Collective2 Collective2
Featured Strategy IC Algotrading +89.5% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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VeePo ES Custom
(68180236)

Created by: BrentKillinger BrentKillinger
Started: 11/2011
Futures
Last trade: 3,042 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 $150.00 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.

-2.6%
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.

(84.3%)
Max Drawdown
61
Num Trades
52.5%
Win Trades
0.9 : 1
Profit Factor
20.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                                      +1.9%+13.8%+16.0%
2012+3.1%+5.4%(1.1%)+1.9%+3.8%+5.5%+0.4%+4.8%(4.3%)(6.2%)(0.5%)+2.9%+15.9%
2013+11.9%(2%)+2.4%(2.2%)+2.1%(0.4%)(10.1%)(10.8%)+5.9%+15.2%+5.9%+8.6%+25.8%
2014(6%)+2.6%+1.1%+4.2%+4.6%+3.9%+0.6%(11.2%)+4.9%(6.5%)(8.6%)+12.6%(0.4%)
2015(15.5%)+6.1%(4.5%)+9.2%(2.5%)(6%)+4.6%(13.2%)+2.9%(63.8%)+37.3%+7.8%(57.2%)
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 102 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3489 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/10/15 11:42 @ESZ5 E-MINI S&P 500 SHORT 8 1951.00 12/18 16:23 2032.50 106.51%
Trade id #97151732
Max drawdown($61,600)
Time12/2/15 3:24
Quant open-8
Worst price2105.00
Drawdown as % of equity-106.51%
 ($32,664)
Includes Typical Broker Commissions trade costs of $64.00
9/9/15 9:29 @ESZ5 E-MINI S&P 500 LONG 4 1977.50 9/10 11:42 1938.75 12.7%
Trade id #97118774
Max drawdown($11,700)
Time9/10/15 8:37
Quant open4
Worst price1919.00
Drawdown as % of equity-12.70%
 ($7,782)
Includes Typical Broker Commissions trade costs of $32.00
8/26/15 9:31 @ESU5 E-MINI S&P 500 SHORT 2 1910.75 8/28 9:25 1974.50 8.14%
Trade id #96857371
Max drawdown($8,200)
Time8/27/15 20:18
Quant open-2
Worst price1992.75
Drawdown as % of equity-8.14%
 ($6,391)
Includes Typical Broker Commissions trade costs of $16.00
6/11/15 22:48 @ESU5 E-MINI S&P 500 LONG 4 2094.25 8/21 3:32 2048.00 10.71%
Trade id #94965673
Max drawdown($12,000)
Time7/5/15 18:02
Quant open4
Worst price2034.25
Drawdown as % of equity-10.71%
 ($9,282)
Includes Typical Broker Commissions trade costs of $32.00
5/27/15 9:31 @ESM5 E-MINI S&P 500 LONG 2 2105.75 6/3 9:30 2114.75 1.01%
Trade id #94644045
Max drawdown($1,175)
Time6/2/15 4:56
Quant open2
Worst price2094.00
Drawdown as % of equity-1.01%
 $884
Includes Typical Broker Commissions trade costs of $16.00
5/6/15 9:30 @ESM5 E-MINI S&P 500 SHORT 4 2090.00 5/27 9:31 2116.12 7.71%
Trade id #94274167
Max drawdown($8,800)
Time5/19/15 3:07
Quant open-4
Worst price2134.00
Drawdown as % of equity-7.71%
 ($5,257)
Includes Typical Broker Commissions trade costs of $32.00
3/30/15 9:31 @ESM5 E-MINI S&P 500 LONG 4 2067.69 5/5 9:31 2103.94 6.06%
Trade id #93563238
Max drawdown($6,837)
Time3/31/15 20:57
Quant open4
Worst price2033.50
Drawdown as % of equity-6.06%
 $7,218
Includes Typical Broker Commissions trade costs of $32.00
2/4/15 9:30 @ESH5 E-MINI S&P 500 LONG 2 2035.00 2/18 9:31 2090.75 1.32%
Trade id #92293375
Max drawdown($1,425)
Time2/4/15 21:17
Quant open2
Worst price2020.75
Drawdown as % of equity-1.32%
 $5,559
Includes Typical Broker Commissions trade costs of $16.00
2/1/15 22:40 @ESH5 E-MINI S&P 500 LONG 2 1994.62 2/2 11:40 2001.50 1.93%
Trade id #92223805
Max drawdown($2,087)
Time2/2/15 10:07
Quant open2
Worst price1973.75
Drawdown as % of equity-1.93%
 $672
Includes Typical Broker Commissions trade costs of $16.00
1/26/15 9:32 @ESH5 E-MINI S&P 500 LONG 2 2039.00 1/28 9:30 2037.25 2.4%
Trade id #92087240
Max drawdown($2,575)
Time1/27/15 10:46
Quant open2
Worst price2013.25
Drawdown as % of equity-2.40%
 ($191)
Includes Typical Broker Commissions trade costs of $16.00
1/15/15 21:32 @ESH5 E-MINI S&P 500 SHORT 2 1971.00 1/25 18:00 2035.50 8.6%
Trade id #91902684
Max drawdown($9,150)
Time1/23/15 7:40
Quant open-2
Worst price2062.50
Drawdown as % of equity-8.60%
 ($6,466)
Includes Typical Broker Commissions trade costs of $16.00
1/8/15 10:12 @ESH5 E-MINI S&P 500 SHORT 4 2042.44 1/13 9:30 2038.50 0.87%
Trade id #91745040
Max drawdown($1,000)
Time1/9/15 8:40
Quant open-2
Worst price2062.00
Drawdown as % of equity-0.87%
 $756
Includes Typical Broker Commissions trade costs of $32.00
12/31/14 16:52 @ESH5 E-MINI S&P 500 LONG 5 2055.40 1/6/15 12:06 2011.50 9.51%
Trade id #91599019
Max drawdown($10,975)
Time1/6/15 12:06
Quant open3
Worst price1991.00
Drawdown as % of equity-9.51%
 ($11,015)
Includes Typical Broker Commissions trade costs of $40.00
12/9/14 6:30 @ESH5 E-MINI S&P 500 SHORT 1 2045.00 12/16 7:20 1969.00 0.38%
Trade id #91214271
Max drawdown($425)
Time12/9/14 16:00
Quant open-1
Worst price2053.50
Drawdown as % of equity-0.38%
 $3,792
Includes Typical Broker Commissions trade costs of $8.00
10/20/14 15:06 @ESZ4 E-MINI S&P 500 SHORT 4 1934.19 12/15 11:23 2015.25 26.47%
Trade id #90346306
Max drawdown($28,962)
Time12/5/14 11:56
Quant open-4
Worst price2079.00
Drawdown as % of equity-26.47%
 ($16,245)
Includes Typical Broker Commissions trade costs of $32.00
9/15/14 18:44 @ESZ4 E-MINI S&P 500 SHORT 5 1974.40 10/10 9:33 1934.60 6.34%
Trade id #89690266
Max drawdown($7,650)
Time9/19/14 0:19
Quant open-4
Worst price2014.50
Drawdown as % of equity-6.34%
 $9,910
Includes Typical Broker Commissions trade costs of $40.00
8/12/14 9:30 @ESU4 E-MINI S&P 500 SHORT 4 1934.31 9/15 18:43 1984.75 12.39%
Trade id #89038159
Max drawdown($15,337)
Time9/3/14 4:30
Quant open-4
Worst price2011.00
Drawdown as % of equity-12.39%
 ($10,120)
Includes Typical Broker Commissions trade costs of $32.00
6/13/14 9:30 @ESU4 E-MINI S&P 500 LONG 3 1926.58 8/6 9:30 1953.83 0.85%
Trade id #88096792
Max drawdown($1,179)
Time8/6/14 6:32
Quant open1
Worst price1903.00
Drawdown as % of equity-0.85%
 $4,064
Includes Typical Broker Commissions trade costs of $24.00
5/6/14 8:40 @ESM4 E-MINI S&P 500 LONG 3 1873.92 6/13 11:15 1918.08 2.31%
Trade id #87409715
Max drawdown($2,912)
Time5/7/14 10:16
Quant open3
Worst price1854.50
Drawdown as % of equity-2.31%
 $6,601
Includes Typical Broker Commissions trade costs of $24.00
4/23/14 9:31 @ESM4 E-MINI S&P 500 SHORT 1 1872.50 5/5 20:14 1877.50 0.53%
Trade id #87192391
Max drawdown($675)
Time5/2/14 8:31
Quant open-1
Worst price1886.00
Drawdown as % of equity-0.53%
 ($258)
Includes Typical Broker Commissions trade costs of $8.00
4/11/14 7:37 @ESM4 E-MINI S&P 500 LONG 1 1816.00 4/23 9:30 1872.50 0.51%
Trade id #87005849
Max drawdown($637)
Time4/13/14 18:53
Quant open1
Worst price1803.25
Drawdown as % of equity-0.51%
 $2,817
Includes Typical Broker Commissions trade costs of $8.00
3/21/14 9:31 @ESM4 E-MINI S&P 500 SHORT 1 1874.50 4/11 7:37 1816.00 0.74%
Trade id #86606174
Max drawdown($900)
Time4/4/14 9:23
Quant open-1
Worst price1892.50
Drawdown as % of equity-0.74%
 $2,917
Includes Typical Broker Commissions trade costs of $8.00
3/14/14 9:39 @ESM4 E-MINI S&P 500 LONG 1 1840.75 3/21 9:31 1874.25 0.72%
Trade id #86479490
Max drawdown($862)
Time3/16/14 18:48
Quant open1
Worst price1823.50
Drawdown as % of equity-0.72%
 $1,667
Includes Typical Broker Commissions trade costs of $8.00
2/24/14 10:47 @ESH4 E-MINI S&P 500 LONG 1 1851.75 3/14 9:39 1847.25 0.82%
Trade id #86129916
Max drawdown($975)
Time3/3/14 12:13
Quant open1
Worst price1832.25
Drawdown as % of equity-0.82%
 ($233)
Includes Typical Broker Commissions trade costs of $8.00
2/14/14 14:15 @ESH4 E-MINI S&P 500 SHORT 1 1836.00 2/24 10:47 1851.75 0.65%
Trade id #86000211
Max drawdown($788)
Time2/24/14 10:47
Quant open0
Worst price1851.75
Drawdown as % of equity-0.65%
 ($796)
Includes Typical Broker Commissions trade costs of $8.00
12/5/13 9:30 @ESH4 E-MINI S&P 500 LONG 5 1772.45 2/12/14 18:00 1806.15 4.97%
Trade id #84438416
Max drawdown($5,842)
Time2/3/14 15:50
Quant open3
Worst price1733.50
Drawdown as % of equity-4.97%
 $8,385
Includes Typical Broker Commissions trade costs of $40.00
9/13/13 9:26 @ESZ3 E-MINI S&P 500 LONG 4 1677.25 12/17 10:21 1766.00 8.24%
Trade id #82969204
Max drawdown($7,450)
Time10/9/13 11:24
Quant open4
Worst price1640.00
Drawdown as % of equity-8.24%
 $17,718
Includes Typical Broker Commissions trade costs of $32.00
7/26/13 9:29 @ESU3 E-MINI S&P 500 LONG 4 1686.62 9/13 9:27 1669.00 7.14%
Trade id #82206973
Max drawdown($6,575)
Time8/16/13 1:22
Quant open4
Worst price1653.75
Drawdown as % of equity-7.14%
 ($3,557)
Includes Typical Broker Commissions trade costs of $32.00
6/20/13 12:13 @ESU3 E-MINI S&P 500 SHORT 4 1623.00 7/19 9:29 1679.53 11.49%
Trade id #81618143
Max drawdown($11,305)
Time7/19/13 9:29
Quant open2
Worst price1680.00
Drawdown as % of equity-11.49%
 ($11,337)
Includes Typical Broker Commissions trade costs of $32.00
6/13/13 18:15 @ESU3 E-MINI S&P 500 SHORT 2 1633.00 6/18 9:44 1636.83 0.73%
Trade id #81485773
Max drawdown($800)
Time6/17/13 11:11
Quant open-2
Worst price1641.00
Drawdown as % of equity-0.73%
 ($399)
Includes Typical Broker Commissions trade costs of $16.00
Next

Statistics

  • Strategy began
    11/22/2011
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    4527.48
  • Age
    151 months ago
  • What it trades
    Futures
  • # Trades
    61
  • # Profitable
    32
  • % Profitable
    52.50%
  • Avg trade duration
    21.9 days
  • Max peak-to-valley drawdown
    84.31%
  • drawdown period
    July 22, 2014 - Nov 03, 2015
  • Annual Return (Compounded)
    -2.6%
  • Avg win
    $4,355
  • Avg loss
    $5,097
  • Model Account Values (Raw)
  • Cash
    $61,535
  • Margin Used
    $0
  • Buying Power
    $61,535
  • Ratios
  • W:L ratio
    0.94:1
  • Sharpe Ratio
    -0.08
  • Sortino Ratio
    -0.11
  • Calmar Ratio
    -0.028
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -359.18%
  • Correlation to SP500
    -0.02670
  • Return Percent SP500 (cumu) during strategy life
    326.06%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.6%
  • Slump
  • Current Slump as Pcnt Equity
    166.40%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.79%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.026%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.0%
  • 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)
    100.00%
  • 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
    $5,098
  • Avg Win
    $4,355
  • Sum Trade PL (losers)
    $147,834.000
  • Age
  • Num Months filled monthly returns table
    150
  • Win / Loss
  • Sum Trade PL (winners)
    $139,371.000
  • # Winners
    32
  • Num Months Winners
    31
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    29
  • % Winners
    52.5%
  • Frequency
  • Avg Position Time (mins)
    31470.20
  • Avg Position Time (hrs)
    524.50
  • Avg Trade Length
    21.9 days
  • Last Trade Ago
    3040
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.04
  • Treynor Index
    0.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    26.60
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    41.59
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.57
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.10
  • Avg(MAE) / Avg(PL) - All trades
    -34.973
  • 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
    0.14
  • Avg(MAE) / Avg(PL) - Winning trades
    0.521
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.511
  • Hold-and-Hope Ratio
    -0.029
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00445
  • SD
    0.29340
  • Sharpe ratio (Glass type estimate)
    0.01517
  • Sharpe ratio (Hedges UMVUE)
    0.01500
  • df
    70.00000
  • t
    0.03689
  • p
    0.48534
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79065
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.82089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79077
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82078
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01847
  • Upside Potential Ratio
    1.07108
  • Upside part of mean
    0.25808
  • Downside part of mean
    -0.25363
  • Upside SD
    0.16374
  • Downside SD
    0.24096
  • N nonnegative terms
    28.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.20425
  • Mean of criterion
    0.00445
  • SD of predictor
    0.19305
  • SD of criterion
    0.29340
  • Covariance
    -0.00757
  • r
    -0.13368
  • b (slope, estimate of beta)
    -0.20317
  • a (intercept, estimate of alpha)
    0.04595
  • Mean Square Error
    0.08577
  • DF error
    69.00000
  • t(b)
    -1.12052
  • p(b)
    0.86681
  • t(a)
    0.36476
  • p(a)
    0.35820
  • Lowerbound of 95% confidence interval for beta
    -0.56490
  • Upperbound of 95% confidence interval for beta
    0.15855
  • Lowerbound of 95% confidence interval for alpha
    -0.20535
  • Upperbound of 95% confidence interval for alpha
    0.29724
  • Treynor index (mean / b)
    -0.02190
  • Jensen alpha (a)
    0.04595
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04969
  • SD
    0.35616
  • Sharpe ratio (Glass type estimate)
    -0.13952
  • Sharpe ratio (Hedges UMVUE)
    -0.13802
  • df
    70.00000
  • t
    -0.33937
  • p
    0.63233
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94514
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.66705
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94411
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.66807
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.15552
  • Upside Potential Ratio
    0.76786
  • Upside part of mean
    0.24534
  • Downside part of mean
    -0.29503
  • Upside SD
    0.15223
  • Downside SD
    0.31952
  • N nonnegative terms
    28.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.18499
  • Mean of criterion
    -0.04969
  • SD of predictor
    0.18481
  • SD of criterion
    0.35616
  • Covariance
    -0.00893
  • r
    -0.13569
  • b (slope, estimate of beta)
    -0.26150
  • a (intercept, estimate of alpha)
    -0.00132
  • Mean Square Error
    0.12632
  • DF error
    69.00000
  • t(b)
    -1.13767
  • p(b)
    0.87040
  • t(a)
    -0.00866
  • p(a)
    0.50344
  • Lowerbound of 95% confidence interval for beta
    -0.72004
  • Upperbound of 95% confidence interval for beta
    0.19705
  • Lowerbound of 95% confidence interval for alpha
    -0.30490
  • Upperbound of 95% confidence interval for alpha
    0.30226
  • Treynor index (mean / b)
    0.19003
  • Jensen alpha (a)
    -0.00132
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15908
  • Expected Shortfall on VaR
    0.19386
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05355
  • Expected Shortfall on VaR
    0.11834
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    71.00000
  • Minimum
    0.48920
  • Quartile 1
    0.99693
  • Median
    1.00000
  • Quartile 3
    1.03264
  • Maximum
    1.24225
  • Mean of quarter 1
    0.92231
  • Mean of quarter 2
    0.99988
  • Mean of quarter 3
    1.01033
  • Mean of quarter 4
    1.07870
  • Inter Quartile Range
    0.03571
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.08451
  • Mean of outliers low
    0.82703
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.07042
  • Mean of outliers high
    1.14833
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66440
  • VaR(95%) (moments method)
    0.03020
  • Expected Shortfall (moments method)
    0.11057
  • Extreme Value Index (regression method)
    0.77241
  • VaR(95%) (regression method)
    0.05359
  • Expected Shortfall (regression method)
    0.29039
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00614
  • Quartile 1
    0.01929
  • Median
    0.13745
  • Quartile 3
    0.14739
  • Maximum
    0.64617
  • Mean of quarter 1
    0.01272
  • Mean of quarter 2
    0.13745
  • Mean of quarter 3
    0.14739
  • Mean of quarter 4
    0.64617
  • Inter Quartile Range
    0.12809
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.64617
  • 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)
    -0.02044
  • Compounded annual return (geometric extrapolation)
    -0.02155
  • Calmar ratio (compounded annual return / max draw down)
    -0.03335
  • Compounded annual return / average of 25% largest draw downs
    -0.03335
  • Compounded annual return / Expected Shortfall lognormal
    -0.11115
  • 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
    -0.01195
  • SD
    0.27348
  • Sharpe ratio (Glass type estimate)
    -0.04368
  • Sharpe ratio (Hedges UMVUE)
    -0.04366
  • df
    1563.00000
  • t
    -0.10672
  • p
    0.50172
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84588
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.75852
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84585
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75854
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.06163
  • Upside Potential Ratio
    4.38547
  • Upside part of mean
    0.85004
  • Downside part of mean
    -0.86198
  • Upside SD
    0.19281
  • Downside SD
    0.19383
  • N nonnegative terms
    485.00000
  • N negative terms
    1079.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1564.00000
  • Mean of predictor
    0.24946
  • Mean of criterion
    -0.01195
  • SD of predictor
    0.24099
  • SD of criterion
    0.27348
  • Covariance
    -0.00152
  • r
    -0.02303
  • b (slope, estimate of beta)
    -0.02613
  • a (intercept, estimate of alpha)
    -0.00500
  • Mean Square Error
    0.07480
  • DF error
    1562.00000
  • t(b)
    -0.91036
  • p(b)
    0.51151
  • t(a)
    -0.04837
  • p(a)
    0.50061
  • Lowerbound of 95% confidence interval for beta
    -0.08244
  • Upperbound of 95% confidence interval for beta
    0.03017
  • Lowerbound of 95% confidence interval for alpha
    -0.22544
  • Upperbound of 95% confidence interval for alpha
    0.21459
  • Treynor index (mean / b)
    0.45708
  • Jensen alpha (a)
    -0.00543
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04950
  • SD
    0.27481
  • Sharpe ratio (Glass type estimate)
    -0.18012
  • Sharpe ratio (Hedges UMVUE)
    -0.18003
  • df
    1563.00000
  • t
    -0.44008
  • p
    0.50709
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98234
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.62210
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98225
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62219
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24203
  • Upside Potential Ratio
    4.07087
  • Upside part of mean
    0.83256
  • Downside part of mean
    -0.88206
  • Upside SD
    0.18345
  • Downside SD
    0.20452
  • N nonnegative terms
    485.00000
  • N negative terms
    1079.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1564.00000
  • Mean of predictor
    0.21955
  • Mean of criterion
    -0.04950
  • SD of predictor
    0.24614
  • SD of criterion
    0.27481
  • Covariance
    -0.00148
  • r
    -0.02181
  • b (slope, estimate of beta)
    -0.02435
  • a (intercept, estimate of alpha)
    -0.04415
  • Mean Square Error
    0.07553
  • DF error
    1562.00000
  • t(b)
    -0.86226
  • p(b)
    0.51091
  • t(a)
    -0.39191
  • p(a)
    0.50496
  • Lowerbound of 95% confidence interval for beta
    -0.07975
  • Upperbound of 95% confidence interval for beta
    0.03104
  • Lowerbound of 95% confidence interval for alpha
    -0.26513
  • Upperbound of 95% confidence interval for alpha
    0.17682
  • Treynor index (mean / b)
    2.03258
  • Jensen alpha (a)
    -0.04415
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02772
  • Expected Shortfall on VaR
    0.03458
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00906
  • Expected Shortfall on VaR
    0.02004
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1564.00000
  • Minimum
    0.81549
  • Quartile 1
    0.99898
  • Median
    1.00000
  • Quartile 3
    1.00199
  • Maximum
    1.17344
  • Mean of quarter 1
    0.98722
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00025
  • Mean of quarter 4
    1.01287
  • Inter Quartile Range
    0.00300
  • Number outliers low
    228.00000
  • Percentage of outliers low
    0.14578
  • Mean of outliers low
    0.98018
  • Number of outliers high
    221.00000
  • Percentage of outliers high
    0.14130
  • Mean of outliers high
    1.01961
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70225
  • VaR(95%) (moments method)
    0.00698
  • Expected Shortfall (moments method)
    0.02769
  • Extreme Value Index (regression method)
    0.40912
  • VaR(95%) (regression method)
    0.00968
  • Expected Shortfall (regression method)
    0.02207
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    55.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00187
  • Median
    0.01100
  • Quartile 3
    0.03085
  • Maximum
    0.75367
  • Mean of quarter 1
    0.00092
  • Mean of quarter 2
    0.00611
  • Mean of quarter 3
    0.02091
  • Mean of quarter 4
    0.11715
  • Inter Quartile Range
    0.02898
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07273
  • Mean of outliers high
    0.30544
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.89846
  • VaR(95%) (moments method)
    0.11668
  • Expected Shortfall (moments method)
    1.11890
  • Extreme Value Index (regression method)
    1.56263
  • VaR(95%) (regression method)
    0.08316
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02026
  • Compounded annual return (geometric extrapolation)
    -0.02136
  • Calmar ratio (compounded annual return / max draw down)
    -0.02834
  • Compounded annual return / average of 25% largest draw downs
    -0.18234
  • Compounded annual return / Expected Shortfall lognormal
    -0.61774
  • 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
    0.36075
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.36716
  • 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
    0.29345
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.36801
  • 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)
    -6858230000000000.00000
  • 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)
    79134999999999997454183502446592.00000
  • 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?
    -413046000
  • Max Equity Drawdown (num days)
    469
  • 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

VeePo™ is a robust capital growth software system that encompasses predictive market techniques along with proprietary trade sizing controls to generate spectacular returns with exceptional consistency. While no system can guarantee low risk - especially while trading futures - and while unforeseen events can cause you to lose a substantial amount if not all of your money, this system goes to great lengths in an effort to to control risk to a level we feel exceeds that experienced when trading alternative algorithmic systems. VeePo™ techniques are far superior to traditional technical analysis systems which may only try to improve winning trade probabilities - VeePo™ actually predicts market direction with a remarkable and consistent success rate. Visit www.veeposoftware.com for more detailed information and charts.

WARNING: THIS SYSTEM CANNOT BE TRADED AT A MULTIPLE OF LESS THAN ONE (1) !!!

NOTE: The system trades listed on C2 do not reflect our real world subsystem trades since we are actually trading two ES subsystems that trade independent of each other - C2's trade tracking does not accommodate this - this is also why we have an "Extreme" trade that shows on our list entered on Sep 13, 2012 when if fact it was three trades consolidated into one.

Summary Statistics

Strategy began
2011-11-22
Suggested Minimum Capital
$40,000
# Trades
61
# Profitable
32
% Profitable
52.5%
Correlation S&P500
-0.027
Sharpe Ratio
-0.08
Sortino Ratio
-0.11
Beta
-0.04
Alpha
-0.00

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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