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Featured Strategy IC Algotrading Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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ZMC MS1
(84475667)

Created by: MatthewSeldin MatthewSeldin
Started: 12/2013
Futures
Last trade: 3,613 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. You can subscribe to this system for free.

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.

69.8%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(6.4%)
Max Drawdown
220
Num Trades
97.7%
Win Trades
4.6 : 1
Profit Factor
5.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                                             +0.5%+0.5%
2014+6.6%+9.3%+1.9%+3.5%+2.9%+5.4%  -    -    -    -    -    -  +33.4%
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

System developer has asked us to delay this information by 4 hours.

Trading Record

This strategy has placed 163 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3620 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/8/14 1:20: Rescaled downward to 86.9638% of previous Model Account size
6/7/14 20:49: Rescaled downward to 68.3202% of previous Model Account size
6/5/14 10:01 @TFSM4 Emini Russell 2000 LONG 1.782999992 1131.43 6/5 11:41 1137.43 1.33%
Trade id #87944428
Max drawdown($645)
Time6/5/14 10:17
Quant open1
Worst price1126.00
Drawdown as % of equity-1.33%
 $1,056
Includes Typical Broker Commissions trade costs of $14.27
6/5/14 9:58 @TFSM4 Emini Russell 2000 LONG 1.187999964 1132.20 6/5 10:01 1132.65 0.27%
Trade id #87944278
Max drawdown($130)
Time6/5/14 10:01
Quant open1
Worst price1131.10
Drawdown as % of equity-0.27%
 $43
Includes Typical Broker Commissions trade costs of $9.52
6/5/14 9:56 @TFSM4 Emini Russell 2000 LONG 0.593999982 1131.10 6/5 9:58 1131.90 0.11%
Trade id #87944198
Max drawdown($53)
Time6/5/14 9:58
Quant open1
Worst price1130.20
Drawdown as % of equity-0.11%
 $43
Includes Typical Broker Commissions trade costs of $4.76
6/5/14 9:49 @TFSM4 Emini Russell 2000 LONG 0.593999982 1133.40 6/5 9:50 1133.90 n/a $25
Includes Typical Broker Commissions trade costs of $4.76
6/5/14 9:39 @TFSM4 Emini Russell 2000 LONG 1.187999964 1131.65 6/5 9:46 1132.50 0.52%
Trade id #87943371
Max drawdown($255)
Time6/5/14 9:43
Quant open1
Worst price1129.50
Drawdown as % of equity-0.52%
 $91
Includes Typical Broker Commissions trade costs of $9.52
6/5/14 9:35 @TFSM4 Emini Russell 2000 LONG 0.593999982 1133.10 6/5 9:36 1133.80 n/a $37
Includes Typical Broker Commissions trade costs of $4.76
6/4/14 15:23 @TFSM4 Emini Russell 2000 LONG 1.187999964 1127.50 6/4 15:25 1127.90 n/a $39
Includes Typical Broker Commissions trade costs of $9.50
6/4/14 12:12 @TFSM4 Emini Russell 2000 LONG 1.187999964 1129.15 6/4 13:57 1130.50 0.33%
Trade id #87923113
Max drawdown($158)
Time6/4/14 12:33
Quant open1
Worst price1126.90
Drawdown as % of equity-0.33%
 $150
Includes Typical Broker Commissions trade costs of $9.51
6/4/14 11:57 @TFSM4 Emini Russell 2000 LONG 1.187999964 1128.55 6/4 12:02 1129.10 0.08%
Trade id #87922703
Max drawdown($38)
Time6/4/14 12:00
Quant open1
Worst price1128.00
Drawdown as % of equity-0.08%
 $55
Includes Typical Broker Commissions trade costs of $9.52
6/4/14 11:40 @TFSM4 Emini Russell 2000 LONG 0.593999982 1128.20 6/4 11:46 1128.70 0.05%
Trade id #87922295
Max drawdown($24)
Time6/4/14 11:45
Quant open1
Worst price1127.50
Drawdown as % of equity-0.05%
 $25
Includes Typical Broker Commissions trade costs of $4.76
6/4/14 11:04 @TFSM4 Emini Russell 2000 LONG 1.187999964 1127.00 6/4 11:22 1127.85 0.21%
Trade id #87921095
Max drawdown($98)
Time6/4/14 11:17
Quant open1
Worst price1125.60
Drawdown as % of equity-0.21%
 $91
Includes Typical Broker Commissions trade costs of $9.52
5/29/14 11:36 @TFSM4 Emini Russell 2000 LONG 10.694999695 1122.61 6/4 10:56 1123.14 1.81%
Trade id #87827514
Max drawdown($843)
Time6/3/14 11:42
Quant open1
Worst price1116.00
Drawdown as % of equity-1.81%
 $484
Includes Typical Broker Commissions trade costs of $85.68
5/29/14 11:23 @TFSM4 Emini Russell 2000 LONG 0.593999982 1139.30 5/29 11:32 1140.60 0.04%
Trade id #87826924
Max drawdown($17)
Time5/29/14 11:28
Quant open1
Worst price1138.80
Drawdown as % of equity-0.04%
 $72
Includes Typical Broker Commissions trade costs of $4.76
5/29/14 11:11 @TFSM4 Emini Russell 2000 LONG 0.593999982 1137.70 5/29 11:17 1139.10 0.03%
Trade id #87826579
Max drawdown($14)
Time5/29/14 11:13
Quant open1
Worst price1137.30
Drawdown as % of equity-0.03%
 $78
Includes Typical Broker Commissions trade costs of $4.76
5/29/14 11:05 @TFSM4 Emini Russell 2000 LONG 0.593999982 1136.80 5/29 11:08 1137.70 0.04%
Trade id #87826370
Max drawdown($17)
Time5/29/14 11:07
Quant open1
Worst price1136.30
Drawdown as % of equity-0.04%
 $48
Includes Typical Broker Commissions trade costs of $4.76
5/29/14 10:51 @TFSM4 Emini Russell 2000 LONG 0.593999982 1136.90 5/29 10:53 1137.60 n/a $37
Includes Typical Broker Commissions trade costs of $4.76
5/29/14 10:45 @TFSM4 Emini Russell 2000 LONG 0.593999982 1137.50 5/29 10:50 1138.30 0.01%
Trade id #87825977
Max drawdown($7)
Time5/29/14 10:47
Quant open1
Worst price1137.30
Drawdown as % of equity-0.01%
 $43
Includes Typical Broker Commissions trade costs of $4.76
5/29/14 10:35 @TFSM4 Emini Russell 2000 LONG 0.593999982 1134.90 5/29 10:41 1135.90 0.07%
Trade id #87825807
Max drawdown($35)
Time5/29/14 10:38
Quant open1
Worst price1133.90
Drawdown as % of equity-0.07%
 $54
Includes Typical Broker Commissions trade costs of $4.76
5/29/14 10:20 @TFSM4 Emini Russell 2000 LONG 0.593999982 1134.10 5/29 10:23 1135.20 0.01%
Trade id #87825226
Max drawdown($3)
Time5/29/14 10:22
Quant open1
Worst price1134.00
Drawdown as % of equity-0.01%
 $60
Includes Typical Broker Commissions trade costs of $4.76
5/28/14 9:56 @TFSM4 Emini Russell 2000 LONG 0.593999982 1136.80 5/28 14:54 1137.30 0.5%
Trade id #87799612
Max drawdown($232)
Time5/28/14 10:48
Quant open1
Worst price1130.20
Drawdown as % of equity-0.50%
 $25
Includes Typical Broker Commissions trade costs of $4.76
5/28/14 9:45 @TFSM4 Emini Russell 2000 LONG 0.593999982 1137.60 5/28 9:51 1138.40 0.16%
Trade id #87799199
Max drawdown($74)
Time5/28/14 9:48
Quant open1
Worst price1135.50
Drawdown as % of equity-0.16%
 $43
Includes Typical Broker Commissions trade costs of $4.76
5/28/14 9:42 @TFSM4 Emini Russell 2000 LONG 0.593999982 1136.90 5/28 9:44 1137.70 0.02%
Trade id #87799140
Max drawdown($10)
Time5/28/14 9:44
Quant open1
Worst price1136.60
Drawdown as % of equity-0.02%
 $43
Includes Typical Broker Commissions trade costs of $4.76
5/28/14 9:36 @TFSM4 Emini Russell 2000 LONG 0.593999982 1135.50 5/28 9:41 1136.30 0.11%
Trade id #87798947
Max drawdown($49)
Time5/28/14 9:41
Quant open1
Worst price1134.10
Drawdown as % of equity-0.11%
 $43
Includes Typical Broker Commissions trade costs of $4.76
5/28/14 9:20 @TFSM4 Emini Russell 2000 LONG 0.593999982 1138.40 5/28 9:32 1139.40 0.07%
Trade id #87798177
Max drawdown($31)
Time5/28/14 9:28
Quant open1
Worst price1137.50
Drawdown as % of equity-0.07%
 $54
Includes Typical Broker Commissions trade costs of $4.76
5/27/14 9:45 @TFSM4 Emini Russell 2000 LONG 0.593999982 1134.30 5/27 9:47 1135.50 0.01%
Trade id #87774088
Max drawdown($3)
Time5/27/14 9:47
Quant open1
Worst price1134.20
Drawdown as % of equity-0.01%
 $66
Includes Typical Broker Commissions trade costs of $4.76
5/12/14 15:20 @TFSM4 Emini Russell 2000 LONG 0.593999982 1133.40 5/27 9:34 1134.20 4.32%
Trade id #87523067
Max drawdown($1,930)
Time5/15/14 10:10
Quant open1
Worst price1078.70
Drawdown as % of equity-4.32%
 $43
Includes Typical Broker Commissions trade costs of $4.76
5/12/14 15:07 @TFSM4 Emini Russell 2000 LONG 0.593999982 1133.30 5/12 15:15 1133.60 0.03%
Trade id #87522774
Max drawdown($14)
Time5/12/14 15:09
Quant open1
Worst price1132.90
Drawdown as % of equity-0.03%
 $13
Includes Typical Broker Commissions trade costs of $4.76
5/12/14 14:19 @TFSM4 Emini Russell 2000 LONG 0.593999982 1130.60 5/12 14:26 1131.20 0.02%
Trade id #87521716
Max drawdown($10)
Time5/12/14 14:26
Quant open1
Worst price1130.30
Drawdown as % of equity-0.02%
 $31
Includes Typical Broker Commissions trade costs of $4.76
5/12/14 14:05 @TFSM4 Emini Russell 2000 LONG 0.593999982 1129.30 5/12 14:07 1129.90 0.02%
Trade id #87521226
Max drawdown($7)
Time5/12/14 14:07
Quant open1
Worst price1129.10
Drawdown as % of equity-0.02%
 $31
Includes Typical Broker Commissions trade costs of $4.76
5/12/14 13:48 @TFSM4 Emini Russell 2000 LONG 0.593999982 1129.10 5/12 13:54 1130.20 0.02%
Trade id #87520875
Max drawdown($10)
Time5/12/14 13:50
Quant open1
Worst price1128.80
Drawdown as % of equity-0.02%
 $60
Includes Typical Broker Commissions trade costs of $4.76
Next

Statistics

  • Strategy began
    12/8/2013
  • Suggested Minimum Cap
    $35,648
  • Strategy Age (days)
    3791.85
  • Age
    126 months ago
  • What it trades
    Futures
  • # Trades
    220
  • # Profitable
    215
  • % Profitable
    97.70%
  • Avg trade duration
    1.4 days
  • Max peak-to-valley drawdown
    6.38%
  • drawdown period
    May 13, 2014 - May 15, 2014
  • Cumul. Return
    34.4%
  • Avg win
    $85.18
  • Avg loss
    $788.20
  • Model Account Values (Raw)
  • Cash
    $50,012
  • Margin Used
    $0
  • Buying Power
    $50,012
  • Ratios
  • W:L ratio
    4.65:1
  • Sharpe Ratio
    0.26
  • Sortino Ratio
    0.58
  • Calmar Ratio
    3.313
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    25.96%
  • Correlation to SP500
    0.02320
  • Return Percent SP500 (cumu) during strategy life
    183.10%
  • Return Statistics
  • Ann Return (w trading costs)
    69.8%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.89%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.344%
  • Instruments
  • Percent Trades Options
    0.09%
  • Percent Trades Stocks
    0.02%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    553
  • Popularity (Last 6 weeks)
    926
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $788
  • Avg Win
    $85
  • Sum Trade PL (losers)
    $3,941.000
  • Age
  • Num Months filled monthly returns table
    125
  • Win / Loss
  • Sum Trade PL (winners)
    $18,314.000
  • # Winners
    215
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    11
  • Win / Loss
  • # Losers
    5
  • % Winners
    97.7%
  • Frequency
  • Avg Position Time (mins)
    2049.18
  • Avg Position Time (hrs)
    34.15
  • Avg Trade Length
    1.4 days
  • Last Trade Ago
    3612
  • Regression
  • Alpha
    0.00
  • Beta
    0.00
  • Treynor Index
    0.60
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    37.11
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    7.21
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.47
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.128
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    1.380
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.138
  • Hold-and-Hope Ratio
    0.470
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58872
  • SD
    0.13552
  • Sharpe ratio (Glass type estimate)
    4.34416
  • Sharpe ratio (Hedges UMVUE)
    3.65235
  • df
    5.00000
  • t
    3.07178
  • p
    0.01386
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43059
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.05120
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07362
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.23107
  • Statistics related to Sortino ratio
  • Sortino ratio
    111.47900
  • Upside Potential Ratio
    112.89400
  • Upside part of mean
    0.59619
  • Downside part of mean
    -0.00747
  • Upside SD
    0.21014
  • Downside SD
    0.00528
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.12188
  • Mean of criterion
    0.58872
  • SD of predictor
    0.13675
  • SD of criterion
    0.13552
  • Covariance
    0.00514
  • r
    0.27711
  • b (slope, estimate of beta)
    0.27462
  • a (intercept, estimate of alpha)
    0.55525
  • Mean Square Error
    0.02119
  • DF error
    4.00000
  • t(b)
    0.57682
  • p(b)
    0.29748
  • t(a)
    2.59577
  • p(a)
    0.03016
  • Lowerbound of 95% confidence interval for beta
    -1.04750
  • Upperbound of 95% confidence interval for beta
    1.59674
  • Lowerbound of 95% confidence interval for alpha
    -0.03876
  • Upperbound of 95% confidence interval for alpha
    1.14926
  • Treynor index (mean / b)
    2.14375
  • Jensen alpha (a)
    0.55525
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56732
  • SD
    0.12919
  • Sharpe ratio (Glass type estimate)
    4.39138
  • Sharpe ratio (Hedges UMVUE)
    3.69204
  • df
    5.00000
  • t
    3.10517
  • p
    0.01335
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45848
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.11793
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09771
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.28638
  • Statistics related to Sortino ratio
  • Sortino ratio
    107.31500
  • Upside Potential Ratio
    108.73000
  • Upside part of mean
    0.57480
  • Downside part of mean
    -0.00748
  • Upside SD
    0.20175
  • Downside SD
    0.00529
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.11358
  • Mean of criterion
    0.56732
  • SD of predictor
    0.13478
  • SD of criterion
    0.12919
  • Covariance
    0.00433
  • r
    0.24865
  • b (slope, estimate of beta)
    0.23833
  • a (intercept, estimate of alpha)
    0.54025
  • Mean Square Error
    0.01957
  • DF error
    4.00000
  • t(b)
    0.51342
  • p(b)
    0.31736
  • t(a)
    2.63851
  • p(a)
    0.02884
  • Lowerbound of 95% confidence interval for beta
    -1.05075
  • Upperbound of 95% confidence interval for beta
    1.52742
  • Lowerbound of 95% confidence interval for alpha
    -0.02835
  • Upperbound of 95% confidence interval for alpha
    1.10886
  • Treynor index (mean / b)
    2.38038
  • Jensen alpha (a)
    0.54025
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01397
  • Expected Shortfall on VaR
    0.02912
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00058
  • Expected Shortfall on VaR
    0.00158
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.99709
  • Quartile 1
    1.02470
  • Median
    1.05298
  • Quartile 3
    1.07000
  • Maximum
    1.10533
  • Mean of quarter 1
    1.00663
  • Mean of quarter 2
    1.05031
  • Mean of quarter 3
    1.05565
  • Mean of quarter 4
    1.09006
  • Inter Quartile Range
    0.04531
  • 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
    1.00000
  • Minimum
    0.00290
  • Quartile 1
    0.00290
  • Median
    0.00290
  • Quartile 3
    0.00290
  • Maximum
    0.00290
  • 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)
    0.66921
  • Compounded annual return (geometric extrapolation)
    0.78117
  • Calmar ratio (compounded annual return / max draw down)
    268.93500
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    26.82410
  • 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
    0.58053
  • SD
    0.12471
  • Sharpe ratio (Glass type estimate)
    4.65504
  • Sharpe ratio (Hedges UMVUE)
    4.63747
  • df
    199.00000
  • t
    3.54943
  • p
    0.34622
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.03859
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.26017
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02694
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.24800
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.65210
  • Upside Potential Ratio
    16.17420
  • Upside part of mean
    0.88147
  • Downside part of mean
    -0.30094
  • Upside SD
    0.11612
  • Downside SD
    0.05450
  • N nonnegative terms
    107.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    200.00000
  • Mean of predictor
    0.13447
  • Mean of criterion
    0.58053
  • SD of predictor
    0.10332
  • SD of criterion
    0.12471
  • Covariance
    0.00196
  • r
    0.15185
  • b (slope, estimate of beta)
    0.18330
  • a (intercept, estimate of alpha)
    0.10700
  • Mean Square Error
    0.01527
  • DF error
    198.00000
  • t(b)
    2.16183
  • p(b)
    0.42407
  • t(a)
    3.42150
  • p(a)
    0.38186
  • Lowerbound of 95% confidence interval for beta
    0.01609
  • Upperbound of 95% confidence interval for beta
    0.35050
  • Lowerbound of 95% confidence interval for alpha
    0.23549
  • Upperbound of 95% confidence interval for alpha
    0.87627
  • Treynor index (mean / b)
    3.16711
  • Jensen alpha (a)
    0.55588
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57239
  • SD
    0.12354
  • Sharpe ratio (Glass type estimate)
    4.63326
  • Sharpe ratio (Hedges UMVUE)
    4.61578
  • df
    199.00000
  • t
    3.53283
  • p
    0.34688
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.01728
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.23811
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00562
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.22594
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.42610
  • Upside Potential Ratio
    15.93500
  • Upside part of mean
    0.87482
  • Downside part of mean
    -0.30243
  • Upside SD
    0.11456
  • Downside SD
    0.05490
  • N nonnegative terms
    107.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    200.00000
  • Mean of predictor
    0.12912
  • Mean of criterion
    0.57239
  • SD of predictor
    0.10350
  • SD of criterion
    0.12354
  • Covariance
    0.00193
  • r
    0.15098
  • b (slope, estimate of beta)
    0.18021
  • a (intercept, estimate of alpha)
    0.54912
  • Mean Square Error
    0.01499
  • DF error
    198.00000
  • t(b)
    2.14906
  • p(b)
    0.42451
  • t(a)
    3.41214
  • p(a)
    0.38217
  • Lowerbound of 95% confidence interval for beta
    0.01485
  • Upperbound of 95% confidence interval for beta
    0.34557
  • Lowerbound of 95% confidence interval for alpha
    0.23176
  • Upperbound of 95% confidence interval for alpha
    0.86648
  • Treynor index (mean / b)
    3.17626
  • Jensen alpha (a)
    0.54912
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00925
  • Expected Shortfall on VaR
    0.01200
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00185
  • Expected Shortfall on VaR
    0.00424
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    200.00000
  • Minimum
    0.97972
  • Quartile 1
    1.00000
  • Median
    1.00025
  • Quartile 3
    1.00289
  • Maximum
    1.04771
  • Mean of quarter 1
    0.99655
  • Mean of quarter 2
    1.00002
  • Mean of quarter 3
    1.00101
  • Mean of quarter 4
    1.00928
  • Inter Quartile Range
    0.00289
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.05500
  • Mean of outliers low
    0.98901
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.12000
  • Mean of outliers high
    1.01477
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.76926
  • VaR(95%) (moments method)
    0.00335
  • Expected Shortfall (moments method)
    0.01639
  • Extreme Value Index (regression method)
    0.24798
  • VaR(95%) (regression method)
    0.00340
  • Expected Shortfall (regression method)
    0.00643
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00059
  • Median
    0.00197
  • Quartile 3
    0.00786
  • Maximum
    0.04313
  • Mean of quarter 1
    0.00017
  • Mean of quarter 2
    0.00111
  • Mean of quarter 3
    0.00391
  • Mean of quarter 4
    0.02041
  • Inter Quartile Range
    0.00726
  • 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
    0.08333
  • Mean of outliers high
    0.03718
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.26691
  • VaR(95%) (moments method)
    0.02073
  • Expected Shortfall (moments method)
    0.03477
  • Extreme Value Index (regression method)
    0.48032
  • VaR(95%) (regression method)
    0.02766
  • Expected Shortfall (regression method)
    0.06108
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.69306
  • Compounded annual return (geometric extrapolation)
    0.79022
  • Calmar ratio (compounded annual return / max draw down)
    18.31990
  • Compounded annual return / average of 25% largest draw downs
    38.70870
  • Compounded annual return / Expected Shortfall lognormal
    65.85330
  • 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
    0.66053
  • SD
    0.13382
  • Sharpe ratio (Glass type estimate)
    4.93594
  • Sharpe ratio (Hedges UMVUE)
    4.91426
  • df
    171.00000
  • t
    3.49024
  • p
    0.33767
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.10834
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.74972
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09395
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.73457
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.26110
  • Upside Potential Ratio
    17.04010
  • Upside part of mean
    0.99950
  • Downside part of mean
    -0.33897
  • Upside SD
    0.12503
  • Downside SD
    0.05866
  • N nonnegative terms
    93.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.12871
  • Mean of criterion
    0.66053
  • SD of predictor
    0.10530
  • SD of criterion
    0.13382
  • Covariance
    0.00234
  • r
    0.16577
  • b (slope, estimate of beta)
    0.21066
  • a (intercept, estimate of alpha)
    0.63341
  • Mean Square Error
    0.01752
  • DF error
    170.00000
  • t(b)
    2.19164
  • p(b)
    0.41712
  • t(a)
    3.37662
  • p(a)
    0.37465
  • Lowerbound of 95% confidence interval for beta
    0.02092
  • Upperbound of 95% confidence interval for beta
    0.40040
  • Lowerbound of 95% confidence interval for alpha
    0.26311
  • Upperbound of 95% confidence interval for alpha
    1.00372
  • Treynor index (mean / b)
    3.13552
  • Jensen alpha (a)
    0.63341
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65110
  • SD
    0.13257
  • Sharpe ratio (Glass type estimate)
    4.91144
  • Sharpe ratio (Hedges UMVUE)
    4.88986
  • df
    171.00000
  • t
    3.47291
  • p
    0.33840
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.08432
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.72473
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.70970
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.01900
  • Upside Potential Ratio
    16.78490
  • Upside part of mean
    0.99180
  • Downside part of mean
    -0.34070
  • Upside SD
    0.12334
  • Downside SD
    0.05909
  • N nonnegative terms
    93.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.12315
  • Mean of criterion
    0.65110
  • SD of predictor
    0.10554
  • SD of criterion
    0.13257
  • Covariance
    0.00231
  • r
    0.16480
  • b (slope, estimate of beta)
    0.20700
  • a (intercept, estimate of alpha)
    0.62560
  • Mean Square Error
    0.01720
  • DF error
    170.00000
  • t(b)
    2.17849
  • p(b)
    0.41760
  • t(a)
    3.36659
  • p(a)
    0.37500
  • VAR (95 Confidence Intrvl)
    0.00600
  • Lowerbound of 95% confidence interval for beta
    0.01943
  • Upperbound of 95% confidence interval for beta
    0.39458
  • Lowerbound of 95% confidence interval for alpha
    0.25878
  • Upperbound of 95% confidence interval for alpha
    0.99243
  • Treynor index (mean / b)
    3.14532
  • Jensen alpha (a)
    0.62560
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00982
  • Expected Shortfall on VaR
    0.01276
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00207
  • Expected Shortfall on VaR
    0.00472
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.97972
  • Quartile 1
    0.99999
  • Median
    1.00043
  • Quartile 3
    1.00341
  • Maximum
    1.04771
  • Mean of quarter 1
    0.99611
  • Mean of quarter 2
    1.00004
  • Mean of quarter 3
    1.00137
  • Mean of quarter 4
    1.01028
  • Inter Quartile Range
    0.00341
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.05814
  • Mean of outliers low
    0.98838
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.11046
  • Mean of outliers high
    1.01653
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.73840
  • VaR(95%) (moments method)
    0.00367
  • Expected Shortfall (moments method)
    0.01602
  • Extreme Value Index (regression method)
    0.18486
  • VaR(95%) (regression method)
    0.00388
  • Expected Shortfall (regression method)
    0.00693
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00044
  • Median
    0.00213
  • Quartile 3
    0.00852
  • Maximum
    0.04313
  • Mean of quarter 1
    0.00017
  • Mean of quarter 2
    0.00139
  • Mean of quarter 3
    0.00544
  • Mean of quarter 4
    0.02279
  • Inter Quartile Range
    0.00808
  • 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
    0.09524
  • Mean of outliers high
    0.03718
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.26691
  • VaR(95%) (moments method)
    0.02213
  • Expected Shortfall (moments method)
    0.03668
  • Extreme Value Index (regression method)
    0.48032
  • VaR(95%) (regression method)
    0.02995
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.06549
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78339
  • Compounded annual return (geometric extrapolation)
    0.93682
  • Calmar ratio (compounded annual return / max draw down)
    21.71840
  • Compounded annual return / average of 25% largest draw downs
    41.10140
  • Compounded annual return / Expected Shortfall lognormal
    73.39000

Strategy Description

ZMC MS1 is a multi-strategy futures trading system. ZMC MS1 looks for both long and short opportunities in the TF (Russell 2000 Mini), ES (E-mini S & P 500), GC (COMEX Gold), and CL (NYMEX Crude Oil). Strategies include scalping, swing trading, spreads, hedging, and more. Frequency of trades will depend on market conditions, but multiple trades per week is normal. Use of a low cost broker (MB Trading or similar price structure) will increase results. Subscriptions limited to 19 to limit slippage. Please contact with any questions. http://www.zmcsignals.com
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-12-08
Suggested Minimum Capital
$35,600
# Trades
220
# Profitable
215
% Profitable
97.7%
Net Dividends
$11
Correlation S&P500
0.023
Sharpe Ratio
0.26
Sortino Ratio
0.58
Beta
0.00
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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