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Featured Strategy IC Algotrading Followed by live capital $350,000 Hypothetical

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Futures Trader Daily Mini
(55944572)

Created by: FuturesTraderDaily FuturesTraderDaily
Started: 12/2010
Futures
Last trade: 3,583 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.

4.7%
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.

(69.4%)
Max Drawdown
1182
Num Trades
43.9%
Win Trades
1.1 : 1
Profit Factor
20.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                                             +23.1%+23.1%
2011+9.1%+29.8%(17.7%)+17.3%(21.3%)(10.6%)+16.0%+20.6%+3.3%(30.8%)(21.6%)+4.9%(20.9%)
2012(2.4%)+2.9%(12.1%)(16.9%)+39.4%(18.9%)+60.4%(4.3%)(16%)(10.3%)+4.0%+2.8%+2.5%
2013(7.6%)(20.7%)+3.0%+6.4%+6.3%+37.3%(3.4%)+30.3%+11.6%(0.8%)(9.6%)+10.8%+63.4%
2014(6.5%)+14.9%+10.1%(0.7%)(3.4%)+4.8%(0.5%)(0.5%)(0.9%)(0.2%)(0.1%)(0.6%)+15.5%
2015(1.4%)(0.2%)(0.7%)+0.8%(1.6%)+0.4%(0.3%)+0.5%(0.2%)(0.3%)(0.7%)+0.5%(3.3%)
2016(0.1%)  -  +0.8%+0.2%(0.5%)(0.1%)+0.1%+1.2%+0.1%(0.6%)  -    -  +1.2%
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -  (0.2%)  -  (0.2%)
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 48 hours.

Trading Record

This strategy has placed 875 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4319 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/23/14 4:22 LGU4 GILT LONG LONG 1 109.29 6/27 3:00 110.23 0.31%
Trade id #88226189
Max drawdown($220)
Time6/23/14 5:57
Quant open1
Worst price109.07
Drawdown as % of equity-0.31%
 $1,135
Includes Typical Broker Commissions trade costs of $8.00
6/23/14 3:15 EZU4 EUREX SCHATZ LONG 1 110.645 6/27 2:01 110.665 0.02%
Trade id #88225253
Max drawdown($15)
Time6/23/14 11:25
Quant open1
Worst price110.630
Drawdown as % of equity-0.02%
 $14
Includes Typical Broker Commissions trade costs of $8.00
6/19/14 10:49 @OU4 Oats LONG 1 339 6/26 20:50 331 2/4 0.59%
Trade id #88189028
Max drawdown($437)
Time6/25/14 13:33
Quant open1
Worst price330 1/4
Drawdown as % of equity-0.59%
 ($383)
Includes Typical Broker Commissions trade costs of $8.00
6/24/14 5:11 @TYU4 US T-NOTE 10 YR LONG 1 124 26/64 6/26 20:50 125 5/64 0.17%
Trade id #88247998
Max drawdown($124)
Time6/24/14 10:13
Quant open1
Worst price124 18/64
Drawdown as % of equity-0.17%
 $664
Includes Typical Broker Commissions trade costs of $8.00
6/24/14 23:10 @SMQ4 SOYBEAN MEAL LONG 1 436.2 6/26 20:50 444.7 0.31%
Trade id #88266545
Max drawdown($230)
Time6/25/14 10:31
Quant open1
Worst price433.9
Drawdown as % of equity-0.31%
 $842
Includes Typical Broker Commissions trade costs of $8.00
6/19/14 8:55 @USU4 US T-BOND LONG 1 136 8/32 6/26 20:49 137 1/32 2.25%
Trade id #88186426
Max drawdown($1,625)
Time6/20/14 8:57
Quant open1
Worst price134 20/32
Drawdown as % of equity-2.25%
 $773
Includes Typical Broker Commissions trade costs of $8.00
6/26/14 8:30 @SQ4 SOYBEANS LONG 1 1373 6/26 20:49 1378 2/4 0.24%
Trade id #88299918
Max drawdown($175)
Time6/26/14 8:37
Quant open1
Worst price1369 2/4
Drawdown as % of equity-0.24%
 $267
Includes Typical Broker Commissions trade costs of $8.00
6/12/14 16:00 @BPU4 BRITISH POUND LONG 1 1.6879 6/26 20:49 1.7022 0.25%
Trade id #88083620
Max drawdown($187)
Time6/12/14 16:03
Quant open1
Worst price1.6849
Drawdown as % of equity-0.25%
 $886
Includes Typical Broker Commissions trade costs of $8.00
6/24/14 10:55 @WU4 WHEAT SHORT 1 579 1/4 6/26 12:17 588 3/4 0.62%
Trade id #88253761
Max drawdown($475)
Time6/26/14 12:17
Quant open0
Worst price588 3/4
Drawdown as % of equity-0.62%
 ($483)
Includes Typical Broker Commissions trade costs of $8.00
6/23/14 20:25 @HEN4 LEAN HOGS LONG 1 129.025 6/25 20:29 129.175 0.55%
Trade id #88241441
Max drawdown($410)
Time6/25/14 11:11
Quant open1
Worst price128.000
Drawdown as % of equity-0.55%
 $52
Includes Typical Broker Commissions trade costs of $8.00
6/24/14 21:38 @KWU4 Hard Red Winter Wheat Electronic SHORT 1 704.750 6/25 10:06 710.500 0.38%
Trade id #88265647
Max drawdown($288)
Time6/25/14 10:06
Quant open0
Worst price710.500
Drawdown as % of equity-0.38%
 ($296)
Includes Typical Broker Commissions trade costs of $8.00
6/18/14 20:40 @HEN4 LEAN HOGS LONG 1 127.450 6/23 11:05 127.500 0.35%
Trade id #88177745
Max drawdown($260)
Time6/19/14 7:46
Quant open1
Worst price126.800
Drawdown as % of equity-0.35%
 $12
Includes Typical Broker Commissions trade costs of $8.00
6/20/14 13:06 @WN4 WHEAT SHORT 1 585 3/4 6/22 21:39 591 1/4 0.38%
Trade id #88212819
Max drawdown($275)
Time6/22/14 21:39
Quant open0
Worst price591 1/4
Drawdown as % of equity-0.38%
 ($283)
Includes Typical Broker Commissions trade costs of $8.00
6/19/14 3:09 QPLN4 PLATINUM LONG 1 1461.7 6/20 5:15 1457.7 0.48%
Trade id #88182720
Max drawdown($355)
Time6/19/14 4:58
Quant open1
Worst price1454.6
Drawdown as % of equity-0.48%
 ($208)
Includes Typical Broker Commissions trade costs of $8.00
6/18/14 4:30 LGU4 GILT LONG LONG 1 109.09 6/20 4:42 108.92 0.4%
Trade id #88161801
Max drawdown($290)
Time6/20/14 4:42
Quant open0
Worst price108.92
Drawdown as % of equity-0.40%
 ($215)
Includes Typical Broker Commissions trade costs of $8.00
6/16/14 0:04 @USU4 US T-BOND LONG 1 136 8/32 6/17 8:35 135 20/32 0.85%
Trade id #88115001
Max drawdown($625)
Time6/17/14 8:35
Quant open0
Worst price135 20/32
Drawdown as % of equity-0.85%
 ($633)
Includes Typical Broker Commissions trade costs of $8.00
6/12/14 15:46 @HEN4 LEAN HOGS LONG 1 126.225 6/16 10:07 126.525 0.07%
Trade id #88083179
Max drawdown($50)
Time6/12/14 16:10
Quant open1
Worst price126.100
Drawdown as % of equity-0.07%
 $112
Includes Typical Broker Commissions trade costs of $8.00
6/12/14 13:05 @RSN4 Canola SHORT 1 453.1 6/13 13:19 464.7 0.31%
Trade id #88079690
Max drawdown($232)
Time6/13/14 13:19
Quant open-1
Worst price464.0
Drawdown as % of equity-0.31%
 ($240)
Includes Typical Broker Commissions trade costs of $8.00
6/10/14 10:30 @WN4 WHEAT SHORT 1 606 6/13 10:58 590 1/4 0.17%
Trade id #88026984
Max drawdown($125)
Time6/11/14 10:36
Quant open-1
Worst price608 2/4
Drawdown as % of equity-0.17%
 $780
Includes Typical Broker Commissions trade costs of $8.00
6/9/14 20:49 @USU4 US T-BOND LONG 1 135 16/32 6/13 9:07 135 7/32 1.27%
Trade id #88012476
Max drawdown($937)
Time6/11/14 4:35
Quant open1
Worst price134 18/32
Drawdown as % of equity-1.27%
 ($289)
Includes Typical Broker Commissions trade costs of $8.00
6/12/14 10:31 @TYU4 US T-NOTE 10 YR LONG 1 124 18/64 6/13 8:50 124 4/64 0.29%
Trade id #88075835
Max drawdown($219)
Time6/13/14 8:50
Quant open0
Worst price124 4/64
Drawdown as % of equity-0.29%
 ($227)
Includes Typical Broker Commissions trade costs of $8.00
6/12/14 12:45 @SBN4 Sugar #11 SHORT 1 16.70 6/13 8:12 16.85 0.22%
Trade id #88079227
Max drawdown($168)
Time6/13/14 8:12
Quant open0
Worst price16.85
Drawdown as % of equity-0.22%
 ($176)
Includes Typical Broker Commissions trade costs of $8.00
6/10/14 3:12 EZU4 EUREX SCHATZ LONG 1 110.620 6/13 2:01 110.640 0.04%
Trade id #88017510
Max drawdown($30)
Time6/10/14 11:06
Quant open1
Worst price110.590
Drawdown as % of equity-0.04%
 $14
Includes Typical Broker Commissions trade costs of $8.00
6/12/14 9:13 @JEU4 E-MINI JAPANESE YEN SHORT 1 0.009806 6/12 12:05 0.009828 0.19%
Trade id #88072854
Max drawdown($138)
Time6/12/14 12:05
Quant open0
Worst price0.009828
Drawdown as % of equity-0.19%
 ($146)
Includes Typical Broker Commissions trade costs of $8.00
6/10/14 20:27 @MEU4 E-MINI EURO FX SHORT 1 1.3530 6/12 11:26 1.3568 0.32%
Trade id #88037139
Max drawdown($238)
Time6/12/14 11:26
Quant open0
Worst price1.3568
Drawdown as % of equity-0.32%
 ($246)
Includes Typical Broker Commissions trade costs of $8.00
5/13/14 2:59 @JEM4 E-MINI JAPANESE YEN SHORT 2 0.009779 6/12 9:13 0.009786 1.25%
Trade id #87532492
Max drawdown($912)
Time5/21/14 2:46
Quant open-1
Worst price0.009920
Drawdown as % of equity-1.25%
 ($104)
Includes Typical Broker Commissions trade costs of $16.00
6/10/14 3:37 QPAU4 PALLADIUM LONG 1 848.7 6/12 7:33 848.3 0.66%
Trade id #88017835
Max drawdown($470)
Time6/10/14 5:13
Quant open1
Worst price844.0
Drawdown as % of equity-0.66%
 ($48)
Includes Typical Broker Commissions trade costs of $8.00
5/30/14 13:17 @OJN4 Orange Juice LONG 1 158.20 6/11 11:16 163.80 0.09%
Trade id #87852598
Max drawdown($67)
Time5/30/14 13:20
Quant open1
Worst price157.75
Drawdown as % of equity-0.09%
 $832
Includes Typical Broker Commissions trade costs of $8.00
6/5/14 7:45 @MEM4 E-MINI EURO FX SHORT 1 1.3560 6/10 20:27 1.3531 1.04%
Trade id #87940486
Max drawdown($737)
Time6/6/14 8:51
Quant open-1
Worst price1.3678
Drawdown as % of equity-1.04%
 $173
Includes Typical Broker Commissions trade costs of $8.00
6/5/14 8:58 QWQ4 Liffe Sugar White SHORT 1 460.1 6/10 9:14 465.0 0.34%
Trade id #87942193
Max drawdown($245)
Time6/10/14 9:14
Quant open0
Worst price465.0
Drawdown as % of equity-0.34%
 ($253)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    12/19/2010
  • Suggested Minimum Cap
    $30,422
  • Strategy Age (days)
    4865
  • Age
    162 months ago
  • What it trades
    Futures
  • # Trades
    1182
  • # Profitable
    519
  • % Profitable
    43.90%
  • Avg trade duration
    5.2 days
  • Max peak-to-valley drawdown
    69.39%
  • drawdown period
    Sept 05, 2011 - April 26, 2012
  • Annual Return (Compounded)
    4.7%
  • Avg win
    $758.67
  • Avg loss
    $528.99
  • Model Account Values (Raw)
  • Cash
    $73,463
  • Margin Used
    $0
  • Buying Power
    $73,463
  • Ratios
  • W:L ratio
    1.12:1
  • Sharpe Ratio
    0.19
  • Sortino Ratio
    0.29
  • Calmar Ratio
    0.077
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -227.98%
  • Correlation to SP500
    -0.04130
  • Return Percent SP500 (cumu) during strategy life
    303.74%
  • Return Statistics
  • Ann Return (w trading costs)
    4.7%
  • Slump
  • Current Slump as Pcnt Equity
    13.20%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.76%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.047%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.8%
  • 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
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • 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
    100.00%
  • 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
    $529
  • Avg Win
    $759
  • Sum Trade PL (losers)
    $350,720.000
  • Age
  • Num Months filled monthly returns table
    161
  • Win / Loss
  • Sum Trade PL (winners)
    $393,748.000
  • # Winners
    519
  • Num Months Winners
    33
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    663
  • % Winners
    43.9%
  • Frequency
  • Avg Position Time (mins)
    7514.13
  • Avg Position Time (hrs)
    125.24
  • Avg Trade Length
    5.2 days
  • Last Trade Ago
    3580
  • Regression
  • Alpha
    0.02
  • Beta
    -0.07
  • Treynor Index
    -0.24
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    41.21
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    28.30
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.30
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    17.432
  • 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
    0.335
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.156
  • Hold-and-Hope Ratio
    0.057
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05836
  • SD
    0.29556
  • Sharpe ratio (Glass type estimate)
    0.19744
  • Sharpe ratio (Hedges UMVUE)
    0.19584
  • df
    93.00000
  • t
    0.55260
  • p
    0.29093
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50392
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89778
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50501
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89669
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.31840
  • Upside Potential Ratio
    1.64910
  • Upside part of mean
    0.30224
  • Downside part of mean
    -0.24389
  • Upside SD
    0.23048
  • Downside SD
    0.18328
  • N nonnegative terms
    29.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    94.00000
  • Mean of predictor
    0.15392
  • Mean of criterion
    0.05836
  • SD of predictor
    0.17877
  • SD of criterion
    0.29556
  • Covariance
    -0.00373
  • r
    -0.07057
  • b (slope, estimate of beta)
    -0.11668
  • a (intercept, estimate of alpha)
    0.07631
  • Mean Square Error
    0.08786
  • DF error
    92.00000
  • t(b)
    -0.67858
  • p(b)
    0.75045
  • t(a)
    0.69907
  • p(a)
    0.24314
  • Lowerbound of 95% confidence interval for beta
    -0.45817
  • Upperbound of 95% confidence interval for beta
    0.22481
  • Lowerbound of 95% confidence interval for alpha
    -0.14050
  • Upperbound of 95% confidence interval for alpha
    0.29313
  • Treynor index (mean / b)
    -0.50015
  • Jensen alpha (a)
    0.07631
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01573
  • SD
    0.29315
  • Sharpe ratio (Glass type estimate)
    0.05365
  • Sharpe ratio (Hedges UMVUE)
    0.05321
  • df
    93.00000
  • t
    0.15015
  • p
    0.44049
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64681
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.75383
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64711
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75354
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07695
  • Upside Potential Ratio
    1.36237
  • Upside part of mean
    0.27842
  • Downside part of mean
    -0.26269
  • Upside SD
    0.20804
  • Downside SD
    0.20436
  • N nonnegative terms
    29.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    94.00000
  • Mean of predictor
    0.13718
  • Mean of criterion
    0.01573
  • SD of predictor
    0.17696
  • SD of criterion
    0.29315
  • Covariance
    -0.00301
  • r
    -0.05804
  • b (slope, estimate of beta)
    -0.09615
  • a (intercept, estimate of alpha)
    0.02892
  • Mean Square Error
    0.08658
  • DF error
    92.00000
  • t(b)
    -0.55768
  • p(b)
    0.71079
  • t(a)
    0.26834
  • p(a)
    0.39452
  • Lowerbound of 95% confidence interval for beta
    -0.43859
  • Upperbound of 95% confidence interval for beta
    0.24628
  • Lowerbound of 95% confidence interval for alpha
    -0.18510
  • Upperbound of 95% confidence interval for alpha
    0.24294
  • Treynor index (mean / b)
    -0.16356
  • Jensen alpha (a)
    0.02892
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12880
  • Expected Shortfall on VaR
    0.15866
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05659
  • Expected Shortfall on VaR
    0.11680
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    94.00000
  • Minimum
    0.72109
  • Quartile 1
    0.99411
  • Median
    1.00000
  • Quartile 3
    1.00519
  • Maximum
    1.33412
  • Mean of quarter 1
    0.92788
  • Mean of quarter 2
    0.99858
  • Mean of quarter 3
    1.00093
  • Mean of quarter 4
    1.10075
  • Inter Quartile Range
    0.01108
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.18085
  • Mean of outliers low
    0.90158
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.18085
  • Mean of outliers high
    1.13678
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.96322
  • VaR(95%) (moments method)
    0.05054
  • Expected Shortfall (moments method)
    1.53999
  • Extreme Value Index (regression method)
    0.54150
  • VaR(95%) (regression method)
    0.05235
  • Expected Shortfall (regression method)
    0.14611
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00322
  • Quartile 1
    0.03622
  • Median
    0.05144
  • Quartile 3
    0.20457
  • Maximum
    0.45176
  • Mean of quarter 1
    0.01789
  • Mean of quarter 2
    0.04720
  • Mean of quarter 3
    0.05567
  • Mean of quarter 4
    0.35298
  • Inter Quartile Range
    0.16835
  • 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)
    0.05202
  • Compounded annual return (geometric extrapolation)
    0.04460
  • Calmar ratio (compounded annual return / max draw down)
    0.09872
  • Compounded annual return / average of 25% largest draw downs
    0.12635
  • Compounded annual return / Expected Shortfall lognormal
    0.28110
  • 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
    0.09798
  • SD
    0.39733
  • Sharpe ratio (Glass type estimate)
    0.24659
  • Sharpe ratio (Hedges UMVUE)
    0.24650
  • df
    2057.00000
  • t
    0.69112
  • p
    0.24479
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.94594
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45286
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94586
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.35511
  • Upside Potential Ratio
    4.76713
  • Upside part of mean
    1.31531
  • Downside part of mean
    -1.21733
  • Upside SD
    0.28584
  • Downside SD
    0.27591
  • N nonnegative terms
    682.00000
  • N negative terms
    1376.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2058.00000
  • Mean of predictor
    0.16949
  • Mean of criterion
    0.09798
  • SD of predictor
    0.20986
  • SD of criterion
    0.39733
  • Covariance
    0.00459
  • r
    0.05510
  • b (slope, estimate of beta)
    0.10432
  • a (intercept, estimate of alpha)
    0.08000
  • Mean Square Error
    0.15747
  • DF error
    2056.00000
  • t(b)
    2.50201
  • p(b)
    0.00621
  • t(a)
    0.56642
  • p(a)
    0.28558
  • Lowerbound of 95% confidence interval for beta
    0.02255
  • Upperbound of 95% confidence interval for beta
    0.18608
  • Lowerbound of 95% confidence interval for alpha
    -0.19772
  • Upperbound of 95% confidence interval for alpha
    0.35832
  • Treynor index (mean / b)
    0.93926
  • Jensen alpha (a)
    0.08030
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01561
  • SD
    0.41218
  • Sharpe ratio (Glass type estimate)
    0.03786
  • Sharpe ratio (Hedges UMVUE)
    0.03785
  • df
    2057.00000
  • t
    0.10612
  • p
    0.45775
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66146
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.73718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66147
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73717
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05030
  • Upside Potential Ratio
    4.11583
  • Upside part of mean
    1.27711
  • Downside part of mean
    -1.26150
  • Upside SD
    0.27117
  • Downside SD
    0.31029
  • N nonnegative terms
    682.00000
  • N negative terms
    1376.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2058.00000
  • Mean of predictor
    0.14691
  • Mean of criterion
    0.01561
  • SD of predictor
    0.21361
  • SD of criterion
    0.41218
  • Covariance
    0.00570
  • r
    0.06472
  • b (slope, estimate of beta)
    0.12489
  • a (intercept, estimate of alpha)
    -0.00274
  • Mean Square Error
    0.16926
  • DF error
    2056.00000
  • t(b)
    2.94084
  • p(b)
    0.00165
  • t(a)
    -0.01865
  • p(a)
    0.50744
  • Lowerbound of 95% confidence interval for beta
    0.04161
  • Upperbound of 95% confidence interval for beta
    0.20817
  • Lowerbound of 95% confidence interval for alpha
    -0.29088
  • Upperbound of 95% confidence interval for alpha
    0.28540
  • Treynor index (mean / b)
    0.12496
  • Jensen alpha (a)
    -0.00274
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04096
  • Expected Shortfall on VaR
    0.05107
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01253
  • Expected Shortfall on VaR
    0.02784
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2058.00000
  • Minimum
    0.58274
  • Quartile 1
    0.99913
  • Median
    1.00000
  • Quartile 3
    1.00066
  • Maximum
    1.22899
  • Mean of quarter 1
    0.98190
  • Mean of quarter 2
    0.99982
  • Mean of quarter 3
    1.00012
  • Mean of quarter 4
    1.02009
  • Inter Quartile Range
    0.00153
  • Number outliers low
    391.00000
  • Percentage of outliers low
    0.18999
  • Mean of outliers low
    0.97671
  • Number of outliers high
    381.00000
  • Percentage of outliers high
    0.18513
  • Mean of outliers high
    1.02665
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.88351
  • VaR(95%) (moments method)
    0.00877
  • Expected Shortfall (moments method)
    0.08719
  • Extreme Value Index (regression method)
    0.39686
  • VaR(95%) (regression method)
    0.01415
  • Expected Shortfall (regression method)
    0.03275
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00291
  • Quartile 1
    0.02158
  • Median
    0.09883
  • Quartile 3
    0.17256
  • Maximum
    0.57412
  • Mean of quarter 1
    0.00970
  • Mean of quarter 2
    0.06739
  • Mean of quarter 3
    0.11870
  • Mean of quarter 4
    0.39897
  • Inter Quartile Range
    0.15098
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.21429
  • Mean of outliers high
    0.46991
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -17.21060
  • VaR(95%) (moments method)
    0.36624
  • Expected Shortfall (moments method)
    0.36624
  • Extreme Value Index (regression method)
    -0.44616
  • VaR(95%) (regression method)
    0.26929
  • Expected Shortfall (regression method)
    0.29240
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05187
  • Compounded annual return (geometric extrapolation)
    0.04447
  • Calmar ratio (compounded annual return / max draw down)
    0.07746
  • Compounded annual return / average of 25% largest draw downs
    0.11147
  • Compounded annual return / Expected Shortfall lognormal
    0.87081
  • 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
    0.65669
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38205
  • 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
    0.58280
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38489
  • 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)
    -6836530000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.04100
  • 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)
    99148199999999994864788253442048.00000
  • 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?
    -353651000
  • Max Equity Drawdown (num days)
    234
  • 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

Note: Price is to prevent new subscribers until system stabilizes (while remaining visible to the public).
Futures Trader Daily Mini is a scaled down version of Futures Trader Daily. See the Futures Trader Daily system for more information.
http://www.collective2.com/cgi-perl/system52737021

The only difference between this system and Futures Trader Daily is that this system (Futures Trader Daily Mini) is designed to be traded with a $50,000 initial account size, while Futures Trader Daily is designed to be traded with a $100,000 initial account size.

Please read all forum postings on the Futures Trader Daily forum before subscribing.

Summary Statistics

Strategy began
2010-12-19
Suggested Minimum Capital
$60,000
# Trades
1182
# Profitable
519
% Profitable
43.9%
Correlation S&P500
-0.041
Sharpe Ratio
0.19
Sortino Ratio
0.29
Beta
-0.07
Alpha
0.02

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.