI S&P 500 LONG 1 1293.75 6/7 16:00 1283.00 4.58%
Trade id #62108269
Max drawdown($538)
Time6/7/11 16:00
Quant open0
Worst price1283.00
Drawdown as % of equity-4.58%
 ($546)
Includes Typical Broker Commissions trade costs of $8.00
5/5/11 8:30 @ESM1 E-MINI S&P 500 LONG 1 1333.50 5/5 15:23 1328.25 2.18%
Trade id #60557173
Max drawdown($263)
Time5/5/11 15:23
Quant open0
Worst price1328.25
Drawdown as % of equity-2.18%
 ($271)
Includes Typical Broker Commissions trade costs of $8.00
5/4/11 10:00 @ESM1 E-MINI S&P 500 LONG 1 1343.50 5/4 10:48 1340.25 1.31%
Trade id #60501303
Max drawdown($163)
Time5/4/11 10:48
Quant open0
Worst price1340.25
Drawdown as % of equity-1.31%
 ($171)
Includes Typical Broker Commissions trade costs of $8.00
5/3/11 13:44 @ESM1 E-MINI S&P 500 LONG 1 1349.50 5/3 14:10 1347.75 0.71%
Trade id #60440262
Max drawdown($88)
Time5/3/11 14:10
Quant open0
Worst price1347.75
Drawdown as % of equity-0.71%
 ($96)
Includes Typical Broker Commissions trade costs of $8.00
4/28/11 15:45 @ESM1 E-MINI S&P 500 SHORT 1 1358.50 4/29 0:59 1353.50 n/a $242
Includes Typical Broker Commissions trade costs of $8.00
4/27/11 14:55 @ESM1 E-MINI S&P 500 SHORT 1 1348.00 4/27 15:33 1351.25 1.32%
Trade id #60204423
Max drawdown($163)
Time4/27/11 15:33
Quant open0
Worst price1351.25
Drawdown as % of equity-1.32%
 ($171)
Includes Typical Broker Commissions trade costs of $8.00
4/26/11 10:44 @ESM1 E-MINI S&P 500 SHORT 1 1341.50 4/26 11:28 1343.50 0.79%
Trade id #60151768
Max drawdown($100)
Time4/26/11 11:28
Quant open0
Worst price1343.50
Drawdown as % of equity-0.79%
 ($108)
Includes Typical Broker Commissions trade costs of $8.00
4/26/11 5:17 @ESM1 E-MINI S&P 500 SHORT 1 1337.50 4/26 10:21 1338.75 0.5%
Trade id #60140238
Max drawdown($63)
Time4/26/11 10:21
Quant open0
Worst price1338.75
Drawdown as % of equity-0.50%
 ($71)
Includes Typical Broker Commissions trade costs of $8.00
4/14/11 8:30 @ESM1 E-MINI S&P 500 LONG 1 1300.50 4/14 9:49 1299.00 0.59%
Trade id #59792317
Max drawdown($75)
Time4/14/11 9:49
Quant open0
Worst price1299.00
Drawdown as % of equity-0.59%
 ($83)
Includes Typical Broker Commissions trade costs of $8.00
4/12/11 10:47 @ESM1 E-MINI S&P 500 LONG 1 1306.50 4/12 19:57 1311.25 0.5%
Trade id #59695686
Max drawdown($62)
Time4/12/11 10:58
Quant open1
Worst price1305.25
Drawdown as % of equity-0.50%
 $230
Includes Typical Broker Commissions trade costs of $8.00
2/23/11 12:03 @ESH1 E-MINI S&P 500 LONG 1 1304.25 2/24 2:56 1296.50 3.08%
Trade id #58082308
Max drawdown($388)
Time2/24/11 2:56
Quant open0
Worst price1296.50
Drawdown as % of equity-3.08%
 ($396)
Includes Typical Broker Commissions trade costs of $8.00
2/22/11 12:41 @ESH1 E-MINI S&P 500 LONG 1 1318.75 2/22 13:23 1314.00 1.84%
Trade id #58040967
Max drawdown($238)
Time2/22/11 13:23
Quant open0
Worst price1314.00
Drawdown as % of equity-1.84%
 ($246)
Includes Typical Broker Commissions trade costs of $8.00
1/30/11 18:19 @ESH1 E-MINI S&P 500 LONG 1 1264.25 1/31 11:43 1280.00 0.82%
Trade id #57338307
Max drawdown($100)
Time1/30/11 18:22
Quant open1
Worst price1262.25
Drawdown as % of equity-0.82%
 $780
Includes Typical Broker Commissions trade costs of $8.00
1/27/11 10:00 @ESH1 E-MINI S&P 500 SHORT 1 1297.75 1/27 11:27 1291.00 n/a $330
Includes Typical Broker Commissions trade costs of $8.00
12/2/10 16:10 @ESZ0 E-MINI S&P 500 SHORT 1 1222.50 12/3 8:53 1213.25 2.1%
Trade id #55445538
Max drawdown($237)
Time12/3/10 8:20
Quant open-1
Worst price1227.25
Drawdown as % of equity-2.10%
 $455
Includes Typical Broker Commissions trade costs of $8.00
12/1/10 11:56 @ESZ0 E-MINI S&P 500 SHORT 1 1206.25 12/2 4:48 1211.50 2.29%
Trade id #55389500
Max drawdown($263)
Time12/2/10 4:34
Quant open-1
Worst price1210.75
Drawdown as % of equity-2.29%
 ($271)
Includes Typical Broker Commissions trade costs of $8.00
11/21/10 20:05 @ESZ0 E-MINI S&P 500 SHORT 1 1205.25 11/22 16:16 1197.25 0.33%
Trade id #55037651
Max drawdown($37)
Time11/21/10 20:19
Quant open-1
Worst price1206.00
Drawdown as % of equity-0.33%
 $392
Includes Typical Broker Commissions trade costs of $8.00
11/18/10 10:00 @ESZ0 E-MINI S&P 500 SHORT 1 1193.75 11/18 10:28 1197.62 1.7%
Trade id #54963090
Max drawdown($194)
Time11/18/10 10:18
Quant open-1
Worst price1197.25
Drawdown as % of equity-1.70%
 ($202)
Includes Typical Broker Commissions trade costs of $8.00
11/17/10 23:46 @ESZ0 E-MINI S&P 500 SHORT 1 1186.19 11/18 2:01 1188.88 1.17%
Trade id #54944064
Max drawdown($135)
Time11/18/10 1:04
Quant open-1
Worst price1188.50
Drawdown as % of equity-1.17%
 ($143)
Includes Typical Broker Commissions trade costs of $8.00
11/17/10 20:03 @ESZ0 E-MINI S&P 500 SHORT 1 1182.25 11/17 20:30 1183.75 0.64%
Trade id #54938063
Max drawdown($75)
Time11/17/10 20:30
Quant open-1
Worst price1183.25
Drawdown as % of equity-0.64%
 ($83)
Includes Typical Broker Commissions trade costs of $8.00
11/16/10 11:11 @ESZ0 E-MINI S&P 500 LONG 1 1178.50 11/16 11:43 1175.09 1.44%
Trade id #54877834
Max drawdown($171)
Time11/16/10 11:20
Quant open1
Worst price1175.50
Drawdown as % of equity-1.44%
 ($179)
Includes Typical Broker Commissions trade costs of $8.00
11/16/10 9:34 @ESZ0 E-MINI S&P 500 LONG 1 1185.00 11/16 10:34 1182.94 0.87%
Trade id #54870736
Max drawdown($103)
Time11/16/10 10:33
Quant open1
Worst price1183.75
Drawdown as % of equity-0.87%
 ($111)
Includes Typical Broker Commissions trade costs of $8.00
11/15/10 21:25 @ESZ0 E-MINI S&P 500 LONG 1 1189.00 11/16 6:14 1187.60 0.58%
Trade id #54852159
Max drawdown($70)
Time11/16/10 2:01
Quant open1
Worst price1188.25
Drawdown as % of equity-0.58%
 ($78)
Includes Typical Broker Commissions trade costs of $8.00
11/4/10 15:56 @ESZ0 E-MINI S&P 500 SHORT 1 1218.25 11/5 6:48 1213.42 0.21%
Trade id #54509936
Max drawdown($25)
Time11/4/10 15:59
Quant open-1
Worst price1218.75
Drawdown as % of equity-0.21%
 $234
Includes Typical Broker Commissions trade costs of $8.00
10/19/10 14:03 @ESZ0 E-MINI S&P 500 LONG 1 1160.25 10/19 15:28 1156.50 1.56%
Trade id #53991373
Max drawdown($188)
Time10/19/10 15:13
Quant open1
Worst price1157.00
Drawdown as % of equity-1.56%
 ($196)
Includes Typical Broker Commissions trade costs of $8.00
10/18/10 3:59 @ESZ0 E-MINI S&P 500 LONG 1 1165.75 10/18 9:50 1175.25 0.43%
Trade id #53924256
Max drawdown($50)
Time10/18/10 4:10
Quant open1
Worst price1164.75
Drawdown as % of equity-0.43%
 $467
Includes Typical Broker Commissions trade costs of $8.00
10/13/10 14:13 @ESZ0 E-MINI S&P 500 SHORT 1 1180.50 10/14 16:14 1173.50 0.22%
Trade id #53809512
Max drawdown($25)
Time10/13/10 14:15
Quant open-1
Worst price1181.00
Drawdown as % of equity-0.22%
 $342
Includes Typical Broker Commissions trade costs of $8.00
9/30/10 9:45 @ESZ0 E-MINI S&P 500 SHORT 1 1153.00 9/30 11:24 1135.75 0.24%
Trade id #53402509
Max drawdown($25)
Time9/30/10 9:49
Quant open-1
Worst price1153.50
Drawdown as % of equity-0.24%
 $855
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    9/6/2010
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    5186.23
  • Age
    173 months ago
  • What it trades
    Futures
  • # Trades
    33
  • # Profitable
    13
  • % Profitable
    39.40%
  • Avg trade duration
    10.8 hours
  • Max peak-to-valley drawdown
    13.14%
  • drawdown period
    Feb 23, 2011 - June 08, 2011
  • Annual return (compounded)
    1.1%
  • Avg win
    $399.69
  • Avg loss
    $175.20
  • Model Account Values (Raw)
  • Cash
    $11,696
  • Margin Used
    $0
  • Buying Power
    $11,696
  • Ratios
  • W:L ratio
    1.48:1
  • Sharpe Ratio
    -0.28
  • Sortino Ratio
    -0.49
  • Calmar Ratio
    0.363
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.00160
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -37.07%
  • Return Percent SP500 (cumu) during strategy life
    440.45%
  • Return Statistics
  • Ann Return (w trading costs)
    11.3%
  • Instruments
  • Percent Trades Options
    0.03%
  • Percent Trades Futures
    0.94%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Instruments
  • Percent Trades Stocks
    0.03%
  • Slump
  • Current Slump as Pcnt Equity
    15.40%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • 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
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $400
  • Avg Loss
    $175
  • Sum Trade PL (losers)
    $3,504.000
  • Sum Trade PL (winners)
    $5,196.000
  • # Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    4
  • Age
  • Num Months filled monthly returns table
    171
  • Win / Loss
  • # Losers
    20
  • % Winners
    39.4%
  • Frequency
  • Avg Position Time (mins)
    646.48
  • Avg Position Time (hrs)
    10.78
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    4907
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.00
  • Treynor Index
    8.51
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -0.47
  • MAE:Equity, average, all trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.344
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    3.27
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    9.06
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.280
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.000
  • Hold-and-Hope Ratio
    0.230
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    -0.00100
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.01600
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    105
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

No Subscriptions! My System Playing Ground.

Summary Statistics

Strategy began
2010-09-06
Suggested Minimum Capital
$10,000
# Trades
33
# Profitable
13
% Profitable
39.4%
Correlation S&P500
-0.002
Sharpe Ratio
-0.28
Sortino Ratio
-0.49
Beta
-0.00
Alpha
-0.00

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.