Collective2 Collective2
Featured Strategy MT3 Algotrading +78.7% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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SP500 Prometeo
(82459481)

Created by: AndresPadrones AndresPadrones
Started: 08/2013
Futures
Last trade: 3,259 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 $99.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

7.7%
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.

(21.4%)
Max Drawdown
97
Num Trades
66.0%
Win Trades
1.5 : 1
Profit Factor
11.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                 (4.7%)+4.9%+3.9%+6.0%+4.4%+14.9%
2014(6.4%)+3.1%(3.8%)+9.3%+0.8%+5.1%(0.2%)+0.7%(1.7%)+7.0%+1.0%+4.7%+20.2%
2015(3%)+1.2%+4.5%(0.1%)(2.5%)(2%)+0.6%(4.8%)(3.1%)(3.6%)+0.2%(0.2%)(12.3%)
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.

System developer has asked us to delay this information by 72 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/24/16 18:12 @ESH6 E-MINI S&P 500 SHORT 1 1899.25 1/25 2:43 1896.25 0.26%
Trade id #100161974
Max drawdown($175)
Time1/24/16 18:50
Quant open-1
Worst price1902.75
Drawdown as % of equity-0.26%
 $142
Includes Typical Broker Commissions trade costs of $8.00
11/9/15 17:00 @ESZ5 E-MINI S&P 500 LONG 1 2072.50 11/18 18:00 2077.75 5.87%
Trade id #98262138
Max drawdown($3,700)
Time11/15/15 18:02
Quant open1
Worst price1998.50
Drawdown as % of equity-5.87%
 $255
Includes Typical Broker Commissions trade costs of $8.00
10/11/15 18:00 @ESZ5 E-MINI S&P 500 SHORT 1 2003.75 10/13 18:00 1991.50 0.85%
Trade id #97726649
Max drawdown($550)
Time10/13/15 11:14
Quant open-1
Worst price2014.75
Drawdown as % of equity-0.85%
 $605
Includes Typical Broker Commissions trade costs of $8.00
10/4/15 18:00 @ESZ5 E-MINI S&P 500 SHORT 1 1940.50 10/8 18:00 2004.25 5.18%
Trade id #97588699
Max drawdown($3,412)
Time10/8/15 15:18
Quant open-1
Worst price2008.75
Drawdown as % of equity-5.18%
 ($3,196)
Includes Typical Broker Commissions trade costs of $8.00
10/2/15 15:16 @ESZ5 E-MINI S&P 500 LONG 1 1930.00 10/4 18:00 1940.00 0.04%
Trade id #97584984
Max drawdown($25)
Time10/2/15 15:18
Quant open1
Worst price1929.50
Drawdown as % of equity-0.04%
 $492
Includes Typical Broker Commissions trade costs of $8.00
9/30/15 4:48 @ESZ5 E-MINI S&P 500 LONG 1 1895.25 9/30 18:00 1902.00 0.65%
Trade id #97515505
Max drawdown($437)
Time9/30/15 12:50
Quant open1
Worst price1886.50
Drawdown as % of equity-0.65%
 $330
Includes Typical Broker Commissions trade costs of $8.00
9/28/15 11:34 @ESZ5 E-MINI S&P 500 SHORT 1 1886.75 9/28 18:00 1876.00 0.24%
Trade id #97474388
Max drawdown($162)
Time9/28/15 11:43
Quant open-1
Worst price1890.00
Drawdown as % of equity-0.24%
 $530
Includes Typical Broker Commissions trade costs of $8.00
9/24/15 7:18 @ESZ5 E-MINI S&P 500 SHORT 1 1909.75 9/25 4:55 1949.75 2.96%
Trade id #97414968
Max drawdown($2,000)
Time9/25/15 4:55
Quant open0
Worst price1949.75
Drawdown as % of equity-2.96%
 ($2,008)
Includes Typical Broker Commissions trade costs of $8.00
9/22/15 4:07 @ESZ5 E-MINI S&P 500 SHORT 1 1942.75 9/22 18:00 1930.25 0.2%
Trade id #97363445
Max drawdown($137)
Time9/22/15 4:16
Quant open-1
Worst price1945.50
Drawdown as % of equity-0.20%
 $617
Includes Typical Broker Commissions trade costs of $8.00
9/18/15 3:17 @ESZ5 E-MINI S&P 500 LONG 1 1976.50 9/18 6:26 1965.00 0.83%
Trade id #97302779
Max drawdown($575)
Time9/18/15 6:26
Quant open0
Worst price1965.00
Drawdown as % of equity-0.83%
 ($583)
Includes Typical Broker Commissions trade costs of $8.00
9/15/15 18:00 @ESZ5 E-MINI S&P 500 SHORT 1 1969.75 9/17 14:45 2005.00 2.52%
Trade id #97242063
Max drawdown($1,763)
Time9/17/15 14:45
Quant open0
Worst price2005.00
Drawdown as % of equity-2.52%
 ($1,771)
Includes Typical Broker Commissions trade costs of $8.00
9/15/15 13:16 @ESZ5 E-MINI S&P 500 LONG 1 1963.00 9/15 18:00 1969.75 0.05%
Trade id #97235905
Max drawdown($37)
Time9/15/15 13:18
Quant open1
Worst price1962.25
Drawdown as % of equity-0.05%
 $330
Includes Typical Broker Commissions trade costs of $8.00
9/9/15 15:54 @ESU5 E-MINI S&P 500 LONG 1 1937.00 9/9 18:00 1943.25 0.11%
Trade id #97132328
Max drawdown($75)
Time9/9/15 15:58
Quant open1
Worst price1935.50
Drawdown as % of equity-0.11%
 $305
Includes Typical Broker Commissions trade costs of $8.00
9/8/15 3:31 @ESU5 E-MINI S&P 500 LONG 1 1950.25 9/8 8:24 1952.50 0.02%
Trade id #97088168
Max drawdown($12)
Time9/8/15 3:33
Quant open1
Worst price1950.00
Drawdown as % of equity-0.02%
 $105
Includes Typical Broker Commissions trade costs of $8.00
9/4/15 6:17 @ESU5 E-MINI S&P 500 SHORT 1 1925.00 9/6 18:00 1917.75 0.79%
Trade id #97049415
Max drawdown($550)
Time9/4/15 8:33
Quant open-1
Worst price1936.00
Drawdown as % of equity-0.79%
 $355
Includes Typical Broker Commissions trade costs of $8.00
8/30/15 18:27 @ESU5 E-MINI S&P 500 SHORT 1 1968.25 8/31 16:30 1963.50 1.12%
Trade id #96936222
Max drawdown($775)
Time8/31/15 11:43
Quant open-1
Worst price1983.75
Drawdown as % of equity-1.12%
 $230
Includes Typical Broker Commissions trade costs of $8.00
8/30/15 18:01 @ESU5 E-MINI S&P 500 SHORT 1 1984.00 8/30 18:10 1974.25 n/a $480
Includes Typical Broker Commissions trade costs of $8.00
8/27/15 18:00 @ESU5 E-MINI S&P 500 SHORT 1 1988.25 8/28 3:50 1976.25 0.33%
Trade id #96905101
Max drawdown($225)
Time8/27/15 20:18
Quant open-1
Worst price1992.75
Drawdown as % of equity-0.33%
 $592
Includes Typical Broker Commissions trade costs of $8.00
8/12/15 20:58 @ESU5 E-MINI S&P 500 LONG 3 2086.25 8/19 10:56 2076.83 2.05%
Trade id #96607974
Max drawdown($1,413)
Time8/19/15 10:56
Quant open2
Worst price2070.25
Drawdown as % of equity-2.05%
 ($1,437)
Includes Typical Broker Commissions trade costs of $24.00
8/10/15 7:26 @ESU5 E-MINI S&P 500 LONG 2 2082.00 8/12 3:41 2059.25 3.24%
Trade id #96532692
Max drawdown($2,275)
Time8/12/15 3:41
Quant open1
Worst price2057.75
Drawdown as % of equity-3.24%
 ($2,291)
Includes Typical Broker Commissions trade costs of $16.00
8/6/15 18:00 @ESU5 E-MINI S&P 500 LONG 1 2080.25 8/9 21:45 2078.25 1.28%
Trade id #96490835
Max drawdown($912)
Time8/7/15 13:27
Quant open1
Worst price2062.00
Drawdown as % of equity-1.28%
 ($108)
Includes Typical Broker Commissions trade costs of $8.00
8/2/15 18:00 @ESU5 E-MINI S&P 500 LONG 1 2098.75 8/5 3:00 2088.75 1.3%
Trade id #96206814
Max drawdown($937)
Time8/3/15 13:11
Quant open1
Worst price2080.00
Drawdown as % of equity-1.30%
 ($508)
Includes Typical Broker Commissions trade costs of $8.00
7/26/15 18:00 @ESU5 E-MINI S&P 500 LONG 1 2077.75 7/28 13:22 2084.50 1.48%
Trade id #96068474
Max drawdown($1,062)
Time7/27/15 9:44
Quant open1
Worst price2056.50
Drawdown as % of equity-1.48%
 $330
Includes Typical Broker Commissions trade costs of $8.00
7/23/15 18:00 @ESU5 E-MINI S&P 500 LONG 1 2101.00 7/24 13:32 2078.75 1.53%
Trade id #96042890
Max drawdown($1,113)
Time7/24/15 13:32
Quant open0
Worst price2078.75
Drawdown as % of equity-1.53%
 ($1,121)
Includes Typical Broker Commissions trade costs of $8.00
7/21/15 18:00 @ESU5 E-MINI S&P 500 LONG 1 2108.00 7/23 14:56 2094.75 0.9%
Trade id #95995562
Max drawdown($663)
Time7/23/15 14:56
Quant open0
Worst price2094.75
Drawdown as % of equity-0.90%
 ($671)
Includes Typical Broker Commissions trade costs of $8.00
7/6/15 18:42 @ESU5 E-MINI S&P 500 LONG 1 2072.00 7/21 11:10 2112.50 2.62%
Trade id #95728367
Max drawdown($1,850)
Time7/7/15 11:36
Quant open1
Worst price2035.00
Drawdown as % of equity-2.62%
 $2,017
Includes Typical Broker Commissions trade costs of $8.00
7/1/15 8:51 @ESU5 E-MINI S&P 500 LONG 1 2071.50 7/2 2:08 2072.00 0.82%
Trade id #95634200
Max drawdown($587)
Time7/1/15 14:04
Quant open1
Worst price2059.75
Drawdown as % of equity-0.82%
 $17
Includes Typical Broker Commissions trade costs of $8.00
7/1/15 4:59 @ESU5 E-MINI S&P 500 LONG 2 2069.75 7/1 6:25 2070.25 0.1%
Trade id #95630903
Max drawdown($75)
Time7/1/15 5:02
Quant open2
Worst price2069.00
Drawdown as % of equity-0.10%
 $34
Includes Typical Broker Commissions trade costs of $16.00
6/29/15 18:00 @ESU5 E-MINI S&P 500 LONG 1 2054.50 6/30 4:02 2057.50 0.26%
Trade id #95565623
Max drawdown($187)
Time6/29/15 22:39
Quant open1
Worst price2050.75
Drawdown as % of equity-0.26%
 $142
Includes Typical Broker Commissions trade costs of $8.00
6/25/15 18:13 @ESU5 E-MINI S&P 500 LONG 1 2094.25 6/28 18:00 2064.00 2.06%
Trade id #95464440
Max drawdown($1,513)
Time6/28/15 18:00
Quant open0
Worst price2064.00
Drawdown as % of equity-2.06%
 ($1,521)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    8/11/2013
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    4154.2
  • Age
    139 months ago
  • What it trades
    Futures
  • # Trades
    97
  • # Profitable
    64
  • % Profitable
    66.00%
  • Avg trade duration
    5.0 days
  • Max peak-to-valley drawdown
    21.36%
  • drawdown period
    April 13, 2015 - Nov 15, 2015
  • Annual Return (Compounded)
    7.7%
  • Avg win
    $813.14
  • Avg loss
    $1,080
  • Model Account Values (Raw)
  • Cash
    $66,375
  • Margin Used
    $0
  • Buying Power
    $66,375
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    -0
  • Sortino Ratio
    -0
  • Calmar Ratio
    0.423
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -0.53%
  • Correlation to SP500
    0.13830
  • Return Percent SP500 (cumu) during strategy life
    256.95%
  • Return Statistics
  • Ann Return (w trading costs)
    7.7%
  • Slump
  • Current Slump as Pcnt Equity
    21.10%
  • 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)
    0.077%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • 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
  • 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)
    322
  • 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
    $1,081
  • Avg Win
    $813
  • Sum Trade PL (losers)
    $35,660.000
  • Age
  • Num Months filled monthly returns table
    137
  • Win / Loss
  • Sum Trade PL (winners)
    $52,041.000
  • # Winners
    64
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    33
  • % Winners
    66.0%
  • Frequency
  • Avg Position Time (mins)
    7152.92
  • Avg Position Time (hrs)
    119.22
  • Avg Trade Length
    5.0 days
  • Last Trade Ago
    3258
  • Regression
  • Alpha
    -0.00
  • Beta
    0.06
  • 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
    76.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    58.02
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.10
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    5.693
  • 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
    0.723
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.463
  • Hold-and-Hope Ratio
    0.176
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09811
  • SD
    0.12657
  • Sharpe ratio (Glass type estimate)
    0.77516
  • Sharpe ratio (Hedges UMVUE)
    0.75738
  • df
    33.00000
  • t
    1.30478
  • p
    0.10050
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40975
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94867
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42126
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93602
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.44191
  • Upside Potential Ratio
    3.22956
  • Upside part of mean
    0.21975
  • Downside part of mean
    -0.12164
  • Upside SD
    0.10827
  • Downside SD
    0.06804
  • N nonnegative terms
    19.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.06971
  • Mean of criterion
    0.09811
  • SD of predictor
    0.12057
  • SD of criterion
    0.12657
  • Covariance
    0.00591
  • r
    0.38741
  • b (slope, estimate of beta)
    0.40671
  • a (intercept, estimate of alpha)
    0.06976
  • Mean Square Error
    0.01404
  • DF error
    32.00000
  • t(b)
    2.37717
  • p(b)
    0.01180
  • t(a)
    0.97705
  • p(a)
    0.16794
  • Lowerbound of 95% confidence interval for beta
    0.05821
  • Upperbound of 95% confidence interval for beta
    0.75521
  • Lowerbound of 95% confidence interval for alpha
    -0.07568
  • Upperbound of 95% confidence interval for alpha
    0.21520
  • Treynor index (mean / b)
    0.24124
  • Jensen alpha (a)
    0.06976
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09004
  • SD
    0.12497
  • Sharpe ratio (Glass type estimate)
    0.72046
  • Sharpe ratio (Hedges UMVUE)
    0.70394
  • df
    33.00000
  • t
    1.21271
  • p
    0.11693
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46202
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89237
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47278
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88065
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29448
  • Upside Potential Ratio
    3.07612
  • Upside part of mean
    0.21396
  • Downside part of mean
    -0.12392
  • Upside SD
    0.10486
  • Downside SD
    0.06955
  • N nonnegative terms
    19.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.06245
  • Mean of criterion
    0.09004
  • SD of predictor
    0.12033
  • SD of criterion
    0.12497
  • Covariance
    0.00586
  • r
    0.38941
  • b (slope, estimate of beta)
    0.40444
  • a (intercept, estimate of alpha)
    0.06478
  • Mean Square Error
    0.01366
  • DF error
    32.00000
  • t(b)
    2.39162
  • p(b)
    0.01141
  • t(a)
    0.92225
  • p(a)
    0.18165
  • Lowerbound of 95% confidence interval for beta
    0.05998
  • Upperbound of 95% confidence interval for beta
    0.74891
  • Lowerbound of 95% confidence interval for alpha
    -0.07830
  • Upperbound of 95% confidence interval for alpha
    0.20786
  • Treynor index (mean / b)
    0.22262
  • Jensen alpha (a)
    0.06478
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05052
  • Expected Shortfall on VaR
    0.06464
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02171
  • Expected Shortfall on VaR
    0.04199
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    34.00000
  • Minimum
    0.93784
  • Quartile 1
    0.98305
  • Median
    1.00470
  • Quartile 3
    1.03755
  • Maximum
    1.09656
  • Mean of quarter 1
    0.96568
  • Mean of quarter 2
    0.99787
  • Mean of quarter 3
    1.01537
  • Mean of quarter 4
    1.05658
  • Inter Quartile Range
    0.05450
  • 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)
    -0.24799
  • VaR(95%) (moments method)
    0.03641
  • Expected Shortfall (moments method)
    0.04413
  • Extreme Value Index (regression method)
    -0.38243
  • VaR(95%) (regression method)
    0.03629
  • Expected Shortfall (regression method)
    0.04203
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01310
  • Quartile 1
    0.02025
  • Median
    0.04664
  • Quartile 3
    0.06216
  • Maximum
    0.14030
  • Mean of quarter 1
    0.01667
  • Mean of quarter 2
    0.04664
  • Mean of quarter 3
    0.06216
  • Mean of quarter 4
    0.14030
  • Inter Quartile Range
    0.04191
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.14030
  • 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)
    0.11559
  • Compounded annual return (geometric extrapolation)
    0.10516
  • Calmar ratio (compounded annual return / max draw down)
    0.74951
  • Compounded annual return / average of 25% largest draw downs
    0.74951
  • Compounded annual return / Expected Shortfall lognormal
    1.62683
  • 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
    0.09555
  • SD
    0.12936
  • Sharpe ratio (Glass type estimate)
    0.73863
  • Sharpe ratio (Hedges UMVUE)
    0.73808
  • df
    1002.00000
  • t
    1.26124
  • p
    0.48009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40983
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88673
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41020
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88636
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13696
  • Upside Potential Ratio
    7.46084
  • Upside part of mean
    0.62700
  • Downside part of mean
    -0.53145
  • Upside SD
    0.09839
  • Downside SD
    0.08404
  • N nonnegative terms
    325.00000
  • N negative terms
    678.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1003.00000
  • Mean of predictor
    0.07150
  • Mean of criterion
    0.09555
  • SD of predictor
    0.13251
  • SD of criterion
    0.12936
  • Covariance
    0.00577
  • r
    0.33689
  • b (slope, estimate of beta)
    0.32888
  • a (intercept, estimate of alpha)
    0.03200
  • Mean Square Error
    0.01485
  • DF error
    1001.00000
  • t(b)
    11.32050
  • p(b)
    -0.00000
  • t(a)
    1.00897
  • p(a)
    0.15662
  • Lowerbound of 95% confidence interval for beta
    0.27187
  • Upperbound of 95% confidence interval for beta
    0.38589
  • Lowerbound of 95% confidence interval for alpha
    -0.06807
  • Upperbound of 95% confidence interval for alpha
    0.21214
  • Treynor index (mean / b)
    0.29053
  • Jensen alpha (a)
    0.07204
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08721
  • SD
    0.12895
  • Sharpe ratio (Glass type estimate)
    0.67634
  • Sharpe ratio (Hedges UMVUE)
    0.67583
  • df
    1002.00000
  • t
    1.15487
  • p
    0.48177
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47202
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82440
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47238
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82404
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02651
  • Upside Potential Ratio
    7.32383
  • Upside part of mean
    0.62223
  • Downside part of mean
    -0.53502
  • Upside SD
    0.09703
  • Downside SD
    0.08496
  • N nonnegative terms
    325.00000
  • N negative terms
    678.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1003.00000
  • Mean of predictor
    0.06271
  • Mean of criterion
    0.08721
  • SD of predictor
    0.13263
  • SD of criterion
    0.12895
  • Covariance
    0.00575
  • r
    0.33639
  • b (slope, estimate of beta)
    0.32705
  • a (intercept, estimate of alpha)
    0.06670
  • Mean Square Error
    0.01476
  • DF error
    1001.00000
  • t(b)
    11.30160
  • p(b)
    -0.00000
  • t(a)
    0.93719
  • p(a)
    0.17444
  • Lowerbound of 95% confidence interval for beta
    0.27027
  • Upperbound of 95% confidence interval for beta
    0.38384
  • Lowerbound of 95% confidence interval for alpha
    -0.07296
  • Upperbound of 95% confidence interval for alpha
    0.20637
  • Treynor index (mean / b)
    0.26666
  • Jensen alpha (a)
    0.06670
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01112
  • Expected Shortfall on VaR
    0.01399
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00422
  • Expected Shortfall on VaR
    0.00901
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1003.00000
  • Minimum
    0.95240
  • Quartile 1
    0.99969
  • Median
    1.00000
  • Quartile 3
    1.00108
  • Maximum
    1.06366
  • Mean of quarter 1
    0.99391
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00016
  • Mean of quarter 4
    1.00716
  • Inter Quartile Range
    0.00139
  • Number outliers low
    169.00000
  • Percentage of outliers low
    0.16850
  • Mean of outliers low
    0.99155
  • Number of outliers high
    160.00000
  • Percentage of outliers high
    0.15952
  • Mean of outliers high
    1.01006
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46953
  • VaR(95%) (moments method)
    0.00429
  • Expected Shortfall (moments method)
    0.01010
  • Extreme Value Index (regression method)
    0.20622
  • VaR(95%) (regression method)
    0.00590
  • Expected Shortfall (regression method)
    0.01072
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00181
  • Median
    0.01004
  • Quartile 3
    0.03128
  • Maximum
    0.18472
  • Mean of quarter 1
    0.00122
  • Mean of quarter 2
    0.00567
  • Mean of quarter 3
    0.01948
  • Mean of quarter 4
    0.08729
  • Inter Quartile Range
    0.02947
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.15152
  • Mean of outliers high
    0.11161
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.00293
  • VaR(95%) (moments method)
    0.07515
  • Expected Shortfall (moments method)
    0.10280
  • Extreme Value Index (regression method)
    1.35574
  • VaR(95%) (regression method)
    0.07187
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11232
  • Compounded annual return (geometric extrapolation)
    0.10204
  • Calmar ratio (compounded annual return / max draw down)
    0.55239
  • Compounded annual return / average of 25% largest draw downs
    1.16903
  • Compounded annual return / Expected Shortfall lognormal
    7.29623
  • 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
    -0.00542
  • SD
    0.00312
  • Sharpe ratio (Glass type estimate)
    -1.73576
  • Sharpe ratio (Hedges UMVUE)
    -1.72813
  • df
    171.00000
  • t
    -1.22737
  • p
    0.55940
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.51113
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04458
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.50598
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04972
  • Statistics related to Sortino ratio
  • Sortino ratio
    -9.91729
  • Upside Potential Ratio
    8.29659
  • Upside part of mean
    0.00453
  • Downside part of mean
    -0.00996
  • Upside SD
    0.00308
  • Downside SD
    0.00055
  • N nonnegative terms
    2.00000
  • N negative terms
    170.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.01279
  • Mean of criterion
    -0.00542
  • SD of predictor
    0.16248
  • SD of criterion
    0.00312
  • Covariance
    0.00006
  • r
    0.11759
  • b (slope, estimate of beta)
    0.00226
  • a (intercept, estimate of alpha)
    -0.00545
  • Mean Square Error
    0.00001
  • DF error
    170.00000
  • t(b)
    1.54394
  • p(b)
    0.44120
  • t(a)
    -1.23888
  • p(a)
    0.54730
  • Lowerbound of 95% confidence interval for beta
    -0.00063
  • Upperbound of 95% confidence interval for beta
    0.00515
  • Lowerbound of 95% confidence interval for alpha
    -0.01413
  • Upperbound of 95% confidence interval for alpha
    0.00323
  • Treynor index (mean / b)
    -2.39824
  • Jensen alpha (a)
    -0.00545
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00543
  • SD
    0.00312
  • Sharpe ratio (Glass type estimate)
    -1.73918
  • Sharpe ratio (Hedges UMVUE)
    -1.73154
  • df
    171.00000
  • t
    -1.22978
  • p
    0.55952
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.51457
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04118
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.50941
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04634
  • Statistics related to Sortino ratio
  • Sortino ratio
    -9.92606
  • Upside Potential Ratio
    8.28780
  • Upside part of mean
    0.00453
  • Downside part of mean
    -0.00996
  • Upside SD
    0.00308
  • Downside SD
    0.00055
  • N nonnegative terms
    2.00000
  • N negative terms
    170.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.00036
  • Mean of criterion
    -0.00543
  • SD of predictor
    0.16267
  • SD of criterion
    0.00312
  • Covariance
    0.00006
  • r
    0.11683
  • b (slope, estimate of beta)
    0.00224
  • a (intercept, estimate of alpha)
    -0.00542
  • Mean Square Error
    0.00001
  • DF error
    170.00000
  • t(b)
    1.53382
  • p(b)
    0.44158
  • t(a)
    -1.23446
  • p(a)
    0.54713
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.00064
  • Upperbound of 95% confidence interval for beta
    0.00512
  • Lowerbound of 95% confidence interval for alpha
    -0.01410
  • Upperbound of 95% confidence interval for alpha
    0.00325
  • Treynor index (mean / b)
    -2.42151
  • Jensen alpha (a)
    -0.00542
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00029
  • Expected Shortfall on VaR
    0.00036
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.99994
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00220
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00005
  • Inter Quartile Range
    0.00000
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00581
  • Mean of outliers low
    0.99994
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01163
  • Mean of outliers high
    1.00116
  • 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
    1.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00006
  • Median
    0.00006
  • Quartile 3
    0.00006
  • Maximum
    0.00006
  • 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
  • Max Equity Drawdown (num days)
    216
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00453
  • Compounded annual return (geometric extrapolation)
    0.00454
  • Calmar ratio (compounded annual return / max draw down)
    75.08490
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    12.50590

Strategy Description

Prometeo is a trading system than combines different strategies over S&P 500 futures on differents timeframes from weekly to daily.

It combines:

- Medium term system (weekly timeframe)
- Daily System Counter Trend
- Daily System Volatility Scalper
- Daily Patterns Strategy

Orders are introducted every night and there are two types:

- Limit orders
- At next market open orders

Some strategies have fixed stop and another have stop by propietary indicators than determines to close the position at next market opening.

Summary Statistics

Strategy began
2013-08-11
Suggested Minimum Capital
$20,000
# Trades
97
# Profitable
64
% Profitable
66.0%
Correlation S&P500
0.138
Sharpe Ratio
-0.00
Sortino Ratio
-0.00
Beta
0.06
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.