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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

AT Pro
(83853157)

Created by: GSPTrader GSPTrader
Started: 11/2013
Futures
Last trade: 2,464 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 $150.00 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.

20.1%
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.

(26.0%)
Max Drawdown
408
Num Trades
67.2%
Win Trades
1.4 : 1
Profit Factor
20.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                                      +22.8%+16.5%+43.1%
2014+14.0%(1.7%)+12.1%+5.7%+2.2%(16.9%)+2.7%+0.1%+2.9%(5.6%)+4.3%(0.1%)+17.3%
2015+0.4%(5%)+13.5%(8.7%)+7.5%+13.8%+6.7%(5.1%)+16.3%(6.2%)+0.2%+1.4%+35.7%
2016(1.9%)(1.2%)(2%)+4.9%(3.6%)+1.7%(0.4%)(4.3%)+0.3%(4.8%)(1.2%)+0.9%(11.2%)
2017+3.8%(0.7%)(8.3%)+5.3%+1.5%(2.5%)(0.3%)  -    -    -    -    -  (1.8%)
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

This strategy has placed 811 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2705 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/28/17 14:12 QCLQ7 CRUDE OIL SHORT 1 44.75 6/30 11:45 45.59 1.33%
Trade id #112267320
Max drawdown($890)
Time6/30/17 11:39
Quant open-1
Worst price45.64
Drawdown as % of equity-1.33%
($848)
Includes Typical Broker Commissions trade costs of $8.00
6/27/17 21:52 @ESU7 E-MINI S&P 500 LONG 1 2419.75 6/28 8:42 2426.25 0.45%
Trade id #112247477
Max drawdown($300)
Time6/28/17 4:24
Quant open1
Worst price2413.75
Drawdown as % of equity-0.45%
$317
Includes Typical Broker Commissions trade costs of $8.00
6/15/17 13:48 @LEQ7 LIVE CATTLE LONG 1 117.875 6/19 14:02 116.300 1.28%
Trade id #112081732
Max drawdown($870)
Time6/19/17 10:17
Quant open1
Worst price115.700
Drawdown as % of equity-1.28%
($638)
Includes Typical Broker Commissions trade costs of $8.00
5/15/17 13:53 @CDM7 CANADIAN DOLLAR SHORT 1 0.7332 5/19 11:05 0.7387 0.83%
Trade id #111604765
Max drawdown($565)
Time5/19/17 11:02
Quant open-1
Worst price0.7389
Drawdown as % of equity-0.83%
($558)
Includes Typical Broker Commissions trade costs of $8.00
5/17/17 21:43 QSIN7 Silver 5000 oz SHORT 1 16.880 5/18 10:20 16.595 0.26%
Trade id #111655951
Max drawdown($175)
Time5/17/17 23:56
Quant open-1
Worst price16.915
Drawdown as % of equity-0.26%
$1,417
Includes Typical Broker Commissions trade costs of $8.00
5/1/17 13:24 @SN7 SOYBEANS SHORT 1 971 3/4 5/2 14:02 968 2/4 0.51%
Trade id #111347510
Max drawdown($337)
Time5/2/17 4:26
Quant open-1
Worst price978 2/4
Drawdown as % of equity-0.51%
$155
Includes Typical Broker Commissions trade costs of $8.00
4/25/17 14:03 QGCM7 Gold 100 oz LONG 1 1266.4 4/27 13:53 1266.0 0.86%
Trade id #111255718
Max drawdown($570)
Time4/26/17 13:44
Quant open1
Worst price1260.7
Drawdown as % of equity-0.86%
($48)
Includes Typical Broker Commissions trade costs of $8.00
4/26/17 14:00 @JYM7 JAPANESE YEN LONG 1 0.009003 4/27 13:52 0.009007 0.49%
Trade id #111278108
Max drawdown($325)
Time4/27/17 10:01
Quant open1
Worst price0.008977
Drawdown as % of equity-0.49%
$42
Includes Typical Broker Commissions trade costs of $8.00
4/24/17 10:52 @TYM7 US T-NOTE 10 YR LONG 2 125 34/64 4/26 14:04 125 33/64 0.94%
Trade id #111229303
Max drawdown($624)
Time4/26/17 8:39
Quant open2
Worst price125 14/64
Drawdown as % of equity-0.94%
($46)
Includes Typical Broker Commissions trade costs of $16.00
4/20/17 14:12 @JYM7 JAPANESE YEN LONG 1 0.009170 4/25 12:40 0.009025 2.82%
Trade id #111164599
Max drawdown($1,893)
Time4/25/17 12:20
Quant open1
Worst price0.009019
Drawdown as % of equity-2.82%
($1,821)
Includes Typical Broker Commissions trade costs of $8.00
4/20/17 14:12 @TYM7 US T-NOTE 10 YR LONG 1 126 1/64 4/21 13:48 126 12/64 0.16%
Trade id #111164569
Max drawdown($109)
Time4/21/17 3:08
Quant open1
Worst price125 58/64
Drawdown as % of equity-0.16%
$164
Includes Typical Broker Commissions trade costs of $8.00
4/21/17 11:13 QSIN7 Silver 5000 oz LONG 1 17.955 4/21 13:47 17.970 0.47%
Trade id #111191041
Max drawdown($325)
Time4/21/17 11:45
Quant open1
Worst price17.890
Drawdown as % of equity-0.47%
$67
Includes Typical Broker Commissions trade costs of $8.00
4/20/17 14:11 QGCM7 Gold 100 oz LONG 1 1283.4 4/21 11:11 1288.2 0.5%
Trade id #111164506
Max drawdown($340)
Time4/21/17 3:04
Quant open1
Worst price1280.0
Drawdown as % of equity-0.50%
$472
Includes Typical Broker Commissions trade costs of $8.00
4/16/17 20:33 @SN7 SOYBEANS SHORT 2 970 4/18 9:54 953 2/4 0.39%
Trade id #111035436
Max drawdown($250)
Time4/16/17 21:28
Quant open-2
Worst price972 2/4
Drawdown as % of equity-0.39%
$1,634
Includes Typical Broker Commissions trade costs of $16.00
4/16/17 20:33 @SMN7 SOYBEAN MEAL SHORT 2 322.7 4/17 14:14 317.6 0.09%
Trade id #111035452
Max drawdown($60)
Time4/16/17 21:12
Quant open-2
Worst price323.0
Drawdown as % of equity-0.09%
$1,004
Includes Typical Broker Commissions trade costs of $16.00
4/16/17 20:32 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 2 5356.75 4/17 10:50 5380.75 0.56%
Trade id #111035428
Max drawdown($360)
Time4/16/17 22:11
Quant open2
Worst price5347.75
Drawdown as % of equity-0.56%
$944
Includes Typical Broker Commissions trade costs of $16.00
4/13/17 9:27 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 1 5364.75 4/13 10:04 5394.00 0%
Trade id #110968900
Max drawdown$0
Time4/13/17 9:29
Quant open1
Worst price5364.75
Drawdown as % of equity0.00%
$577
Includes Typical Broker Commissions trade costs of $8.00
3/28/17 18:33 QCLK7 CRUDE OIL SHORT 2 48.77 3/30 11:34 50.34 5.28%
Trade id #110496542
Max drawdown($3,390)
Time3/30/17 11:26
Quant open-2
Worst price50.46
Drawdown as % of equity-5.28%
($3,166)
Includes Typical Broker Commissions trade costs of $16.00
3/22/17 13:55 @BOK7 SOYBEAN OIL SHORT 2 33.38 3/23 23:42 33.02 1.02%
Trade id #110384424
Max drawdown($672)
Time3/23/17 10:57
Quant open-2
Worst price33.94
Drawdown as % of equity-1.02%
$422
Includes Typical Broker Commissions trade costs of $16.00
3/9/17 9:14 QSIK7 Silver 5000 oz LONG 1 17.305 3/14 14:35 16.925 3.39%
Trade id #110132779
Max drawdown($2,250)
Time3/10/17 2:51
Quant open1
Worst price16.855
Drawdown as % of equity-3.39%
($1,908)
Includes Typical Broker Commissions trade costs of $8.00
3/1/17 13:52 @BOK7 SOYBEAN OIL SHORT 1 34.51 3/2 14:14 34.15 0.26%
Trade id #109960100
Max drawdown($180)
Time3/1/17 14:15
Quant open-1
Worst price34.81
Drawdown as % of equity-0.26%
$208
Includes Typical Broker Commissions trade costs of $8.00
2/6/17 13:46 @CDH7 CANADIAN DOLLAR LONG 1 0.7633 2/9 14:59 0.7612 0.93%
Trade id #109316458
Max drawdown($630)
Time2/7/17 6:24
Quant open1
Worst price0.7570
Drawdown as % of equity-0.93%
($213)
Includes Typical Broker Commissions trade costs of $8.00
1/17/17 13:59 @JYH7 JAPANESE YEN SHORT 2 0.008880 1/18 15:46 0.008790 0.67%
Trade id #108695220
Max drawdown($437)
Time1/17/17 17:00
Quant open-2
Worst price0.008898
Drawdown as % of equity-0.67%
$2,259
Includes Typical Broker Commissions trade costs of $16.00
12/5/16 21:09 @EUZ6 EUROFX SHORT 1 1.07685 12/6 14:00 1.07145 0.42%
Trade id #107749075
Max drawdown($275)
Time12/6/16 3:24
Quant open-1
Worst price1.07905
Drawdown as % of equity-0.42%
$667
Includes Typical Broker Commissions trade costs of $8.00
11/21/16 21:16 QNGF7 Natural Gas SHORT 2 3.104 11/23 12:16 3.144 2%
Trade id #107381555
Max drawdown($1,320)
Time11/23/16 12:01
Quant open-2
Worst price3.170
Drawdown as % of equity-2.00%
($816)
Includes Typical Broker Commissions trade costs of $16.00
11/21/16 21:16 QCLF7 CRUDE OIL SHORT 1 48.71 11/22 11:59 47.37 0.76%
Trade id #107381575
Max drawdown($490)
Time11/22/16 4:57
Quant open-1
Worst price49.20
Drawdown as % of equity-0.76%
$1,332
Includes Typical Broker Commissions trade costs of $8.00
11/16/16 14:09 QNGF7 Natural Gas SHORT 1 2.907 11/17 14:48 2.856 0.91%
Trade id #107261889
Max drawdown($590)
Time11/16/16 22:28
Quant open-1
Worst price2.966
Drawdown as % of equity-0.91%
$502
Includes Typical Broker Commissions trade costs of $8.00
11/16/16 14:10 @QMF7 MINY CRUDE OIL SHORT 1 46.325 11/17 9:58 46.975 0.62%
Trade id #107261932
Max drawdown($400)
Time11/17/16 9:34
Quant open-1
Worst price47.125
Drawdown as % of equity-0.62%
($333)
Includes Typical Broker Commissions trade costs of $8.00
11/16/16 14:08 @CDZ6 CANADIAN DOLLAR SHORT 1 0.7454 11/16 21:39 0.7446 0%
Trade id #107261879
Max drawdown$0
Time11/16/16 14:10
Quant open-1
Worst price0.7454
Drawdown as % of equity0.00%
$72
Includes Typical Broker Commissions trade costs of $8.00
11/2/16 14:27 @EUZ6 EUROFX SHORT 1 1.11155 11/3 14:59 1.11250 0.57%
Trade id #106872412
Max drawdown($368)
Time11/2/16 23:00
Quant open-1
Worst price1.11450
Drawdown as % of equity-0.57%
($127)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    11/2/2013
  • Suggested Minimum Cap
    $26,822
  • Strategy Age (days)
    3799.73
  • Age
    127 months ago
  • What it trades
    Futures
  • # Trades
    408
  • # Profitable
    274
  • % Profitable
    67.20%
  • Avg trade duration
    2.4 days
  • Max peak-to-valley drawdown
    26.02%
  • drawdown period
    May 21, 2014 - Feb 17, 2015
  • Annual Return (Compounded)
    20.1%
  • Avg win
    $493.77
  • Avg loss
    $712.68
  • Model Account Values (Raw)
  • Cash
    $66,607
  • Margin Used
    $0
  • Buying Power
    $66,607
  • Ratios
  • W:L ratio
    1.42:1
  • Sharpe Ratio
    0.37
  • Sortino Ratio
    0.63
  • Calmar Ratio
    0.745
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    58.80%
  • Correlation to SP500
    -0.01860
  • Return Percent SP500 (cumu) during strategy life
    198.26%
  • Return Statistics
  • Ann Return (w trading costs)
    20.1%
  • Slump
  • Current Slump as Pcnt Equity
    20.50%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.82%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.201%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    37.00%
  • Chance of 20% account loss
    14.00%
  • Chance of 30% account loss
    2.50%
  • 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)
    732
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    516
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $713
  • Avg Win
    $494
  • Sum Trade PL (losers)
    $95,499.000
  • Age
  • Num Months filled monthly returns table
    125
  • Win / Loss
  • Sum Trade PL (winners)
    $135,292.000
  • # Winners
    274
  • Num Months Winners
    26
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    134
  • % Winners
    67.2%
  • Frequency
  • Avg Position Time (mins)
    3422.72
  • Avg Position Time (hrs)
    57.05
  • Avg Trade Length
    2.4 days
  • Last Trade Ago
    2464
  • Regression
  • Alpha
    0.02
  • Beta
    -0.01
  • Treynor Index
    -1.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    31.44
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    74.38
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.62
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    5.346
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.518
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.405
  • Hold-and-Hope Ratio
    0.187
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23853
  • SD
    0.21803
  • Sharpe ratio (Glass type estimate)
    1.09402
  • Sharpe ratio (Hedges UMVUE)
    1.07481
  • df
    43.00000
  • t
    2.09488
  • p
    0.02105
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03880
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12327
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.85827
  • Upside Potential Ratio
    4.64426
  • Upside part of mean
    0.38757
  • Downside part of mean
    -0.14904
  • Upside SD
    0.21032
  • Downside SD
    0.08345
  • N nonnegative terms
    24.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.06920
  • Mean of criterion
    0.23853
  • SD of predictor
    0.10367
  • SD of criterion
    0.21803
  • Covariance
    -0.00405
  • r
    -0.17914
  • b (slope, estimate of beta)
    -0.37676
  • a (intercept, estimate of alpha)
    0.26460
  • Mean Square Error
    0.04711
  • DF error
    42.00000
  • t(b)
    -1.18005
  • p(b)
    0.87769
  • t(a)
    2.29132
  • p(a)
    0.01351
  • Lowerbound of 95% confidence interval for beta
    -1.02109
  • Upperbound of 95% confidence interval for beta
    0.26756
  • Lowerbound of 95% confidence interval for alpha
    0.03155
  • Upperbound of 95% confidence interval for alpha
    0.49765
  • Treynor index (mean / b)
    -0.63310
  • Jensen alpha (a)
    0.26460
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21442
  • SD
    0.20617
  • Sharpe ratio (Glass type estimate)
    1.04003
  • Sharpe ratio (Hedges UMVUE)
    1.02176
  • df
    43.00000
  • t
    1.99150
  • p
    0.02640
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01249
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08102
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02433
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06785
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.49771
  • Upside Potential Ratio
    4.27191
  • Upside part of mean
    0.36673
  • Downside part of mean
    -0.15231
  • Upside SD
    0.19494
  • Downside SD
    0.08585
  • N nonnegative terms
    24.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.06358
  • Mean of criterion
    0.21442
  • SD of predictor
    0.10433
  • SD of criterion
    0.20617
  • Covariance
    -0.00396
  • r
    -0.18423
  • b (slope, estimate of beta)
    -0.36403
  • a (intercept, estimate of alpha)
    0.23756
  • Mean Square Error
    0.04204
  • DF error
    42.00000
  • t(b)
    -1.21471
  • p(b)
    0.88437
  • t(a)
    2.18431
  • p(a)
    0.01729
  • Lowerbound of 95% confidence interval for beta
    -0.96883
  • Upperbound of 95% confidence interval for beta
    0.24076
  • Lowerbound of 95% confidence interval for alpha
    0.01808
  • Upperbound of 95% confidence interval for alpha
    0.45704
  • Treynor index (mean / b)
    -0.58901
  • Jensen alpha (a)
    0.23756
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07691
  • Expected Shortfall on VaR
    0.09936
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02710
  • Expected Shortfall on VaR
    0.05221
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    44.00000
  • Minimum
    0.91829
  • Quartile 1
    0.98270
  • Median
    1.00591
  • Quartile 3
    1.05182
  • Maximum
    1.25462
  • Mean of quarter 1
    0.95960
  • Mean of quarter 2
    0.99552
  • Mean of quarter 3
    1.02649
  • Mean of quarter 4
    1.10721
  • Inter Quartile Range
    0.06911
  • 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
    0.02273
  • Mean of outliers high
    1.25462
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.02062
  • VaR(95%) (moments method)
    0.03908
  • Expected Shortfall (moments method)
    0.05323
  • Extreme Value Index (regression method)
    -0.00310
  • VaR(95%) (regression method)
    0.04265
  • Expected Shortfall (regression method)
    0.05783
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.04451
  • Quartile 1
    0.04690
  • Median
    0.06299
  • Quartile 3
    0.09533
  • Maximum
    0.14648
  • Mean of quarter 1
    0.04451
  • Mean of quarter 2
    0.04770
  • Mean of quarter 3
    0.07828
  • Mean of quarter 4
    0.14648
  • Inter Quartile Range
    0.04843
  • 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)
    0.39042
  • Compounded annual return (geometric extrapolation)
    0.27421
  • Calmar ratio (compounded annual return / max draw down)
    1.87194
  • Compounded annual return / average of 25% largest draw downs
    1.87194
  • Compounded annual return / Expected Shortfall lognormal
    2.75968
  • 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
    0.23136
  • SD
    0.19104
  • Sharpe ratio (Glass type estimate)
    1.21105
  • Sharpe ratio (Hedges UMVUE)
    1.21011
  • df
    964.00000
  • t
    2.32421
  • p
    0.01016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18807
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23344
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18742
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23279
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.15527
  • Upside Potential Ratio
    7.64313
  • Upside part of mean
    0.82046
  • Downside part of mean
    -0.58910
  • Upside SD
    0.15856
  • Downside SD
    0.10735
  • N nonnegative terms
    328.00000
  • N negative terms
    637.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    965.00000
  • Mean of predictor
    0.07132
  • Mean of criterion
    0.23136
  • SD of predictor
    0.12509
  • SD of criterion
    0.19104
  • Covariance
    -0.00116
  • r
    -0.04862
  • b (slope, estimate of beta)
    -0.07426
  • a (intercept, estimate of alpha)
    0.11900
  • Mean Square Error
    0.03645
  • DF error
    963.00000
  • t(b)
    -1.51069
  • p(b)
    0.93440
  • t(a)
    2.37752
  • p(a)
    0.00881
  • Lowerbound of 95% confidence interval for beta
    -0.17073
  • Upperbound of 95% confidence interval for beta
    0.02221
  • Lowerbound of 95% confidence interval for alpha
    0.04132
  • Upperbound of 95% confidence interval for alpha
    0.43200
  • Treynor index (mean / b)
    -3.11546
  • Jensen alpha (a)
    0.23666
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21333
  • SD
    0.18860
  • Sharpe ratio (Glass type estimate)
    1.13110
  • Sharpe ratio (Hedges UMVUE)
    1.13022
  • df
    964.00000
  • t
    2.17077
  • p
    0.01510
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10833
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15334
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10772
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15272
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95447
  • Upside Potential Ratio
    7.40505
  • Upside part of mean
    0.80826
  • Downside part of mean
    -0.59493
  • Upside SD
    0.15426
  • Downside SD
    0.10915
  • N nonnegative terms
    328.00000
  • N negative terms
    637.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    965.00000
  • Mean of predictor
    0.06348
  • Mean of criterion
    0.21333
  • SD of predictor
    0.12522
  • SD of criterion
    0.18860
  • Covariance
    -0.00117
  • r
    -0.04950
  • b (slope, estimate of beta)
    -0.07456
  • a (intercept, estimate of alpha)
    0.21806
  • Mean Square Error
    0.03552
  • DF error
    963.00000
  • t(b)
    -1.53802
  • p(b)
    0.93781
  • t(a)
    2.21942
  • p(a)
    0.01335
  • Lowerbound of 95% confidence interval for beta
    -0.16970
  • Upperbound of 95% confidence interval for beta
    0.02057
  • Lowerbound of 95% confidence interval for alpha
    0.02525
  • Upperbound of 95% confidence interval for alpha
    0.41088
  • Treynor index (mean / b)
    -2.86117
  • Jensen alpha (a)
    0.21806
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01818
  • Expected Shortfall on VaR
    0.02294
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00605
  • Expected Shortfall on VaR
    0.01296
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    965.00000
  • Minimum
    0.92391
  • Quartile 1
    0.99960
  • Median
    1.00000
  • Quartile 3
    1.00189
  • Maximum
    1.11000
  • Mean of quarter 1
    0.99133
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00037
  • Mean of quarter 4
    1.01232
  • Inter Quartile Range
    0.00228
  • Number outliers low
    141.00000
  • Percentage of outliers low
    0.14611
  • Mean of outliers low
    0.98636
  • Number of outliers high
    151.00000
  • Percentage of outliers high
    0.15648
  • Mean of outliers high
    1.01769
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60578
  • VaR(95%) (moments method)
    0.00532
  • Expected Shortfall (moments method)
    0.01657
  • Extreme Value Index (regression method)
    0.21030
  • VaR(95%) (regression method)
    0.00780
  • Expected Shortfall (regression method)
    0.01455
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00060
  • Quartile 1
    0.00193
  • Median
    0.00940
  • Quartile 3
    0.04425
  • Maximum
    0.19262
  • Mean of quarter 1
    0.00102
  • Mean of quarter 2
    0.00458
  • Mean of quarter 3
    0.02225
  • Mean of quarter 4
    0.10627
  • Inter Quartile Range
    0.04232
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10714
  • Mean of outliers high
    0.14346
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.32016
  • VaR(95%) (moments method)
    0.10310
  • Expected Shortfall (moments method)
    0.10447
  • Extreme Value Index (regression method)
    -0.41516
  • VaR(95%) (regression method)
    0.13971
  • Expected Shortfall (regression method)
    0.16894
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.38867
  • Compounded annual return (geometric extrapolation)
    0.27282
  • Calmar ratio (compounded annual return / max draw down)
    1.41636
  • Compounded annual return / average of 25% largest draw downs
    2.56734
  • Compounded annual return / Expected Shortfall lognormal
    11.89090
  • 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
    -0.07173
  • SD
    0.08624
  • Sharpe ratio (Glass type estimate)
    -0.83173
  • Sharpe ratio (Hedges UMVUE)
    -0.82692
  • df
    130.00000
  • t
    -0.58812
  • p
    0.52576
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.60381
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94349
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.60055
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94670
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.18534
  • Upside Potential Ratio
    4.05335
  • Upside part of mean
    0.24527
  • Downside part of mean
    -0.31700
  • Upside SD
    0.06114
  • Downside SD
    0.06051
  • N nonnegative terms
    22.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12295
  • Mean of criterion
    -0.07173
  • SD of predictor
    0.06943
  • SD of criterion
    0.08624
  • Covariance
    -0.00062
  • r
    -0.10386
  • b (slope, estimate of beta)
    -0.12901
  • a (intercept, estimate of alpha)
    -0.05587
  • Mean Square Error
    0.00741
  • DF error
    129.00000
  • t(b)
    -1.18599
  • p(b)
    0.56600
  • t(a)
    -0.45604
  • p(a)
    0.52553
  • Lowerbound of 95% confidence interval for beta
    -0.34422
  • Upperbound of 95% confidence interval for beta
    0.08621
  • Lowerbound of 95% confidence interval for alpha
    -0.29823
  • Upperbound of 95% confidence interval for alpha
    0.18650
  • Treynor index (mean / b)
    0.55599
  • Jensen alpha (a)
    -0.05587
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07541
  • SD
    0.08608
  • Sharpe ratio (Glass type estimate)
    -0.87604
  • Sharpe ratio (Hedges UMVUE)
    -0.87098
  • df
    130.00000
  • t
    -0.61946
  • p
    0.52712
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.64833
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89938
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.64481
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90285
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.23649
  • Upside Potential Ratio
    3.99112
  • Upside part of mean
    0.24341
  • Downside part of mean
    -0.31882
  • Upside SD
    0.06046
  • Downside SD
    0.06099
  • N nonnegative terms
    22.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12051
  • Mean of criterion
    -0.07541
  • SD of predictor
    0.06945
  • SD of criterion
    0.08608
  • Covariance
    -0.00063
  • r
    -0.10471
  • b (slope, estimate of beta)
    -0.12978
  • a (intercept, estimate of alpha)
    -0.05977
  • Mean Square Error
    0.00739
  • DF error
    129.00000
  • t(b)
    -1.19586
  • p(b)
    0.56654
  • t(a)
    -0.48897
  • p(a)
    0.52737
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.34449
  • Upperbound of 95% confidence interval for beta
    0.08494
  • Lowerbound of 95% confidence interval for alpha
    -0.30162
  • Upperbound of 95% confidence interval for alpha
    0.18208
  • Treynor index (mean / b)
    0.58108
  • Jensen alpha (a)
    -0.05977
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00899
  • Expected Shortfall on VaR
    0.01119
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00377
  • Expected Shortfall on VaR
    0.00795
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97859
  • Quartile 1
    0.99999
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02981
  • Mean of quarter 1
    0.99555
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00379
  • Inter Quartile Range
    0.00001
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.22137
  • Mean of outliers low
    0.99494
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.18321
  • Mean of outliers high
    1.00521
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82113
  • VaR(95%) (moments method)
    0.00350
  • Expected Shortfall (moments method)
    0.02332
  • Extreme Value Index (regression method)
    0.35118
  • VaR(95%) (regression method)
    0.00457
  • Expected Shortfall (regression method)
    0.01042
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00002
  • Quartile 1
    0.01394
  • Median
    0.02787
  • Quartile 3
    0.04825
  • Maximum
    0.06864
  • Mean of quarter 1
    0.00002
  • Mean of quarter 2
    0.02787
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06864
  • Inter Quartile Range
    0.03431
  • 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)
    272
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.04694
  • Compounded annual return (geometric extrapolation)
    -0.04639
  • Calmar ratio (compounded annual return / max draw down)
    -0.67591
  • Compounded annual return / average of 25% largest draw downs
    -0.67591
  • Compounded annual return / Expected Shortfall lognormal
    -4.14500

Strategy Description

ATPro is a systematic, non-discretionary trading strategy designed to take advantage of short term mispricing of markets. Multiple risk controls are used to determine position sizes. When there are no high probability trades, the program is out of the market awaiting better opportunities. The system is designed to maximize long-term, compounded returns with manageable drawdowns and minimal transaction costs. The program trades over 25 domestic U.S. futures contracts, with funds shifted to those markets showing the best opportunities. Protective stops are generally not placed on positions by the system. The minimum capital commitment to this program should be at least one third of the Total System Equity shown for the account. However, less capital will lead to greater volatility and larger percentage drawdowns. Anything less could also lead to under-margined trades. Scaling at less than 100% is not recommended.

ATPro is designed to make money and not just to make trades. For a more active trading system, see ST Pro system.

Summary Statistics

Strategy began
2013-11-02
Suggested Minimum Capital
$25,000
# Trades
408
# Profitable
274
% Profitable
67.2%
Correlation S&P500
-0.019
Sharpe Ratio
0.37
Sortino Ratio
0.63
Beta
-0.01
Alpha
0.02

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.