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

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zFutures Div-Sectors Mini
(56282350)

Created by: z-_trader z-_trader
Started: 12/2010
Futures
Last trade: 4,729 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 $125.00 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.

-8.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(80.7%)
Max Drawdown
95
Num Trades
48.4%
Win Trades
0.7 : 1
Profit Factor
1.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                                             +3.4%+3.4%
2011(10.4%)+4.2%(6.1%)+11.8%(3.1%)(8.6%)(10.5%)(15.1%)(21.1%)(12.7%)(34.6%)(2.1%)(71%)
2012(1.7%)  -    -    -    -    -    -    -    -    -    -    -  (1.7%)
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.

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

Trading Record

This strategy has placed 34 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4974 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/30/11 11:02 @JEH2 E-MINI JAPANESE YEN LONG 1 0.012900 1/11/12 6:55 0.013000 0%
Trade id #68446612
Max drawdown$0
Time1/6/12 8:33
Quant open1
Worst price0.012900
Drawdown as % of equity0.00%
 $617
Includes Typical Broker Commissions trade costs of $8.00
11/30/11 11:02 @FVH2 US T-NOTE 5 YR LONG 1 122 32/64 1/11/12 6:54 123 18/64 1.91%
Trade id #68446630
Max drawdown($234)
Time12/2/11 8:31
Quant open1
Worst price122 17/64
Drawdown as % of equity-1.91%
 $773
Includes Typical Broker Commissions trade costs of $8.00
12/2/11 10:49 @YGG2 Mini Gold NYSE Liffe LONG 1 1753.0 12/8 14:46 1710.8 16.12%
Trade id #68575017
Max drawdown($1,560)
Time12/6/11 10:11
Quant open1
Worst price1706.0
Drawdown as % of equity-16.12%
 ($1,409)
Includes Typical Broker Commissions trade costs of $8.00
10/31/11 13:12 @QGF2 MINY NATURAL GAS SHORT 1 4.025 11/17 10:41 3.600 0.67%
Trade id #67439025
Max drawdown($112)
Time11/1/11 0:21
Quant open-1
Worst price4.070
Drawdown as % of equity-0.67%
 $1,055
Includes Typical Broker Commissions trade costs of $8.00
11/10/11 7:16 @LEG2 LIVE CATTLE LONG 1 124.925 11/15 8:02 122.325 9.1%
Trade id #67806551
Max drawdown($1,120)
Time11/14/11 12:39
Quant open1
Worst price122.125
Drawdown as % of equity-9.10%
 ($1,048)
Includes Typical Broker Commissions trade costs of $8.00
10/27/11 8:04 @OJF2 Orange Juice LONG 1 177.60 10/31 12:12 169.00 10.08%
Trade id #67276012
Max drawdown($1,702)
Time10/31/11 8:15
Quant open1
Worst price166.25
Drawdown as % of equity-10.08%
 ($1,298)
Includes Typical Broker Commissions trade costs of $8.00
10/28/11 8:50 @YGZ1 Mini Gold NYSE Liffe LONG 1 1738.9 10/31 0:06 1715.8 6.09%
Trade id #67316009
Max drawdown($1,029)
Time10/30/11 22:51
Quant open1
Worst price1707.9
Drawdown as % of equity-6.09%
 ($775)
Includes Typical Broker Commissions trade costs of $8.00
10/4/11 11:53 @JEZ1 E-MINI JAPANESE YEN LONG 2 0.013038 10/31 0:00 0.012786 18.68%
Trade id #66404588
Max drawdown($3,156)
Time10/31/11 0:00
Quant open1
Worst price0.012633
Drawdown as % of equity-18.68%
 ($3,172)
Includes Typical Broker Commissions trade costs of $16.00
10/13/11 11:47 @FVZ1 US T-NOTE 5 YR LONG 1 121 63/64 10/28 11:01 121 63/64 2.25%
Trade id #66743194
Max drawdown($405)
Time10/27/11 14:05
Quant open1
Worst price121 37/64
Drawdown as % of equity-2.25%
 ($8)
Includes Typical Broker Commissions trade costs of $8.00
10/21/11 10:40 @SMZ1 SOYBEAN MEAL SHORT 1 323.5 10/27 12:42 324.1 0.5%
Trade id #67060420
Max drawdown($90)
Time10/27/11 12:35
Quant open-1
Worst price324.4
Drawdown as % of equity-0.50%
 ($68)
Includes Typical Broker Commissions trade costs of $8.00
10/20/11 11:24 @YGZ1 Mini Gold NYSE Liffe LONG 1 1612.3 10/21 11:13 1637.4 1.41%
Trade id #67022879
Max drawdown($225)
Time10/20/11 12:51
Quant open1
Worst price1605.5
Drawdown as % of equity-1.41%
 $825
Includes Typical Broker Commissions trade costs of $8.00
10/19/11 10:16 @SBH2 Sugar #11 LONG 1 27.70 10/20 9:05 26.83 10.76%
Trade id #66965907
Max drawdown($1,758)
Time10/20/11 3:33
Quant open1
Worst price26.13
Drawdown as % of equity-10.76%
 ($982)
Includes Typical Broker Commissions trade costs of $8.00
10/13/11 7:55 @CCZ1 COCOA SHORT 1 2658 10/14 13:47 2686 1.75%
Trade id #66725573
Max drawdown($300)
Time10/14/11 8:01
Quant open-1
Worst price2688
Drawdown as % of equity-1.75%
 ($288)
Includes Typical Broker Commissions trade costs of $8.00
10/11/11 21:36 @CZ1 CORN SHORT 1 646 2/4 10/13 13:38 637 3/4 2.46%
Trade id #66674701
Max drawdown($425)
Time10/12/11 3:16
Quant open-1
Worst price655
Drawdown as % of equity-2.46%
 $430
Includes Typical Broker Commissions trade costs of $8.00
10/6/11 11:51 @FVZ1 US T-NOTE 5 YR LONG 1 122 26/64 10/11 10:37 121 41/64 5.68%
Trade id #66508972
Max drawdown($1,031)
Time10/10/11 11:32
Quant open1
Worst price121 24/64
Drawdown as % of equity-5.68%
 ($773)
Includes Typical Broker Commissions trade costs of $8.00
10/6/11 11:42 @LEZ1 LIVE CATTLE LONG 1 122.175 10/10 18:46 120.300 4.25%
Trade id #66508598
Max drawdown($770)
Time10/10/11 14:02
Quant open1
Worst price120.250
Drawdown as % of equity-4.25%
 ($758)
Includes Typical Broker Commissions trade costs of $8.00
10/6/11 8:36 @YGZ1 Mini Gold NYSE Liffe LONG 1 1642.9 10/10 13:08 1671.2 2.79%
Trade id #66495319
Max drawdown($507)
Time10/7/11 13:12
Quant open1
Worst price1627.6
Drawdown as % of equity-2.79%
 $932
Includes Typical Broker Commissions trade costs of $8.00
9/29/11 20:07 @BOZ1 SOYBEAN OIL LONG 1 52.03 10/4 11:38 49.09 9.85%
Trade id #66266180
Max drawdown($1,872)
Time10/4/11 10:48
Quant open1
Worst price48.91
Drawdown as % of equity-9.85%
 ($1,772)
Includes Typical Broker Commissions trade costs of $8.00
9/29/11 13:43 @YGZ1 Mini Gold NYSE Liffe LONG 1 1616.5 10/4 11:12 1627.0 1.41%
Trade id #66257326
Max drawdown($272)
Time9/30/11 11:00
Quant open1
Worst price1608.3
Drawdown as % of equity-1.41%
 $341
Includes Typical Broker Commissions trade costs of $8.00
9/27/11 9:03 @SBH2 Sugar #11 LONG 1 24.69 9/29 13:40 25.91 2.59%
Trade id #66138535
Max drawdown($481)
Time9/28/11 13:29
Quant open1
Worst price24.26
Drawdown as % of equity-2.59%
 $1,358
Includes Typical Broker Commissions trade costs of $8.00
8/24/11 11:47 @FVZ1 US T-NOTE 5 YR LONG 1 122 16/64 9/27 7:01 122 31/64 0.46%
Trade id #64971603
Max drawdown($109)
Time8/29/11 9:03
Quant open1
Worst price122 9/64
Drawdown as % of equity-0.46%
 $226
Includes Typical Broker Commissions trade costs of $8.00
9/26/11 14:38 @ESZ1 E-MINI S&P 500 SHORT 1 1142.50 9/26 15:39 1150.75 2.2%
Trade id #66109042
Max drawdown($413)
Time9/26/11 15:39
Quant open0
Worst price1150.75
Drawdown as % of equity-2.20%
 ($421)
Includes Typical Broker Commissions trade costs of $8.00
9/13/11 11:41 @CZ1 CORN LONG 1 725 2/4 9/22 12:07 662 2/4 16.72%
Trade id #65642457
Max drawdown($3,250)
Time9/22/11 10:32
Quant open1
Worst price660 2/4
Drawdown as % of equity-16.72%
 ($3,158)
Includes Typical Broker Commissions trade costs of $8.00
9/20/11 12:00 @QCZ1 Emini Copper LONG 1 376 9/21 23:19 364 7.82%
Trade id #65886029
Max drawdown($1,600)
Time9/21/11 23:10
Quant open1
Worst price363
Drawdown as % of equity-7.82%
 ($1,558)
Includes Typical Broker Commissions trade costs of $8.00
9/8/11 8:50 @DXZ1 US Dollar Index SHORT 1 76.380 9/21 23:15 78.695 11.32%
Trade id #65466598
Max drawdown($2,315)
Time9/21/11 23:15
Quant open0
Worst price78.695
Drawdown as % of equity-11.32%
 ($2,323)
Includes Typical Broker Commissions trade costs of $8.00
9/12/11 14:45 @YGZ1 Mini Gold NYSE Liffe LONG 1 1812.4 9/20 12:37 1803.5 6.54%
Trade id #65605371
Max drawdown($1,557)
Time9/15/11 23:13
Quant open1
Worst price1765.5
Drawdown as % of equity-6.54%
 ($303)
Includes Typical Broker Commissions trade costs of $8.00
9/16/11 7:17 @SBH2 Sugar #11 LONG 1 27.94 9/19 11:55 26.69 8.52%
Trade id #65761517
Max drawdown($1,971)
Time9/19/11 3:41
Quant open1
Worst price26.18
Drawdown as % of equity-8.52%
 ($1,408)
Includes Typical Broker Commissions trade costs of $8.00
8/17/11 11:08 @QGV1 MINY NATURAL GAS SHORT 1 3.950 9/19 11:06 3.795 1.41%
Trade id #64711949
Max drawdown($350)
Time9/14/11 13:17
Quant open-1
Worst price4.090
Drawdown as % of equity-1.41%
 $380
Includes Typical Broker Commissions trade costs of $8.00
9/12/11 8:44 @QCZ1 Emini Copper LONG 1 392 9/16 9:27 398 1.78%
Trade id #65580214
Max drawdown($450)
Time9/14/11 10:24
Quant open1
Worst price389
Drawdown as % of equity-1.78%
 $717
Includes Typical Broker Commissions trade costs of $8.00
9/6/11 11:28 @SBV1 Sugar #11 LONG 1 28.31 9/9 8:05 29.07 0.26%
Trade id #65384925
Max drawdown($67)
Time9/6/11 13:59
Quant open1
Worst price28.25
Drawdown as % of equity-0.26%
 $843
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    12/29/2010
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    5097.68
  • Age
    170 months ago
  • What it trades
    Futures
  • # Trades
    95
  • # Profitable
    46
  • % Profitable
    48.40%
  • Avg trade duration
    9.7 days
  • Max peak-to-valley drawdown
    80.69%
  • drawdown period
    Dec 31, 2010 - Dec 07, 2011
  • Annual Return (Compounded)
    -8.4%
  • Avg win
    $852.20
  • Avg loss
    $1,162
  • Model Account Values (Raw)
  • Cash
    $12,249
  • Margin Used
    $0
  • Buying Power
    $12,249
  • Ratios
  • W:L ratio
    0.69:1
  • Sharpe Ratio
    -0.43
  • Sortino Ratio
    -0.52
  • Calmar Ratio
    -0.274
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -450.18%
  • Correlation to SP500
    0.05150
  • Return Percent SP500 (cumu) during strategy life
    370.78%
  • Return Statistics
  • Ann Return (w trading costs)
    -8.4%
  • Slump
  • Current Slump as Pcnt Equity
    252.00%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.084%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -6.2%
  • 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)
    100.00%
  • 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)
    340
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,162
  • Avg Win
    $852
  • Sum Trade PL (losers)
    $56,951.000
  • Age
  • Num Months filled monthly returns table
    169
  • Win / Loss
  • Sum Trade PL (winners)
    $39,201.000
  • # Winners
    46
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    49
  • % Winners
    48.4%
  • Frequency
  • Avg Position Time (mins)
    13911.00
  • Avg Position Time (hrs)
    231.85
  • Avg Trade Length
    9.7 days
  • Last Trade Ago
    4720
  • Regression
  • Alpha
    -0.03
  • Beta
    0.06
  • Treynor Index
    -0.43
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    64.09
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    11.75
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.82
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    -4.807
  • 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
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    0.469
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.175
  • Hold-and-Hope Ratio
    -0.207
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16894
  • SD
    0.24120
  • Sharpe ratio (Glass type estimate)
    -0.70041
  • Sharpe ratio (Hedges UMVUE)
    -0.69045
  • df
    53.00000
  • t
    -1.48580
  • p
    0.92837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63066
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.23626
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62369
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24279
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.72751
  • Upside Potential Ratio
    0.29711
  • Upside part of mean
    0.06899
  • Downside part of mean
    -0.23793
  • Upside SD
    0.07453
  • Downside SD
    0.23222
  • N nonnegative terms
    47.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.36782
  • Mean of criterion
    -0.16894
  • SD of predictor
    0.21186
  • SD of criterion
    0.24120
  • Covariance
    0.00491
  • r
    0.09600
  • b (slope, estimate of beta)
    0.10929
  • a (intercept, estimate of alpha)
    -0.20914
  • Mean Square Error
    0.05875
  • DF error
    52.00000
  • t(b)
    0.69547
  • p(b)
    0.24493
  • t(a)
    -1.63327
  • p(a)
    0.94577
  • Lowerbound of 95% confidence interval for beta
    -0.20605
  • Upperbound of 95% confidence interval for beta
    0.42464
  • Lowerbound of 95% confidence interval for alpha
    -0.46609
  • Upperbound of 95% confidence interval for alpha
    0.04781
  • Treynor index (mean / b)
    -1.54572
  • Jensen alpha (a)
    -0.20914
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20484
  • SD
    0.27763
  • Sharpe ratio (Glass type estimate)
    -0.73782
  • Sharpe ratio (Hedges UMVUE)
    -0.72733
  • df
    53.00000
  • t
    -1.56515
  • p
    0.93825
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66895
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.20006
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66158
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20692
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.75282
  • Upside Potential Ratio
    0.24391
  • Upside part of mean
    0.06637
  • Downside part of mean
    -0.27121
  • Upside SD
    0.07149
  • Downside SD
    0.27209
  • N nonnegative terms
    47.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.34164
  • Mean of criterion
    -0.20484
  • SD of predictor
    0.20511
  • SD of criterion
    0.27763
  • Covariance
    0.00538
  • r
    0.09444
  • b (slope, estimate of beta)
    0.12784
  • a (intercept, estimate of alpha)
    -0.24851
  • Mean Square Error
    0.07786
  • DF error
    52.00000
  • t(b)
    0.68410
  • p(b)
    0.24848
  • t(a)
    -1.69968
  • p(a)
    0.95242
  • Lowerbound of 95% confidence interval for beta
    -0.24714
  • Upperbound of 95% confidence interval for beta
    0.50281
  • Lowerbound of 95% confidence interval for alpha
    -0.54191
  • Upperbound of 95% confidence interval for alpha
    0.04488
  • Treynor index (mean / b)
    -1.60238
  • Jensen alpha (a)
    -0.24851
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13834
  • Expected Shortfall on VaR
    0.16636
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01294
  • Expected Shortfall on VaR
    0.04344
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    54.00000
  • Minimum
    0.67734
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10576
  • Mean of quarter 1
    0.92352
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02218
  • Inter Quartile Range
    0.00000
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.12963
  • Mean of outliers low
    0.84704
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.09259
  • Mean of outliers high
    1.06209
  • 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)
    -0.50142
  • VaR(95%) (regression method)
    0.13085
  • Expected Shortfall (regression method)
    0.19255
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.11925
  • Quartile 1
    0.24681
  • Median
    0.37438
  • Quartile 3
    0.50194
  • Maximum
    0.62950
  • Mean of quarter 1
    0.11925
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.62950
  • Inter Quartile Range
    0.25513
  • 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)
    -0.13382
  • Compounded annual return (geometric extrapolation)
    -0.18522
  • Calmar ratio (compounded annual return / max draw down)
    -0.29424
  • Compounded annual return / average of 25% largest draw downs
    -0.29424
  • Compounded annual return / Expected Shortfall lognormal
    -1.11341
  • 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
    -0.16124
  • SD
    0.28449
  • Sharpe ratio (Glass type estimate)
    -0.56676
  • Sharpe ratio (Hedges UMVUE)
    -0.56640
  • df
    1180.00000
  • t
    -1.20330
  • p
    0.51750
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49009
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.35678
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48983
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35704
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.69641
  • Upside Potential Ratio
    2.46248
  • Upside part of mean
    0.57014
  • Downside part of mean
    -0.73138
  • Upside SD
    0.16541
  • Downside SD
    0.23153
  • N nonnegative terms
    1057.00000
  • N negative terms
    124.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1181.00000
  • Mean of predictor
    0.38637
  • Mean of criterion
    -0.16124
  • SD of predictor
    0.28290
  • SD of criterion
    0.28449
  • Covariance
    0.00462
  • r
    0.05746
  • b (slope, estimate of beta)
    0.05778
  • a (intercept, estimate of alpha)
    -0.18400
  • Mean Square Error
    0.08074
  • DF error
    1179.00000
  • t(b)
    1.97629
  • p(b)
    0.46344
  • t(a)
    -1.36674
  • p(a)
    0.52531
  • Lowerbound of 95% confidence interval for beta
    0.00042
  • Upperbound of 95% confidence interval for beta
    0.11515
  • Lowerbound of 95% confidence interval for alpha
    -0.44708
  • Upperbound of 95% confidence interval for alpha
    0.07995
  • Treynor index (mean / b)
    -2.79037
  • Jensen alpha (a)
    -0.18357
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20449
  • SD
    0.29953
  • Sharpe ratio (Glass type estimate)
    -0.68270
  • Sharpe ratio (Hedges UMVUE)
    -0.68227
  • df
    1180.00000
  • t
    -1.44945
  • p
    0.52108
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60613
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.24100
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60583
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24130
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.80581
  • Upside Potential Ratio
    2.19537
  • Upside part of mean
    0.55712
  • Downside part of mean
    -0.76161
  • Upside SD
    0.15939
  • Downside SD
    0.25377
  • N nonnegative terms
    1057.00000
  • N negative terms
    124.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1181.00000
  • Mean of predictor
    0.34573
  • Mean of criterion
    -0.20449
  • SD of predictor
    0.28514
  • SD of criterion
    0.29953
  • Covariance
    0.00550
  • r
    0.06435
  • b (slope, estimate of beta)
    0.06760
  • a (intercept, estimate of alpha)
    -0.22786
  • Mean Square Error
    0.08943
  • DF error
    1179.00000
  • t(b)
    2.21414
  • p(b)
    0.45906
  • t(a)
    -1.61325
  • p(a)
    0.52987
  • Lowerbound of 95% confidence interval for beta
    0.00770
  • Upperbound of 95% confidence interval for beta
    0.12750
  • Lowerbound of 95% confidence interval for alpha
    -0.50498
  • Upperbound of 95% confidence interval for alpha
    0.04926
  • Treynor index (mean / b)
    -3.02513
  • Jensen alpha (a)
    -0.22786
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03074
  • Expected Shortfall on VaR
    0.03818
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00129
  • Expected Shortfall on VaR
    0.00528
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1181.00000
  • Minimum
    0.70586
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.15021
  • Mean of quarter 1
    0.98886
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00871
  • Inter Quartile Range
    0.00000
  • Number outliers low
    124.00000
  • Percentage of outliers low
    0.10500
  • Mean of outliers low
    0.97341
  • Number of outliers high
    127.00000
  • Percentage of outliers high
    0.10754
  • Mean of outliers high
    1.02024
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01038
  • VaR(95%) (moments method)
    0.00285
  • Expected Shortfall (moments method)
    0.00547
  • Extreme Value Index (regression method)
    0.35558
  • VaR(95%) (regression method)
    0.00873
  • Expected Shortfall (regression method)
    0.02764
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.08018
  • Quartile 1
    0.11367
  • Median
    0.14716
  • Quartile 3
    0.41058
  • Maximum
    0.67400
  • Mean of quarter 1
    0.08018
  • Mean of quarter 2
    0.14716
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.67400
  • Inter Quartile Range
    0.29691
  • 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)
    -0.13359
  • Compounded annual return (geometric extrapolation)
    -0.18494
  • Calmar ratio (compounded annual return / max draw down)
    -0.27439
  • Compounded annual return / average of 25% largest draw downs
    -0.27439
  • Compounded annual return / Expected Shortfall lognormal
    -4.84386
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.73067
  • Mean of criterion
    0.00000
  • SD of predictor
    0.40741
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.64634
  • Mean of criterion
    0.00000
  • SD of predictor
    0.41159
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -363931000
  • Max Equity Drawdown (num days)
    341
  • 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 the same methodology as the fully-diversified zFutures program -- to a subset of the markets (to achieve a lower initial account size).

Trades currencies, fixed income, metals, energy, grains, meats, and soft commodities. Systematic and quantitative trading system has intermediate to long-term time frame. Diversified in terms of both time-frame and trading methodologies.

Approach uses a variety of quantitative and statistical tools including Monte Carlo analyses, blind-tests, bootstrapping, and live trading experience. Applies computer aided research and technology -- and machine-learning techniques.

Summary Statistics

Strategy began
2010-12-29
Suggested Minimum Capital
$25,000
# Trades
95
# Profitable
46
% Profitable
48.4%
Correlation S&P500
0.051
Sharpe Ratio
-0.43
Sortino Ratio
-0.52
Beta
0.06
Alpha
-0.03

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.