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Soybean Futures Day Trader
(80462997)

Created by: PatrickMaher PatrickMaher
Started: 04/2013
Futures
Last trade: 3,472 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 $175.00 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.

-9.6%
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.

(100.0%)
Max Drawdown
741
Num Trades
34.7%
Win Trades
1.3 : 1
Profit Factor
6.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                     +3.9%+9.9%(9.3%)+17.1%(12.3%)+10.2%+17.6%(6.4%)+5.4%+36.1%
2014(6.4%)(19.1%)(1.6%)+5.7%(11.1%)(36%)+11.9%(33.7%)(30.5%)+4.2%  -    -  (75.9%)
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 480 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3626 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/22/14 11:06 @SX4 SOYBEANS LONG 4 971 3/4 10/22 12:32 975 2/4 0.74%
Trade id #90386963
Max drawdown($200)
Time10/22/14 11:08
Quant open4
Worst price970 3/4
Drawdown as % of equity-0.74%
 $718
Includes Typical Broker Commissions trade costs of $32.00
10/22/14 10:24 @SX4 SOYBEANS SHORT 4 972 2/4 10/22 10:26 974 2/4 1.47%
Trade id #90385893
Max drawdown($400)
Time10/22/14 10:26
Quant open0
Worst price974 2/4
Drawdown as % of equity-1.47%
 ($432)
Includes Typical Broker Commissions trade costs of $32.00
10/21/14 12:55 @SX4 SOYBEANS LONG 4 960 1/4 10/21 13:29 962 1/4 0%
Trade id #90366846
Max drawdown$0
Time10/21/14 12:57
Quant open4
Worst price960 1/4
Drawdown as % of equity0.00%
 $368
Includes Typical Broker Commissions trade costs of $32.00
10/20/14 10:16 @SX4 SOYBEANS SHORT 4 939 10/20 10:34 940 3/4 1.28%
Trade id #90340059
Max drawdown($350)
Time10/20/14 10:34
Quant open0
Worst price940 3/4
Drawdown as % of equity-1.28%
 ($382)
Includes Typical Broker Commissions trade costs of $32.00
10/20/14 10:00 @SX4 SOYBEANS SHORT 4 937 3/4 10/20 10:12 939 3/4 1.46%
Trade id #90339523
Max drawdown($400)
Time10/20/14 10:12
Quant open0
Worst price939 3/4
Drawdown as % of equity-1.46%
 ($432)
Includes Typical Broker Commissions trade costs of $32.00
10/16/14 11:20 @SX4 SOYBEANS SHORT 4 957 2/4 10/16 11:23 959 1/4 1.26%
Trade id #90291216
Max drawdown($350)
Time10/16/14 11:23
Quant open0
Worst price959 1/4
Drawdown as % of equity-1.26%
 ($382)
Includes Typical Broker Commissions trade costs of $32.00
10/14/14 10:44 @SX4 SOYBEANS SHORT 4 952 10/14 12:10 947 2/4 1.29%
Trade id #90237087
Max drawdown($350)
Time10/14/14 11:13
Quant open-4
Worst price953 3/4
Drawdown as % of equity-1.29%
 $868
Includes Typical Broker Commissions trade costs of $32.00
10/2/14 10:49 @SX4 SOYBEANS SHORT 4 921 1/4 10/2 12:15 918 1/4 0%
Trade id #90032756
Max drawdown$0
Time10/2/14 10:51
Quant open-4
Worst price921 1/4
Drawdown as % of equity0.00%
 $568
Includes Typical Broker Commissions trade costs of $32.00
10/2/14 10:24 @SX4 SOYBEANS SHORT 4 923 2/4 10/2 10:45 922 3/4 1.53%
Trade id #90031993
Max drawdown($400)
Time10/2/14 10:26
Quant open-4
Worst price925 2/4
Drawdown as % of equity-1.53%
 $118
Includes Typical Broker Commissions trade costs of $32.00
10/1/14 10:14 @SX4 SOYBEANS LONG 4 909 10/1 10:22 908 1/4 0.57%
Trade id #90003073
Max drawdown($150)
Time10/1/14 10:22
Quant open0
Worst price908 1/4
Drawdown as % of equity-0.57%
 ($182)
Includes Typical Broker Commissions trade costs of $32.00
10/1/14 10:09 @SX4 SOYBEANS SHORT 4 908 10/1 10:14 909 0.75%
Trade id #90002849
Max drawdown($200)
Time10/1/14 10:14
Quant open0
Worst price909
Drawdown as % of equity-0.75%
 ($232)
Includes Typical Broker Commissions trade costs of $32.00
9/30/14 10:36 @SX4 SOYBEANS SHORT 4 916 9/30 11:52 914 0.19%
Trade id #89978739
Max drawdown($50)
Time9/30/14 10:38
Quant open-4
Worst price916 1/4
Drawdown as % of equity-0.19%
 $368
Includes Typical Broker Commissions trade costs of $32.00
9/29/14 11:10 @SX4 SOYBEANS LONG 4 913 9/29 13:03 917 1/4 0.39%
Trade id #89955442
Max drawdown($100)
Time9/29/14 11:13
Quant open4
Worst price912 2/4
Drawdown as % of equity-0.39%
 $818
Includes Typical Broker Commissions trade costs of $32.00
9/29/14 10:10 @SX4 SOYBEANS LONG 4 918 9/29 10:18 915 3/4 1.75%
Trade id #89953119
Max drawdown($450)
Time9/29/14 10:18
Quant open0
Worst price915 3/4
Drawdown as % of equity-1.75%
 ($482)
Includes Typical Broker Commissions trade costs of $32.00
9/26/14 10:47 @SX4 SOYBEANS SHORT 4 914 9/26 11:01 915 3/4 1.32%
Trade id #89925284
Max drawdown($350)
Time9/26/14 11:01
Quant open0
Worst price915 3/4
Drawdown as % of equity-1.32%
 ($382)
Includes Typical Broker Commissions trade costs of $32.00
9/26/14 10:00 @SX4 SOYBEANS SHORT 4 914 1/4 9/26 10:04 916 1.32%
Trade id #89923599
Max drawdown($350)
Time9/26/14 10:04
Quant open0
Worst price916
Drawdown as % of equity-1.32%
 ($382)
Includes Typical Broker Commissions trade costs of $32.00
9/23/14 11:49 @SX4 SOYBEANS SHORT 4 938 2/4 9/23 12:22 937 3/4 0.19%
Trade id #89845154
Max drawdown($50)
Time9/23/14 11:51
Quant open-4
Worst price938 3/4
Drawdown as % of equity-0.19%
 $118
Includes Typical Broker Commissions trade costs of $32.00
9/23/14 11:11 @SX4 SOYBEANS LONG 4 937 9/23 11:49 939 0.57%
Trade id #89843847
Max drawdown($150)
Time9/23/14 11:24
Quant open4
Worst price936 1/4
Drawdown as % of equity-0.57%
 $368
Includes Typical Broker Commissions trade costs of $32.00
9/23/14 10:39 @SX4 SOYBEANS LONG 4 936 9/23 11:04 936 1/4 0.76%
Trade id #89842744
Max drawdown($200)
Time9/23/14 10:49
Quant open4
Worst price935
Drawdown as % of equity-0.76%
 $18
Includes Typical Broker Commissions trade costs of $32.00
9/23/14 9:37 @SX4 SOYBEANS LONG 4 938 2/4 9/23 9:39 936 3/4 1.34%
Trade id #89840520
Max drawdown($350)
Time9/23/14 9:39
Quant open0
Worst price936 3/4
Drawdown as % of equity-1.34%
 ($382)
Includes Typical Broker Commissions trade costs of $32.00
9/22/14 10:53 @SX4 SOYBEANS LONG 4 940 9/22 11:22 938 1.5%
Trade id #89815451
Max drawdown($400)
Time9/22/14 11:22
Quant open0
Worst price938
Drawdown as % of equity-1.50%
 ($432)
Includes Typical Broker Commissions trade costs of $32.00
9/22/14 10:43 @SX4 SOYBEANS SHORT 4 939 3/4 9/22 10:53 940 0.19%
Trade id #89815265
Max drawdown($50)
Time9/22/14 10:53
Quant open0
Worst price940
Drawdown as % of equity-0.19%
 ($82)
Includes Typical Broker Commissions trade costs of $32.00
9/19/14 9:46 @SX4 SOYBEANS SHORT 4 964 1/4 9/19 13:05 959 3/4 0.58%
Trade id #89779926
Max drawdown($150)
Time9/19/14 9:48
Quant open-4
Worst price965
Drawdown as % of equity-0.58%
 $868
Includes Typical Broker Commissions trade costs of $32.00
9/18/14 11:19 @SX4 SOYBEANS SHORT 2 973 3/4 9/18 11:35 974 0.1%
Trade id #89758077
Max drawdown($25)
Time9/18/14 11:35
Quant open0
Worst price974
Drawdown as % of equity-0.10%
 ($41)
Includes Typical Broker Commissions trade costs of $16.00
9/17/14 10:41 @SX4 SOYBEANS SHORT 4 985 9/17 11:03 982 1/4 n/a $518
Includes Typical Broker Commissions trade costs of $32.00
9/17/14 10:25 @SX4 SOYBEANS LONG 4 983 3/4 9/17 10:40 985 0.2%
Trade id #89730844
Max drawdown($50)
Time9/17/14 10:27
Quant open4
Worst price983 2/4
Drawdown as % of equity-0.20%
 $218
Includes Typical Broker Commissions trade costs of $32.00
9/17/14 10:04 @SX4 SOYBEANS SHORT 4 983 9/17 10:25 983 3/4 0.6%
Trade id #89730031
Max drawdown($150)
Time9/17/14 10:25
Quant open0
Worst price983 3/4
Drawdown as % of equity-0.60%
 ($182)
Includes Typical Broker Commissions trade costs of $32.00
9/16/14 11:22 @SX4 SOYBEANS SHORT 4 980 2/4 9/16 11:50 982 1.18%
Trade id #89707824
Max drawdown($300)
Time9/16/14 11:50
Quant open0
Worst price982
Drawdown as % of equity-1.18%
 ($332)
Includes Typical Broker Commissions trade costs of $32.00
9/16/14 11:02 @SX4 SOYBEANS LONG 4 981 2/4 9/16 11:06 980 1/4 0.97%
Trade id #89707148
Max drawdown($250)
Time9/16/14 11:06
Quant open0
Worst price980 1/4
Drawdown as % of equity-0.97%
 ($282)
Includes Typical Broker Commissions trade costs of $32.00
9/15/14 12:45 @SX4 SOYBEANS LONG 4 990 3/4 9/15 13:21 992 1/4 0.39%
Trade id #89675668
Max drawdown($100)
Time9/15/14 12:56
Quant open4
Worst price990 1/4
Drawdown as % of equity-0.39%
 $268
Includes Typical Broker Commissions trade costs of $32.00
Next

Statistics

  • Strategy began
    4/24/2013
  • Suggested Minimum Cap
    $9,782
  • Strategy Age (days)
    4011.3
  • Age
    134 months ago
  • What it trades
    Futures
  • # Trades
    741
  • # Profitable
    257
  • % Profitable
    34.70%
  • Avg trade duration
    26.8 minutes
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Sept 07, 2014 - Sept 08, 2014
  • Annual Return (Compounded)
    -9.6%
  • Avg win
    $329.59
  • Avg loss
    $138.45
  • Model Account Values (Raw)
  • Cash
    $27,490
  • Margin Used
    $0
  • Buying Power
    $27,490
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    0.01
  • Sortino Ratio
    0.01
  • Calmar Ratio
    1.992
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -285.33%
  • Correlation to SP500
    0.00310
  • Return Percent SP500 (cumu) during strategy life
    220.36%
  • Return Statistics
  • Ann Return (w trading costs)
    -9.6%
  • Slump
  • Current Slump as Pcnt Equity
    346.40%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.096%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.8%
  • 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)
    100.00%
  • 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
    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
    $138
  • Avg Win
    $330
  • Sum Trade PL (losers)
    $67,009.000
  • Age
  • Num Months filled monthly returns table
    133
  • Win / Loss
  • Sum Trade PL (winners)
    $84,705.000
  • # Winners
    257
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    484
  • % Winners
    34.7%
  • Frequency
  • Avg Position Time (mins)
    26.75
  • Avg Position Time (hrs)
    0.45
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    3465
  • Regression
  • Alpha
    0.00
  • Beta
    0.04
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    12.35
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    5.30
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.57
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    15.942
  • 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
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    0.213
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.079
  • Hold-and-Hope Ratio
    0.062
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33293
  • SD
    0.31249
  • Sharpe ratio (Glass type estimate)
    1.06541
  • Sharpe ratio (Hedges UMVUE)
    1.04422
  • df
    38.00000
  • t
    1.92070
  • p
    0.03115
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05434
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17184
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06803
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15647
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.27911
  • Upside Potential Ratio
    10.91480
  • Upside part of mean
    0.39162
  • Downside part of mean
    -0.05869
  • Upside SD
    0.32109
  • Downside SD
    0.03588
  • N nonnegative terms
    12.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.31789
  • Mean of criterion
    0.33293
  • SD of predictor
    0.25291
  • SD of criterion
    0.31249
  • Covariance
    0.00299
  • r
    0.03785
  • b (slope, estimate of beta)
    0.04677
  • a (intercept, estimate of alpha)
    0.31806
  • Mean Square Error
    0.10015
  • DF error
    37.00000
  • t(b)
    0.23040
  • p(b)
    0.40952
  • t(a)
    1.70067
  • p(a)
    0.04870
  • Lowerbound of 95% confidence interval for beta
    -0.36452
  • Upperbound of 95% confidence interval for beta
    0.45805
  • Lowerbound of 95% confidence interval for alpha
    -0.06088
  • Upperbound of 95% confidence interval for alpha
    0.69701
  • Treynor index (mean / b)
    7.11882
  • Jensen alpha (a)
    0.31806
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28998
  • SD
    0.26650
  • Sharpe ratio (Glass type estimate)
    1.08809
  • Sharpe ratio (Hedges UMVUE)
    1.06645
  • df
    38.00000
  • t
    1.96159
  • p
    0.02858
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03291
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19549
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04686
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17977
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.96757
  • Upside Potential Ratio
    9.59438
  • Upside part of mean
    0.34919
  • Downside part of mean
    -0.05921
  • Upside SD
    0.27365
  • Downside SD
    0.03639
  • N nonnegative terms
    12.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.28453
  • Mean of criterion
    0.28998
  • SD of predictor
    0.24019
  • SD of criterion
    0.26650
  • Covariance
    0.00310
  • r
    0.04842
  • b (slope, estimate of beta)
    0.05372
  • a (intercept, estimate of alpha)
    0.27469
  • Mean Square Error
    0.07277
  • DF error
    37.00000
  • t(b)
    0.29486
  • p(b)
    0.38488
  • t(a)
    1.73460
  • p(a)
    0.04557
  • Lowerbound of 95% confidence interval for beta
    -0.31543
  • Upperbound of 95% confidence interval for beta
    0.42287
  • Lowerbound of 95% confidence interval for alpha
    -0.04618
  • Upperbound of 95% confidence interval for alpha
    0.59556
  • Treynor index (mean / b)
    5.39797
  • Jensen alpha (a)
    0.27469
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09731
  • Expected Shortfall on VaR
    0.12552
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01370
  • Expected Shortfall on VaR
    0.02618
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    39.00000
  • Minimum
    0.95742
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.02106
  • Maximum
    1.47703
  • Mean of quarter 1
    0.98721
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00288
  • Mean of quarter 4
    1.12747
  • Inter Quartile Range
    0.02106
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02564
  • Mean of outliers low
    0.95742
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.19352
  • 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)
    -0.50856
  • VaR(95%) (regression method)
    0.01939
  • Expected Shortfall (regression method)
    0.02673
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01643
  • Quartile 1
    0.01877
  • Median
    0.02491
  • Quartile 3
    0.03787
  • Maximum
    0.06067
  • Mean of quarter 1
    0.01643
  • Mean of quarter 2
    0.01955
  • Mean of quarter 3
    0.03027
  • Mean of quarter 4
    0.06067
  • Inter Quartile Range
    0.01910
  • 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)
    0.55687
  • Compounded annual return (geometric extrapolation)
    0.37422
  • Calmar ratio (compounded annual return / max draw down)
    6.16854
  • Compounded annual return / average of 25% largest draw downs
    6.16854
  • Compounded annual return / Expected Shortfall lognormal
    2.98144
  • 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
    0.30008
  • SD
    0.18158
  • Sharpe ratio (Glass type estimate)
    1.65264
  • Sharpe ratio (Hedges UMVUE)
    1.65121
  • df
    868.00000
  • t
    3.00979
  • p
    0.00134
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.57320
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73116
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57222
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73020
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.90307
  • Upside Potential Ratio
    7.78151
  • Upside part of mean
    0.80435
  • Downside part of mean
    -0.50427
  • Upside SD
    0.15030
  • Downside SD
    0.10337
  • N nonnegative terms
    190.00000
  • N negative terms
    679.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    869.00000
  • Mean of predictor
    0.36461
  • Mean of criterion
    0.30008
  • SD of predictor
    0.29023
  • SD of criterion
    0.18158
  • Covariance
    -0.00037
  • r
    -0.00712
  • b (slope, estimate of beta)
    -0.00445
  • a (intercept, estimate of alpha)
    0.30200
  • Mean Square Error
    0.03301
  • DF error
    867.00000
  • t(b)
    -0.20952
  • p(b)
    0.58296
  • t(a)
    3.01533
  • p(a)
    0.00132
  • Lowerbound of 95% confidence interval for beta
    -0.04615
  • Upperbound of 95% confidence interval for beta
    0.03725
  • Lowerbound of 95% confidence interval for alpha
    0.10532
  • Upperbound of 95% confidence interval for alpha
    0.49809
  • Treynor index (mean / b)
    -67.40680
  • Jensen alpha (a)
    0.30171
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28358
  • SD
    0.18037
  • Sharpe ratio (Glass type estimate)
    1.57218
  • Sharpe ratio (Hedges UMVUE)
    1.57082
  • df
    868.00000
  • t
    2.86326
  • p
    0.00215
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49301
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65047
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49209
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64954
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68454
  • Upside Potential Ratio
    7.50988
  • Upside part of mean
    0.79329
  • Downside part of mean
    -0.50972
  • Upside SD
    0.14712
  • Downside SD
    0.10563
  • N nonnegative terms
    190.00000
  • N negative terms
    679.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    869.00000
  • Mean of predictor
    0.32099
  • Mean of criterion
    0.28358
  • SD of predictor
    0.29714
  • SD of criterion
    0.18037
  • Covariance
    -0.00031
  • r
    -0.00582
  • b (slope, estimate of beta)
    -0.00353
  • a (intercept, estimate of alpha)
    0.28471
  • Mean Square Error
    0.03257
  • DF error
    867.00000
  • t(b)
    -0.17139
  • p(b)
    0.56802
  • t(a)
    2.86671
  • p(a)
    0.00212
  • Lowerbound of 95% confidence interval for beta
    -0.04400
  • Upperbound of 95% confidence interval for beta
    0.03693
  • Lowerbound of 95% confidence interval for alpha
    0.08978
  • Upperbound of 95% confidence interval for alpha
    0.47964
  • Treynor index (mean / b)
    -80.25960
  • Jensen alpha (a)
    0.28471
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01710
  • Expected Shortfall on VaR
    0.02166
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00575
  • Expected Shortfall on VaR
    0.01238
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    869.00000
  • Minimum
    0.90993
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.08617
  • Mean of quarter 1
    0.99266
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01239
  • Inter Quartile Range
    0.00000
  • Number outliers low
    162.00000
  • Percentage of outliers low
    0.18642
  • Mean of outliers low
    0.99012
  • Number of outliers high
    190.00000
  • Percentage of outliers high
    0.21864
  • Mean of outliers high
    1.01415
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.11294
  • VaR(95%) (moments method)
    0.00340
  • Expected Shortfall (moments method)
    0.00506
  • Extreme Value Index (regression method)
    0.10618
  • VaR(95%) (regression method)
    0.00754
  • Expected Shortfall (regression method)
    0.01384
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00143
  • Quartile 1
    0.01064
  • Median
    0.03442
  • Quartile 3
    0.05276
  • Maximum
    0.18349
  • Mean of quarter 1
    0.00460
  • Mean of quarter 2
    0.02376
  • Mean of quarter 3
    0.03911
  • Mean of quarter 4
    0.08773
  • Inter Quartile Range
    0.04212
  • 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
    0.04545
  • Mean of outliers high
    0.18349
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.36231
  • VaR(95%) (moments method)
    0.10423
  • Expected Shortfall (moments method)
    0.16977
  • Extreme Value Index (regression method)
    1.19954
  • VaR(95%) (regression method)
    0.09936
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.54566
  • Compounded annual return (geometric extrapolation)
    0.36545
  • Calmar ratio (compounded annual return / max draw down)
    1.99169
  • Compounded annual return / average of 25% largest draw downs
    4.16570
  • Compounded annual return / Expected Shortfall lognormal
    16.87450
  • 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
    0.85977
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44809
  • 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
    0.75777
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45193
  • 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)
    -6829780000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01700
  • 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)
    -268510000000000015610242515599360.00000
  • 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?
    -336356000
  • Max Equity Drawdown (num days)
    1
  • 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

*For a more realistic profit/loss change the commission plan to MB Trading. That is the broker that I use*

***If you would like to trade less than the amount of contracts the system is currently trading please contact me for a discounted price***

1. My system is mechanical entry and discretionary exits. I never hold overnight or add to a losing position. I sell at least half the position into volume spikes and at strong support/resistance levels. The rest I just adjust the stop and let them run. A protective stop is an integral part of my strategy and I always create one immediately after entering a trade. However I will add to a winning position if I see another entry. I will also pass on a trade if it is too close to strong support or resistance. It usually works out well and keeps my out some really bad trades. I would love to make it 100% mechanical but I cannot find a way to quantify some of the variables I use.

2. I manually enter all my trades in the website. I use MBtrading for my broker and they do not support the TOS system yet for futures. I also am not going to autotrade my own account since I do not need the extra expense per contract.

3. I have been trading this system the way it is now for a little over a year and a half. I only trade during the day and never hold overnight.

4. I only risk a maximum of 3% of system equity on each trade, I highly suggest that you do the same. Most trades the risk is actually closer to 2% but I like the extra flexibility in case a really perfect set up occurs. Since I do have a lower win rate than most systems money management is critical to the long term success of the system. Right now with a 35% win rate it would not be uncommon to see a string of 5 losses in a row. If you are trading 1 contract that equates to a $500 drawdown. So please practice sound money management and adjust the number of contracts traded to suit your particular situation.

5. The reason I love soy futures is they trend so well during the day. The hard part is getting on the right side of the trend. .It is not uncommon to see 10+ point moves during the day. Lately it has been a little bit more volatile but it was like this last year around this time too. I also pass on any trade that has a risk over 2 pts. I do not expect any really big draw downs, I have rules in place to prevent that. If i take three losers per system or scratch trades in a day I am done for the day and if i lose two days in a week I call it quits for the week. The added risk totally ruins the risk to reward. This has only happened twice in eighteen months so I do not anticipate this being a problem. Although it is really irritating when it does. The funny part is both of those weeks would have ended in the green if I had just traded the other days but mentally I was a bit shaken and needed to step back.

6. I did modify the system as of August 1st 2013. I initially was trading 2 styles on this system but have eliminated one of them due to the data that I collected by trading on this site. It has made a tremendous improvement and I do expect my win rate % stat to steadily increase over the coming months.

7. I will be limiting the number of subscribers although that is not an issue at this point right now. I do not want liquidity to become an issue and have anyone lose a lot because of slippage.

If you look back at the beginning of the system you will see a bunch of bad trades that were not soybeans, those are from when I was testing out the system so you can also disregard those, i will not be trading any of those in this system. I will only be trading soy in this system an only during the day. I will NEVER hold overnight and never add to a losing position.

Website coming soon but still under construction: Smashtrades.com

Summary Statistics

Strategy began
2013-04-24
Suggested Minimum Capital
$25,000
# Trades
741
# Profitable
257
% Profitable
34.7%
Correlation S&P500
0.003
Sharpe Ratio
0.01
Sortino Ratio
0.01
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.

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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.
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  • "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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