Collective2 Collective2
Featured Strategy IC Algotrading Followed by live capital $354,000 Hypothetical

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Crown Invest
(84327638)

Created by: SteveKing SteveKing
Started: 11/2013
Futures
Last trade: 3,497 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 $275.00 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.

-
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
325
Num Trades
94.8%
Win Trades
0.6 : 1
Profit Factor
1.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                                      (1%)(36.1%)(36.7%)
2014+221.0%(4.7%)(26.1%)(27.9%)+37.5%(13%)(1%)(118%)(930.2%)(0.5%)(0.5%)(0.5%)(464.1%)
2015(0.5%)  -    -    -    -    -    -    -    -    -    -    -  (0.5%)
2016  -    -  (13.7%)(1.6%)(2.3%)(0.5%)(0.7%)  -  (0.6%)(2.7%)  -    -  -
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 103 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3633 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/15/14 16:32 @TFSU4 Emini Russell 2000 SHORT 2 1141.60 9/19 18:33 1165.60 0.34%
Trade id #89110697
Max drawdown$92
Time8/15/14 17:02
Quant open
Worst price1187.50
Drawdown as % of equity0.34%
 ($4,816)
Includes Typical Broker Commissions trade costs of $16.00
8/15/14 15:54 XGU4 DAX INDEX SHORT 6 9268.42 9/19 18:33 9656.50 10.02%
Trade id #89110387
Max drawdown$2,994
Time8/15/14 16:00
Quant open
Worst price9889.00
Drawdown as % of equity10.02%
 ($63,558)
Includes Typical Broker Commissions trade costs of $48.00
8/15/14 15:51 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 5 4006.50 9/19 18:33 4118.50 2.63%
Trade id #89110347
Max drawdown$675
Time8/15/14 15:51
Quant open
Worst price4118.50
Drawdown as % of equity2.63%
 ($11,240)
Includes Typical Broker Commissions trade costs of $40.00
9/10/14 13:08 NNU4 Nikkei 225 JPY SHORT 1 15885 9/11 9:00 15875 0.27%
Trade id #89577775
Max drawdown$60
Time9/10/14 21:34
Quant open
Worst price15920
Drawdown as % of equity0.27%
 $40
Includes Typical Broker Commissions trade costs of $8.00
8/27/14 6:06 BDU4 EUREX BUND SHORT 2 151.26 9/8 9:00 151.00 0.01%
Trade id #89310147
Max drawdown$1
Time8/27/14 10:39
Quant open
Worst price151.75
Drawdown as % of equity-0.01%
 $562
Includes Typical Broker Commissions trade costs of $16.00
8/15/14 12:42 XGU4 DAX INDEX LONG 1 9096.00 8/15 13:08 9105.50 0.09%
Trade id #89107143
Max drawdown$27
Time8/15/14 12:57
Quant open
Worst price9082.00
Drawdown as % of equity0.09%
 $251
Includes Typical Broker Commissions trade costs of $8.00
8/15/14 11:53 @TFSU4 Emini Russell 2000 LONG 1 1131.30 8/15 12:44 1133.60 0.02%
Trade id #89105518
Max drawdown$6
Time8/15/14 11:53
Quant open
Worst price1127.90
Drawdown as % of equity0.02%
 $222
Includes Typical Broker Commissions trade costs of $8.00
8/15/14 11:56 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 2 3949.50 8/15 12:06 3956.25 0.05%
Trade id #89105607
Max drawdown$13
Time8/15/14 12:00
Quant open
Worst price3949.25
Drawdown as % of equity0.05%
 $254
Includes Typical Broker Commissions trade costs of $16.00
8/15/14 11:29 XGU4 DAX INDEX LONG 2 9065.00 8/15 11:35 9085.00 0.16%
Trade id #89104816
Max drawdown$45
Time8/15/14 11:30
Quant open
Worst price9047.50
Drawdown as % of equity0.16%
 $1,075
Includes Typical Broker Commissions trade costs of $16.00
8/13/14 2:49 @TFSU4 Emini Russell 2000 SHORT 2 1138.60 8/15 11:33 1135.30 0.14%
Trade id #89054074
Max drawdown$37
Time8/13/14 9:58
Quant open
Worst price1151.80
Drawdown as % of equity0.14%
 $644
Includes Typical Broker Commissions trade costs of $16.00
8/15/14 11:12 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 2 3976.50 8/15 11:21 3968.50 0.01%
Trade id #89104359
Max drawdown$2
Time8/15/14 11:12
Quant open
Worst price3974.25
Drawdown as % of equity0.01%
 $304
Includes Typical Broker Commissions trade costs of $16.00
8/15/14 11:10 XGU4 DAX INDEX SHORT 1 9148.00 8/15 11:18 9138.00 0.08%
Trade id #89104309
Max drawdown$21
Time8/15/14 11:10
Quant open
Worst price9160.00
Drawdown as % of equity0.08%
 $265
Includes Typical Broker Commissions trade costs of $8.00
8/15/14 10:55 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 3966.25 8/15 11:06 3970.50 0.05%
Trade id #89103644
Max drawdown$14
Time8/15/14 10:55
Quant open
Worst price3958.25
Drawdown as % of equity0.05%
 $77
Includes Typical Broker Commissions trade costs of $8.00
8/15/14 10:55 XGU4 DAX INDEX LONG 1 9154.00 8/15 11:02 9162.00 0.42%
Trade id #89103646
Max drawdown$115
Time8/15/14 10:55
Quant open
Worst price9068.50
Drawdown as % of equity0.42%
 $210
Includes Typical Broker Commissions trade costs of $8.00
8/13/14 13:25 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 3 3975.08 8/15 10:55 3976.58 0.57%
Trade id #89064723
Max drawdown$154
Time8/14/14 4:06
Quant open
Worst price3992.25
Drawdown as % of equity0.57%
 ($114)
Includes Typical Broker Commissions trade costs of $24.00
8/13/14 2:59 XGU4 DAX INDEX SHORT 5 9205.00 8/15 10:53 9212.30 2.01%
Trade id #89054158
Max drawdown$565
Time8/13/14 3:06
Quant open
Worst price9313.50
Drawdown as % of equity2.01%
 ($1,036)
Includes Typical Broker Commissions trade costs of $40.00
8/13/14 5:54 LFU4 FTSE 100 INDEX SHORT 1 6632.0 8/13 9:05 6626.0 0.07%
Trade id #89056179
Max drawdown$18
Time8/13/14 6:01
Quant open
Worst price6647.0
Drawdown as % of equity0.07%
 $66
Includes Typical Broker Commissions trade costs of $8.00
8/11/14 3:58 @TFSU4 Emini Russell 2000 SHORT 1 1132.60 8/12 13:32 1129.30 0.06%
Trade id #89013155
Max drawdown$14
Time8/11/14 5:28
Quant open
Worst price1146.50
Drawdown as % of equity0.06%
 $322
Includes Typical Broker Commissions trade costs of $8.00
8/12/14 11:19 XGU4 DAX INDEX SHORT 1 9074.00 8/12 12:07 9068.00 0.01%
Trade id #89040873
Max drawdown$1
Time8/12/14 11:19
Quant open
Worst price9078.00
Drawdown as % of equity0.01%
 $156
Includes Typical Broker Commissions trade costs of $8.00
8/12/14 11:01 XGU4 DAX INDEX LONG 1 9052.50 8/12 11:03 9064.50 0.09%
Trade id #89040280
Max drawdown$24
Time8/12/14 11:01
Quant open
Worst price9052.50
Drawdown as % of equity0.09%
 $319
Includes Typical Broker Commissions trade costs of $8.00
8/12/14 9:40 XGU4 DAX INDEX SHORT 1 9116.50 8/12 9:42 9106.00 0.01%
Trade id #89038477
Max drawdown$3
Time8/12/14 9:40
Quant open
Worst price9114.00
Drawdown as % of equity0.01%
 $278
Includes Typical Broker Commissions trade costs of $8.00
8/12/14 8:46 XGU4 DAX INDEX SHORT 1 9126.50 8/12 9:00 9120.50 0.01%
Trade id #89037490
Max drawdown$1
Time8/12/14 8:46
Quant open
Worst price9127.00
Drawdown as % of equity0.01%
 $156
Includes Typical Broker Commissions trade costs of $8.00
8/12/14 7:05 XGU4 DAX INDEX SHORT 1 9147.50 8/12 7:21 9141.00 0.02%
Trade id #89036286
Max drawdown$5
Time8/12/14 7:07
Quant open
Worst price9144.00
Drawdown as % of equity0.02%
 $169
Includes Typical Broker Commissions trade costs of $8.00
8/12/14 5:09 XGU4 DAX INDEX SHORT 1 9146.50 8/12 6:43 9142.00 0.07%
Trade id #89035074
Max drawdown$18
Time8/12/14 5:39
Quant open
Worst price9160.50
Drawdown as % of equity0.07%
 $115
Includes Typical Broker Commissions trade costs of $8.00
8/12/14 3:56 XGU4 DAX INDEX SHORT 1 9155.50 8/12 4:13 9147.50 0%
Trade id #89034228
Max drawdown$0
Time8/12/14 3:56
Quant open
Worst price9155.50
Drawdown as % of equity0.00%
 $210
Includes Typical Broker Commissions trade costs of $8.00
8/12/14 2:03 XGU4 DAX INDEX SHORT 1 9175.00 8/12 3:00 9160.00 0.03%
Trade id #89032796
Max drawdown$7
Time8/12/14 2:08
Quant open
Worst price9179.50
Drawdown as % of equity0.03%
 $401
Includes Typical Broker Commissions trade costs of $8.00
8/11/14 12:09 XGU4 DAX INDEX SHORT 1 9175.00 8/11 13:27 9167.00 0.05%
Trade id #89021017
Max drawdown$12
Time8/11/14 12:16
Quant open
Worst price9182.50
Drawdown as % of equity0.05%
 $210
Includes Typical Broker Commissions trade costs of $8.00
5/21/14 3:23 XGM4 DAX INDEX SHORT 4 9706.62 6/20 19:01 9869.88 2.39%
Trade id #87675121
Max drawdown$865
Time5/21/14 3:24
Quant open
Worst price10042.00
Drawdown as % of equity2.39%
 ($17,841)
Includes Typical Broker Commissions trade costs of $32.00
5/20/14 15:36 XGM4 DAX INDEX SHORT 1 9628.50 5/20 15:49 9625.00 0.01%
Trade id #87664508
Max drawdown$3
Time5/20/14 15:36
Quant open
Worst price9629.50
Drawdown as % of equity0.01%
 $87
Includes Typical Broker Commissions trade costs of $8.00
5/20/14 14:20 XGM4 DAX INDEX SHORT 1 9615.50 5/20 14:27 9613.50 0.01%
Trade id #87662717
Max drawdown$2
Time5/20/14 14:20
Quant open
Worst price9613.50
Drawdown as % of equity0.01%
 $47
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    11/28/2013
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3789.24
  • Age
    126 months ago
  • What it trades
    Futures
  • # Trades
    325
  • # Profitable
    308
  • % Profitable
    94.80%
  • Avg trade duration
    1.3 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Jan 06, 2014 - Jan 15, 2014
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $289.67
  • Avg loss
    $8,949
  • Model Account Values (Raw)
  • Cash
    ($37,911)
  • Margin Used
    $0
  • Buying Power
    ($37,911)
  • Ratios
  • W:L ratio
    0.59:1
  • Sharpe Ratio
    -1.33
  • Sortino Ratio
    -1.49
  • Calmar Ratio
    -0.943
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -617.01%
  • Correlation to SP500
    -0.22220
  • Return Percent SP500 (cumu) during strategy life
    180.09%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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
    $8,949
  • Avg Win
    $290
  • Sum Trade PL (losers)
    $152,135.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $89,219.000
  • # Winners
    308
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    17
  • % Winners
    94.8%
  • Frequency
  • Avg Position Time (mins)
    1885.23
  • Avg Position Time (hrs)
    31.42
  • Avg Trade Length
    1.3 days
  • Last Trade Ago
    2954
  • Regression
  • Alpha
    0.00
  • Beta
    -13.95
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    -
  • Avg(MAE) / Avg(PL) - All trades
    0.000
  • 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
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.000
  • Avg(MAE) / Avg(PL) - Losing trades
    -
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20498
  • SD
    1.22315
  • Sharpe ratio (Glass type estimate)
    -0.16759
  • Sharpe ratio (Hedges UMVUE)
    -0.16450
  • df
    41.00000
  • t
    -0.31353
  • p
    0.62226
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.88169
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21275
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88375
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.26220
  • Upside Potential Ratio
    0.80187
  • Upside part of mean
    0.62688
  • Downside part of mean
    -0.83187
  • Upside SD
    0.92347
  • Downside SD
    0.78178
  • N nonnegative terms
    3.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.27927
  • Mean of criterion
    -0.20498
  • SD of predictor
    0.24592
  • SD of criterion
    1.22315
  • Covariance
    -0.01823
  • r
    -0.06062
  • b (slope, estimate of beta)
    -0.30150
  • a (intercept, estimate of alpha)
    -0.12079
  • Mean Square Error
    1.52786
  • DF error
    40.00000
  • t(b)
    -0.38409
  • p(b)
    0.64853
  • t(a)
    -0.17351
  • p(a)
    0.56844
  • Lowerbound of 95% confidence interval for beta
    -1.88798
  • Upperbound of 95% confidence interval for beta
    1.28498
  • Lowerbound of 95% confidence interval for alpha
    -1.52770
  • Upperbound of 95% confidence interval for alpha
    1.28613
  • Treynor index (mean / b)
    0.67988
  • Jensen alpha (a)
    -0.12079
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.92283
  • SD
    4.33892
  • Sharpe ratio (Glass type estimate)
    -0.67363
  • Sharpe ratio (Hedges UMVUE)
    -0.66122
  • df
    41.00000
  • t
    -1.26025
  • p
    0.89265
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.72731
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.38806
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71859
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39615
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.67446
  • Upside Potential Ratio
    0.09450
  • Upside part of mean
    0.40952
  • Downside part of mean
    -3.33234
  • Upside SD
    0.55649
  • Downside SD
    4.33361
  • N nonnegative terms
    3.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.24762
  • Mean of criterion
    -2.92283
  • SD of predictor
    0.23843
  • SD of criterion
    4.33892
  • Covariance
    0.05788
  • r
    0.05595
  • b (slope, estimate of beta)
    1.01809
  • a (intercept, estimate of alpha)
    -3.17493
  • Mean Square Error
    19.23650
  • DF error
    40.00000
  • t(b)
    0.35439
  • p(b)
    0.36246
  • t(a)
    -1.29592
  • p(a)
    0.89878
  • Lowerbound of 95% confidence interval for beta
    -4.78807
  • Upperbound of 95% confidence interval for beta
    6.82425
  • Lowerbound of 95% confidence interval for alpha
    -8.12644
  • Upperbound of 95% confidence interval for alpha
    1.77658
  • Treynor index (mean / b)
    -2.87090
  • Jensen alpha (a)
    -3.17493
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.90012
  • Expected Shortfall on VaR
    0.93537
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.23080
  • Expected Shortfall on VaR
    0.48736
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    42.00000
  • Minimum
    0.00057
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.68642
  • Mean of quarter 1
    0.74357
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.20010
  • Inter Quartile Range
    0.00000
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.52988
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.73369
  • 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)
    -0.76828
  • VaR(95%) (regression method)
    0.35727
  • Expected Shortfall (regression method)
    0.46238
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.32948
  • Quartile 1
    0.49710
  • Median
    0.66473
  • Quartile 3
    0.83235
  • Maximum
    0.99998
  • Mean of quarter 1
    0.32948
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99998
  • Inter Quartile Range
    0.33525
  • 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)
    -0.28570
  • Compounded annual return (geometric extrapolation)
    -0.94470
  • Calmar ratio (compounded annual return / max draw down)
    -0.94471
  • Compounded annual return / average of 25% largest draw downs
    -0.94471
  • Compounded annual return / Expected Shortfall lognormal
    -1.00997
  • 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
    12936.40000
  • SD
    21194.50000
  • Sharpe ratio (Glass type estimate)
    0.61037
  • Sharpe ratio (Hedges UMVUE)
    0.60987
  • df
    926.00000
  • t
    1.14810
  • p
    0.12561
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43212
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65258
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43248
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65222
  • Statistics related to Sortino ratio
  • Sortino ratio
    11354.90000
  • Upside Potential Ratio
    11357.20000
  • Upside part of mean
    12939.00000
  • Downside part of mean
    -2.61974
  • Upside SD
    21198.10000
  • Downside SD
    1.13927
  • N nonnegative terms
    70.00000
  • N negative terms
    857.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    927.00000
  • Mean of predictor
    0.32093
  • Mean of criterion
    12936.40000
  • SD of predictor
    0.30584
  • SD of criterion
    21194.50000
  • Covariance
    -252.76600
  • r
    -0.03899
  • b (slope, estimate of beta)
    -2702.35000
  • a (intercept, estimate of alpha)
    13803.60000
  • Mean Square Error
    449008000.00000
  • DF error
    925.00000
  • t(b)
    -1.18688
  • p(b)
    0.88221
  • t(a)
    1.22277
  • p(a)
    0.11087
  • Lowerbound of 95% confidence interval for beta
    -7170.73000
  • Upperbound of 95% confidence interval for beta
    1766.03000
  • Lowerbound of 95% confidence interval for alpha
    -8351.09000
  • Upperbound of 95% confidence interval for alpha
    35958.40000
  • Treynor index (mean / b)
    -4.78708
  • Jensen alpha (a)
    13803.60000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.89160
  • SD
    10.93090
  • Sharpe ratio (Glass type estimate)
    -0.26453
  • Sharpe ratio (Hedges UMVUE)
    -0.26432
  • df
    926.00000
  • t
    -0.49759
  • p
    0.69055
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.30651
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.77758
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.30637
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77773
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.35624
  • Upside Potential Ratio
    0.81547
  • Upside part of mean
    6.61914
  • Downside part of mean
    -9.51074
  • Upside SD
    7.31460
  • Downside SD
    8.11694
  • N nonnegative terms
    70.00000
  • N negative terms
    857.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    927.00000
  • Mean of predictor
    0.27103
  • Mean of criterion
    -2.89160
  • SD of predictor
    0.32106
  • SD of criterion
    10.93090
  • Covariance
    -0.10862
  • r
    -0.03095
  • b (slope, estimate of beta)
    -1.05382
  • a (intercept, estimate of alpha)
    -2.60598
  • Mean Square Error
    119.50000
  • DF error
    925.00000
  • t(b)
    -0.94182
  • p(b)
    0.82673
  • t(a)
    -0.44780
  • p(a)
    0.67280
  • Lowerbound of 95% confidence interval for beta
    -3.24972
  • Upperbound of 95% confidence interval for beta
    1.14209
  • Lowerbound of 95% confidence interval for alpha
    -14.02690
  • Upperbound of 95% confidence interval for alpha
    8.81495
  • Treynor index (mean / b)
    2.74393
  • Jensen alpha (a)
    -2.60598
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.67432
  • Expected Shortfall on VaR
    0.74741
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03306
  • Expected Shortfall on VaR
    0.07478
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    927.00000
  • Minimum
    0.00006
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    39354.00000
  • Mean of quarter 1
    0.96044
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    198.32900
  • Inter Quartile Range
    0.00000
  • Number outliers low
    69.00000
  • Percentage of outliers low
    0.07443
  • Mean of outliers low
    0.86699
  • Number of outliers high
    70.00000
  • Percentage of outliers high
    0.07551
  • Mean of outliers high
    655.00500
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.55767
  • VaR(95%) (moments method)
    0.00244
  • Expected Shortfall (moments method)
    0.00510
  • Extreme Value Index (regression method)
    -0.23574
  • VaR(95%) (regression method)
    0.02697
  • Expected Shortfall (regression method)
    0.08003
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00170
  • Quartile 1
    0.01187
  • Median
    0.04418
  • Quartile 3
    0.59935
  • Maximum
    0.99998
  • Mean of quarter 1
    0.00566
  • Mean of quarter 2
    0.02915
  • Mean of quarter 3
    0.19873
  • Mean of quarter 4
    0.99998
  • Inter Quartile Range
    0.58748
  • 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)
    -0.28262
  • Compounded annual return (geometric extrapolation)
    -0.94294
  • Calmar ratio (compounded annual return / max draw down)
    -0.94296
  • Compounded annual return / average of 25% largest draw downs
    -0.94296
  • Compounded annual return / Expected Shortfall lognormal
    -1.26161
  • 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
    1.06860
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45125
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.96365
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45776
  • 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)
    -6808830000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.67400
  • 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)
    107132000000000008567049395634176.00000
  • 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?
    -421291000
  • Max Equity Drawdown (num days)
    9
  • 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

Combined SWING & SCALP System

Contracts

- SWING: US and European Indices (CAC40, FTSE100 Russell2000....)
- SCALP: DAX Future (normaly NO Overnight)

Targets

Profit: annual (>=100%), montly (>= 8%)

Risk Management

Max. DD : max 20% of expected annual return

Trading Strategy

I trade markets inefficiencies and exaggerated volatilities and over/undervalued markets in SCALP Mode and lower captalized contracts in superordinate trendfollowing mode (SWING)

Summary Statistics

Strategy began
2013-11-28
Suggested Minimum Capital
$25,000
# Trades
325
# Profitable
308
% Profitable
94.8%
Correlation S&P500
-0.222
Sharpe Ratio
-1.33
Sortino Ratio
-1.49
Beta
-13.95
Alpha
0.00

Latest Activity

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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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