Collective2 Collective2
Featured Strategy Algotrading StocksV21/11 Followed by live capital $6,600 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
Watchlist Watchlist More...

Jazz in the Club
(74416381)

Created by: AndresPadrones AndresPadrones
Started: 06/2012
Futures
Last trade: 3,438 days ago
Subscriptions not currently available.

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 $99.00 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.

15.2%
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.

(29.2%)
Max Drawdown
1591
Num Trades
37.2%
Win Trades
1.1 : 1
Profit Factor
15.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                   +5.6%+8.0%+8.8%(2.1%)+0.6%+15.6%+1.8%+43.9%
2013(5.9%)+2.2%(8.6%)+28.5%(9.3%)+6.9%(7.5%)+6.6%(14.2%)+3.2%+10.0%(2.5%)+2.6%
2014(1.3%)+5.1%(7.6%)+12.9%+2.2%+10.9%+3.5%+0.2%(6.7%)+0.9%+11.1%(3%)+29.0%
2015+3.5%(0.4%)(4.8%)(12.4%)(12.7%)(2.4%)  -    -    -    -    -    -  (26.7%)
2016  -    -  +1.0%+0.1%(0.1%)  -    -    -    -  (0.1%)  -    -  +0.8%
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 72 hours.

Trading Record

This strategy has placed 62 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/9/15 14:09 QRBN5 RBOB Gasoline LONG 1 2.0801 6/25 17:10 2.0345 0%
Trade id #94901393
Max drawdown$0
Time6/17/15 6:01
Quant open
Worst price2.0035
Drawdown as % of equity0.00%
 ($1,923)
Includes Typical Broker Commissions trade costs of $8.00
6/2/15 9:30 @SN5 SOYBEANS LONG 1 937 2/4 6/15 6:30 931 3/4 0.03%
Trade id #94753327
Max drawdown$25
Time6/10/15 9:31
Quant open
Worst price932
Drawdown as % of equity0.03%
 ($296)
Includes Typical Broker Commissions trade costs of $8.00
6/1/15 7:32 @USM5 US T-BOND SHORT 1 156 6/32 6/12 10:48 153 6/32 0%
Trade id #94722374
Max drawdown$3
Time6/10/15 12:15
Quant open
Worst price153
Drawdown as % of equity0.00%
 $2,993
Includes Typical Broker Commissions trade costs of $8.00
6/4/15 8:00 @OJN5 Orange Juice LONG 2 113.95 6/11 10:19 123.80 0.01%
Trade id #94804564
Max drawdown$9
Time6/9/15 10:56
Quant open
Worst price121.10
Drawdown as % of equity0.01%
 $2,939
Includes Typical Broker Commissions trade costs of $16.00
5/29/15 13:12 @HEM5 LEAN HOGS SHORT 1 83.350 6/11 10:19 81.450 0%
Trade id #94704358
Max drawdown$1
Time5/29/15 13:18
Quant open
Worst price84.700
Drawdown as % of equity0.00%
 $752
Includes Typical Broker Commissions trade costs of $8.00
6/8/15 7:10 @CCN5 COCOA LONG 2 3121 6/11 10:19 3101 0.16%
Trade id #94859449
Max drawdown$134
Time6/10/15 8:01
Quant open
Worst price3090
Drawdown as % of equity0.16%
 ($416)
Includes Typical Broker Commissions trade costs of $16.00
6/3/15 5:32 QRBN5 RBOB Gasoline SHORT 1 2.0197 6/9 14:08 2.0801 0%
Trade id #94776236
Max drawdown$0
Time6/5/15 9:30
Quant open
Worst price2.0757
Drawdown as % of equity0.00%
 ($2,545)
Includes Typical Broker Commissions trade costs of $8.00
6/9/15 4:40 QGCM5 Gold 100 oz LONG 1 1178.6 6/9 4:40 1180.0 n/a $132
Includes Typical Broker Commissions trade costs of $8.00
6/3/15 12:46 QGCM5 Gold 100 oz SHORT 1 1180.3 6/9 4:40 1178.6 0%
Trade id #94787399
Max drawdown$1
Time6/3/15 12:47
Quant open
Worst price1179.1
Drawdown as % of equity0.00%
 $162
Includes Typical Broker Commissions trade costs of $8.00
6/5/15 4:51 @CCN5 COCOA SHORT 2 3099 6/8 7:10 3121 0.11%
Trade id #94827770
Max drawdown$94
Time6/5/15 9:41
Quant open
Worst price3114
Drawdown as % of equity0.11%
 ($456)
Includes Typical Broker Commissions trade costs of $16.00
6/2/15 12:28 @CCN5 COCOA LONG 2 3121 6/5 4:50 3099 0.1%
Trade id #94760146
Max drawdown$86
Time6/4/15 4:46
Quant open
Worst price3100
Drawdown as % of equity0.10%
 ($456)
Includes Typical Broker Commissions trade costs of $16.00
6/2/15 11:22 @OJN5 Orange Juice SHORT 2 113.60 6/4 8:00 113.95 0.01%
Trade id #94758225
Max drawdown$4
Time6/2/15 13:30
Quant open
Worst price113.40
Drawdown as % of equity0.01%
 ($121)
Includes Typical Broker Commissions trade costs of $16.00
6/2/15 18:20 QGCM5 Gold 100 oz LONG 1 1193.3 6/3 12:46 1180.3 0.01%
Trade id #94767467
Max drawdown$9
Time6/2/15 20:44
Quant open
Worst price1184.4
Drawdown as % of equity0.01%
 ($1,308)
Includes Typical Broker Commissions trade costs of $8.00
5/29/15 10:10 QRBN5 RBOB Gasoline LONG 1 2.0070 6/3 5:32 2.0197 0%
Trade id #94698618
Max drawdown$0
Time5/29/15 14:13
Quant open
Worst price2.0212
Drawdown as % of equity0.00%
 $525
Includes Typical Broker Commissions trade costs of $8.00
5/28/15 10:54 @CCN5 COCOA SHORT 2 3108 6/2 12:28 3121 0.17%
Trade id #94674012
Max drawdown$134
Time6/1/15 11:48
Quant open
Worst price3119
Drawdown as % of equity0.17%
 ($276)
Includes Typical Broker Commissions trade costs of $16.00
5/28/15 10:51 @OJN5 Orange Juice LONG 2 114.95 6/2 11:22 113.60 0.01%
Trade id #94673953
Max drawdown$8
Time6/2/15 9:01
Quant open
Worst price113.70
Drawdown as % of equity0.01%
 ($421)
Includes Typical Broker Commissions trade costs of $16.00
6/1/15 9:42 @SN5 SOYBEANS SHORT 1 922 6/2 9:30 937 2/4 0.01%
Trade id #94725778
Max drawdown$11
Time6/1/15 9:43
Quant open
Worst price934 2/4
Drawdown as % of equity0.01%
 ($783)
Includes Typical Broker Commissions trade costs of $8.00
5/29/15 12:25 @SN5 SOYBEANS LONG 1 936 2/4 6/1 9:42 922 0.02%
Trade id #94703222
Max drawdown$15
Time5/29/15 12:29
Quant open
Worst price922 2/4
Drawdown as % of equity0.02%
 ($733)
Includes Typical Broker Commissions trade costs of $8.00
5/15/15 10:30 @USM5 US T-BOND LONG 1 155 1/32 6/1 7:31 156 6/32 0%
Trade id #94450567
Max drawdown$3
Time5/15/15 14:24
Quant open
Worst price151 28/32
Drawdown as % of equity0.00%
 $1,148
Includes Typical Broker Commissions trade costs of $8.00
5/28/15 4:10 QGCM5 Gold 100 oz LONG 1 1190.5 5/30 9:24 1190.3 0.02%
Trade id #94665055
Max drawdown$12
Time5/28/15 4:11
Quant open
Worst price1179.6
Drawdown as % of equity0.02%
 ($28)
Includes Typical Broker Commissions trade costs of $8.00
5/21/15 12:32 @HEM5 LEAN HOGS LONG 1 83.450 5/29 13:12 83.350 0%
Trade id #94558157
Max drawdown$1
Time5/28/15 11:21
Quant open
Worst price83.375
Drawdown as % of equity0.00%
 ($48)
Includes Typical Broker Commissions trade costs of $8.00
5/19/15 9:31 @SN5 SOYBEANS SHORT 1 948 1/4 5/29 12:25 936 2/4 0.02%
Trade id #94502205
Max drawdown$14
Time5/26/15 13:51
Quant open
Worst price935 2/4
Drawdown as % of equity0.02%
 $580
Includes Typical Broker Commissions trade costs of $8.00
5/26/15 9:02 QRBN5 RBOB Gasoline SHORT 1 2.0198 5/29 10:09 2.0070 0%
Trade id #94616215
Max drawdown$0
Time5/28/15 10:55
Quant open
Worst price1.9946
Drawdown as % of equity0.00%
 $530
Includes Typical Broker Commissions trade costs of $8.00
5/21/15 4:45 @CCN5 COCOA LONG 2 3153 5/28 10:53 3108 0.17%
Trade id #94547665
Max drawdown$144
Time5/21/15 9:00
Quant open
Worst price3109
Drawdown as % of equity0.17%
 ($916)
Includes Typical Broker Commissions trade costs of $16.00
5/26/15 13:29 @OJN5 Orange Juice SHORT 2 114.90 5/28 10:50 114.95 0.01%
Trade id #94625812
Max drawdown$5
Time5/28/15 8:06
Quant open
Worst price114.15
Drawdown as % of equity0.01%
 ($31)
Includes Typical Broker Commissions trade costs of $16.00
5/26/15 2:20 QGCM5 Gold 100 oz SHORT 1 1199.9 5/28 4:10 1190.5 0.01%
Trade id #94609665
Max drawdown$4
Time5/27/15 8:23
Quant open
Worst price1189.3
Drawdown as % of equity0.01%
 $932
Includes Typical Broker Commissions trade costs of $8.00
5/27/15 2:02 MXEM5 MDAX SHORT 1 20651.00 5/27 2:02 20548.00 n/a $554
Includes Typical Broker Commissions trade costs of $8.00
5/15/15 3:04 MXEM5 MDAX LONG 1 20679.00 5/27 2:02 20651.00 n/a ($161)
Includes Typical Broker Commissions trade costs of $8.00
5/19/15 12:38 @OJN5 Orange Juice LONG 2 113.20 5/26 13:29 114.90 0.01%
Trade id #94508760
Max drawdown$7
Time5/22/15 13:33
Quant open
Worst price115.15
Drawdown as % of equity0.01%
 $494
Includes Typical Broker Commissions trade costs of $16.00
5/25/15 11:04 QRBN5 RBOB Gasoline LONG 1 2.0751 5/26 9:01 2.0198 0%
Trade id #94600196
Max drawdown$0
Time5/25/15 11:31
Quant open
Worst price2.0223
Drawdown as % of equity0.00%
 ($2,331)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    6/10/2012
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4538.02
  • Age
    152 months ago
  • What it trades
    Futures
  • # Trades
    1591
  • # Profitable
    592
  • % Profitable
    37.20%
  • Avg trade duration
    4.6 days
  • Max peak-to-valley drawdown
    29.24%
  • drawdown period
    March 26, 2015 - June 03, 2015
  • Annual Return (Compounded)
    15.2%
  • Avg win
    $1,468
  • Avg loss
    $799.04
  • Model Account Values (Raw)
  • Cash
    $171,155
  • Margin Used
    $0
  • Buying Power
    $171,155
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    0.11
  • Sortino Ratio
    0.16
  • Calmar Ratio
    0.451
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -3.76%
  • Correlation to SP500
    -0.02510
  • Return Percent SP500 (cumu) during strategy life
    348.74%
  • Return Statistics
  • Ann Return (w trading costs)
    15.2%
  • Slump
  • Current Slump as Pcnt Equity
    44.80%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.80%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.152%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    52.00%
  • Chance of 20% account loss
    19.00%
  • Chance of 30% account loss
    3.50%
  • 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)
    100.00%
  • 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)
    828
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    393
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $799
  • Avg Win
    $1,469
  • Sum Trade PL (losers)
    $798,236.000
  • Age
  • Num Months filled monthly returns table
    150
  • Win / Loss
  • Sum Trade PL (winners)
    $869,369.000
  • # Winners
    592
  • Num Months Winners
    26
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    999
  • % Winners
    37.2%
  • Frequency
  • Avg Position Time (mins)
    6647.43
  • Avg Position Time (hrs)
    110.79
  • Avg Trade Length
    4.6 days
  • Last Trade Ago
    3167
  • Regression
  • Alpha
    0.01
  • Beta
    -0.02
  • Treynor Index
    -0.23
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    2.57
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.50
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.269
  • 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
    0.000
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.000
  • Hold-and-Hope Ratio
    0.306
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20646
  • SD
    0.26471
  • Sharpe ratio (Glass type estimate)
    0.77993
  • Sharpe ratio (Hedges UMVUE)
    0.76355
  • df
    36.00000
  • t
    1.36951
  • p
    0.08966
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35584
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90524
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36649
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89359
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31502
  • Upside Potential Ratio
    3.04656
  • Upside part of mean
    0.47831
  • Downside part of mean
    -0.27185
  • Upside SD
    0.21698
  • Downside SD
    0.15700
  • N nonnegative terms
    22.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.14740
  • Mean of criterion
    0.20646
  • SD of predictor
    0.09180
  • SD of criterion
    0.26471
  • Covariance
    -0.00689
  • r
    -0.28348
  • b (slope, estimate of beta)
    -0.81748
  • a (intercept, estimate of alpha)
    0.32695
  • Mean Square Error
    0.06628
  • DF error
    35.00000
  • t(b)
    -1.74884
  • p(b)
    0.95546
  • t(a)
    2.01822
  • p(a)
    0.02564
  • Lowerbound of 95% confidence interval for beta
    -1.76644
  • Upperbound of 95% confidence interval for beta
    0.13148
  • Lowerbound of 95% confidence interval for alpha
    -0.00193
  • Upperbound of 95% confidence interval for alpha
    0.65583
  • Treynor index (mean / b)
    -0.25255
  • Jensen alpha (a)
    0.32695
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17122
  • SD
    0.26264
  • Sharpe ratio (Glass type estimate)
    0.65193
  • Sharpe ratio (Hedges UMVUE)
    0.63823
  • df
    36.00000
  • t
    1.14474
  • p
    0.12993
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47871
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77375
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48765
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76411
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02861
  • Upside Potential Ratio
    2.74037
  • Upside part of mean
    0.45617
  • Downside part of mean
    -0.28494
  • Upside SD
    0.20458
  • Downside SD
    0.16646
  • N nonnegative terms
    22.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.14239
  • Mean of criterion
    0.17122
  • SD of predictor
    0.09054
  • SD of criterion
    0.26264
  • Covariance
    -0.00695
  • r
    -0.29217
  • b (slope, estimate of beta)
    -0.84757
  • a (intercept, estimate of alpha)
    0.29191
  • Mean Square Error
    0.06490
  • DF error
    35.00000
  • t(b)
    -1.80734
  • p(b)
    0.96035
  • t(a)
    1.82779
  • p(a)
    0.03806
  • Lowerbound of 95% confidence interval for beta
    -1.79960
  • Upperbound of 95% confidence interval for beta
    0.10447
  • Lowerbound of 95% confidence interval for alpha
    -0.03231
  • Upperbound of 95% confidence interval for alpha
    0.61613
  • Treynor index (mean / b)
    -0.20202
  • Jensen alpha (a)
    0.29191
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10456
  • Expected Shortfall on VaR
    0.13215
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04571
  • Expected Shortfall on VaR
    0.09124
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    37.00000
  • Minimum
    0.84491
  • Quartile 1
    0.97307
  • Median
    1.02713
  • Quartile 3
    1.06376
  • Maximum
    1.16873
  • Mean of quarter 1
    0.92441
  • Mean of quarter 2
    1.00244
  • Mean of quarter 3
    1.04204
  • Mean of quarter 4
    1.11365
  • Inter Quartile Range
    0.09068
  • 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)
    -0.07675
  • VaR(95%) (moments method)
    0.06861
  • Expected Shortfall (moments method)
    0.09163
  • Extreme Value Index (regression method)
    -0.18995
  • VaR(95%) (regression method)
    0.08644
  • Expected Shortfall (regression method)
    0.11205
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.02548
  • Quartile 1
    0.06086
  • Median
    0.08101
  • Quartile 3
    0.12281
  • Maximum
    0.21114
  • Mean of quarter 1
    0.02620
  • Mean of quarter 2
    0.07589
  • Mean of quarter 3
    0.09582
  • Mean of quarter 4
    0.18735
  • Inter Quartile Range
    0.06195
  • 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)
    0.24268
  • Compounded annual return (geometric extrapolation)
    0.19862
  • Calmar ratio (compounded annual return / max draw down)
    0.94071
  • Compounded annual return / average of 25% largest draw downs
    1.06020
  • Compounded annual return / Expected Shortfall lognormal
    1.50306
  • 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
    0.20070
  • SD
    0.19280
  • Sharpe ratio (Glass type estimate)
    1.04096
  • Sharpe ratio (Hedges UMVUE)
    1.04023
  • df
    1072.00000
  • t
    1.83847
  • p
    0.47197
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06990
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15136
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07039
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15086
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.56776
  • Upside Potential Ratio
    10.93920
  • Upside part of mean
    1.40041
  • Downside part of mean
    -1.19971
  • Upside SD
    0.14445
  • Downside SD
    0.12802
  • N nonnegative terms
    548.00000
  • N negative terms
    525.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1073.00000
  • Mean of predictor
    0.14100
  • Mean of criterion
    0.20070
  • SD of predictor
    0.11485
  • SD of criterion
    0.19280
  • Covariance
    -0.00095
  • r
    -0.04285
  • b (slope, estimate of beta)
    -0.07194
  • a (intercept, estimate of alpha)
    0.10800
  • Mean Square Error
    0.03714
  • DF error
    1071.00000
  • t(b)
    -1.40371
  • p(b)
    0.52727
  • t(a)
    1.92804
  • p(a)
    0.46258
  • Lowerbound of 95% confidence interval for beta
    -0.17250
  • Upperbound of 95% confidence interval for beta
    0.02862
  • Lowerbound of 95% confidence interval for alpha
    -0.00373
  • Upperbound of 95% confidence interval for alpha
    0.42542
  • Treynor index (mean / b)
    -2.78984
  • Jensen alpha (a)
    0.21084
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18212
  • SD
    0.19248
  • Sharpe ratio (Glass type estimate)
    0.94613
  • Sharpe ratio (Hedges UMVUE)
    0.94546
  • df
    1072.00000
  • t
    1.67098
  • p
    0.47452
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16455
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05640
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16501
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05594
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.40951
  • Upside Potential Ratio
    10.75870
  • Upside part of mean
    1.39008
  • Downside part of mean
    -1.20797
  • Upside SD
    0.14289
  • Downside SD
    0.12920
  • N nonnegative terms
    548.00000
  • N negative terms
    525.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1073.00000
  • Mean of predictor
    0.13438
  • Mean of criterion
    0.18212
  • SD of predictor
    0.11485
  • SD of criterion
    0.19248
  • Covariance
    -0.00096
  • r
    -0.04362
  • b (slope, estimate of beta)
    -0.07311
  • a (intercept, estimate of alpha)
    0.19194
  • Mean Square Error
    0.03701
  • DF error
    1071.00000
  • t(b)
    -1.42895
  • p(b)
    0.52776
  • t(a)
    1.75848
  • p(a)
    0.46586
  • Lowerbound of 95% confidence interval for beta
    -0.17351
  • Upperbound of 95% confidence interval for beta
    0.02728
  • Lowerbound of 95% confidence interval for alpha
    -0.02223
  • Upperbound of 95% confidence interval for alpha
    0.40612
  • Treynor index (mean / b)
    -2.49090
  • Jensen alpha (a)
    0.19194
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01640
  • Expected Shortfall on VaR
    0.02065
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00795
  • Expected Shortfall on VaR
    0.01533
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1073.00000
  • Minimum
    0.96564
  • Quartile 1
    0.99477
  • Median
    1.00018
  • Quartile 3
    1.00617
  • Maximum
    1.04952
  • Mean of quarter 1
    0.98789
  • Mean of quarter 2
    0.99825
  • Mean of quarter 3
    1.00296
  • Mean of quarter 4
    1.01339
  • Inter Quartile Range
    0.01140
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.01771
  • Mean of outliers low
    0.97207
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.02050
  • Mean of outliers high
    1.03169
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09153
  • VaR(95%) (moments method)
    0.01150
  • Expected Shortfall (moments method)
    0.01482
  • Extreme Value Index (regression method)
    -0.14735
  • VaR(95%) (regression method)
    0.01163
  • Expected Shortfall (regression method)
    0.01470
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    43.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00393
  • Median
    0.01011
  • Quartile 3
    0.05194
  • Maximum
    0.23342
  • Mean of quarter 1
    0.00156
  • Mean of quarter 2
    0.00721
  • Mean of quarter 3
    0.03140
  • Mean of quarter 4
    0.11814
  • Inter Quartile Range
    0.04801
  • 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
    0.09302
  • Mean of outliers high
    0.18619
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.02910
  • VaR(95%) (moments method)
    0.11393
  • Expected Shortfall (moments method)
    0.15185
  • Extreme Value Index (regression method)
    -0.08012
  • VaR(95%) (regression method)
    0.13167
  • Expected Shortfall (regression method)
    0.17428
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26304
  • Compounded annual return (geometric extrapolation)
    0.21175
  • Calmar ratio (compounded annual return / max draw down)
    0.90714
  • Compounded annual return / average of 25% largest draw downs
    1.79236
  • Compounded annual return / Expected Shortfall lognormal
    10.25230
  • 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
    -0.43260
  • SD
    0.16395
  • Sharpe ratio (Glass type estimate)
    -2.63857
  • Sharpe ratio (Hedges UMVUE)
    -2.62699
  • df
    171.00000
  • t
    -1.86575
  • p
    0.58962
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.42064
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.15101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.41274
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15877
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.20147
  • Upside Potential Ratio
    7.05347
  • Upside part of mean
    0.95310
  • Downside part of mean
    -1.38569
  • Upside SD
    0.09492
  • Downside SD
    0.13512
  • N nonnegative terms
    84.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.10313
  • Mean of criterion
    -0.43260
  • SD of predictor
    0.12244
  • SD of criterion
    0.16395
  • Covariance
    -0.00199
  • r
    -0.09903
  • b (slope, estimate of beta)
    -0.13260
  • a (intercept, estimate of alpha)
    -0.41892
  • Mean Square Error
    0.02677
  • DF error
    170.00000
  • t(b)
    -1.29752
  • p(b)
    0.54951
  • t(a)
    -1.80851
  • p(a)
    0.56869
  • Lowerbound of 95% confidence interval for beta
    -0.33434
  • Upperbound of 95% confidence interval for beta
    0.06914
  • Lowerbound of 95% confidence interval for alpha
    -0.87618
  • Upperbound of 95% confidence interval for alpha
    0.03834
  • Treynor index (mean / b)
    3.26238
  • Jensen alpha (a)
    -0.41892
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.44628
  • SD
    0.16439
  • Sharpe ratio (Glass type estimate)
    -2.71470
  • Sharpe ratio (Hedges UMVUE)
    -2.70278
  • df
    171.00000
  • t
    -1.91958
  • p
    0.59213
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.49748
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.07581
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.48934
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08379
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.27611
  • Upside Potential Ratio
    6.96368
  • Upside part of mean
    0.94860
  • Downside part of mean
    -1.39488
  • Upside SD
    0.09429
  • Downside SD
    0.13622
  • N nonnegative terms
    84.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.09567
  • Mean of criterion
    -0.44628
  • SD of predictor
    0.12226
  • SD of criterion
    0.16439
  • Covariance
    -0.00198
  • r
    -0.09862
  • b (slope, estimate of beta)
    -0.13260
  • a (intercept, estimate of alpha)
    -0.43359
  • Mean Square Error
    0.02692
  • DF error
    170.00000
  • t(b)
    -1.29214
  • p(b)
    0.54931
  • t(a)
    -1.86699
  • p(a)
    0.57087
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    -0.33518
  • Upperbound of 95% confidence interval for beta
    0.06997
  • Lowerbound of 95% confidence interval for alpha
    -0.89204
  • Upperbound of 95% confidence interval for alpha
    0.02486
  • Treynor index (mean / b)
    3.36558
  • Jensen alpha (a)
    -0.43359
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01575
  • Expected Shortfall on VaR
    0.01938
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00951
  • Expected Shortfall on VaR
    0.01723
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.97480
  • Quartile 1
    0.99335
  • Median
    0.99982
  • Quartile 3
    1.00448
  • Maximum
    1.02782
  • Mean of quarter 1
    0.98678
  • Mean of quarter 2
    0.99717
  • Mean of quarter 3
    1.00202
  • Mean of quarter 4
    1.00911
  • Inter Quartile Range
    0.01113
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00581
  • Mean of outliers low
    0.97480
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00581
  • Mean of outliers high
    1.02782
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32065
  • VaR(95%) (moments method)
    0.01359
  • Expected Shortfall (moments method)
    0.01610
  • Extreme Value Index (regression method)
    -0.44555
  • VaR(95%) (regression method)
    0.01275
  • Expected Shortfall (regression method)
    0.01453
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.05758
  • Quartile 1
    0.08176
  • Median
    0.10594
  • Quartile 3
    0.16968
  • Maximum
    0.23342
  • Mean of quarter 1
    0.05758
  • Mean of quarter 2
    0.10594
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23342
  • Inter Quartile Range
    0.08792
  • 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
  • Max Equity Drawdown (num days)
    69
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.39201
  • Compounded annual return (geometric extrapolation)
    -0.35359
  • Calmar ratio (compounded annual return / max draw down)
    -1.51481
  • Compounded annual return / average of 25% largest draw downs
    -1.51481
  • Compounded annual return / Expected Shortfall lognormal
    -18.24120

Strategy Description

In first time, sorry for my English level, it´s not good.

I´d like to comment some aspects of my system.

I think it´s important to know the system than each one works with. Know the mechanic is important to be quiet when system have negative periods or keeps opened some positions than user don´t knows why.

System had suscribers in numerous times and when it had a drawdown period suscribers leave it. In all times, some weeks after, system wons enought points to give a new equity curve maximum. These suscribers sent me emails asking if I think than system will continue earning money. Obviously the problem if than they don´t know the system and have fear, I think it´s normal (there are a lot of systems on C2 with money management tricks to appears winner systems).

My system is focused on medium-term trading. Can have negative months, even some consecutive, and isn´t a problem: the system is winner in medium term.

System have positive mathematician expectation with low drawdown and low risk. Keep in mind than works with some instruments at same time, so the starting capital should be since 80.000 USD.

You can download complete system paper here:

http://sites.google.com/site/sitiodeandrespadrones/Jazz%20in%20the%20Club%20-%20System%20description%20report.pdf

In last time, I´d like to comment what my system is not TOS.

Isn´t because I don´t have the 80.000 USD necessary to work with him. I´m thirty and I don´t have enougth savings to let it myself.

Nowdays I´m working to develop a reduced system version than works with less instruments and have less capital requeriments. I expect to publish it with TOS in C2 early.

Name: Jazz in the Club
Type: shortterm day trading
Position: long/short
Ordertyp: limit, orders be charged at night
Stop: dynamic stop
Underlying: robust DD

GC Gold Futures
MDAX Medium Cap DAX Futures
Soybeans futures
Wheat futures
Corn futures

Market: GLOBEX / EUREX
Initial margin:minimun 30.000 USD per each contract if you want trade some of them only. 80.000 USD to trade the eight assets at same time. Initial capital is not additive because negative periods in some assets are compensated for positive periods in another assets.

Note:
- Inital operative in C2 is with one contract
- 100% automated
- Expect drawdown of 15% - 30% each contract. For all contracts maximun expected DD is 40% (DD are not aditive).
- Backtesting over 7 years, over 10 years in miny gold futures


How to trade:
Please understand that trade drawn downs and losses are expected,common, and unavoidable. Please be diligent in reviewing this system (or any system).

Orders are generated at night, between 0.00h - 01.15h (GMT + 1), and must be introduced in your broker to trading for next 24 hours.


DISCLAIMER:
Past performance is no guarantee of future results.

Summary Statistics

Strategy began
2012-06-10
Suggested Minimum Capital
$90,000
# Trades
1591
# Profitable
592
% Profitable
37.2%
Correlation S&P500
-0.025
Sharpe Ratio
0.11
Sortino Ratio
0.16
Beta
-0.02
Alpha
0.01

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.