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These are hypothetical performance results that have certain inherent limitations. Learn more
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Futures Growth Fund
(75478779)

Created by: BryanHolden BryanHolden
Started: 07/2012
Futures
Last trade: 3,430 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. You can subscribe to this system for free.

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.

3.6%
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.

(11.2%)
Max Drawdown
314
Num Trades
38.2%
Win Trades
1.3 : 1
Profit Factor
12.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                          +4.9%+8.3%+0.8%+8.2%+2.4%+4.0%+32.0%
2013(3.6%)+4.1%+5.1%+5.9%+5.1%(1.3%)+1.7%+3.0%(2%)(3%)+5.6%+0.4%+22.3%
2014+0.6%(3.4%)+1.7%(1.5%)(2.2%)+1.2%+0.7%(2.7%)  -    -  (0.9%)  -  (6.3%)
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

This strategy has placed 589 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
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/4/14 7:55 QCLF5 CRUDE OIL SHORT 2 66.86 12/4 9:51 66.80 0.38%
Trade id #91141072
Max drawdown($610)
Time12/4/14 8:46
Quant open-2
Worst price67.16
Drawdown as % of equity-0.38%
 $94
Includes Typical Broker Commissions trade costs of $16.00
11/18/14 4:19 QCLF5 CRUDE OIL LONG 2 76.20 11/18 7:34 75.53 0.83%
Trade id #90850932
Max drawdown($1,340)
Time11/18/14 7:34
Quant open0
Worst price75.53
Drawdown as % of equity-0.83%
 ($1,356)
Includes Typical Broker Commissions trade costs of $16.00
8/26/14 9:09 QCLV4 CRUDE OIL LONG 3 94.05 8/26 12:03 93.39 1.21%
Trade id #89281450
Max drawdown($2,001)
Time8/26/14 12:03
Quant open0
Worst price93.39
Drawdown as % of equity-1.21%
 ($2,025)
Includes Typical Broker Commissions trade costs of $24.00
8/21/14 9:21 QCLV4 CRUDE OIL LONG 3 93.58 8/22 3:15 93.58 0.32%
Trade id #89209039
Max drawdown($520)
Time8/21/14 9:32
Quant open3
Worst price93.41
Drawdown as % of equity-0.32%
 ($35)
Includes Typical Broker Commissions trade costs of $24.00
8/6/14 11:42 @SX4 SOYBEANS LONG 3 1076 1/4 8/12 11:31 1062 4/4 1.2%
Trade id #88951861
Max drawdown($1,997)
Time8/12/14 11:31
Quant open0
Worst price1062 4/4
Drawdown as % of equity-1.20%
 ($2,021)
Includes Typical Broker Commissions trade costs of $24.00
7/24/14 23:10 QCLU4 CRUDE OIL SHORT 3 101.86 7/25 10:40 101.32 0.67%
Trade id #88750761
Max drawdown($1,107)
Time7/25/14 4:42
Quant open-3
Worst price102.23
Drawdown as % of equity-0.67%
 $1,610
Includes Typical Broker Commissions trade costs of $24.00
7/15/14 21:48 @SX4 SOYBEANS LONG 3 1088 2/4 7/20 20:00 1075 3/4 1.13%
Trade id #88593887
Max drawdown($1,896)
Time7/20/14 20:00
Quant open0
Worst price1075 3/4
Drawdown as % of equity-1.13%
 ($1,920)
Includes Typical Broker Commissions trade costs of $24.00
7/7/14 3:30 @SBV4 Sugar #11 SHORT 3 17.74 7/16 3:33 17.27 0.08%
Trade id #88450042
Max drawdown($134)
Time7/8/14 11:48
Quant open-3
Worst price17.78
Drawdown as % of equity-0.08%
 $1,555
Includes Typical Broker Commissions trade costs of $24.00
6/23/14 3:30 @SBN4 Sugar #11 LONG 3 17.95 6/23 9:22 17.78 0.34%
Trade id #88225469
Max drawdown($571)
Time6/23/14 9:22
Quant open0
Worst price17.78
Drawdown as % of equity-0.34%
 ($595)
Includes Typical Broker Commissions trade costs of $24.00
6/12/14 3:14 QCLN4 CRUDE OIL LONG 3 104.83 6/12 5:47 105.70 0.14%
Trade id #88068141
Max drawdown($228)
Time6/12/14 3:16
Quant open3
Worst price104.75
Drawdown as % of equity-0.14%
 $2,604
Includes Typical Broker Commissions trade costs of $24.00
6/4/14 1:38 QCLN4 CRUDE OIL LONG 3 102.87 6/4 11:33 102.85 0.13%
Trade id #87912369
Max drawdown($210)
Time6/4/14 1:52
Quant open3
Worst price102.80
Drawdown as % of equity-0.13%
 ($81)
Includes Typical Broker Commissions trade costs of $24.00
5/23/14 8:55 QCLN4 CRUDE OIL LONG 3 104.22 5/27 9:32 103.57 1.19%
Trade id #87730865
Max drawdown($1,956)
Time5/27/14 9:32
Quant open0
Worst price103.57
Drawdown as % of equity-1.19%
 ($1,980)
Includes Typical Broker Commissions trade costs of $24.00
5/23/14 4:00 @EUM4 EUROFX LONG 3 1.36340 5/27 8:22 1.36333 0.45%
Trade id #87726798
Max drawdown($750)
Time5/23/14 6:58
Quant open3
Worst price1.36140
Drawdown as % of equity-0.45%
 ($50)
Includes Typical Broker Commissions trade costs of $24.00
5/18/14 23:17 QCLN4 CRUDE OIL LONG 3 101.77 5/20 10:08 101.77 0.2%
Trade id #87624551
Max drawdown($339)
Time5/19/14 1:33
Quant open3
Worst price101.66
Drawdown as % of equity-0.20%
 ($33)
Includes Typical Broker Commissions trade costs of $24.00
5/13/14 4:13 @BPM4 BRITISH POUND LONG 3 1.6838 5/14 4:59 1.6803 0.4%
Trade id #87533537
Max drawdown($662)
Time5/14/14 4:59
Quant open0
Worst price1.6803
Drawdown as % of equity-0.40%
 ($686)
Includes Typical Broker Commissions trade costs of $24.00
5/13/14 5:46 QCLM4 CRUDE OIL LONG 3 100.93 5/13 9:41 100.93 0%
Trade id #87534668
Max drawdown($6)
Time5/13/14 9:41
Quant open0
Worst price100.93
Drawdown as % of equity-0.00%
 ($30)
Includes Typical Broker Commissions trade costs of $24.00
5/7/14 4:07 QCLM4 CRUDE OIL LONG 3 100.44 5/7 13:15 100.42 1.17%
Trade id #87431999
Max drawdown($1,959)
Time5/7/14 10:17
Quant open3
Worst price99.79
Drawdown as % of equity-1.17%
 ($105)
Includes Typical Broker Commissions trade costs of $24.00
5/6/14 0:30 @BPM4 BRITISH POUND SHORT 3 1.6883 5/6 3:15 1.6903 0.23%
Trade id #87403338
Max drawdown($384)
Time5/6/14 3:15
Quant open0
Worst price1.6904
Drawdown as % of equity-0.23%
 ($408)
Includes Typical Broker Commissions trade costs of $24.00
4/30/14 9:00 @BPM4 BRITISH POUND SHORT 3 1.6847 4/30 11:01 1.6883 0.4%
Trade id #87315314
Max drawdown($675)
Time4/30/14 11:01
Quant open0
Worst price1.6883
Drawdown as % of equity-0.40%
 ($699)
Includes Typical Broker Commissions trade costs of $24.00
4/22/14 8:18 QCLM4 CRUDE OIL SHORT 3 102.95 4/22 9:40 102.06 0.01%
Trade id #87167916
Max drawdown($9)
Time4/22/14 8:20
Quant open-3
Worst price102.95
Drawdown as % of equity-0.01%
 $2,637
Includes Typical Broker Commissions trade costs of $24.00
4/4/14 2:33 @SK4 SOYBEANS LONG 3 1481 1/4 4/4 10:46 1468 1.19%
Trade id #86859408
Max drawdown($1,973)
Time4/4/14 10:46
Quant open0
Worst price1468
Drawdown as % of equity-1.19%
 ($1,997)
Includes Typical Broker Commissions trade costs of $24.00
4/4/14 7:42 QGCM4 Gold 100 oz LONG 3 1295.1 4/4 8:30 1287.9 1.28%
Trade id #86862534
Max drawdown($2,154)
Time4/4/14 8:30
Quant open0
Worst price1287.9
Drawdown as % of equity-1.28%
 ($2,178)
Includes Typical Broker Commissions trade costs of $24.00
3/17/14 0:08 @ADM4 AUSTRALIAN DOLLAR LONG 6 0.8995 3/18 10:20 0.9052 0.17%
Trade id #86497432
Max drawdown($273)
Time3/17/14 0:12
Quant open6
Worst price0.8990
Drawdown as % of equity-0.17%
 $3,392
Includes Typical Broker Commissions trade costs of $48.00
3/14/14 7:08 QCLJ4 CRUDE OIL LONG 3 98.62 3/14 9:59 98.58 0.18%
Trade id #86476439
Max drawdown($300)
Time3/14/14 8:15
Quant open3
Worst price98.52
Drawdown as % of equity-0.18%
 ($153)
Includes Typical Broker Commissions trade costs of $24.00
3/11/14 3:55 @EUM4 EUROFX LONG 3 1.38500 3/12 12:19 1.39070 0.41%
Trade id #86392280
Max drawdown($675)
Time3/11/14 7:16
Quant open3
Worst price1.38320
Drawdown as % of equity-0.41%
 $2,114
Includes Typical Broker Commissions trade costs of $24.00
3/11/14 4:05 QGCJ4 Gold 100 oz LONG 3 1345.5 3/11 11:49 1341.3 0.76%
Trade id #86392437
Max drawdown($1,265)
Time3/11/14 11:49
Quant open0
Worst price1341.3
Drawdown as % of equity-0.76%
 ($1,287)
Includes Typical Broker Commissions trade costs of $24.00
3/6/14 2:40 QGCJ4 Gold 100 oz SHORT 3 1332.6 3/6 4:18 1336.6 0.73%
Trade id #86316720
Max drawdown($1,206)
Time3/6/14 4:18
Quant open0
Worst price1336.6
Drawdown as % of equity-0.73%
 ($1,230)
Includes Typical Broker Commissions trade costs of $24.00
2/21/14 11:54 QCLJ4 CRUDE OIL LONG 3 101.93 2/25 7:59 101.37 1.01%
Trade id #86107296
Max drawdown($1,687)
Time2/25/14 7:59
Quant open0
Worst price101.37
Drawdown as % of equity-1.01%
 ($1,710)
Includes Typical Broker Commissions trade costs of $24.00
2/14/14 3:41 @SBH4 Sugar #11 SHORT 3 15.55 2/18 3:36 15.71 0.33%
Trade id #85792793
Max drawdown($553)
Time2/18/14 3:36
Quant open0
Worst price15.71
Drawdown as % of equity-0.33%
 ($577)
Includes Typical Broker Commissions trade costs of $24.00
2/7/14 8:30 QGCJ4 Gold 100 oz LONG 3 1268.3 2/7 8:48 1263.8 0.79%
Trade id #85656955
Max drawdown($1,350)
Time2/7/14 8:48
Quant open0
Worst price1263.8
Drawdown as % of equity-0.79%
 ($1,374)
Includes Typical Broker Commissions trade costs of $24.00
Next

Statistics

  • Strategy began
    7/23/2012
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4286.16
  • Age
    143 months ago
  • What it trades
    Futures
  • # Trades
    314
  • # Profitable
    120
  • % Profitable
    38.20%
  • Avg trade duration
    1.4 days
  • Max peak-to-valley drawdown
    11.16%
  • drawdown period
    Oct 29, 2012 - Nov 13, 2012
  • Annual Return (Compounded)
    3.6%
  • Avg win
    $2,322
  • Avg loss
    $1,116
  • Model Account Values (Raw)
  • Cash
    $162,051
  • Margin Used
    $0
  • Buying Power
    $162,051
  • Ratios
  • W:L ratio
    1.29:1
  • Sharpe Ratio
    0.24
  • Sortino Ratio
    0.43
  • Calmar Ratio
    1.141
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -220.63%
  • Correlation to SP500
    0.01850
  • Return Percent SP500 (cumu) during strategy life
    275.53%
  • Return Statistics
  • Ann Return (w trading costs)
    3.6%
  • Slump
  • Current Slump as Pcnt Equity
    12.20%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.036%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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
    $1,117
  • Avg Win
    $2,322
  • Sum Trade PL (losers)
    $216,638.000
  • Age
  • Num Months filled monthly returns table
    142
  • Win / Loss
  • Sum Trade PL (winners)
    $278,678.000
  • # Winners
    120
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    194
  • % Winners
    38.2%
  • Frequency
  • Avg Position Time (mins)
    2043.58
  • Avg Position Time (hrs)
    34.06
  • Avg Trade Length
    1.4 days
  • Last Trade Ago
    3423
  • Regression
  • Alpha
    0.00
  • Beta
    0.01
  • Treynor Index
    0.70
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    15.91
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    52.89
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.68
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    7.423
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.254
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.053
  • Hold-and-Hope Ratio
    0.135
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07342
  • SD
    0.09681
  • Sharpe ratio (Glass type estimate)
    0.75843
  • Sharpe ratio (Hedges UMVUE)
    0.74874
  • df
    59.00000
  • t
    1.69589
  • p
    0.04759
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13180
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64240
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13813
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63562
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.13256
  • Upside Potential Ratio
    3.70260
  • Upside part of mean
    0.12748
  • Downside part of mean
    -0.05405
  • Upside SD
    0.09208
  • Downside SD
    0.03443
  • N nonnegative terms
    14.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    60.00000
  • Mean of predictor
    0.22181
  • Mean of criterion
    0.07342
  • SD of predictor
    0.19858
  • SD of criterion
    0.09681
  • Covariance
    0.00069
  • r
    0.03566
  • b (slope, estimate of beta)
    0.01738
  • a (intercept, estimate of alpha)
    0.06957
  • Mean Square Error
    0.00952
  • DF error
    58.00000
  • t(b)
    0.27174
  • p(b)
    0.39339
  • t(a)
    1.51604
  • p(a)
    0.06747
  • Lowerbound of 95% confidence interval for beta
    -0.11067
  • Upperbound of 95% confidence interval for beta
    0.14544
  • Lowerbound of 95% confidence interval for alpha
    -0.02229
  • Upperbound of 95% confidence interval for alpha
    0.16142
  • Treynor index (mean / b)
    4.22360
  • Jensen alpha (a)
    0.06957
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06864
  • SD
    0.09372
  • Sharpe ratio (Glass type estimate)
    0.73244
  • Sharpe ratio (Hedges UMVUE)
    0.72309
  • df
    59.00000
  • t
    1.63778
  • p
    0.05340
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15696
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61582
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16309
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60927
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95405
  • Upside Potential Ratio
    3.50659
  • Upside part of mean
    0.12318
  • Downside part of mean
    -0.05454
  • Upside SD
    0.08829
  • Downside SD
    0.03513
  • N nonnegative terms
    14.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    60.00000
  • Mean of predictor
    0.20203
  • Mean of criterion
    0.06864
  • SD of predictor
    0.18416
  • SD of criterion
    0.09372
  • Covariance
    0.00074
  • r
    0.04277
  • b (slope, estimate of beta)
    0.02177
  • a (intercept, estimate of alpha)
    0.06424
  • Mean Square Error
    0.00892
  • DF error
    58.00000
  • t(b)
    0.32602
  • p(b)
    0.37279
  • t(a)
    1.44911
  • p(a)
    0.07635
  • Lowerbound of 95% confidence interval for beta
    -0.11187
  • Upperbound of 95% confidence interval for beta
    0.15540
  • Lowerbound of 95% confidence interval for alpha
    -0.02450
  • Upperbound of 95% confidence interval for alpha
    0.15299
  • Treynor index (mean / b)
    3.15372
  • Jensen alpha (a)
    0.06424
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03804
  • Expected Shortfall on VaR
    0.04880
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01339
  • Expected Shortfall on VaR
    0.02578
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    60.00000
  • Minimum
    0.94236
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00055
  • Maximum
    1.11717
  • Mean of quarter 1
    0.98901
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00007
  • Mean of quarter 4
    1.04471
  • Inter Quartile Range
    0.00055
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.18333
  • Mean of outliers low
    0.98501
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.23333
  • Mean of outliers high
    1.04786
  • 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)
    0.07444
  • VaR(95%) (regression method)
    0.01145
  • Expected Shortfall (regression method)
    0.02095
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00243
  • Quartile 1
    0.02270
  • Median
    0.04355
  • Quartile 3
    0.06122
  • Maximum
    0.07197
  • Mean of quarter 1
    0.00243
  • Mean of quarter 2
    0.02945
  • Mean of quarter 3
    0.05764
  • Mean of quarter 4
    0.07197
  • Inter Quartile Range
    0.03853
  • 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)
    0.12410
  • Compounded annual return (geometric extrapolation)
    0.10136
  • Calmar ratio (compounded annual return / max draw down)
    1.40838
  • Compounded annual return / average of 25% largest draw downs
    1.40838
  • Compounded annual return / Expected Shortfall lognormal
    2.07701
  • 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
    0.07186
  • SD
    0.09231
  • Sharpe ratio (Glass type estimate)
    0.77845
  • Sharpe ratio (Hedges UMVUE)
    0.77800
  • df
    1323.00000
  • t
    1.74993
  • p
    0.46942
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09408
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65068
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09437
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65038
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.39998
  • Upside Potential Ratio
    6.61210
  • Upside part of mean
    0.33937
  • Downside part of mean
    -0.26752
  • Upside SD
    0.07681
  • Downside SD
    0.05133
  • N nonnegative terms
    202.00000
  • N negative terms
    1122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1324.00000
  • Mean of predictor
    0.27206
  • Mean of criterion
    0.07186
  • SD of predictor
    0.26000
  • SD of criterion
    0.09231
  • Covariance
    0.00057
  • r
    0.02359
  • b (slope, estimate of beta)
    0.00837
  • a (intercept, estimate of alpha)
    0.07000
  • Mean Square Error
    0.00852
  • DF error
    1322.00000
  • t(b)
    0.85781
  • p(b)
    0.48821
  • t(a)
    1.69075
  • p(a)
    0.47677
  • Lowerbound of 95% confidence interval for beta
    -0.01078
  • Upperbound of 95% confidence interval for beta
    0.02752
  • Lowerbound of 95% confidence interval for alpha
    -0.01115
  • Upperbound of 95% confidence interval for alpha
    0.15031
  • Treynor index (mean / b)
    8.58113
  • Jensen alpha (a)
    0.06958
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06762
  • SD
    0.09168
  • Sharpe ratio (Glass type estimate)
    0.73754
  • Sharpe ratio (Hedges UMVUE)
    0.73712
  • df
    1323.00000
  • t
    1.65798
  • p
    0.47102
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13491
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60975
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13520
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60945
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30847
  • Upside Potential Ratio
    6.51014
  • Upside part of mean
    0.33644
  • Downside part of mean
    -0.26882
  • Upside SD
    0.07580
  • Downside SD
    0.05168
  • N nonnegative terms
    202.00000
  • N negative terms
    1122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1324.00000
  • Mean of predictor
    0.23925
  • Mean of criterion
    0.06762
  • SD of predictor
    0.25387
  • SD of criterion
    0.09168
  • Covariance
    0.00057
  • r
    0.02461
  • b (slope, estimate of beta)
    0.00889
  • a (intercept, estimate of alpha)
    0.06549
  • Mean Square Error
    0.00841
  • DF error
    1322.00000
  • t(b)
    0.89511
  • p(b)
    0.48769
  • t(a)
    1.60300
  • p(a)
    0.47798
  • Lowerbound of 95% confidence interval for beta
    -0.01059
  • Upperbound of 95% confidence interval for beta
    0.02837
  • Lowerbound of 95% confidence interval for alpha
    -0.01466
  • Upperbound of 95% confidence interval for alpha
    0.14564
  • Treynor index (mean / b)
    7.60791
  • Jensen alpha (a)
    0.06549
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00902
  • Expected Shortfall on VaR
    0.01136
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00321
  • Expected Shortfall on VaR
    0.00678
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1324.00000
  • Minimum
    0.97601
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.05511
  • Mean of quarter 1
    0.99628
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00525
  • Inter Quartile Range
    0.00000
  • Number outliers low
    196.00000
  • Percentage of outliers low
    0.14804
  • Mean of outliers low
    0.99371
  • Number of outliers high
    205.00000
  • Percentage of outliers high
    0.15483
  • Mean of outliers high
    1.00847
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.52084
  • VaR(95%) (moments method)
    0.00295
  • Expected Shortfall (moments method)
    0.00400
  • Extreme Value Index (regression method)
    -0.40326
  • VaR(95%) (regression method)
    0.00517
  • Expected Shortfall (regression method)
    0.00775
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00075
  • Quartile 1
    0.01214
  • Median
    0.01992
  • Quartile 3
    0.05165
  • Maximum
    0.08785
  • Mean of quarter 1
    0.00496
  • Mean of quarter 2
    0.01687
  • Mean of quarter 3
    0.02849
  • Mean of quarter 4
    0.07713
  • Inter Quartile Range
    0.03951
  • 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)
    -2.66267
  • VaR(95%) (moments method)
    0.07898
  • Expected Shortfall (moments method)
    0.07929
  • Extreme Value Index (regression method)
    -3.04232
  • VaR(95%) (regression method)
    0.09937
  • Expected Shortfall (regression method)
    0.09958
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12279
  • Compounded annual return (geometric extrapolation)
    0.10024
  • Calmar ratio (compounded annual return / max draw down)
    1.14100
  • Compounded annual return / average of 25% largest draw downs
    1.29962
  • Compounded annual return / Expected Shortfall lognormal
    8.82511
  • 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
    1.60752
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.63241
  • 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
    1.41742
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.60281
  • 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)
    -6794740000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00900
  • 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)
    -278677000000000009713691175944192.00000
  • 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?
    -430606000
  • Max Equity Drawdown (num days)
    15
  • 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

Welcome to Futures Growth Fund. This is an intermediate term system where trades are normally held from a few hours to a few days. Entry orders will be given in the evenings EST. Each trade will have a target and stop given with it. No stop will be larger than 3.5% of account equity and most will be less than 2%. All trades at all times will have a stop order attached to help limit risk.

This system trades 1 contract / trade per $50k in equity so if one wanted to trade a 50k account they could do 1/3 size (34% on auto trade setting) and be able to follow along.

FGF originally started on C2 with 100k trading 2 contracts a trade and in September of 2013 switched to 3 contracts a trade because of account growth. The results since Sept of 2012 are based on live trading results of subscribers to the system. In April of 2013 this strategy was selected from over 3000 quantitative strategies for the BattleFin 4.0 Professional tournament where strategies competed for the best risk adjusted returns based on the Sharpe ratio. FGF placed second while generating the highest returns over the tournament period.

Answers to common questions I've received:

Do you trade this yourself? Yes, I trade this and several other systems in my ThinkorSwim account.

Is this a mechanical or discretionary system?

80% mechanical / 20% discretionary. Each evening the system will generate from 0 to several trades. From these, trades are selected based on correlation, use of margin and several other technical factors. Once in a trade, it is 100% mechanical.

What commodities does the system trade? Aus$, Can$, Euro, Swiss Franc, Oil, Gas, Gold, Silver, Cotton, Sugar, Coffee, Soybeans, Cattle

Summary Statistics

Strategy began
2012-07-23
Suggested Minimum Capital
$100,000
# Trades
314
# Profitable
120
% Profitable
38.2%
Correlation S&P500
0.018
Sharpe Ratio
0.24
Sortino Ratio
0.43
Beta
0.01
Alpha
0.00

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.