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FuturesX
(82342251)

Created by: DonaldHayden3 DonaldHayden3
Started: 08/2013
Futures
Last trade: 3,220 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 $179.00 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.

5.3%
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.

(20.9%)
Max Drawdown
372
Num Trades
47.8%
Win Trades
1.3 : 1
Profit Factor
8.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                 +12.2%+8.9%(9.6%)+0.2%(1.7%)+8.7%
2014+20.0%(0.1%)+2.0%(0.3%)(0.3%)(0.9%)+25.3%+8.8%(5%)+11.4%(7%)+2.8%+66.2%
2015(4.9%)(7.4%)+15.5%(0.1%)+1.3%(5.9%)(0.2%)(0.2%)  -    -    -    -  (3.5%)
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

This strategy has placed 302 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
6/23/15 10:08 @CTZ5 COTTON - #2 LONG 1 6470 6/30 6:15 6650 0.39%
Trade id #95362090
Max drawdown($385)
Time6/23/15 11:04
Quant open1
Worst price6393
Drawdown as % of equity-0.39%
 $892
Includes Typical Broker Commissions trade costs of $8.00
6/23/15 10:09 @LEQ5 LIVE CATTLE LONG 1 152.150 6/25 9:00 150.000 0.89%
Trade id #95362130
Max drawdown($860)
Time6/25/15 9:00
Quant open0
Worst price150.000
Drawdown as % of equity-0.89%
 ($868)
Includes Typical Broker Commissions trade costs of $8.00
6/10/15 9:54 @LEQ5 LIVE CATTLE LONG 1 153.508 6/18 9:11 149.900 1.47%
Trade id #94923193
Max drawdown($1,443)
Time6/18/15 9:11
Quant open0
Worst price149.900
Drawdown as % of equity-1.47%
 ($1,451)
Includes Typical Broker Commissions trade costs of $8.00
6/4/15 10:50 @SN5 SOYBEANS LONG 1 941 6/15 5:03 932 0.46%
Trade id #94809627
Max drawdown($450)
Time6/15/15 5:03
Quant open0
Worst price932
Drawdown as % of equity-0.46%
 ($458)
Includes Typical Broker Commissions trade costs of $8.00
5/27/15 11:02 QNGN5 Natural Gas SHORT 1 2.829 6/8 9:20 2.684 0.33%
Trade id #94647579
Max drawdown($325)
Time5/27/15 13:31
Quant open-1
Worst price2.862
Drawdown as % of equity-0.33%
 $1,450
Includes Typical Broker Commissions trade costs of $8.00
5/28/15 13:10 @OJN5 Orange Juice LONG 1 116.83 6/2 11:53 112.00 0.72%
Trade id #94678536
Max drawdown($725)
Time6/2/15 11:53
Quant open0
Worst price112.00
Drawdown as % of equity-0.72%
 ($733)
Includes Typical Broker Commissions trade costs of $8.00
5/27/15 14:10 @USU5 US T-BOND LONG 1 154 16/32 6/2 4:53 153 1.49%
Trade id #94653408
Max drawdown($1,500)
Time6/2/15 4:53
Quant open0
Worst price153
Drawdown as % of equity-1.49%
 ($1,508)
Includes Typical Broker Commissions trade costs of $8.00
5/27/15 11:04 @ON5 Oats SHORT 1 237 2/4 6/1 10:32 245 1/4 0.38%
Trade id #94647653
Max drawdown($392)
Time6/1/15 10:32
Quant open0
Worst price245 1/4
Drawdown as % of equity-0.38%
 ($400)
Includes Typical Broker Commissions trade costs of $8.00
5/11/15 10:33 @GFQ5 FEEDER CATTLE LONG 1 218.725 5/29 10:26 223.983 2.09%
Trade id #94347698
Max drawdown($2,087)
Time5/12/15 11:22
Quant open1
Worst price214.550
Drawdown as % of equity-2.09%
 $2,621
Includes Typical Broker Commissions trade costs of $8.00
5/8/15 0:25 @CTN5 COTTON - #2 SHORT 1 6540 5/27 4:41 6375 0.78%
Trade id #94311147
Max drawdown($765)
Time5/17/15 21:10
Quant open-1
Worst price6693
Drawdown as % of equity-0.78%
 $817
Includes Typical Broker Commissions trade costs of $8.00
5/21/15 0:36 QGCM5 Gold 100 oz LONG 1 1211.5 5/26 2:30 1197.8 1.38%
Trade id #94544718
Max drawdown($1,365)
Time5/26/15 2:30
Quant open0
Worst price1197.8
Drawdown as % of equity-1.38%
 ($1,373)
Includes Typical Broker Commissions trade costs of $8.00
5/11/15 10:20 @SBN5 Sugar #11 LONG 1 13.48 5/21 9:59 12.50 1.12%
Trade id #94347129
Max drawdown($1,098)
Time5/21/15 9:59
Quant open0
Worst price12.50
Drawdown as % of equity-1.12%
 ($1,106)
Includes Typical Broker Commissions trade costs of $8.00
5/5/15 20:00 @SN5 SOYBEANS LONG 1 984 5/12 12:02 968 0.81%
Trade id #94261239
Max drawdown($800)
Time5/12/15 12:02
Quant open0
Worst price968
Drawdown as % of equity-0.81%
 ($808)
Includes Typical Broker Commissions trade costs of $8.00
5/8/15 0:23 @CDM5 CANADIAN DOLLAR SHORT 1 0.8253 5/12 10:56 0.8325 0.72%
Trade id #94311106
Max drawdown($720)
Time5/12/15 10:56
Quant open0
Worst price0.8325
Drawdown as % of equity-0.72%
 ($728)
Includes Typical Broker Commissions trade costs of $8.00
5/8/15 1:41 @PXM5 Mexican Peso LONG 1 0.065150 5/11 14:57 0.064990 0.08%
Trade id #94311951
Max drawdown($80)
Time5/11/15 14:57
Quant open0
Worst price0.064990
Drawdown as % of equity-0.08%
 ($88)
Includes Typical Broker Commissions trade costs of $8.00
4/7/15 11:03 @SBK5 Sugar #11 LONG 1 12.74 4/15 10:54 13.05 0.12%
Trade id #93715600
Max drawdown($123)
Time4/9/15 11:20
Quant open1
Worst price12.63
Drawdown as % of equity-0.12%
 $339
Includes Typical Broker Commissions trade costs of $8.00
4/9/15 11:36 @GFK5 FEEDER CATTLE SHORT 1 213.850 4/15 10:32 213.200 0.32%
Trade id #93767561
Max drawdown($325)
Time4/9/15 13:51
Quant open-1
Worst price214.500
Drawdown as % of equity-0.32%
 $317
Includes Typical Broker Commissions trade costs of $8.00
4/9/15 11:54 @JYM5 JAPANESE YEN SHORT 1 0.008315 4/14 2:42 0.008365 0.61%
Trade id #93768018
Max drawdown($625)
Time4/14/15 2:42
Quant open0
Worst price0.008365
Drawdown as % of equity-0.61%
 ($633)
Includes Typical Broker Commissions trade costs of $8.00
4/9/15 13:22 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 1 4379.08 4/13 13:25 4414.25 0.13%
Trade id #93771086
Max drawdown($126)
Time4/9/15 14:23
Quant open1
Worst price4372.75
Drawdown as % of equity-0.13%
 $695
Includes Typical Broker Commissions trade costs of $8.00
4/9/15 13:21 @YMM5 MINI DOW LONG 1 17831 4/13 13:25 17949 0.12%
Trade id #93771064
Max drawdown($125)
Time4/9/15 13:41
Quant open1
Worst price17806
Drawdown as % of equity-0.12%
 $582
Includes Typical Broker Commissions trade costs of $8.00
4/9/15 13:01 @CCK5 COCOA LONG 1 2795 4/13 11:59 2802 0.22%
Trade id #93770183
Max drawdown($230)
Time4/10/15 11:44
Quant open1
Worst price2772
Drawdown as % of equity-0.22%
 $62
Includes Typical Broker Commissions trade costs of $8.00
4/9/15 22:01 @ADM5 AUSTRALIAN DOLLAR LONG 1 0.7688 4/12 22:28 0.7571 1.12%
Trade id #93783187
Max drawdown($1,170)
Time4/12/15 22:28
Quant open0
Worst price0.7571
Drawdown as % of equity-1.12%
 ($1,178)
Includes Typical Broker Commissions trade costs of $8.00
3/24/15 11:58 @CK5 CORN LONG 1 392 2/4 3/31 12:09 384 0.41%
Trade id #93451421
Max drawdown($421)
Time3/31/15 12:09
Quant open0
Worst price384
Drawdown as % of equity-0.41%
 ($429)
Includes Typical Broker Commissions trade costs of $8.00
3/24/15 13:01 @BOK5 SOYBEAN OIL LONG 1 31.13 3/30 20:01 30.40 0.43%
Trade id #93453215
Max drawdown($438)
Time3/30/15 20:01
Quant open0
Worst price30.40
Drawdown as % of equity-0.43%
 ($446)
Includes Typical Broker Commissions trade costs of $8.00
3/26/15 11:25 @KCK5 COFFEE LONG 1 142.50 3/30 11:04 135.15 2.7%
Trade id #93509339
Max drawdown($2,756)
Time3/30/15 11:04
Quant open0
Worst price135.15
Drawdown as % of equity-2.70%
 ($2,764)
Includes Typical Broker Commissions trade costs of $8.00
3/25/15 12:06 @SK5 SOYBEANS LONG 1 985 1/4 3/27 11:33 965 0.98%
Trade id #93479685
Max drawdown($1,008)
Time3/27/15 11:33
Quant open0
Worst price965
Drawdown as % of equity-0.98%
 ($1,016)
Includes Typical Broker Commissions trade costs of $8.00
3/24/15 8:50 @BPM5 BRITISH POUND LONG 1 1.4943 3/26 10:06 1.4800 0.84%
Trade id #93444197
Max drawdown($894)
Time3/26/15 10:06
Quant open0
Worst price1.4800
Drawdown as % of equity-0.84%
 ($902)
Includes Typical Broker Commissions trade costs of $8.00
3/26/15 1:02 QPLJ5 PLATINUM LONG 1 1149.8 3/26 8:48 1154.8 0.07%
Trade id #93495263
Max drawdown($76)
Time3/26/15 1:21
Quant open1
Worst price1148.3
Drawdown as % of equity-0.07%
 $240
Includes Typical Broker Commissions trade costs of $8.00
3/26/15 1:02 QHGK5 Copper LONG 1 280.70 3/26 8:47 281.40 0.27%
Trade id #93495257
Max drawdown($287)
Time3/26/15 2:19
Quant open1
Worst price279.55
Drawdown as % of equity-0.27%
 $167
Includes Typical Broker Commissions trade costs of $8.00
3/25/15 11:28 QCLK5 CRUDE OIL LONG 1 48.02 3/25 22:28 50.78 0.08%
Trade id #93478101
Max drawdown($80)
Time3/25/15 11:31
Quant open1
Worst price47.94
Drawdown as % of equity-0.08%
 $2,752
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    8/4/2013
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    3910.77
  • Age
    131 months ago
  • What it trades
    Futures
  • # Trades
    372
  • # Profitable
    178
  • % Profitable
    47.80%
  • Avg trade duration
    5.0 days
  • Max peak-to-valley drawdown
    20.89%
  • drawdown period
    Nov 03, 2014 - March 05, 2015
  • Annual Return (Compounded)
    5.3%
  • Avg win
    $1,071
  • Avg loss
    $737.45
  • Model Account Values (Raw)
  • Cash
    $97,714
  • Margin Used
    $0
  • Buying Power
    $97,714
  • Ratios
  • W:L ratio
    1.33:1
  • Sharpe Ratio
    0.33
  • Sortino Ratio
    0.57
  • Calmar Ratio
    1.378
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -118.20%
  • Correlation to SP500
    -0.01280
  • Return Percent SP500 (cumu) during strategy life
    196.40%
  • Return Statistics
  • Ann Return (w trading costs)
    5.3%
  • Slump
  • Current Slump as Pcnt Equity
    13.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.85%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.053%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    6.67%
  • 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
  • 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
    $737
  • Avg Win
    $1,072
  • Sum Trade PL (losers)
    $143,066.000
  • Age
  • Num Months filled monthly returns table
    129
  • Win / Loss
  • Sum Trade PL (winners)
    $190,775.000
  • # Winners
    178
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    194
  • % Winners
    47.9%
  • Frequency
  • Avg Position Time (mins)
    7217.57
  • Avg Position Time (hrs)
    120.29
  • Avg Trade Length
    5.0 days
  • Last Trade Ago
    3216
  • Regression
  • Alpha
    0.01
  • Beta
    -0.01
  • Treynor Index
    -1.34
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    60.63
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    56.73
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.27
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.145
  • 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
    0.368
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.176
  • Hold-and-Hope Ratio
    0.193
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18965
  • SD
    0.17881
  • Sharpe ratio (Glass type estimate)
    1.06063
  • Sharpe ratio (Hedges UMVUE)
    1.04008
  • df
    39.00000
  • t
    1.93643
  • p
    0.03004
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04467
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15302
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05797
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13813
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.62185
  • Upside Potential Ratio
    3.94834
  • Upside part of mean
    0.28560
  • Downside part of mean
    -0.09595
  • Upside SD
    0.17011
  • Downside SD
    0.07233
  • N nonnegative terms
    13.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.28969
  • Mean of criterion
    0.18965
  • SD of predictor
    0.24955
  • SD of criterion
    0.17881
  • Covariance
    -0.00766
  • r
    -0.17156
  • b (slope, estimate of beta)
    -0.12293
  • a (intercept, estimate of alpha)
    0.22526
  • Mean Square Error
    0.03185
  • DF error
    38.00000
  • t(b)
    -1.07350
  • p(b)
    0.85509
  • t(a)
    2.18228
  • p(a)
    0.01767
  • Lowerbound of 95% confidence interval for beta
    -0.35474
  • Upperbound of 95% confidence interval for beta
    0.10888
  • Lowerbound of 95% confidence interval for alpha
    0.01630
  • Upperbound of 95% confidence interval for alpha
    0.43422
  • Treynor index (mean / b)
    -1.54278
  • Jensen alpha (a)
    0.22526
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17310
  • SD
    0.17210
  • Sharpe ratio (Glass type estimate)
    1.00580
  • Sharpe ratio (Hedges UMVUE)
    0.98631
  • df
    39.00000
  • t
    1.83633
  • p
    0.03697
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09668
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09597
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10929
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08192
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30283
  • Upside Potential Ratio
    3.61288
  • Upside part of mean
    0.27158
  • Downside part of mean
    -0.09848
  • Upside SD
    0.16039
  • Downside SD
    0.07517
  • N nonnegative terms
    13.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.25717
  • Mean of criterion
    0.17310
  • SD of predictor
    0.24087
  • SD of criterion
    0.17210
  • Covariance
    -0.00674
  • r
    -0.16266
  • b (slope, estimate of beta)
    -0.11622
  • a (intercept, estimate of alpha)
    0.20299
  • Mean Square Error
    0.02960
  • DF error
    38.00000
  • t(b)
    -1.01624
  • p(b)
    0.84203
  • t(a)
    2.05645
  • p(a)
    0.02333
  • Lowerbound of 95% confidence interval for beta
    -0.34774
  • Upperbound of 95% confidence interval for beta
    0.11530
  • Lowerbound of 95% confidence interval for alpha
    0.00316
  • Upperbound of 95% confidence interval for alpha
    0.40282
  • Treynor index (mean / b)
    -1.48943
  • Jensen alpha (a)
    0.20299
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06508
  • Expected Shortfall on VaR
    0.08413
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02193
  • Expected Shortfall on VaR
    0.04542
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    40.00000
  • Minimum
    0.90262
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.04435
  • Maximum
    1.16875
  • Mean of quarter 1
    0.97410
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00741
  • Mean of quarter 4
    1.09102
  • Inter Quartile Range
    0.04435
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02500
  • Mean of outliers low
    0.90262
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.13430
  • 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)
    0.23374
  • VaR(95%) (regression method)
    0.03366
  • Expected Shortfall (regression method)
    0.07132
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03565
  • Quartile 1
    0.06651
  • Median
    0.09738
  • Quartile 3
    0.10507
  • Maximum
    0.11276
  • Mean of quarter 1
    0.03565
  • Mean of quarter 2
    0.09738
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11276
  • Inter Quartile Range
    0.03856
  • 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)
    0.28629
  • Compounded annual return (geometric extrapolation)
    0.22264
  • Calmar ratio (compounded annual return / max draw down)
    1.97443
  • Compounded annual return / average of 25% largest draw downs
    1.97443
  • Compounded annual return / Expected Shortfall lognormal
    2.64619
  • 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
    0.18205
  • SD
    0.15419
  • Sharpe ratio (Glass type estimate)
    1.18062
  • Sharpe ratio (Hedges UMVUE)
    1.17962
  • df
    885.00000
  • t
    2.17108
  • p
    0.01510
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11306
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24753
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11239
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24685
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.11565
  • Upside Potential Ratio
    7.51781
  • Upside part of mean
    0.64689
  • Downside part of mean
    -0.46484
  • Upside SD
    0.12834
  • Downside SD
    0.08605
  • N nonnegative terms
    190.00000
  • N negative terms
    696.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    886.00000
  • Mean of predictor
    0.32549
  • Mean of criterion
    0.18205
  • SD of predictor
    0.26405
  • SD of criterion
    0.15419
  • Covariance
    -0.00102
  • r
    -0.02517
  • b (slope, estimate of beta)
    -0.01470
  • a (intercept, estimate of alpha)
    0.18700
  • Mean Square Error
    0.02379
  • DF error
    884.00000
  • t(b)
    -0.74852
  • p(b)
    0.77283
  • t(a)
    2.22114
  • p(a)
    0.01330
  • Lowerbound of 95% confidence interval for beta
    -0.05323
  • Upperbound of 95% confidence interval for beta
    0.02384
  • Lowerbound of 95% confidence interval for alpha
    0.02174
  • Upperbound of 95% confidence interval for alpha
    0.35192
  • Treynor index (mean / b)
    -12.38660
  • Jensen alpha (a)
    0.18683
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17023
  • SD
    0.15290
  • Sharpe ratio (Glass type estimate)
    1.11331
  • Sharpe ratio (Hedges UMVUE)
    1.11236
  • df
    885.00000
  • t
    2.04730
  • p
    0.02046
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04594
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04529
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17944
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95437
  • Upside Potential Ratio
    7.33378
  • Upside part of mean
    0.63878
  • Downside part of mean
    -0.46855
  • Upside SD
    0.12601
  • Downside SD
    0.08710
  • N nonnegative terms
    190.00000
  • N negative terms
    696.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    886.00000
  • Mean of predictor
    0.29000
  • Mean of criterion
    0.17023
  • SD of predictor
    0.26676
  • SD of criterion
    0.15290
  • Covariance
    -0.00099
  • r
    -0.02431
  • b (slope, estimate of beta)
    -0.01393
  • a (intercept, estimate of alpha)
    0.17427
  • Mean Square Error
    0.02339
  • DF error
    884.00000
  • t(b)
    -0.72298
  • p(b)
    0.76506
  • t(a)
    2.09061
  • p(a)
    0.01842
  • Lowerbound of 95% confidence interval for beta
    -0.05176
  • Upperbound of 95% confidence interval for beta
    0.02389
  • Lowerbound of 95% confidence interval for alpha
    0.01067
  • Upperbound of 95% confidence interval for alpha
    0.33787
  • Treynor index (mean / b)
    -12.21700
  • Jensen alpha (a)
    0.17427
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01478
  • Expected Shortfall on VaR
    0.01865
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00533
  • Expected Shortfall on VaR
    0.01125
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    886.00000
  • Minimum
    0.95044
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.07206
  • Mean of quarter 1
    0.99325
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00995
  • Inter Quartile Range
    0.00000
  • Number outliers low
    175.00000
  • Percentage of outliers low
    0.19752
  • Mean of outliers low
    0.99144
  • Number of outliers high
    192.00000
  • Percentage of outliers high
    0.21670
  • Mean of outliers high
    1.01150
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03104
  • VaR(95%) (moments method)
    0.00306
  • Expected Shortfall (moments method)
    0.00468
  • Extreme Value Index (regression method)
    0.02904
  • VaR(95%) (regression method)
    0.00712
  • Expected Shortfall (regression method)
    0.01216
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00447
  • Quartile 1
    0.01823
  • Median
    0.03137
  • Quartile 3
    0.05998
  • Maximum
    0.15906
  • Mean of quarter 1
    0.01174
  • Mean of quarter 2
    0.02326
  • Mean of quarter 3
    0.04452
  • Mean of quarter 4
    0.10326
  • Inter Quartile Range
    0.04175
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.15401
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.00669
  • VaR(95%) (moments method)
    0.11148
  • Expected Shortfall (moments method)
    0.14495
  • Extreme Value Index (regression method)
    -0.51895
  • VaR(95%) (regression method)
    0.11722
  • Expected Shortfall (regression method)
    0.13127
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28220
  • Compounded annual return (geometric extrapolation)
    0.21913
  • Calmar ratio (compounded annual return / max draw down)
    1.37766
  • Compounded annual return / average of 25% largest draw downs
    2.12217
  • Compounded annual return / Expected Shortfall lognormal
    11.74740
  • 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
    1.00112
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45247
  • 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
    0.89576
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45937
  • 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)
    -6816940000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01500
  • 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)
    -102210000000000009010172177416192.00000
  • 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?
    -467669000
  • Max Equity Drawdown (num days)
    122
  • 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

The FuturesX System is a trend following, technical system that trades in all futures markets. I use non-correlated indicators to enter long/short trades that I have tested and developed myself over the past year. Positions are traded daily and are held for multiple days and as long as weeks. Positions are opened always as limit orders with a profit target and stop loss. My trading style is extremely selective - I only enter the market when probability of a reasonable profit is very high. I stay in the market only long enough to achieve the profit thus minimizing prolonged exposure to adverse market volatility.
While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose all your money, we do make an effort to control risk. Due to the high volatility of the futures market and the amount of time I hold positions, considerable diligence is given to risk. Despite my efforts it is not unusual to see significant equity swings in our positions. Risk per trade is limited to 1.5% - 2% of account equity. I adjust stops and targets once a specific target is met on a trade thereby limiting potential for losses. I take considerable diligence in managing the system with the knowledge that people's hard earned money is being invested. I do not take lightly this responsibility.
Before subscribing or auto trading the system please ensure you have access to all future's markets so participation in all trades is assured.

I have four Collective2 systems that offer a diversified and non-correlated portfolio. I offer the following discounts if you subscribe to more than 1 system:

2 Systems - 299 per month
3 Systems - 399 per month
4 Systems - 499 per month

Please do not hesitate to contact me if you have any questions.

Summary Statistics

Strategy began
2013-08-04
Suggested Minimum Capital
$50,000
# Trades
372
# Profitable
178
% Profitable
47.8%
Correlation S&P500
-0.013
Sharpe Ratio
0.33
Sortino Ratio
0.57
Beta
-0.01
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.

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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.