Collective2 Collective2

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
Watchlist Watchlist More...

MantraDayTraderV2
(85202337)

Created by: TantraAdvisors TantraAdvisors
Started: 01/2014
Futures
Last trade: 3,626 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 $200.00 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.

-46.4%
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.

(23.4%)
Max Drawdown
129
Num Trades
49.6%
Win Trades
0.9 : 1
Profit Factor
2.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014+4.1%+1.1%+0.4%(9%)(17.6%)  -    -    -    -    -    -    -  (20.8%)
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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/22/14 11:55 @KCN4 COFFEE LONG 1 180.15 5/22 13:24 181.25 0.08%
Trade id #87711331
Max drawdown($18)
Time5/22/14 11:58
Quant open1
Worst price180.10
Drawdown as % of equity-0.08%
 $405
Includes Typical Broker Commissions trade costs of $8.00
5/20/14 9:35 QGCM4 Gold 100 oz LONG 1 1294.2 5/20 16:13 1294.6 0.68%
Trade id #87654971
Max drawdown($150)
Time5/20/14 10:17
Quant open1
Worst price1292.7
Drawdown as % of equity-0.68%
 $32
Includes Typical Broker Commissions trade costs of $8.00
5/20/14 10:59 QCLN4 CRUDE OIL LONG 1 102.00 5/20 12:08 102.25 0.09%
Trade id #87657591
Max drawdown($20)
Time5/20/14 11:01
Quant open1
Worst price101.98
Drawdown as % of equity-0.09%
 $242
Includes Typical Broker Commissions trade costs of $8.00
5/20/14 9:48 @KCN4 COFFEE LONG 1 182.05 5/20 11:42 182.80 2.63%
Trade id #87655426
Max drawdown($581)
Time5/20/14 10:02
Quant open1
Worst price180.50
Drawdown as % of equity-2.63%
 $273
Includes Typical Broker Commissions trade costs of $8.00
5/20/14 4:59 QGCM4 Gold 100 oz LONG 1 1291.2 5/20 8:20 1286.0 2.35%
Trade id #87650753
Max drawdown($520)
Time5/20/14 8:20
Quant open0
Worst price1286.0
Drawdown as % of equity-2.35%
 ($528)
Includes Typical Broker Commissions trade costs of $8.00
5/19/14 12:29 QGCM4 Gold 100 oz LONG 2 1295.5 5/19 16:13 1293.1 2.48%
Trade id #87636816
Max drawdown($570)
Time5/19/14 15:41
Quant open2
Worst price1292.6
Drawdown as % of equity-2.48%
 ($486)
Includes Typical Broker Commissions trade costs of $16.00
5/19/14 12:13 @KCN4 COFFEE LONG 1 185.25 5/19 13:18 184.40 1.39%
Trade id #87636460
Max drawdown($319)
Time5/19/14 13:18
Quant open0
Worst price184.40
Drawdown as % of equity-1.39%
 ($327)
Includes Typical Broker Commissions trade costs of $8.00
5/16/14 11:31 @SN4 SOYBEANS LONG 1 1470 3/4 5/16 14:01 1467 2/4 1.55%
Trade id #87611651
Max drawdown($362)
Time5/16/14 13:33
Quant open1
Worst price1463 2/4
Drawdown as % of equity-1.55%
 ($171)
Includes Typical Broker Commissions trade costs of $8.00
5/16/14 9:40 @KCN4 COFFEE LONG 1 191.95 5/16 12:23 188.00 6.32%
Trade id #87609160
Max drawdown($1,481)
Time5/16/14 12:23
Quant open0
Worst price188.00
Drawdown as % of equity-6.32%
 ($1,489)
Includes Typical Broker Commissions trade costs of $8.00
5/15/14 12:25 QCLM4 CRUDE OIL LONG 1 101.49 5/15 16:13 101.51 0.67%
Trade id #87589875
Max drawdown($160)
Time5/15/14 14:16
Quant open1
Worst price101.33
Drawdown as % of equity-0.67%
 $12
Includes Typical Broker Commissions trade costs of $8.00
5/15/14 11:47 @KCN4 COFFEE LONG 1 194.00 5/15 13:22 197.00 0.78%
Trade id #87588881
Max drawdown($187)
Time5/15/14 12:05
Quant open1
Worst price193.50
Drawdown as % of equity-0.78%
 $1,117
Includes Typical Broker Commissions trade costs of $8.00
5/15/14 11:42 @SN4 SOYBEANS LONG 1 1483 1/4 5/15 12:18 1474 1.94%
Trade id #87588684
Max drawdown($463)
Time5/15/14 12:18
Quant open0
Worst price1474
Drawdown as % of equity-1.94%
 ($471)
Includes Typical Broker Commissions trade costs of $8.00
5/14/14 12:05 QNGM4 Natural Gas LONG 4 4.356 5/14 16:13 4.382 2.31%
Trade id #87564763
Max drawdown($540)
Time5/14/14 13:38
Quant open2
Worst price4.339
Drawdown as % of equity-2.31%
 $988
Includes Typical Broker Commissions trade costs of $32.00
5/14/14 13:36 QCLM4 CRUDE OIL LONG 1 102.37 5/14 16:06 102.00 1.53%
Trade id #87566440
Max drawdown($370)
Time5/14/14 16:06
Quant open0
Worst price102.00
Drawdown as % of equity-1.53%
 ($378)
Includes Typical Broker Commissions trade costs of $8.00
5/14/14 9:17 @ESM4 E-MINI S&P 500 LONG 1 1891.75 5/14 14:48 1887.00 1.02%
Trade id #87560063
Max drawdown($238)
Time5/14/14 14:48
Quant open0
Worst price1887.00
Drawdown as % of equity-1.02%
 ($246)
Includes Typical Broker Commissions trade costs of $8.00
5/13/14 12:54 @ESM4 E-MINI S&P 500 LONG 1 1894.50 5/13 16:13 1894.25 0.53%
Trade id #87543428
Max drawdown($125)
Time5/13/14 15:26
Quant open1
Worst price1892.00
Drawdown as % of equity-0.53%
 ($21)
Includes Typical Broker Commissions trade costs of $8.00
5/13/14 13:37 QNGM4 Natural Gas LONG 1 4.366 5/13 16:13 4.368 0.8%
Trade id #87544495
Max drawdown($190)
Time5/13/14 14:23
Quant open1
Worst price4.347
Drawdown as % of equity-0.80%
 $12
Includes Typical Broker Commissions trade costs of $8.00
5/13/14 12:55 QNGM4 Natural Gas LONG 1 4.393 5/13 13:22 4.368 1.05%
Trade id #87543455
Max drawdown($250)
Time5/13/14 13:22
Quant open0
Worst price4.368
Drawdown as % of equity-1.05%
 ($258)
Includes Typical Broker Commissions trade costs of $8.00
5/13/14 6:59 QGCM4 Gold 100 oz LONG 1 1293.2 5/13 8:52 1296.6 1.74%
Trade id #87535594
Max drawdown($410)
Time5/13/14 7:12
Quant open1
Worst price1289.1
Drawdown as % of equity-1.74%
 $332
Includes Typical Broker Commissions trade costs of $8.00
5/13/14 3:29 QGCM4 Gold 100 oz LONG 1 1291.7 5/13 6:10 1291.9 0.56%
Trade id #87532980
Max drawdown($130)
Time5/13/14 3:57
Quant open1
Worst price1290.4
Drawdown as % of equity-0.56%
 $12
Includes Typical Broker Commissions trade costs of $8.00
5/9/14 11:43 QGCM4 Gold 100 oz LONG 1 1289.1 5/9 13:10 1287.2 1.57%
Trade id #87490320
Max drawdown($360)
Time5/9/14 12:18
Quant open1
Worst price1285.5
Drawdown as % of equity-1.57%
 ($198)
Includes Typical Broker Commissions trade costs of $8.00
5/9/14 11:46 @ESM4 E-MINI S&P 500 LONG 1 1867.50 5/9 12:59 1873.75 0.33%
Trade id #87490371
Max drawdown($75)
Time5/9/14 12:06
Quant open1
Worst price1866.00
Drawdown as % of equity-0.33%
 $305
Includes Typical Broker Commissions trade costs of $8.00
5/9/14 10:19 @SN4 SOYBEANS LONG 1 1463 3/4 5/9 12:42 1470 2/4 2.34%
Trade id #87488127
Max drawdown($537)
Time5/9/14 12:01
Quant open1
Worst price1453
Drawdown as % of equity-2.34%
 $330
Includes Typical Broker Commissions trade costs of $8.00
5/9/14 1:53 @SN4 SOYBEANS LONG 1 1467 5/9 7:22 1470 3/4 0.33%
Trade id #87480564
Max drawdown($75)
Time5/9/14 2:41
Quant open1
Worst price1465 2/4
Drawdown as % of equity-0.33%
 $180
Includes Typical Broker Commissions trade costs of $8.00
5/8/14 11:59 QGCM4 Gold 100 oz LONG 1 1288.5 5/8 12:50 1289.0 0.13%
Trade id #87466622
Max drawdown($30)
Time5/8/14 12:23
Quant open1
Worst price1288.2
Drawdown as % of equity-0.13%
 $42
Includes Typical Broker Commissions trade costs of $8.00
5/8/14 11:59 QCLM4 CRUDE OIL LONG 1 100.11 5/8 12:44 100.16 0.53%
Trade id #87466605
Max drawdown($120)
Time5/8/14 12:26
Quant open1
Worst price99.99
Drawdown as % of equity-0.53%
 $42
Includes Typical Broker Commissions trade costs of $8.00
5/8/14 6:36 QGCM4 Gold 100 oz SHORT 1 1292.0 5/8 10:36 1289.6 1.56%
Trade id #87458743
Max drawdown($350)
Time5/8/14 7:47
Quant open-1
Worst price1295.5
Drawdown as % of equity-1.56%
 $232
Includes Typical Broker Commissions trade costs of $8.00
5/7/14 10:57 @SN4 SOYBEANS LONG 1 1453 1/4 5/7 14:15 1445 2/4 1.81%
Trade id #87440168
Max drawdown($412)
Time5/7/14 12:06
Quant open1
Worst price1445
Drawdown as % of equity-1.81%
 ($396)
Includes Typical Broker Commissions trade costs of $8.00
5/7/14 10:51 @ESM4 E-MINI S&P 500 LONG 1 1863.00 5/7 12:48 1866.50 0.66%
Trade id #87440051
Max drawdown($150)
Time5/7/14 11:22
Quant open1
Worst price1860.00
Drawdown as % of equity-0.66%
 $167
Includes Typical Broker Commissions trade costs of $8.00
5/7/14 10:51 QNGM4 Natural Gas LONG 1 4.780 5/7 11:10 4.760 0.88%
Trade id #87440029
Max drawdown($200)
Time5/7/14 11:10
Quant open1
Worst price4.760
Drawdown as % of equity-0.88%
 ($208)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    1/16/2014
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3751.15
  • Age
    125 months ago
  • What it trades
    Futures
  • # Trades
    129
  • # Profitable
    64
  • % Profitable
    49.60%
  • Avg trade duration
    1.8 hours
  • Max peak-to-valley drawdown
    23.41%
  • drawdown period
    April 09, 2014 - May 20, 2014
  • Cumul. Return
    -20.3%
  • Avg win
    $238.19
  • Avg loss
    $270.98
  • Model Account Values (Raw)
  • Cash
    $22,630
  • Margin Used
    $0
  • Buying Power
    $22,630
  • Ratios
  • W:L ratio
    0.87:1
  • Sharpe Ratio
    -0.73
  • Sortino Ratio
    -0.8
  • Calmar Ratio
    -0.196
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -23.23%
  • Correlation to SP500
    0.01040
  • Return Percent SP500 (cumu) during strategy life
    172.70%
  • Return Statistics
  • Ann Return (w trading costs)
    -46.4%
  • Slump
  • Current Slump as Pcnt Equity
    36.10%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.203%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    91.00%
  • Chance of 20% account loss
    6.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    872
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $271
  • Avg Win
    $238
  • Sum Trade PL (losers)
    $17,614.000
  • Age
  • Num Months filled monthly returns table
    124
  • Win / Loss
  • Sum Trade PL (winners)
    $15,244.000
  • # Winners
    64
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    65
  • % Winners
    49.6%
  • Frequency
  • Avg Position Time (mins)
    109.00
  • Avg Position Time (hrs)
    1.82
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    3625
  • Regression
  • Alpha
    -0.01
  • Beta
    0.00
  • Treynor Index
    -3.81
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    35.61
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    13.06
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.21
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -6.769
  • 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
    0.653
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.150
  • Hold-and-Hope Ratio
    -0.146
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14277
  • SD
    0.40126
  • Sharpe ratio (Glass type estimate)
    -0.35579
  • Sharpe ratio (Hedges UMVUE)
    -0.25745
  • df
    3.00000
  • t
    -0.20542
  • p
    0.57480
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.73361
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07751
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.65845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14355
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.45609
  • Upside Potential Ratio
    1.27596
  • Upside part of mean
    0.39940
  • Downside part of mean
    -0.54217
  • Upside SD
    0.15644
  • Downside SD
    0.31302
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.04362
  • Mean of criterion
    -0.14277
  • SD of predictor
    0.07172
  • SD of criterion
    0.40126
  • Covariance
    -0.02687
  • r
    -0.93360
  • b (slope, estimate of beta)
    -5.22349
  • a (intercept, estimate of alpha)
    0.08506
  • Mean Square Error
    0.03101
  • DF error
    2.00000
  • t(b)
    -3.68468
  • p(b)
    0.96680
  • t(a)
    0.27333
  • p(a)
    0.40512
  • Lowerbound of 95% confidence interval for beta
    -11.32300
  • Upperbound of 95% confidence interval for beta
    0.87605
  • Lowerbound of 95% confidence interval for alpha
    -1.25396
  • Upperbound of 95% confidence interval for alpha
    1.42409
  • Treynor index (mean / b)
    0.02733
  • Jensen alpha (a)
    0.08506
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.21004
  • SD
    0.42908
  • Sharpe ratio (Glass type estimate)
    -0.48950
  • Sharpe ratio (Hedges UMVUE)
    -0.35420
  • df
    3.00000
  • t
    -0.28261
  • p
    0.60208
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.86677
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.96364
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.76077
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05236
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.60891
  • Upside Potential Ratio
    1.12314
  • Upside part of mean
    0.38741
  • Downside part of mean
    -0.59745
  • Upside SD
    0.15093
  • Downside SD
    0.34494
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.04161
  • Mean of criterion
    -0.21004
  • SD of predictor
    0.07087
  • SD of criterion
    0.42908
  • Covariance
    -0.02851
  • r
    -0.93749
  • b (slope, estimate of beta)
    -5.67581
  • a (intercept, estimate of alpha)
    0.02612
  • Mean Square Error
    0.03345
  • DF error
    2.00000
  • t(b)
    -3.80953
  • p(b)
    0.96874
  • t(a)
    0.08093
  • p(a)
    0.47143
  • Lowerbound of 95% confidence interval for beta
    -12.08630
  • Upperbound of 95% confidence interval for beta
    0.73470
  • Lowerbound of 95% confidence interval for alpha
    -1.36272
  • Upperbound of 95% confidence interval for alpha
    1.41497
  • Treynor index (mean / b)
    0.03701
  • Jensen alpha (a)
    0.02612
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19848
  • Expected Shortfall on VaR
    0.23812
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06415
  • Expected Shortfall on VaR
    0.14141
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.82011
  • Quartile 1
    0.96836
  • Median
    1.02651
  • Quartile 3
    1.04709
  • Maximum
    1.08260
  • Mean of quarter 1
    0.82011
  • Mean of quarter 2
    1.01777
  • Mean of quarter 3
    1.03525
  • Mean of quarter 4
    1.08260
  • Inter Quartile Range
    0.07873
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.25000
  • Mean of outliers low
    0.82011
  • 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
    0.17989
  • Quartile 1
    0.17989
  • Median
    0.17989
  • Quartile 3
    0.17989
  • Maximum
    0.17989
  • 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)
    -0.19356
  • Compounded annual return (geometric extrapolation)
    -0.18134
  • Calmar ratio (compounded annual return / max draw down)
    -1.00805
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.76155
  • 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
    -0.25012
  • SD
    0.22332
  • Sharpe ratio (Glass type estimate)
    -1.11998
  • Sharpe ratio (Hedges UMVUE)
    -1.11340
  • df
    128.00000
  • t
    -0.68584
  • p
    0.53026
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.32142
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08568
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.31691
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09011
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.29281
  • Upside Potential Ratio
    4.89095
  • Upside part of mean
    0.94624
  • Downside part of mean
    -1.19636
  • Upside SD
    0.11063
  • Downside SD
    0.19347
  • N nonnegative terms
    43.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    129.00000
  • Mean of predictor
    0.07482
  • Mean of criterion
    -0.25012
  • SD of predictor
    0.11398
  • SD of criterion
    0.22332
  • Covariance
    0.00195
  • r
    0.07669
  • b (slope, estimate of beta)
    0.15025
  • a (intercept, estimate of alpha)
    -0.06900
  • Mean Square Error
    0.04997
  • DF error
    127.00000
  • t(b)
    0.86678
  • p(b)
    0.45123
  • t(a)
    -0.71552
  • p(a)
    0.54031
  • Lowerbound of 95% confidence interval for beta
    -0.19277
  • Upperbound of 95% confidence interval for beta
    0.49327
  • Lowerbound of 95% confidence interval for alpha
    -0.98416
  • Upperbound of 95% confidence interval for alpha
    0.46144
  • Treynor index (mean / b)
    -1.66464
  • Jensen alpha (a)
    -0.26136
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.27543
  • SD
    0.22655
  • Sharpe ratio (Glass type estimate)
    -1.21578
  • Sharpe ratio (Hedges UMVUE)
    -1.20864
  • df
    128.00000
  • t
    -0.74451
  • p
    0.53283
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.41760
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99054
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.41267
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99539
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.39294
  • Upside Potential Ratio
    4.75467
  • Upside part of mean
    0.94016
  • Downside part of mean
    -1.21559
  • Upside SD
    0.10976
  • Downside SD
    0.19773
  • N nonnegative terms
    43.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    129.00000
  • Mean of predictor
    0.06834
  • Mean of criterion
    -0.27543
  • SD of predictor
    0.11427
  • SD of criterion
    0.22655
  • Covariance
    0.00200
  • r
    0.07712
  • b (slope, estimate of beta)
    0.15290
  • a (intercept, estimate of alpha)
    -0.28588
  • Mean Square Error
    0.05142
  • DF error
    127.00000
  • t(b)
    0.87168
  • p(b)
    0.45095
  • t(a)
    -0.77163
  • p(a)
    0.54345
  • Lowerbound of 95% confidence interval for beta
    -0.19420
  • Upperbound of 95% confidence interval for beta
    0.50000
  • Lowerbound of 95% confidence interval for alpha
    -1.01901
  • Upperbound of 95% confidence interval for alpha
    0.44725
  • Treynor index (mean / b)
    -1.80139
  • Jensen alpha (a)
    -0.28588
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02068
  • Expected Shortfall on VaR
    0.02565
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00942
  • Expected Shortfall on VaR
    0.02022
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    129.00000
  • Minimum
    0.94365
  • Quartile 1
    0.99945
  • Median
    1.00000
  • Quartile 3
    1.00325
  • Maximum
    1.02408
  • Mean of quarter 1
    0.98649
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00071
  • Mean of quarter 4
    1.01042
  • Inter Quartile Range
    0.00380
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11628
  • Mean of outliers low
    0.97424
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.13178
  • Mean of outliers high
    1.01514
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.85031
  • VaR(95%) (moments method)
    0.00745
  • Expected Shortfall (moments method)
    0.05778
  • Extreme Value Index (regression method)
    0.30645
  • VaR(95%) (regression method)
    0.01247
  • Expected Shortfall (regression method)
    0.02567
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00117
  • Quartile 1
    0.00528
  • Median
    0.01265
  • Quartile 3
    0.02014
  • Maximum
    0.22295
  • Mean of quarter 1
    0.00292
  • Mean of quarter 2
    0.00927
  • Mean of quarter 3
    0.01612
  • Mean of quarter 4
    0.12356
  • Inter Quartile Range
    0.01487
  • 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
    0.14286
  • Mean of outliers high
    0.22295
  • 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)
    -0.25269
  • Compounded annual return (geometric extrapolation)
    -0.23316
  • Calmar ratio (compounded annual return / max draw down)
    -1.04578
  • Compounded annual return / average of 25% largest draw downs
    -1.88703
  • Compounded annual return / Expected Shortfall lognormal
    -9.08987
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Max Equity Drawdown (num days)
    41

Strategy Description

Mantra Day Trader would generate signals on a very short time frame for day trading only. Signals would mostly be issued in US session and system will trades only most liquid futures as following:

E-mini S&P- ES,
Euro- EU,
Australian Dollar- AD,
British Pound- BP
Yen- JPY
Gold- GC,
Copper- HG,
Crude Oil-CL,
Natural Gas- NG,
Soybean- S

Recommended Capital to implement strategy: USD 25000
Threshold Minimum Capital to implement strategy: USD 15000
Risk profile: upto 25 percent
Volatility: Lower Medium

System is mainly based on momentum and try to capture the immediate trend. System would seek to identify highest probability setups. Most of the time system would trade established trends and momentum but would also trade possible inversion only with a relatively tighter stop. System at times may have large number of trades to be in broader alignment with market sentiment.

Entry and exit is initiated on 15 min charts, whereas trade management also factors in 1 H charts as well. The inputs for any trade are price action, momentum, S/R, risk per trade, cross asset synchronization.
Trades are exclusively on day basis and would be mostly in US session. No positions would be carried overnight. Overnight here technically means the closing of US session.

System may trade upto two positions/lots at a given point of time. Stops are issued immediately after trade initiation and combined risk may be upto a maximum of USD 1000. Targets may be issued along with or position may also be closed manually at a later stage.

Though system is not a scalping one but would normally move in and out of trade quickly (few mins to few hours), hence speed of execution at subscribers end would always be a decisive factor for profitability. Further system may have high frequency of trades, therefore broker commission and other fee at subscriber end need to be kept at the minimum possible for better results.

In case a trade get range bound and does not hit either the target or stop, it would be liquidated at market before US markets closes.

Summary Statistics

Strategy began
2014-01-16
Suggested Minimum Capital
$25,000
# Trades
129
# Profitable
64
% Profitable
49.6%
Correlation S&P500
0.010
Sharpe Ratio
-0.73
Sortino Ratio
-0.80
Beta
0.00
Alpha
-0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.