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Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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Champion Trader ES
(82852598)

Created by: JohnTaylor4 JohnTaylor4
Started: 09/2013
Futures
Last trade: 3,408 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 $279.00 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.

0.9%
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
243
Num Trades
66.7%
Win Trades
1.2 : 1
Profit Factor
6.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                        (17%)+91.2%+3.1%(17.1%)+35.7%
2014+16.5%+1.9%+14.6%(78.1%)(71.1%)+318.9%(39.3%)(22.7%)(391.2%)(108.1%)+1596.0%+23.6%(16.3%)
2015(1.4%)(1.4%)  -    -    -    -    -    -    -    -    -    -  (2.7%)
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 909 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3492 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/25/14 15:43 @ESZ4 E-MINI S&P 500 LONG 14 1958.75 12/19 16:54 2011.75 10607.8%
Trade id #89907057
Max drawdown($11,562)
Time10/2/14 11:45
Quant open6
Worst price1918.25
Drawdown as % of equity10607.80%
 $36,988
Includes Typical Broker Commissions trade costs of $112.00
9/25/14 12:55 @ESZ4 E-MINI S&P 500 SHORT 8 1961.88 9/25 15:43 1964.75 8.27%
Trade id #89902503
Max drawdown($1,150)
Time9/25/14 13:18
Quant open-8
Worst price1964.75
Drawdown as % of equity-8.27%
 ($1,214)
Includes Typical Broker Commissions trade costs of $64.00
9/25/14 10:37 @ESZ4 E-MINI S&P 500 LONG 10 1968.00 9/25 12:54 1964.35 16.92%
Trade id #89898554
Max drawdown($3,125)
Time9/25/14 10:47
Quant open10
Worst price1961.75
Drawdown as % of equity-16.92%
 ($1,905)
Includes Typical Broker Commissions trade costs of $80.00
9/25/14 10:30 @ESZ4 E-MINI S&P 500 SHORT 8 1970.25 9/25 10:37 1969.00 0%
Trade id #89898312
Max drawdown$0
Time9/25/14 10:32
Quant open-8
Worst price1970.25
Drawdown as % of equity0.00%
 $436
Includes Typical Broker Commissions trade costs of $64.00
9/19/14 10:30 @ESZ4 E-MINI S&P 500 LONG 24 1996.20 9/25 10:29 1978.94 112.19%
Trade id #89781269
Max drawdown($20,715)
Time9/25/14 10:29
Quant open14
Worst price1971.00
Drawdown as % of equity-112.19%
 ($20,907)
Includes Typical Broker Commissions trade costs of $192.00
9/17/14 16:04 @ESZ4 E-MINI S&P 500 LONG 16 1996.12 9/19 7:05 2004.47 2.43%
Trade id #89741934
Max drawdown($700)
Time9/17/14 20:19
Quant open10
Worst price1993.00
Drawdown as % of equity-2.43%
 $6,547
Includes Typical Broker Commissions trade costs of $128.00
8/27/14 15:13 @ESU4 E-MINI S&P 500 LONG 16 1995.28 9/17 16:01 2001.12 119.74%
Trade id #89319955
Max drawdown($18,625)
Time9/14/14 18:01
Quant open16
Worst price1972.00
Drawdown as % of equity-119.74%
 $4,547
Includes Typical Broker Commissions trade costs of $128.00
8/18/14 16:30 @ESU4 E-MINI S&P 500 SHORT 70 1982.97 8/27 15:13 1986.77 113.8%
Trade id #89134453
Max drawdown($19,777)
Time8/26/14 11:29
Quant open-20
Worst price2002.75
Drawdown as % of equity-113.80%
 ($13,843)
Includes Typical Broker Commissions trade costs of $560.00
8/18/14 13:07 @ESU4 E-MINI S&P 500 LONG 10 1966.85 8/18 16:14 1967.40 1.23%
Trade id #89131364
Max drawdown($450)
Time8/18/14 14:53
Quant open6
Worst price1965.75
Drawdown as % of equity-1.23%
 $195
Includes Typical Broker Commissions trade costs of $80.00
8/15/14 12:58 @ESU4 E-MINI S&P 500 SHORT 32 1954.35 8/18 13:05 1959.91 33.64%
Trade id #89107418
Max drawdown($13,183)
Time8/18/14 12:06
Quant open-18
Worst price1969.00
Drawdown as % of equity-33.64%
 ($9,144)
Includes Typical Broker Commissions trade costs of $256.00
8/15/14 11:43 @ESU4 E-MINI S&P 500 LONG 14 1942.93 8/15 12:30 1944.39 7.89%
Trade id #89105316
Max drawdown($3,375)
Time8/15/14 11:57
Quant open10
Worst price1937.25
Drawdown as % of equity-7.89%
 $913
Includes Typical Broker Commissions trade costs of $112.00
8/14/14 16:56 @ESU4 E-MINI S&P 500 SHORT 12 1956.92 8/15 10:47 1953.85 4.77%
Trade id #89088893
Max drawdown($2,041)
Time8/15/14 10:33
Quant open-10
Worst price1961.00
Drawdown as % of equity-4.77%
 $1,742
Includes Typical Broker Commissions trade costs of $96.00
8/14/14 9:42 @ESU4 E-MINI S&P 500 LONG 4 1945.50 8/14 11:21 1948.75 0.7%
Trade id #89081174
Max drawdown($300)
Time8/14/14 10:08
Quant open4
Worst price1944.00
Drawdown as % of equity-0.70%
 $618
Includes Typical Broker Commissions trade costs of $32.00
8/14/14 6:28 @ESU4 E-MINI S&P 500 SHORT 2 1948.62 8/14 8:35 1945.38 0.03%
Trade id #89078454
Max drawdown($13)
Time8/14/14 6:30
Quant open-2
Worst price1948.75
Drawdown as % of equity-0.03%
 $309
Includes Typical Broker Commissions trade costs of $16.00
8/13/14 14:17 @ESU4 E-MINI S&P 500 SHORT 10 1942.72 8/13 18:20 1944.80 4.48%
Trade id #89065746
Max drawdown($1,888)
Time8/13/14 16:42
Quant open-10
Worst price1946.50
Drawdown as % of equity-4.48%
 ($1,118)
Includes Typical Broker Commissions trade costs of $80.00
8/13/14 6:39 @ESU4 E-MINI S&P 500 SHORT 8 1939.25 8/13 9:01 1937.38 1.64%
Trade id #89056680
Max drawdown($700)
Time8/13/14 8:04
Quant open-8
Worst price1941.00
Drawdown as % of equity-1.64%
 $686
Includes Typical Broker Commissions trade costs of $64.00
8/12/14 12:50 @ESU4 E-MINI S&P 500 LONG 8 1927.53 8/12 15:41 1928.69 3.85%
Trade id #89042676
Max drawdown($1,612)
Time8/12/14 14:32
Quant open8
Worst price1923.50
Drawdown as % of equity-3.85%
 $399
Includes Typical Broker Commissions trade costs of $64.00
8/12/14 10:05 @ESU4 E-MINI S&P 500 SHORT 4 1935.62 8/12 12:08 1926.75 n/a $1,743
Includes Typical Broker Commissions trade costs of $32.00
8/11/14 20:34 @ESU4 E-MINI S&P 500 SHORT 8 1936.88 8/12 7:51 1934.62 1.39%
Trade id #89028306
Max drawdown($550)
Time8/12/14 6:02
Quant open-4
Worst price1938.75
Drawdown as % of equity-1.39%
 $836
Includes Typical Broker Commissions trade costs of $64.00
8/11/14 10:19 @ESU4 E-MINI S&P 500 SHORT 8 1938.69 8/11 12:12 1938.12 2.21%
Trade id #89018228
Max drawdown($876)
Time8/11/14 11:22
Quant open-4
Worst price1941.00
Drawdown as % of equity-2.21%
 $161
Includes Typical Broker Commissions trade costs of $64.00
8/11/14 8:26 @ESU4 E-MINI S&P 500 SHORT 8 1934.62 8/11 9:14 1933.25 0.51%
Trade id #89015859
Max drawdown($200)
Time8/11/14 8:33
Quant open-4
Worst price1935.50
Drawdown as % of equity-0.51%
 $486
Includes Typical Broker Commissions trade costs of $64.00
8/7/14 14:26 @ESU4 E-MINI S&P 500 SHORT 18 1906.92 8/7 15:23 1900.94 1.3%
Trade id #88977605
Max drawdown($475)
Time8/7/14 14:28
Quant open-10
Worst price1909.00
Drawdown as % of equity-1.30%
 $5,231
Includes Typical Broker Commissions trade costs of $144.00
8/7/14 14:21 @ESU4 E-MINI S&P 500 SHORT 6 1908.75 8/7 14:23 1909.38 0.51%
Trade id #88977464
Max drawdown($188)
Time8/7/14 14:23
Quant open0
Worst price1909.38
Drawdown as % of equity-0.51%
 ($236)
Includes Typical Broker Commissions trade costs of $48.00
8/6/14 10:33 @ESU4 E-MINI S&P 500 SHORT 20 1915.85 8/7 13:39 1913.91 7.86%
Trade id #88950269
Max drawdown($2,389)
Time8/6/14 11:07
Quant open-10
Worst price1922.75
Drawdown as % of equity-7.86%
 $1,778
Includes Typical Broker Commissions trade costs of $160.00
8/6/14 10:00 @ESU4 E-MINI S&P 500 LONG 2 1913.88 8/6 10:30 1919.25 0.7%
Trade id #88949228
Max drawdown($213)
Time8/6/14 10:19
Quant open2
Worst price1911.75
Drawdown as % of equity-0.70%
 $522
Includes Typical Broker Commissions trade costs of $16.00
8/5/14 15:20 @ESU4 E-MINI S&P 500 LONG 4 1908.00 8/6 9:45 1910.50 3.27%
Trade id #88933473
Max drawdown($1,000)
Time8/6/14 6:32
Quant open4
Worst price1903.00
Drawdown as % of equity-3.27%
 $468
Includes Typical Broker Commissions trade costs of $32.00
8/5/14 14:19 @ESU4 E-MINI S&P 500 SHORT 12 1912.96 8/5 15:16 1912.00 5.16%
Trade id #88932246
Max drawdown($1,562)
Time8/5/14 14:32
Quant open-8
Worst price1916.00
Drawdown as % of equity-5.16%
 $479
Includes Typical Broker Commissions trade costs of $96.00
8/5/14 11:12 @ESU4 E-MINI S&P 500 LONG 4 1926.50 8/5 11:28 1928.00 0.34%
Trade id #88927803
Max drawdown($100)
Time8/5/14 11:14
Quant open4
Worst price1926.00
Drawdown as % of equity-0.34%
 $268
Includes Typical Broker Commissions trade costs of $32.00
8/5/14 10:47 @ESU4 E-MINI S&P 500 LONG 4 1928.25 8/5 11:01 1926.75 1.12%
Trade id #88927267
Max drawdown($325)
Time8/5/14 11:00
Quant open2
Worst price1925.00
Drawdown as % of equity-1.12%
 ($332)
Includes Typical Broker Commissions trade costs of $32.00
8/5/14 10:30 @ESU4 E-MINI S&P 500 SHORT 4 1926.00 8/5 10:33 1929.25 2.75%
Trade id #88926884
Max drawdown($800)
Time8/5/14 10:33
Quant open-4
Worst price1930.00
Drawdown as % of equity-2.75%
 ($682)
Includes Typical Broker Commissions trade costs of $32.00
Next

Statistics

  • Strategy began
    9/5/2013
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    3872.95
  • Age
    129 months ago
  • What it trades
    Futures
  • # Trades
    243
  • # Profitable
    162
  • % Profitable
    66.70%
  • Avg trade duration
    1.1 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Oct 31, 2014 - Dec 11, 2014
  • Annual Return (Compounded)
    0.9%
  • Avg win
    $1,020
  • Avg loss
    $1,671
  • Model Account Values (Raw)
  • Cash
    $49,841
  • Margin Used
    $0
  • Buying Power
    $49,841
  • Ratios
  • W:L ratio
    1.22:1
  • Sharpe Ratio
    0.16
  • Sortino Ratio
    0.37
  • Calmar Ratio
    0.358
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -199.16%
  • Correlation to SP500
    -0.12030
  • Return Percent SP500 (cumu) during strategy life
    203.44%
  • Return Statistics
  • Ann Return (w trading costs)
    0.9%
  • Slump
  • Current Slump as Pcnt Equity
    78.10%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.009%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.0%
  • 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
    $1,672
  • Avg Win
    $1,020
  • Sum Trade PL (losers)
    $135,410.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $165,262.000
  • # Winners
    162
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    81
  • % Winners
    66.7%
  • Frequency
  • Avg Position Time (mins)
    1574.40
  • Avg Position Time (hrs)
    26.24
  • Avg Trade Length
    1.1 days
  • Last Trade Ago
    3402
  • Regression
  • Alpha
    0.00
  • Beta
    -1.80
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.10
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    49.90
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    78.12
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.19
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.20
  • Avg(MAE) / Avg(PL) - All trades
    13.278
  • 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
    0.83
  • Avg(MAE) / Avg(PL) - Winning trades
    0.803
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.651
  • Hold-and-Hope Ratio
    0.075
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    12019.10000
  • SD
    20526.30000
  • Sharpe ratio (Glass type estimate)
    0.58554
  • Sharpe ratio (Hedges UMVUE)
    0.57252
  • df
    34.00000
  • t
    1.00001
  • p
    0.16219
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57464
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73731
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58316
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72819
  • Statistics related to Sortino ratio
  • Sortino ratio
    17919.10000
  • Upside Potential Ratio
    17920.00000
  • Upside part of mean
    12019.70000
  • Downside part of mean
    -0.65026
  • Upside SD
    20526.30000
  • Downside SD
    0.67074
  • N nonnegative terms
    12.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.34446
  • Mean of criterion
    12019.10000
  • SD of predictor
    0.24057
  • SD of criterion
    20526.30000
  • Covariance
    12.13560
  • r
    0.00246
  • b (slope, estimate of beta)
    209.69200
  • a (intercept, estimate of alpha)
    11946.80000
  • Mean Square Error
    434095000.00000
  • DF error
    33.00000
  • t(b)
    0.01412
  • p(b)
    0.49441
  • t(a)
    0.90307
  • p(a)
    0.18652
  • Lowerbound of 95% confidence interval for beta
    -30008.90000
  • Upperbound of 95% confidence interval for beta
    30428.30000
  • Lowerbound of 95% confidence interval for alpha
    -14967.90000
  • Upperbound of 95% confidence interval for alpha
    38861.60000
  • Treynor index (mean / b)
    57.31770
  • Jensen alpha (a)
    11946.80000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28516
  • SD
    8.74656
  • Sharpe ratio (Glass type estimate)
    0.03260
  • Sharpe ratio (Hedges UMVUE)
    0.03188
  • df
    34.00000
  • t
    0.05568
  • p
    0.47796
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11525
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18007
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11578
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17954
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.04715
  • Upside Potential Ratio
    0.69419
  • Upside part of mean
    4.19870
  • Downside part of mean
    -3.91354
  • Upside SD
    6.14334
  • Downside SD
    6.04837
  • N nonnegative terms
    12.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.31265
  • Mean of criterion
    0.28516
  • SD of predictor
    0.23185
  • SD of criterion
    8.74656
  • Covariance
    0.17143
  • r
    0.08454
  • b (slope, estimate of beta)
    3.18917
  • a (intercept, estimate of alpha)
    -0.71192
  • Mean Square Error
    78.25730
  • DF error
    33.00000
  • t(b)
    0.48738
  • p(b)
    0.31461
  • t(a)
    -0.12783
  • p(a)
    0.55047
  • Lowerbound of 95% confidence interval for beta
    -10.12380
  • Upperbound of 95% confidence interval for beta
    16.50210
  • Lowerbound of 95% confidence interval for alpha
    -12.04260
  • Upperbound of 95% confidence interval for alpha
    10.61880
  • Treynor index (mean / b)
    0.08941
  • Jensen alpha (a)
    -0.71192
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.98391
  • Expected Shortfall on VaR
    0.99243
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.14454
  • Expected Shortfall on VaR
    0.32062
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    35.00000
  • Minimum
    0.00003
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.04630
  • Maximum
    35056.40000
  • Mean of quarter 1
    0.79522
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00916
  • Mean of quarter 4
    3896.28000
  • Inter Quartile Range
    0.04630
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.11429
  • Mean of outliers low
    0.53924
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    7012.43000
  • 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)
    0.12475
  • VaR(95%) (regression method)
    0.45185
  • Expected Shortfall (regression method)
    0.99005
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99998
  • Quartile 1
    0.99998
  • Median
    0.99998
  • Quartile 3
    0.99998
  • Maximum
    0.99998
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.51156
  • Compounded annual return (geometric extrapolation)
    0.36761
  • Calmar ratio (compounded annual return / max draw down)
    0.36762
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.37041
  • 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
    11772.60000
  • SD
    17205.30000
  • Sharpe ratio (Glass type estimate)
    0.68424
  • Sharpe ratio (Hedges UMVUE)
    0.68358
  • df
    781.00000
  • t
    1.18212
  • p
    0.11876
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81902
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45140
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81857
  • Statistics related to Sortino ratio
  • Sortino ratio
    8624.64000
  • Upside Potential Ratio
    8627.46000
  • Upside part of mean
    11776.40000
  • Downside part of mean
    -3.84611
  • Upside SD
    17209.70000
  • Downside SD
    1.36499
  • N nonnegative terms
    179.00000
  • N negative terms
    603.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    782.00000
  • Mean of predictor
    0.39526
  • Mean of criterion
    11772.60000
  • SD of predictor
    0.29125
  • SD of criterion
    17205.30000
  • Covariance
    -183.95700
  • r
    -0.03671
  • b (slope, estimate of beta)
    -2168.55000
  • a (intercept, estimate of alpha)
    12629.70000
  • Mean Square Error
    296002000.00000
  • DF error
    780.00000
  • t(b)
    -1.02594
  • p(b)
    0.84738
  • t(a)
    1.26379
  • p(a)
    0.10334
  • Lowerbound of 95% confidence interval for beta
    -6317.80000
  • Upperbound of 95% confidence interval for beta
    1980.71000
  • Lowerbound of 95% confidence interval for alpha
    -6987.61000
  • Upperbound of 95% confidence interval for alpha
    32247.10000
  • Treynor index (mean / b)
    -5.42879
  • Jensen alpha (a)
    12629.70000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27802
  • SD
    12.36480
  • Sharpe ratio (Glass type estimate)
    0.02248
  • Sharpe ratio (Hedges UMVUE)
    0.02246
  • df
    781.00000
  • t
    0.03885
  • p
    0.48451
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11199
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.15696
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11201
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15694
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03229
  • Upside Potential Ratio
    1.43325
  • Upside part of mean
    12.33990
  • Downside part of mean
    -12.06180
  • Upside SD
    8.86373
  • Downside SD
    8.60972
  • N nonnegative terms
    179.00000
  • N negative terms
    603.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    782.00000
  • Mean of predictor
    0.35223
  • Mean of criterion
    0.27802
  • SD of predictor
    0.29330
  • SD of criterion
    12.36480
  • Covariance
    -0.07993
  • r
    -0.02204
  • b (slope, estimate of beta)
    -0.92915
  • a (intercept, estimate of alpha)
    0.60529
  • Mean Square Error
    153.01000
  • DF error
    780.00000
  • t(b)
    -0.61569
  • p(b)
    0.73086
  • t(a)
    0.08431
  • p(a)
    0.46642
  • Lowerbound of 95% confidence interval for beta
    -3.89159
  • Upperbound of 95% confidence interval for beta
    2.03329
  • Lowerbound of 95% confidence interval for alpha
    -13.48830
  • Upperbound of 95% confidence interval for alpha
    14.69890
  • Treynor index (mean / b)
    -0.29922
  • Jensen alpha (a)
    0.60529
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.71505
  • Expected Shortfall on VaR
    0.78547
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04317
  • Expected Shortfall on VaR
    0.09841
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    782.00000
  • Minimum
    0.00002
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    29431.90000
  • Mean of quarter 1
    0.94176
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    180.33400
  • Inter Quartile Range
    0.00000
  • Number outliers low
    108.00000
  • Percentage of outliers low
    0.13811
  • Mean of outliers low
    0.89430
  • Number of outliers high
    179.00000
  • Percentage of outliers high
    0.22890
  • Mean of outliers high
    197.36600
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.42115
  • VaR(95%) (moments method)
    0.00741
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.31973
  • VaR(95%) (regression method)
    0.04104
  • Expected Shortfall (regression method)
    0.11450
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00027
  • Quartile 1
    0.00635
  • Median
    0.01404
  • Quartile 3
    0.08375
  • Maximum
    0.99998
  • Mean of quarter 1
    0.00196
  • Mean of quarter 2
    0.01080
  • Mean of quarter 3
    0.04270
  • Mean of quarter 4
    0.48284
  • Inter Quartile Range
    0.07740
  • 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
    0.10526
  • Mean of outliers high
    0.99998
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.76006
  • VaR(95%) (moments method)
    0.45468
  • Expected Shortfall (moments method)
    2.15616
  • Extreme Value Index (regression method)
    -8.67667
  • VaR(95%) (regression method)
    1.75732
  • Expected Shortfall (regression method)
    1.75732
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49989
  • Compounded annual return (geometric extrapolation)
    0.35788
  • Calmar ratio (compounded annual return / max draw down)
    0.35789
  • Compounded annual return / average of 25% largest draw downs
    0.74120
  • Compounded annual return / Expected Shortfall lognormal
    0.45563
  • 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
    1.12517
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45462
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.01850
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.46103
  • 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)
    -6803060000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.71500
  • 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)
    211467000000000019695354354073600.00000
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -385946000
  • Max Equity Drawdown (num days)
    41
  • 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

Basics of this strategy: This strategy stands on a multi-pillar foundation. Main pillars of this strategy are:

1) Statistical and quantitative analysis of ES market data

2) Analysis of S&P500 stocks data like market breadth etc.

3) Analysis of options markets data like put-call ratio, skew etc.

4) Seasonal tendencies of US stock market like January effect etc.

Research has clearly established that above tendencies persist over the years in the US stock markets and are reflected especially in the e-mini market. This strategy has been designed to exploit these longstanding tendencies. Exact entry and exit points are determined using techno-statistical analysis.

Position Sizing: Recommended account size is 20k. You can trade this system with just 10k also, but you might have to accept larger drawdowns. Depending on the strength of a signal, either 1 or 2 ES is bought or sold at trade initiation. Later on, strategy can add 2-3 more contracts, especially if position is making money and there is momentum in our favor. Sometimes if position is losing money, but ES is close to a support/resistance level, then also strategy adds more contracts.

The exact scaling decision depends on a number of variables like whether ES is trading near a support or resistance, what is the current multi-day trend direction, how fast ES is losing momentum etc. etc. So, sometimes after we score a win in one direction, if ES is losing momentum and our techno-statistical analysis indicates a possibility of reversal, strategy closes the trade and takes a reverse position.

Trader's Experience: I have been professionally trading since late 2006, so a total experience of 7 years. I have successfully traded the bear market of 2008 and the QE fueled bull markets afterwards.

Summary Statistics

Strategy began
2013-09-05
Suggested Minimum Capital
$25,000
# Trades
243
# Profitable
162
% Profitable
66.7%
Correlation S&P500
-0.120
Sharpe Ratio
0.16
Sortino Ratio
0.37
Beta
-1.80
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.

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.