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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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Daily Batch
(57830847)

Created by: BrianAtkins BrianAtkins
Started: 02/2011
Futures
Last trade: 3,428 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 $95.00 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.

7.1%
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.

(31.0%)
Max Drawdown
346
Num Trades
50.3%
Win Trades
1.3 : 1
Profit Factor
13.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011       +57.2%+8.3%+15.1%+4.5%+7.9%(2.5%)+3.2%+3.9%(1.4%)(8.5%)+2.8%+114.4%
2012(2.8%)+1.6%+10.1%+1.2%+17.1%(1.6%)+0.1%(0.8%)+5.2%+3.2%+4.3%(3.2%)+37.7%
2013(0.5%)(0.8%)(5.3%)(0.4%)(0.7%)(0.2%)+4.9%(5.7%)(1.8%)+3.2%(0.1%)+0.4%(7.3%)
2014+1.1%(0.2%)(1.9%)(5.5%)+2.2%(5.1%)(3.7%)(2.1%)(3.2%)(0.2%)(0.2%)(5.9%)(22.4%)
2015(0.5%)  -    -    -    -    -    -    -    -    -    -    -  (0.5%)
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 615 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3660 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/3/14 10:24 @GFF5 FEEDER CATTLE SHORT 2 233.825 12/4 11:55 236.975 4.88%
Trade id #91121591
Max drawdown($3,150)
Time12/4/14 11:55
Quant open0
Worst price236.975
Drawdown as % of equity-4.88%
 ($3,166)
Includes Typical Broker Commissions trade costs of $16.00
9/5/14 12:40 @CZ4 CORN LONG 1 353 2/4 9/9 9:30 343 2/4 0.74%
Trade id #89478654
Max drawdown($500)
Time9/9/14 9:30
Quant open0
Worst price343 2/4
Drawdown as % of equity-0.74%
 ($508)
Includes Typical Broker Commissions trade costs of $8.00
9/5/14 14:14 @SX4 SOYBEANS LONG 1 1021 2/4 9/9 9:30 1001 1.52%
Trade id #89484704
Max drawdown($1,025)
Time9/9/14 9:30
Quant open0
Worst price1001
Drawdown as % of equity-1.52%
 ($1,033)
Includes Typical Broker Commissions trade costs of $8.00
9/5/14 12:44 @WZ4 WHEAT LONG 1 537 1/4 9/8 8:44 527 1/4 0.73%
Trade id #89478798
Max drawdown($500)
Time9/8/14 8:44
Quant open0
Worst price527 1/4
Drawdown as % of equity-0.73%
 ($508)
Includes Typical Broker Commissions trade costs of $8.00
8/18/14 14:13 @CU4 CORN SHORT 1 360 1/4 9/3 4:34 352 0.49%
Trade id #89132371
Max drawdown($337)
Time8/22/14 10:20
Quant open-1
Worst price367
Drawdown as % of equity-0.49%
 $405
Includes Typical Broker Commissions trade costs of $8.00
8/25/14 10:49 @WU4 WHEAT SHORT 1 545 1/4 8/28 10:09 562 3/4 1.26%
Trade id #89253875
Max drawdown($875)
Time8/28/14 10:09
Quant open0
Worst price562 3/4
Drawdown as % of equity-1.26%
 ($883)
Includes Typical Broker Commissions trade costs of $8.00
8/6/14 11:33 @SBV4 Sugar #11 LONG 1 16.35 8/7 12:36 16.09 0.42%
Trade id #88951726
Max drawdown($291)
Time8/7/14 12:36
Quant open0
Worst price16.09
Drawdown as % of equity-0.42%
 ($299)
Includes Typical Broker Commissions trade costs of $8.00
7/25/14 9:31 @SU4 SOYBEANS SHORT 1 1100 2/4 7/28 12:33 1134 2.39%
Trade id #88761269
Max drawdown($1,675)
Time7/28/14 12:33
Quant open0
Worst price1134
Drawdown as % of equity-2.39%
 ($1,683)
Includes Typical Broker Commissions trade costs of $8.00
7/8/14 11:47 @SBV4 Sugar #11 LONG 1 17.76 7/9 11:19 17.33 0.67%
Trade id #88478587
Max drawdown($482)
Time7/9/14 11:19
Quant open0
Worst price17.33
Drawdown as % of equity-0.67%
 ($490)
Includes Typical Broker Commissions trade costs of $8.00
6/20/14 11:01 @SN4 SOYBEANS SHORT 1 1405 3/4 6/22 20:00 1423 1.19%
Trade id #88210368
Max drawdown($863)
Time6/22/14 20:00
Quant open0
Worst price1423
Drawdown as % of equity-1.19%
 ($871)
Includes Typical Broker Commissions trade costs of $8.00
6/6/14 14:14 @WN4 WHEAT LONG 1 617 2/4 6/10 11:19 604 3/4 0.87%
Trade id #87977631
Max drawdown($638)
Time6/10/14 11:19
Quant open0
Worst price604 3/4
Drawdown as % of equity-0.87%
 ($646)
Includes Typical Broker Commissions trade costs of $8.00
6/6/14 14:12 @CN4 CORN LONG 1 458 1/4 6/9 10:02 448 1/4 0.68%
Trade id #87977577
Max drawdown($500)
Time6/9/14 10:02
Quant open0
Worst price448 1/4
Drawdown as % of equity-0.68%
 ($508)
Includes Typical Broker Commissions trade costs of $8.00
6/4/14 10:44 @HEN4 LEAN HOGS SHORT 1 120.925 6/6 6:12 122.750 0.98%
Trade id #87920488
Max drawdown($730)
Time6/6/14 6:12
Quant open0
Worst price122.750
Drawdown as % of equity-0.98%
 ($738)
Includes Typical Broker Commissions trade costs of $8.00
6/4/14 12:01 @LEM4 LIVE CATTLE SHORT 1 137.825 6/5 10:26 138.875 0.56%
Trade id #87922809
Max drawdown($420)
Time6/5/14 10:26
Quant open0
Worst price138.875
Drawdown as % of equity-0.56%
 ($428)
Includes Typical Broker Commissions trade costs of $8.00
5/23/14 14:14 @BON4 SOYBEAN OIL SHORT 1 40.35 5/29 12:28 39.30 0.08%
Trade id #87737940
Max drawdown($60)
Time5/27/14 4:17
Quant open-1
Worst price40.45
Drawdown as % of equity-0.08%
 $622
Includes Typical Broker Commissions trade costs of $8.00
5/15/14 10:18 @HEN4 LEAN HOGS SHORT 1 125.350 5/27 18:03 122.300 1.06%
Trade id #87585352
Max drawdown($770)
Time5/21/14 13:55
Quant open-1
Worst price127.275
Drawdown as % of equity-1.06%
 $1,212
Includes Typical Broker Commissions trade costs of $8.00
5/14/14 9:48 @CN4 CORN SHORT 1 496 3/4 5/15 9:46 488 0.21%
Trade id #87561037
Max drawdown($150)
Time5/14/14 11:05
Quant open-1
Worst price499 3/4
Drawdown as % of equity-0.21%
 $430
Includes Typical Broker Commissions trade costs of $8.00
5/1/14 10:31 @WN4 WHEAT SHORT 1 710 2/4 5/4 20:00 725 0.99%
Trade id #87342224
Max drawdown($725)
Time5/4/14 20:00
Quant open0
Worst price725
Drawdown as % of equity-0.99%
 ($733)
Includes Typical Broker Commissions trade costs of $8.00
4/28/14 14:11 @BON4 SOYBEAN OIL SHORT 1 42.75 4/30 10:18 42.30 0.29%
Trade id #87274836
Max drawdown($210)
Time4/29/14 11:25
Quant open-1
Worst price43.10
Drawdown as % of equity-0.29%
 $262
Includes Typical Broker Commissions trade costs of $8.00
4/10/14 11:24 @SK4 SOYBEANS SHORT 1 1481 1/4 4/16 2:54 1512 1/4 2.11%
Trade id #86983366
Max drawdown($1,550)
Time4/16/14 2:54
Quant open0
Worst price1512 1/4
Drawdown as % of equity-2.11%
 ($1,558)
Includes Typical Broker Commissions trade costs of $8.00
4/9/14 12:11 @WK4 WHEAT SHORT 1 667 2/4 4/14 3:29 685 3/4 1.2%
Trade id #86958518
Max drawdown($913)
Time4/14/14 3:29
Quant open0
Worst price685 3/4
Drawdown as % of equity-1.20%
 ($921)
Includes Typical Broker Commissions trade costs of $8.00
4/2/14 11:08 @CK4 CORN SHORT 1 500 3/4 4/9 12:00 512 3/4 0.79%
Trade id #86821316
Max drawdown($600)
Time4/9/14 12:00
Quant open0
Worst price512 3/4
Drawdown as % of equity-0.79%
 ($608)
Includes Typical Broker Commissions trade costs of $8.00
4/7/14 12:42 @QMK4 MINY CRUDE OIL SHORT 1 100.200 4/8 12:14 101.675 0.96%
Trade id #86901069
Max drawdown($738)
Time4/8/14 12:14
Quant open0
Worst price101.675
Drawdown as % of equity-0.96%
 ($746)
Includes Typical Broker Commissions trade costs of $8.00
3/20/14 11:33 @CK4 CORN SHORT 1 480 1/4 3/24 5:25 488 1/4 0.52%
Trade id #86586619
Max drawdown($400)
Time3/24/14 5:25
Quant open0
Worst price488 1/4
Drawdown as % of equity-0.52%
 ($408)
Includes Typical Broker Commissions trade costs of $8.00
3/21/14 9:42 @SMK4 SOYBEAN MEAL SHORT 1 461.8 3/23 20:01 451.0 0.22%
Trade id #86606672
Max drawdown($170)
Time3/21/14 9:46
Quant open-1
Worst price463.5
Drawdown as % of equity-0.22%
 $1,072
Includes Typical Broker Commissions trade costs of $8.00
3/20/14 11:25 @QMK4 MINY CRUDE OIL SHORT 1 98.300 3/20 13:01 99.275 0.63%
Trade id #86586252
Max drawdown($488)
Time3/20/14 13:01
Quant open0
Worst price99.275
Drawdown as % of equity-0.63%
 ($496)
Includes Typical Broker Commissions trade costs of $8.00
3/17/14 11:04 @QMK4 MINY CRUDE OIL SHORT 1 97.700 3/19 8:40 99.000 0.84%
Trade id #86508420
Max drawdown($650)
Time3/19/14 8:40
Quant open0
Worst price99.000
Drawdown as % of equity-0.84%
 ($658)
Includes Typical Broker Commissions trade costs of $8.00
3/10/14 14:12 @WK4 WHEAT SHORT 1 644 3/11 12:41 657 0.83%
Trade id #86380317
Max drawdown($650)
Time3/11/14 12:41
Quant open0
Worst price657
Drawdown as % of equity-0.83%
 ($658)
Includes Typical Broker Commissions trade costs of $8.00
1/15/14 13:31 @WH4 WHEAT SHORT 1 570 1/4 1/29 10:04 560 2/4 0.49%
Trade id #85190754
Max drawdown($387)
Time1/23/14 9:31
Quant open-1
Worst price578
Drawdown as % of equity-0.49%
 $480
Includes Typical Broker Commissions trade costs of $8.00
1/23/14 9:36 @SH4 SOYBEANS LONG 1 1286 2/4 1/24 6:18 1271 3/4 0.95%
Trade id #85331084
Max drawdown($738)
Time1/24/14 6:18
Quant open0
Worst price1271 3/4
Drawdown as % of equity-0.95%
 ($746)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    2/14/2011
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    4813.19
  • Age
    161 months ago
  • What it trades
    Futures
  • # Trades
    346
  • # Profitable
    174
  • % Profitable
    50.30%
  • Avg trade duration
    2.4 days
  • Max peak-to-valley drawdown
    31.02%
  • drawdown period
    Nov 16, 2012 - Jan 31, 2015
  • Annual Return (Compounded)
    7.1%
  • Avg win
    $887.42
  • Avg loss
    $670.75
  • Model Account Values (Raw)
  • Cash
    $64,031
  • Margin Used
    $0
  • Buying Power
    $64,031
  • Ratios
  • W:L ratio
    1.34:1
  • Sharpe Ratio
    0.26
  • Sortino Ratio
    0.68
  • Calmar Ratio
    0.418
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -147.51%
  • Correlation to SP500
    -0.01080
  • Return Percent SP500 (cumu) during strategy life
    280.35%
  • Return Statistics
  • Ann Return (w trading costs)
    7.1%
  • Slump
  • Current Slump as Pcnt Equity
    45.00%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.87%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.071%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    44.50%
  • Chance of 20% account loss
    20.00%
  • Chance of 30% account loss
    5.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $671
  • Avg Win
    $887
  • Sum Trade PL (losers)
    $115,369.000
  • Age
  • Num Months filled monthly returns table
    159
  • Win / Loss
  • Sum Trade PL (winners)
    $154,411.000
  • # Winners
    174
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    172
  • % Winners
    50.3%
  • Frequency
  • Avg Position Time (mins)
    3472.92
  • Avg Position Time (hrs)
    57.88
  • Avg Trade Length
    2.4 days
  • Last Trade Ago
    3425
  • Leverage
  • Daily leverage (average)
    1.11
  • Daily leverage (max)
    10.49
  • Regression
  • Alpha
    0.01
  • Beta
    -0.01
  • Treynor Index
    -1.36
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    9.47
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    10.63
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.44
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.848
  • 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
    0.353
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.059
  • Hold-and-Hope Ratio
    0.171
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17785
  • SD
    0.29225
  • Sharpe ratio (Glass type estimate)
    0.60857
  • Sharpe ratio (Hedges UMVUE)
    0.60152
  • df
    65.00000
  • t
    1.42721
  • p
    0.07915
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23596
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44849
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24059
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44362
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.46126
  • Upside Potential Ratio
    4.10692
  • Upside part of mean
    0.29677
  • Downside part of mean
    -0.11892
  • Upside SD
    0.28553
  • Downside SD
    0.07226
  • N nonnegative terms
    25.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    66.00000
  • Mean of predictor
    0.23160
  • Mean of criterion
    0.17785
  • SD of predictor
    0.25270
  • SD of criterion
    0.29225
  • Covariance
    -0.00491
  • r
    -0.06651
  • b (slope, estimate of beta)
    -0.07692
  • a (intercept, estimate of alpha)
    0.19567
  • Mean Square Error
    0.08636
  • DF error
    64.00000
  • t(b)
    -0.53324
  • p(b)
    0.70214
  • t(a)
    1.50880
  • p(a)
    0.06814
  • Lowerbound of 95% confidence interval for beta
    -0.36508
  • Upperbound of 95% confidence interval for beta
    0.21125
  • Lowerbound of 95% confidence interval for alpha
    -0.06341
  • Upperbound of 95% confidence interval for alpha
    0.45474
  • Treynor index (mean / b)
    -2.31227
  • Jensen alpha (a)
    0.19567
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14338
  • SD
    0.24500
  • Sharpe ratio (Glass type estimate)
    0.58522
  • Sharpe ratio (Hedges UMVUE)
    0.57845
  • df
    65.00000
  • t
    1.37247
  • p
    0.08732
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25871
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42477
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26318
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42007
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93190
  • Upside Potential Ratio
    3.56686
  • Upside part of mean
    0.26472
  • Downside part of mean
    -0.12134
  • Upside SD
    0.23520
  • Downside SD
    0.07422
  • N nonnegative terms
    25.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    66.00000
  • Mean of predictor
    0.20230
  • Mean of criterion
    0.14338
  • SD of predictor
    0.22591
  • SD of criterion
    0.24500
  • Covariance
    -0.00381
  • r
    -0.06884
  • b (slope, estimate of beta)
    -0.07466
  • a (intercept, estimate of alpha)
    0.15848
  • Mean Square Error
    0.06067
  • DF error
    64.00000
  • t(b)
    -0.55204
  • p(b)
    0.70858
  • t(a)
    1.46018
  • p(a)
    0.07457
  • Lowerbound of 95% confidence interval for beta
    -0.34483
  • Upperbound of 95% confidence interval for beta
    0.19551
  • Lowerbound of 95% confidence interval for alpha
    -0.05834
  • Upperbound of 95% confidence interval for alpha
    0.37531
  • Treynor index (mean / b)
    -1.92051
  • Jensen alpha (a)
    0.15848
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09912
  • Expected Shortfall on VaR
    0.12506
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02604
  • Expected Shortfall on VaR
    0.05023
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    66.00000
  • Minimum
    0.91827
  • Quartile 1
    0.99682
  • Median
    1.00000
  • Quartile 3
    1.01918
  • Maximum
    1.57826
  • Mean of quarter 1
    0.96730
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00538
  • Mean of quarter 4
    1.09438
  • Inter Quartile Range
    0.02235
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.12121
  • Mean of outliers low
    0.94792
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10606
  • Mean of outliers high
    1.17947
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.99360
  • VaR(95%) (moments method)
    0.01383
  • Expected Shortfall (moments method)
    0.01414
  • Extreme Value Index (regression method)
    -0.15304
  • VaR(95%) (regression method)
    0.03452
  • Expected Shortfall (regression method)
    0.04913
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03245
  • Quartile 1
    0.08155
  • Median
    0.13064
  • Quartile 3
    0.17618
  • Maximum
    0.22171
  • Mean of quarter 1
    0.03245
  • Mean of quarter 2
    0.13064
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22171
  • Inter Quartile Range
    0.09463
  • 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)
    0.28460
  • Compounded annual return (geometric extrapolation)
    0.18683
  • Calmar ratio (compounded annual return / max draw down)
    0.84267
  • Compounded annual return / average of 25% largest draw downs
    0.84267
  • Compounded annual return / Expected Shortfall lognormal
    1.49397
  • 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
    0.24208
  • SD
    0.45936
  • Sharpe ratio (Glass type estimate)
    0.52699
  • Sharpe ratio (Hedges UMVUE)
    0.52672
  • df
    1444.00000
  • t
    1.23762
  • p
    0.48372
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36170
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30808
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36151
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97940
  • Upside Potential Ratio
    3.28721
  • Upside part of mean
    0.81249
  • Downside part of mean
    -0.57041
  • Upside SD
    0.38729
  • Downside SD
    0.24717
  • N nonnegative terms
    313.00000
  • N negative terms
    1132.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1445.00000
  • Mean of predictor
    0.23231
  • Mean of criterion
    0.24208
  • SD of predictor
    0.24043
  • SD of criterion
    0.45936
  • Covariance
    -0.00982
  • r
    -0.08892
  • b (slope, estimate of beta)
    -0.16989
  • a (intercept, estimate of alpha)
    0.26300
  • Mean Square Error
    0.20949
  • DF error
    1443.00000
  • t(b)
    -3.39124
  • p(b)
    0.55653
  • t(a)
    1.44205
  • p(a)
    0.47586
  • Lowerbound of 95% confidence interval for beta
    -0.26816
  • Upperbound of 95% confidence interval for beta
    -0.07162
  • Lowerbound of 95% confidence interval for alpha
    -0.10144
  • Upperbound of 95% confidence interval for alpha
    0.66453
  • Treynor index (mean / b)
    -1.42490
  • Jensen alpha (a)
    0.28154
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14291
  • SD
    0.44345
  • Sharpe ratio (Glass type estimate)
    0.32226
  • Sharpe ratio (Hedges UMVUE)
    0.32209
  • df
    1444.00000
  • t
    0.75682
  • p
    0.49004
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51244
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.15687
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51256
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15675
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48030
  • Upside Potential Ratio
    2.52821
  • Upside part of mean
    0.75224
  • Downside part of mean
    -0.60933
  • Upside SD
    0.32873
  • Downside SD
    0.29754
  • N nonnegative terms
    313.00000
  • N negative terms
    1132.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1445.00000
  • Mean of predictor
    0.20383
  • Mean of criterion
    0.14291
  • SD of predictor
    0.23749
  • SD of criterion
    0.44345
  • Covariance
    -0.00926
  • r
    -0.08792
  • b (slope, estimate of beta)
    -0.16416
  • a (intercept, estimate of alpha)
    0.17637
  • Mean Square Error
    0.19526
  • DF error
    1443.00000
  • t(b)
    -3.35261
  • p(b)
    0.55590
  • t(a)
    0.93601
  • p(a)
    0.48432
  • Lowerbound of 95% confidence interval for beta
    -0.26021
  • Upperbound of 95% confidence interval for beta
    -0.06811
  • Lowerbound of 95% confidence interval for alpha
    -0.19325
  • Upperbound of 95% confidence interval for alpha
    0.54598
  • Treynor index (mean / b)
    -0.87054
  • Jensen alpha (a)
    0.17637
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04354
  • Expected Shortfall on VaR
    0.05438
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00646
  • Expected Shortfall on VaR
    0.01484
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1445.00000
  • Minimum
    0.58446
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.55799
  • Mean of quarter 1
    0.99164
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01251
  • Inter Quartile Range
    0.00000
  • Number outliers low
    320.00000
  • Percentage of outliers low
    0.22145
  • Mean of outliers low
    0.99055
  • Number of outliers high
    319.00000
  • Percentage of outliers high
    0.22076
  • Mean of outliers high
    1.01415
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82034
  • VaR(95%) (moments method)
    0.00480
  • Expected Shortfall (moments method)
    0.03111
  • Extreme Value Index (regression method)
    0.59939
  • VaR(95%) (regression method)
    0.00517
  • Expected Shortfall (regression method)
    0.01660
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00366
  • Median
    0.01615
  • Quartile 3
    0.05577
  • Maximum
    0.42348
  • Mean of quarter 1
    0.00190
  • Mean of quarter 2
    0.00870
  • Mean of quarter 3
    0.03491
  • Mean of quarter 4
    0.21463
  • Inter Quartile Range
    0.05211
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.18750
  • Mean of outliers high
    0.26185
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.40979
  • VaR(95%) (moments method)
    0.17903
  • Expected Shortfall (moments method)
    0.18864
  • Extreme Value Index (regression method)
    -0.62758
  • VaR(95%) (regression method)
    0.25821
  • Expected Shortfall (regression method)
    0.30245
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28381
  • Compounded annual return (geometric extrapolation)
    0.18627
  • Calmar ratio (compounded annual return / max draw down)
    0.43985
  • Compounded annual return / average of 25% largest draw downs
    0.86785
  • Compounded annual return / Expected Shortfall lognormal
    3.42536
  • 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
    1.22791
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.57686
  • 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
    1.06601
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.56272
  • 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)
    -6819700000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.04300
  • 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)
    370042999999999998479601038786560.00000
  • 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?
    -312622000
  • Max Equity Drawdown (num days)
    806
  • 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

Description: "Daily Batch" is a short term trading system that is 95% technical. The small amount of discretion that is taken is used to reinforce the risk reward parameters that I believe are vital to my trading success. Daily Batch is currently focused on 10 to 12 futures markets and can trade them both long or short. Trade signals are generated daily, with stops entered immediately, and profit targets set soon after entry.
Track record: The first month of trading on C2 saw some wild swings that are not typical of "Daily Batch". Since then we have seen results that match our expectations from both back testing and real time trading.
Position Size: "Daily Batch" currently places all orders with one contract per signal. This is the position size that I use based on a $25k account. Subscribers with more capital are free to increase their position size based on their own account size, and risk tolerance.
Trader Bio: I began trading in 1998 on the floor of the Chicago Mercantile Exchange. I currently trade full time for myself and clients. I also run a financial planning business with a focus on managed futures.

Summary Statistics

Strategy began
2011-02-14
Suggested Minimum Capital
$45,000
# Trades
346
# Profitable
174
% Profitable
50.3%
Correlation S&P500
-0.011
Sharpe Ratio
0.26
Sortino Ratio
0.68
Beta
-0.01
Alpha
0.01
Leverage
1.11 Average
10.49 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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.