Collective2 Collective2
Featured Strategy Algo V Day Trading Followed by live capital $6,800 Hypothetical

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z-Trader Short-Term
(56274973)

Created by: z-_trader z-_trader
Started: 12/2010
Futures
Last trade: 4,616 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. Subscriptions to this system cost $75.00 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.

-5.9%
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.

(64.5%)
Max Drawdown
98
Num Trades
42.9%
Win Trades
0.8 : 1
Profit Factor
3.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                                             (0.7%)(0.7%)
2011(0.8%)+10.1%(10.9%)+8.5%(15.7%)(6.5%)(3.5%)(19%)+27.1%(6.8%)(6.4%)+3.6%(25.4%)
2012+4.0%(34.5%)(14.8%)  -    -    -    -    -    -    -    -    -  (41.9%)
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  -    -    -    -    -    -    -    -    -    -              

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 156 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4898 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
11/30/11 11:03 @JEH2 E-MINI JAPANESE YEN LONG 1 0.012900 3/19/12 9:00 0.012025 54.02%
Trade id #68446701
Max drawdown($6,331)
Time3/15/12 0:31
Quant open1
Worst price0.011887
Drawdown as % of equity-54.02%
 ($5,477)
Includes Typical Broker Commissions trade costs of $8.00
10/31/11 10:54 @ESZ1 E-MINI S&P 500 SHORT 1 1265.75 11/8 14:30 1270.25 1.22%
Trade id #67433289
Max drawdown($225)
Time11/8/11 14:30
Quant open0
Worst price1270.25
Drawdown as % of equity-1.22%
 ($233)
Includes Typical Broker Commissions trade costs of $8.00
10/27/11 14:56 @ESZ1 E-MINI S&P 500 LONG 1 1282.25 10/31 0:13 1270.00 3.3%
Trade id #67294734
Max drawdown($613)
Time10/31/11 0:13
Quant open0
Worst price1270.00
Drawdown as % of equity-3.30%
 ($621)
Includes Typical Broker Commissions trade costs of $8.00
10/25/11 7:55 @QMZ1 MINY CRUDE OIL LONG 1 94.225 10/26 11:41 91.150 8.46%
Trade id #67163577
Max drawdown($1,750)
Time10/26/11 10:59
Quant open1
Worst price90.725
Drawdown as % of equity-8.46%
 ($1,546)
Includes Typical Broker Commissions trade costs of $8.00
10/21/11 11:01 @ESZ1 E-MINI S&P 500 LONG 1 1232.50 10/25 9:50 1237.25 2.64%
Trade id #67060972
Max drawdown($537)
Time10/21/11 13:44
Quant open1
Worst price1221.75
Drawdown as % of equity-2.64%
 $230
Includes Typical Broker Commissions trade costs of $8.00
10/19/11 14:55 @ESZ1 E-MINI S&P 500 SHORT 1 1207.50 10/20 14:54 1215.25 2.14%
Trade id #66985219
Max drawdown($437)
Time10/20/11 5:31
Quant open-1
Worst price1216.25
Drawdown as % of equity-2.14%
 ($396)
Includes Typical Broker Commissions trade costs of $8.00
10/18/11 14:57 @ESZ1 E-MINI S&P 500 LONG 1 1211.00 10/19 14:26 1207.75 0.77%
Trade id #66930726
Max drawdown($163)
Time10/19/11 14:26
Quant open0
Worst price1207.75
Drawdown as % of equity-0.77%
 ($171)
Includes Typical Broker Commissions trade costs of $8.00
10/17/11 10:39 @ESZ1 E-MINI S&P 500 SHORT 1 1206.75 10/18 10:48 1201.50 0.5%
Trade id #66869012
Max drawdown($100)
Time10/17/11 11:35
Quant open-1
Worst price1208.75
Drawdown as % of equity-0.50%
 $255
Includes Typical Broker Commissions trade costs of $8.00
10/13/11 10:17 @ESZ1 E-MINI S&P 500 SHORT 1 1188.75 10/13 15:10 1201.75 3.31%
Trade id #66738754
Max drawdown($700)
Time10/13/11 15:07
Quant open-1
Worst price1202.75
Drawdown as % of equity-3.31%
 ($658)
Includes Typical Broker Commissions trade costs of $8.00
10/11/11 21:19 @CZ1 CORN SHORT 1 644 3/4 10/13 13:38 638 1/4 2.41%
Trade id #66674412
Max drawdown($512)
Time10/12/11 3:16
Quant open-1
Worst price655
Drawdown as % of equity-2.41%
 $317
Includes Typical Broker Commissions trade costs of $8.00
10/12/11 14:19 @ESZ1 E-MINI S&P 500 LONG 1 1212.25 10/13 9:38 1191.75 5.28%
Trade id #66705189
Max drawdown($1,112)
Time10/13/11 8:13
Quant open1
Worst price1190.00
Drawdown as % of equity-5.28%
 ($1,033)
Includes Typical Broker Commissions trade costs of $8.00
10/11/11 14:35 @ESZ1 E-MINI S&P 500 LONG 1 1189.00 10/11 21:07 1182.25 1.6%
Trade id #66665731
Max drawdown($350)
Time10/11/11 21:06
Quant open1
Worst price1182.00
Drawdown as % of equity-1.60%
 ($346)
Includes Typical Broker Commissions trade costs of $8.00
10/10/11 14:10 @ESZ1 E-MINI S&P 500 LONG 1 1182.25 10/10 23:15 1186.75 1.27%
Trade id #66617378
Max drawdown($275)
Time10/10/11 15:25
Quant open1
Worst price1176.75
Drawdown as % of equity-1.27%
 $217
Includes Typical Broker Commissions trade costs of $8.00
10/5/11 10:48 @ESZ1 E-MINI S&P 500 LONG 1 1122.00 10/7 11:15 1155.00 1.07%
Trade id #66454987
Max drawdown($212)
Time10/5/11 12:46
Quant open1
Worst price1117.75
Drawdown as % of equity-1.07%
 $1,642
Includes Typical Broker Commissions trade costs of $8.00
10/3/11 14:22 @ESZ1 E-MINI S&P 500 SHORT 1 1101.75 10/4 11:08 1090.50 1.29%
Trade id #66359722
Max drawdown($250)
Time10/3/11 15:49
Quant open-1
Worst price1106.75
Drawdown as % of equity-1.29%
 $555
Includes Typical Broker Commissions trade costs of $8.00
9/29/11 15:16 @ESZ1 E-MINI S&P 500 SHORT 1 1138.75 9/29 15:37 1146.75 1.99%
Trade id #66260644
Max drawdown($412)
Time9/29/11 15:37
Quant open-1
Worst price1147.00
Drawdown as % of equity-1.99%
 ($408)
Includes Typical Broker Commissions trade costs of $8.00
9/29/11 13:08 @ESZ1 E-MINI S&P 500 LONG 1 1156.75 9/29 14:15 1137.50 5.12%
Trade id #66255984
Max drawdown($1,062)
Time9/29/11 14:15
Quant open1
Worst price1135.50
Drawdown as % of equity-5.12%
 ($971)
Includes Typical Broker Commissions trade costs of $8.00
9/22/11 15:41 @ESZ1 E-MINI S&P 500 SHORT 1 1116.25 9/27 6:57 1173.50 13.76%
Trade id #66003517
Max drawdown($2,912)
Time9/27/11 6:22
Quant open-1
Worst price1174.50
Drawdown as % of equity-13.76%
 ($2,871)
Includes Typical Broker Commissions trade costs of $8.00
9/22/11 12:52 @ESZ1 E-MINI S&P 500 SHORT 1 1126.75 9/22 14:06 1113.75 0.33%
Trade id #65993955
Max drawdown($75)
Time9/22/11 12:57
Quant open-1
Worst price1128.25
Drawdown as % of equity-0.33%
 $642
Includes Typical Broker Commissions trade costs of $8.00
9/21/11 10:28 @ESZ1 E-MINI S&P 500 SHORT 1 1193.75 9/22 10:04 1125.75 0.7%
Trade id #65929597
Max drawdown($137)
Time9/21/11 14:24
Quant open-1
Worst price1196.50
Drawdown as % of equity-0.70%
 $3,392
Includes Typical Broker Commissions trade costs of $8.00
9/20/11 11:47 @ESZ1 E-MINI S&P 500 LONG 1 1212.00 9/20 15:47 1196.00 4.03%
Trade id #65885433
Max drawdown($800)
Time9/20/11 15:47
Quant open1
Worst price1196.00
Drawdown as % of equity-4.03%
 ($808)
Includes Typical Broker Commissions trade costs of $8.00
9/14/11 13:57 @YGZ1 Mini Gold NYSE Liffe LONG 1 1824.2 9/20 12:31 1809.2 10.24%
Trade id #65695946
Max drawdown($1,948)
Time9/15/11 23:13
Quant open1
Worst price1765.5
Drawdown as % of equity-10.24%
 ($506)
Includes Typical Broker Commissions trade costs of $8.00
9/15/11 15:35 @ESZ1 E-MINI S&P 500 LONG 1 1200.50 9/16 16:01 1209.75 1.54%
Trade id #65742516
Max drawdown($287)
Time9/16/11 4:31
Quant open1
Worst price1194.75
Drawdown as % of equity-1.54%
 $455
Includes Typical Broker Commissions trade costs of $8.00
9/14/11 15:32 @ESZ1 E-MINI S&P 500 SHORT 1 1194.50 9/14 15:50 1186.25 0.44%
Trade id #65701153
Max drawdown($87)
Time9/14/11 15:34
Quant open-1
Worst price1196.25
Drawdown as % of equity-0.44%
 $405
Includes Typical Broker Commissions trade costs of $8.00
9/12/11 13:49 @ESZ1 E-MINI S&P 500 LONG 1 1134.25 9/14 13:55 1179.50 1.55%
Trade id #65602774
Max drawdown($275)
Time9/12/11 14:14
Quant open1
Worst price1128.75
Drawdown as % of equity-1.55%
 $2,255
Includes Typical Broker Commissions trade costs of $8.00
9/7/11 10:36 @ESZ1 E-MINI S&P 500 LONG 1 1176.25 9/8 15:12 1177.00 0.21%
Trade id #65429797
Max drawdown($37)
Time9/7/11 10:52
Quant open1
Worst price1175.50
Drawdown as % of equity-0.21%
 $30
Includes Typical Broker Commissions trade costs of $8.00
9/1/11 13:33 @ESU1 E-MINI S&P 500 SHORT 1 1212.75 9/2 14:30 1171.50 0.4%
Trade id #65263650
Max drawdown($62)
Time9/1/11 13:35
Quant open-1
Worst price1214.00
Drawdown as % of equity-0.40%
 $2,055
Includes Typical Broker Commissions trade costs of $8.00
8/31/11 11:06 @ESU1 E-MINI S&P 500 LONG 1 1222.50 8/31 14:30 1217.50 2.47%
Trade id #65212540
Max drawdown($387)
Time8/31/11 14:15
Quant open1
Worst price1214.75
Drawdown as % of equity-2.47%
 ($258)
Includes Typical Broker Commissions trade costs of $8.00
8/26/11 12:54 @ESU1 E-MINI S&P 500 LONG 2 1171.00 8/29 10:33 1184.50 3.24%
Trade id #65063149
Max drawdown($475)
Time8/26/11 15:26
Quant open2
Worst price1166.25
Drawdown as % of equity-3.24%
 $1,334
Includes Typical Broker Commissions trade costs of $16.00
8/23/11 15:37 @ESU1 E-MINI S&P 500 LONG 1 1153.75 8/25 10:27 1164.75 4.09%
Trade id #64939924
Max drawdown($562)
Time8/24/11 3:21
Quant open1
Worst price1142.50
Drawdown as % of equity-4.09%
 $542
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    12/29/2010
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    5051.01
  • Age
    169 months ago
  • What it trades
    Futures
  • # Trades
    98
  • # Profitable
    42
  • % Profitable
    42.90%
  • Avg trade duration
    2.4 days
  • Max peak-to-valley drawdown
    64.49%
  • drawdown period
    March 01, 2011 - March 15, 2012
  • Annual Return (Compounded)
    -5.9%
  • Avg win
    $735.95
  • Avg loss
    $690.52
  • Model Account Values (Raw)
  • Cash
    $12,245
  • Margin Used
    $0
  • Buying Power
    $12,245
  • Ratios
  • W:L ratio
    0.80:1
  • Sharpe Ratio
    -0.4
  • Sortino Ratio
    -0.54
  • Calmar Ratio
    -0.194
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -418.07%
  • Correlation to SP500
    -0.03200
  • Return Percent SP500 (cumu) during strategy life
    370.64%
  • Return Statistics
  • Ann Return (w trading costs)
    -5.9%
  • Slump
  • Current Slump as Pcnt Equity
    155.40%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.059%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -3.5%
  • 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
    $691
  • Avg Win
    $736
  • Sum Trade PL (losers)
    $38,669.000
  • Age
  • Num Months filled monthly returns table
    167
  • Win / Loss
  • Sum Trade PL (winners)
    $30,910.000
  • # Winners
    42
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    56
  • % Winners
    42.9%
  • Frequency
  • Avg Position Time (mins)
    3444.48
  • Avg Position Time (hrs)
    57.41
  • Avg Trade Length
    2.4 days
  • Last Trade Ago
    4605
  • Regression
  • Alpha
    -0.02
  • Beta
    -0.03
  • Treynor Index
    0.67
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    30.85
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    29.88
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.54
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -7.237
  • 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
    0.10
  • Avg(MAE) / Avg(PL) - Winning trades
    0.310
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.205
  • Hold-and-Hope Ratio
    -0.138
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10792
  • SD
    0.19918
  • Sharpe ratio (Glass type estimate)
    -0.54181
  • Sharpe ratio (Hedges UMVUE)
    -0.53396
  • df
    52.00000
  • t
    -1.13866
  • p
    0.86997
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47765
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.39914
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47220
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40428
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.63187
  • Upside Potential Ratio
    0.48599
  • Upside part of mean
    0.08300
  • Downside part of mean
    -0.19092
  • Upside SD
    0.10357
  • Downside SD
    0.17079
  • N nonnegative terms
    6.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.30897
  • Mean of criterion
    -0.10792
  • SD of predictor
    0.21351
  • SD of criterion
    0.19918
  • Covariance
    -0.00475
  • r
    -0.11161
  • b (slope, estimate of beta)
    -0.10412
  • a (intercept, estimate of alpha)
    -0.07575
  • Mean Square Error
    0.03995
  • DF error
    51.00000
  • t(b)
    -0.80209
  • p(b)
    0.78689
  • t(a)
    -0.73389
  • p(a)
    0.76681
  • Lowerbound of 95% confidence interval for beta
    -0.36473
  • Upperbound of 95% confidence interval for beta
    0.15649
  • Lowerbound of 95% confidence interval for alpha
    -0.28296
  • Upperbound of 95% confidence interval for alpha
    0.13146
  • Treynor index (mean / b)
    1.03647
  • Jensen alpha (a)
    -0.07575
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12995
  • SD
    0.21688
  • Sharpe ratio (Glass type estimate)
    -0.59917
  • Sharpe ratio (Hedges UMVUE)
    -0.59049
  • df
    52.00000
  • t
    -1.25921
  • p
    0.89321
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53600
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.34332
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52998
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34901
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.66232
  • Upside Potential Ratio
    0.39769
  • Upside part of mean
    0.07802
  • Downside part of mean
    -0.20797
  • Upside SD
    0.09519
  • Downside SD
    0.19620
  • N nonnegative terms
    6.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.28306
  • Mean of criterion
    -0.12995
  • SD of predictor
    0.20881
  • SD of criterion
    0.21688
  • Covariance
    -0.00452
  • r
    -0.09975
  • b (slope, estimate of beta)
    -0.10361
  • a (intercept, estimate of alpha)
    -0.10062
  • Mean Square Error
    0.04748
  • DF error
    51.00000
  • t(b)
    -0.71595
  • p(b)
    0.76136
  • t(a)
    -0.90256
  • p(a)
    0.81450
  • Lowerbound of 95% confidence interval for beta
    -0.39413
  • Upperbound of 95% confidence interval for beta
    0.18691
  • Lowerbound of 95% confidence interval for alpha
    -0.32443
  • Upperbound of 95% confidence interval for alpha
    0.12319
  • Treynor index (mean / b)
    1.25423
  • Jensen alpha (a)
    -0.10062
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10757
  • Expected Shortfall on VaR
    0.13038
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05151
  • Expected Shortfall on VaR
    0.10820
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    53.00000
  • Minimum
    0.69977
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.20346
  • Mean of quarter 1
    0.94759
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02927
  • Inter Quartile Range
    0.00000
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.16981
  • Mean of outliers low
    0.91847
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.11321
  • Mean of outliers high
    1.06343
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -16.59150
  • VaR(95%) (moments method)
    0.00065
  • Expected Shortfall (moments method)
    0.00065
  • Extreme Value Index (regression method)
    0.08956
  • VaR(95%) (regression method)
    0.08228
  • Expected Shortfall (regression method)
    0.16139
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00905
  • Quartile 1
    0.11684
  • Median
    0.22463
  • Quartile 3
    0.33242
  • Maximum
    0.44021
  • Mean of quarter 1
    0.00905
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.44021
  • Inter Quartile Range
    0.21558
  • 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)
    -0.08214
  • Compounded annual return (geometric extrapolation)
    -0.09700
  • Calmar ratio (compounded annual return / max draw down)
    -0.22036
  • Compounded annual return / average of 25% largest draw downs
    -0.22036
  • Compounded annual return / Expected Shortfall lognormal
    -0.74401
  • 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
    -0.08944
  • SD
    0.27833
  • Sharpe ratio (Glass type estimate)
    -0.32134
  • Sharpe ratio (Hedges UMVUE)
    -0.32114
  • df
    1175.00000
  • t
    -0.68080
  • p
    0.51264
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24649
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.60392
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60407
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.44514
  • Upside Potential Ratio
    3.73642
  • Upside part of mean
    0.75074
  • Downside part of mean
    -0.84018
  • Upside SD
    0.19251
  • Downside SD
    0.20093
  • N nonnegative terms
    125.00000
  • N negative terms
    1051.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1176.00000
  • Mean of predictor
    0.35692
  • Mean of criterion
    -0.08944
  • SD of predictor
    0.30722
  • SD of criterion
    0.27833
  • Covariance
    0.00791
  • r
    0.09247
  • b (slope, estimate of beta)
    0.08378
  • a (intercept, estimate of alpha)
    -0.11900
  • Mean Square Error
    0.07687
  • DF error
    1174.00000
  • t(b)
    3.18205
  • p(b)
    0.45376
  • t(a)
    -0.90958
  • p(a)
    0.51327
  • Lowerbound of 95% confidence interval for beta
    0.03212
  • Upperbound of 95% confidence interval for beta
    0.13543
  • Lowerbound of 95% confidence interval for alpha
    -0.37676
  • Upperbound of 95% confidence interval for alpha
    0.13808
  • Treynor index (mean / b)
    -1.06761
  • Jensen alpha (a)
    -0.11934
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12831
  • SD
    0.27931
  • Sharpe ratio (Glass type estimate)
    -0.45938
  • Sharpe ratio (Hedges UMVUE)
    -0.45908
  • df
    1175.00000
  • t
    -0.97325
  • p
    0.51807
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38460
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.46600
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.38438
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46621
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.61593
  • Upside Potential Ratio
    3.51841
  • Upside part of mean
    0.73296
  • Downside part of mean
    -0.86127
  • Upside SD
    0.18605
  • Downside SD
    0.20832
  • N nonnegative terms
    125.00000
  • N negative terms
    1051.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1176.00000
  • Mean of predictor
    0.31041
  • Mean of criterion
    -0.12831
  • SD of predictor
    0.30324
  • SD of criterion
    0.27931
  • Covariance
    0.00799
  • r
    0.09439
  • b (slope, estimate of beta)
    0.08694
  • a (intercept, estimate of alpha)
    -0.15530
  • Mean Square Error
    0.07739
  • DF error
    1174.00000
  • t(b)
    3.24853
  • p(b)
    0.45281
  • t(a)
    -1.18036
  • p(a)
    0.51721
  • Lowerbound of 95% confidence interval for beta
    0.03443
  • Upperbound of 95% confidence interval for beta
    0.13945
  • Lowerbound of 95% confidence interval for alpha
    -0.41343
  • Upperbound of 95% confidence interval for alpha
    0.10284
  • Treynor index (mean / b)
    -1.47587
  • Jensen alpha (a)
    -0.15530
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02846
  • Expected Shortfall on VaR
    0.03542
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01041
  • Expected Shortfall on VaR
    0.02264
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1176.00000
  • Minimum
    0.88300
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.12709
  • Mean of quarter 1
    0.98755
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01151
  • Inter Quartile Range
    0.00000
  • Number outliers low
    140.00000
  • Percentage of outliers low
    0.11905
  • Mean of outliers low
    0.97386
  • Number of outliers high
    125.00000
  • Percentage of outliers high
    0.10629
  • Mean of outliers high
    1.02706
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.03919
  • VaR(95%) (moments method)
    0.00264
  • Expected Shortfall (moments method)
    0.00296
  • 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
    9.00000
  • Minimum
    0.01922
  • Quartile 1
    0.03840
  • Median
    0.05467
  • Quartile 3
    0.10115
  • Maximum
    0.49212
  • Mean of quarter 1
    0.02939
  • Mean of quarter 2
    0.05092
  • Mean of quarter 3
    0.09640
  • Mean of quarter 4
    0.43621
  • Inter Quartile Range
    0.06275
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.43621
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -61.60170
  • VaR(95%) (moments method)
    0.25054
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.31967
  • VaR(95%) (regression method)
    0.70794
  • Expected Shortfall (regression method)
    0.71469
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.08083
  • Compounded annual return (geometric extrapolation)
    -0.09553
  • Calmar ratio (compounded annual return / max draw down)
    -0.19412
  • Compounded annual return / average of 25% largest draw downs
    -0.21900
  • Compounded annual return / Expected Shortfall lognormal
    -2.69692
  • 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
    0.69575
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40470
  • 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
    0.61251
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40898
  • 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)
    -6837180000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02800
  • 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)
    -131006000000000002040366358331392.00000
  • 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?
    -349015000
  • Max Equity Drawdown (num days)
    380
  • 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

Applies similar methodology as the fully-diversified zFutures program -- to more liquid markets, such as the E-Mini S&P, energy & financials. Diversified in terms of both time frame and trading methodologies. Approach has produced good results in historical testing, blind-tests, bootstrapping, and live trading. Applies Computer Aided Research and Technology (CARAT) developed by Carlton Chin.

Uses a combination of quantitative, technical, and market-timing methods to trade the more liquid and volatile markets. These markets allow the application of shorter-term time horizons, trading strategies, and research.

Some additional information on the indicators may be found at: http://z-trader.blogspot.com/

Summary Statistics

Strategy began
2010-12-29
Suggested Minimum Capital
$25,000
# Trades
98
# Profitable
42
% Profitable
42.9%
Correlation S&P500
-0.032
Sharpe Ratio
-0.40
Sortino Ratio
-0.54
Beta
-0.03
Alpha
-0.02

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.