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These are hypothetical performance results that have certain inherent limitations. Learn more
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OneSystem
(87862836)

Created by: freedomtrend freedomtrend
Started: 06/2014
Futures
Last trade: 3,178 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 $49.00 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.

2.0%
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.

(49.0%)
Max Drawdown
180
Num Trades
38.9%
Win Trades
1.1 : 1
Profit Factor
5.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                   +14.4%  -  (3.2%)+41.1%(11.4%)+18.6%+10.6%+81.4%
2015+23.7%(11%)(12.7%)(9.2%)(11.5%)+2.2%(13.1%)(1.7%)(0.1%)(0.1%)(0.1%)  -  (32.8%)
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

This strategy has placed 59 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3321 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/7/15 9:32 @QMZ5 MINY CRUDE OIL SHORT 1 53.650 8/13 9:30 45.850 0.99%
Trade id #95742071
Max drawdown($725)
Time7/14/15 13:11
Quant open-1
Worst price55.100
Drawdown as % of equity-0.99%
 $3,892
Includes Typical Broker Commissions trade costs of $8.00
7/21/15 9:31 @SBV5 Sugar #11 SHORT 1 11.45 8/13 9:30 10.62 0.34%
Trade id #95980584
Max drawdown($235)
Time7/24/15 4:04
Quant open-1
Worst price11.66
Drawdown as % of equity-0.34%
 $922
Includes Typical Broker Commissions trade costs of $8.00
8/5/15 9:30 @TYU5 US T-NOTE 10 YR LONG 1 126 58/64 8/13 9:30 127 36/64 0.55%
Trade id #96448016
Max drawdown($359)
Time8/5/15 10:03
Quant open1
Worst price126 35/64
Drawdown as % of equity-0.55%
 $648
Includes Typical Broker Commissions trade costs of $8.00
8/5/15 9:30 @OJU5 Orange Juice LONG 1 134.40 8/13 9:30 131.50 1.93%
Trade id #96448011
Max drawdown($1,237)
Time8/10/15 13:30
Quant open1
Worst price126.15
Drawdown as % of equity-1.93%
 ($443)
Includes Typical Broker Commissions trade costs of $8.00
7/7/15 9:32 @ADU5 AUSTRALIAN DOLLAR SHORT 1 0.7383 8/13 9:30 0.7320 1.13%
Trade id #95742063
Max drawdown($810)
Time7/14/15 22:31
Quant open-1
Worst price0.7464
Drawdown as % of equity-1.13%
 $622
Includes Typical Broker Commissions trade costs of $8.00
8/10/15 9:31 @CTZ5 COTTON - #2 SHORT 1 6154 8/13 9:30 6567 3.38%
Trade id #96534778
Max drawdown($2,205)
Time8/13/15 9:01
Quant open-1
Worst price6595
Drawdown as % of equity-3.38%
 ($2,073)
Includes Typical Broker Commissions trade costs of $8.00
7/1/15 9:32 @YIU5 Mini Silver ICE SHORT 1 15.544 8/12 9:30 15.421 0.28%
Trade id #95635603
Max drawdown($206)
Time7/12/15 18:44
Quant open-1
Worst price15.750
Drawdown as % of equity-0.28%
 $115
Includes Typical Broker Commissions trade costs of $8.00
7/17/15 9:31 @MEU5 E-MINI EURO FX SHORT 1 1.0873 7/28 9:31 1.1045 2.55%
Trade id #95939002
Max drawdown($1,650)
Time7/27/15 11:43
Quant open-1
Worst price1.1137
Drawdown as % of equity-2.55%
 ($1,083)
Includes Typical Broker Commissions trade costs of $8.00
6/25/15 9:33 @SX5 SOYBEANS LONG 1 969 3/4 7/27 9:31 947 1/4 1.78%
Trade id #95448663
Max drawdown($1,175)
Time7/27/15 9:31
Quant open1
Worst price946 1/4
Drawdown as % of equity-1.78%
 ($1,133)
Includes Typical Broker Commissions trade costs of $8.00
6/8/15 9:32 @CCU5 COCOA LONG 1 3114 7/27 9:31 3181 0.29%
Trade id #94862812
Max drawdown($210)
Time6/12/15 4:46
Quant open1
Worst price3093
Drawdown as % of equity-0.29%
 $662
Includes Typical Broker Commissions trade costs of $8.00
7/21/15 9:31 @ESU5 E-MINI S&P 500 LONG 1 2119.25 7/27 9:31 2062.25 4.36%
Trade id #95980570
Max drawdown($2,875)
Time7/27/15 9:24
Quant open1
Worst price2061.75
Drawdown as % of equity-4.36%
 ($2,858)
Includes Typical Broker Commissions trade costs of $8.00
7/16/15 9:31 @CZ5 CORN LONG 1 447 7/20 9:32 424 1.82%
Trade id #95917959
Max drawdown($1,287)
Time7/20/15 8:35
Quant open1
Worst price421 1/4
Drawdown as % of equity-1.82%
 ($1,158)
Includes Typical Broker Commissions trade costs of $8.00
6/29/15 9:31 @WU5 WHEAT LONG 1 577 3/4 7/17 9:31 554 1/4 1.64%
Trade id #95543943
Max drawdown($1,175)
Time7/17/15 9:31
Quant open1
Worst price554 1/4
Drawdown as % of equity-1.64%
 ($1,183)
Includes Typical Broker Commissions trade costs of $8.00
6/29/15 9:31 @CU5 CORN LONG 1 396 2/4 7/16 9:31 436 1/4 0.42%
Trade id #95543920
Max drawdown($300)
Time6/29/15 14:14
Quant open1
Worst price390 2/4
Drawdown as % of equity-0.42%
 $1,980
Includes Typical Broker Commissions trade costs of $8.00
7/1/15 9:32 @ESU5 E-MINI S&P 500 SHORT 1 2068.25 7/16 9:31 2113.50 3.26%
Trade id #95635601
Max drawdown($2,362)
Time7/16/15 9:10
Quant open-1
Worst price2115.50
Drawdown as % of equity-3.26%
 ($2,271)
Includes Typical Broker Commissions trade costs of $8.00
6/12/15 9:31 @SBV5 Sugar #11 SHORT 1 12.09 7/1 9:32 12.34 0.71%
Trade id #94975657
Max drawdown($537)
Time7/1/15 4:00
Quant open-1
Worst price12.57
Drawdown as % of equity-0.71%
 ($288)
Includes Typical Broker Commissions trade costs of $8.00
6/16/15 9:32 @CU5 CORN SHORT 1 353 3/4 6/26 9:31 396 1/4 2.97%
Trade id #95045959
Max drawdown($2,125)
Time6/26/15 9:31
Quant open0
Worst price396 1/4
Drawdown as % of equity-2.97%
 ($2,133)
Includes Typical Broker Commissions trade costs of $8.00
6/8/15 9:32 @YGQ5 Mini Gold NYSE Liffe SHORT 1 1172.9 6/22 9:32 1187.2 1.55%
Trade id #94862783
Max drawdown($1,115)
Time6/18/15 11:12
Quant open-1
Worst price1206.5
Drawdown as % of equity-1.55%
 ($483)
Includes Typical Broker Commissions trade costs of $8.00
5/18/15 10:05 @LEQ5 LIVE CATTLE LONG 1 150.125 6/19 9:31 149.525 0.49%
Trade id #94476965
Max drawdown($350)
Time6/18/15 13:59
Quant open1
Worst price149.250
Drawdown as % of equity-0.49%
 ($248)
Includes Typical Broker Commissions trade costs of $8.00
6/5/15 9:31 @TYU5 US T-NOTE 10 YR SHORT 1 124 59/64 6/17 9:31 125 51/64 1.57%
Trade id #94833035
Max drawdown($1,140)
Time6/16/15 18:09
Quant open-1
Worst price126 4/64
Drawdown as % of equity-1.57%
 ($883)
Includes Typical Broker Commissions trade costs of $8.00
4/14/15 9:31 @CN5 CORN SHORT 1 378 1/4 6/16 9:32 349 1/4 0.38%
Trade id #93840532
Max drawdown($312)
Time4/23/15 11:17
Quant open-1
Worst price384 2/4
Drawdown as % of equity-0.38%
 $1,442
Includes Typical Broker Commissions trade costs of $8.00
5/26/15 9:31 @JEM5 E-MINI JAPANESE YEN SHORT 1 0.008119 6/15 9:24 0.008095 0.41%
Trade id #94617188
Max drawdown($293)
Time6/10/15 3:47
Quant open-1
Worst price0.008166
Drawdown as % of equity-0.41%
 $142
Includes Typical Broker Commissions trade costs of $8.00
5/14/15 9:30 @CCN5 COCOA LONG 1 3080 6/8 9:32 3115 0.41%
Trade id #94422299
Max drawdown($300)
Time6/1/15 11:48
Quant open1
Worst price3050
Drawdown as % of equity-0.41%
 $342
Includes Typical Broker Commissions trade costs of $8.00
5/14/15 9:30 @YIN5 Mini Silver ICE LONG 1 17.443 6/5 9:31 15.968 2.1%
Trade id #94422306
Max drawdown($1,518)
Time6/5/15 8:31
Quant open1
Worst price15.925
Drawdown as % of equity-2.10%
 ($1,483)
Includes Typical Broker Commissions trade costs of $8.00
5/18/15 9:31 @QGN5 MINY NATURAL GAS LONG 1 3.100 6/1 9:32 2.635 1.7%
Trade id #94475360
Max drawdown($1,250)
Time5/31/15 18:35
Quant open1
Worst price2.600
Drawdown as % of equity-1.70%
 ($1,171)
Includes Typical Broker Commissions trade costs of $8.00
5/8/15 9:30 @QMN5 MINY CRUDE OIL LONG 1 60.200 5/28 9:33 56.975 2.27%
Trade id #94318782
Max drawdown($1,687)
Time5/28/15 9:31
Quant open1
Worst price56.825
Drawdown as % of equity-2.27%
 ($1,621)
Includes Typical Broker Commissions trade costs of $8.00
5/15/15 9:31 @YGM5 Mini Gold NYSE Liffe LONG 1 1217.9 5/27 9:31 1186.9 1.45%
Trade id #94447983
Max drawdown($1,085)
Time5/26/15 8:31
Quant open1
Worst price1185.2
Drawdown as % of equity-1.45%
 ($1,037)
Includes Typical Broker Commissions trade costs of $8.00
5/12/15 9:30 @BPM5 BRITISH POUND LONG 1 1.5644 5/26 9:31 1.5383 2.39%
Trade id #94369251
Max drawdown($1,793)
Time5/26/15 8:32
Quant open1
Worst price1.5357
Drawdown as % of equity-2.39%
 ($1,639)
Includes Typical Broker Commissions trade costs of $8.00
5/14/15 9:30 @MEM5 E-MINI EURO FX LONG 1 1.1415 5/20 9:30 1.1111 2.85%
Trade id #94422314
Max drawdown($2,168)
Time5/20/15 2:54
Quant open1
Worst price1.1068
Drawdown as % of equity-2.85%
 ($1,908)
Includes Typical Broker Commissions trade costs of $8.00
5/15/15 9:31 @LEM5 LIVE CATTLE LONG 1 154.075 5/18 10:05 152.000 1.22%
Trade id #94447977
Max drawdown($1,000)
Time5/15/15 11:24
Quant open1
Worst price151.575
Drawdown as % of equity-1.22%
 ($838)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    6/1/2014
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    3612.24
  • Age
    121 months ago
  • What it trades
    Futures
  • # Trades
    180
  • # Profitable
    70
  • % Profitable
    38.90%
  • Avg trade duration
    23.0 days
  • Max peak-to-valley drawdown
    49%
  • drawdown period
    Jan 25, 2015 - July 29, 2015
  • Annual Return (Compounded)
    2.0%
  • Avg win
    $1,878
  • Avg loss
    $1,059
  • Model Account Values (Raw)
  • Cash
    $64,968
  • Margin Used
    $0
  • Buying Power
    $64,968
  • Ratios
  • W:L ratio
    1.13:1
  • Sharpe Ratio
    0.05
  • Sortino Ratio
    0.07
  • Calmar Ratio
    0.232
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -136.35%
  • Correlation to SP500
    0.00210
  • Return Percent SP500 (cumu) during strategy life
    162.45%
  • Return Statistics
  • Ann Return (w trading costs)
    2.0%
  • Slump
  • Current Slump as Pcnt Equity
    94.30%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.020%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.7%
  • 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)
    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)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,059
  • Avg Win
    $1,878
  • Sum Trade PL (losers)
    $116,521.000
  • Age
  • Num Months filled monthly returns table
    119
  • Win / Loss
  • Sum Trade PL (winners)
    $131,486.000
  • # Winners
    70
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    110
  • % Winners
    38.9%
  • Frequency
  • Avg Position Time (mins)
    33152.50
  • Avg Position Time (hrs)
    552.54
  • Avg Trade Length
    23.0 days
  • Last Trade Ago
    3175
  • Regression
  • Alpha
    0.00
  • Beta
    0.00
  • Treynor Index
    1.35
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    47.89
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    32.83
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.43
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    11.269
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.160
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.266
  • Hold-and-Hope Ratio
    0.089
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11836
  • SD
    0.32959
  • Sharpe ratio (Glass type estimate)
    0.35913
  • Sharpe ratio (Hedges UMVUE)
    0.35036
  • df
    31.00000
  • t
    0.58645
  • p
    0.28091
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84723
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55982
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55375
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78151
  • Upside Potential Ratio
    2.39481
  • Upside part of mean
    0.36271
  • Downside part of mean
    -0.24435
  • Upside SD
    0.28890
  • Downside SD
    0.15146
  • N nonnegative terms
    6.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.39068
  • Mean of criterion
    0.11836
  • SD of predictor
    0.30134
  • SD of criterion
    0.32959
  • Covariance
    -0.00866
  • r
    -0.08722
  • b (slope, estimate of beta)
    -0.09540
  • a (intercept, estimate of alpha)
    0.15563
  • Mean Square Error
    0.11140
  • DF error
    30.00000
  • t(b)
    -0.47954
  • p(b)
    0.68248
  • t(a)
    0.71175
  • p(a)
    0.24106
  • Lowerbound of 95% confidence interval for beta
    -0.50167
  • Upperbound of 95% confidence interval for beta
    0.31088
  • Lowerbound of 95% confidence interval for alpha
    -0.29094
  • Upperbound of 95% confidence interval for alpha
    0.60220
  • Treynor index (mean / b)
    -1.24078
  • Jensen alpha (a)
    0.15563
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07029
  • SD
    0.30625
  • Sharpe ratio (Glass type estimate)
    0.22954
  • Sharpe ratio (Hedges UMVUE)
    0.22393
  • df
    31.00000
  • t
    0.37483
  • p
    0.35517
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97385
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42933
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97759
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42545
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43679
  • Upside Potential Ratio
    2.02870
  • Upside part of mean
    0.32649
  • Downside part of mean
    -0.25619
  • Upside SD
    0.25567
  • Downside SD
    0.16093
  • N nonnegative terms
    6.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.34506
  • Mean of criterion
    0.07029
  • SD of predictor
    0.27793
  • SD of criterion
    0.30625
  • Covariance
    -0.00631
  • r
    -0.07410
  • b (slope, estimate of beta)
    -0.08165
  • a (intercept, estimate of alpha)
    0.09847
  • Mean Square Error
    0.09638
  • DF error
    30.00000
  • t(b)
    -0.40698
  • p(b)
    0.65655
  • t(a)
    0.48669
  • p(a)
    0.31501
  • Lowerbound of 95% confidence interval for beta
    -0.49138
  • Upperbound of 95% confidence interval for beta
    0.32808
  • Lowerbound of 95% confidence interval for alpha
    -0.31473
  • Upperbound of 95% confidence interval for alpha
    0.51167
  • Treynor index (mean / b)
    -0.86093
  • Jensen alpha (a)
    0.09847
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13026
  • Expected Shortfall on VaR
    0.16135
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06257
  • Expected Shortfall on VaR
    0.11836
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.85293
  • Quartile 1
    0.98178
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.35653
  • Mean of quarter 1
    0.92823
  • Mean of quarter 2
    0.99789
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.12265
  • Inter Quartile Range
    0.01822
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.15625
  • Mean of outliers low
    0.89880
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.15625
  • Mean of outliers high
    1.19389
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43116
  • VaR(95%) (moments method)
    0.07055
  • Expected Shortfall (moments method)
    0.14838
  • Extreme Value Index (regression method)
    0.66939
  • VaR(95%) (regression method)
    0.05879
  • Expected Shortfall (regression method)
    0.17231
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.04000
  • Quartile 1
    0.06158
  • Median
    0.08317
  • Quartile 3
    0.23324
  • Maximum
    0.38331
  • Mean of quarter 1
    0.04000
  • Mean of quarter 2
    0.08317
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.38331
  • Inter Quartile Range
    0.17165
  • 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)
    0.11226
  • Compounded annual return (geometric extrapolation)
    0.10319
  • Calmar ratio (compounded annual return / max draw down)
    0.26920
  • Compounded annual return / average of 25% largest draw downs
    0.26920
  • Compounded annual return / Expected Shortfall lognormal
    0.63950
  • 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
    0.08881
  • SD
    0.19248
  • Sharpe ratio (Glass type estimate)
    0.46138
  • Sharpe ratio (Hedges UMVUE)
    0.46088
  • df
    698.00000
  • t
    0.75361
  • p
    0.22567
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73894
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66143
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66107
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68939
  • Upside Potential Ratio
    6.05863
  • Upside part of mean
    0.78046
  • Downside part of mean
    -0.69166
  • Upside SD
    0.14294
  • Downside SD
    0.12882
  • N nonnegative terms
    150.00000
  • N negative terms
    549.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    699.00000
  • Mean of predictor
    0.41076
  • Mean of criterion
    0.08881
  • SD of predictor
    0.35102
  • SD of criterion
    0.19248
  • Covariance
    -0.00039
  • r
    -0.00573
  • b (slope, estimate of beta)
    -0.00314
  • a (intercept, estimate of alpha)
    0.09000
  • Mean Square Error
    0.03710
  • DF error
    697.00000
  • t(b)
    -0.15132
  • p(b)
    0.56012
  • t(a)
    0.76204
  • p(a)
    0.22315
  • Lowerbound of 95% confidence interval for beta
    -0.04392
  • Upperbound of 95% confidence interval for beta
    0.03764
  • Lowerbound of 95% confidence interval for alpha
    -0.14204
  • Upperbound of 95% confidence interval for alpha
    0.32223
  • Treynor index (mean / b)
    -28.25710
  • Jensen alpha (a)
    0.09010
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07025
  • SD
    0.19283
  • Sharpe ratio (Glass type estimate)
    0.36429
  • Sharpe ratio (Hedges UMVUE)
    0.36390
  • df
    698.00000
  • t
    0.59503
  • p
    0.27601
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56430
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83619
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56400
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.53269
  • Upside Potential Ratio
    5.84180
  • Upside part of mean
    0.77039
  • Downside part of mean
    -0.70014
  • Upside SD
    0.14057
  • Downside SD
    0.13187
  • N nonnegative terms
    150.00000
  • N negative terms
    549.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    699.00000
  • Mean of predictor
    0.34488
  • Mean of criterion
    0.07025
  • SD of predictor
    0.36902
  • SD of criterion
    0.19283
  • Covariance
    -0.00035
  • r
    -0.00486
  • b (slope, estimate of beta)
    -0.00254
  • a (intercept, estimate of alpha)
    0.07112
  • Mean Square Error
    0.03724
  • DF error
    697.00000
  • t(b)
    -0.12818
  • p(b)
    0.55098
  • t(a)
    0.60102
  • p(a)
    0.27401
  • Lowerbound of 95% confidence interval for beta
    -0.04140
  • Upperbound of 95% confidence interval for beta
    0.03632
  • Lowerbound of 95% confidence interval for alpha
    -0.16122
  • Upperbound of 95% confidence interval for alpha
    0.30346
  • Treynor index (mean / b)
    -27.68890
  • Jensen alpha (a)
    0.07112
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01914
  • Expected Shortfall on VaR
    0.02400
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00793
  • Expected Shortfall on VaR
    0.01675
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    699.00000
  • Minimum
    0.90318
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.05419
  • Mean of quarter 1
    0.98979
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01199
  • Inter Quartile Range
    0.00000
  • Number outliers low
    161.00000
  • Percentage of outliers low
    0.23033
  • Mean of outliers low
    0.98890
  • Number of outliers high
    150.00000
  • Percentage of outliers high
    0.21459
  • Mean of outliers high
    1.01399
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.20635
  • VaR(95%) (moments method)
    0.00411
  • Expected Shortfall (moments method)
    0.00565
  • Extreme Value Index (regression method)
    0.17184
  • VaR(95%) (regression method)
    0.00982
  • Expected Shortfall (regression method)
    0.01812
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00095
  • Quartile 1
    0.01336
  • Median
    0.02390
  • Quartile 3
    0.04935
  • Maximum
    0.44368
  • Mean of quarter 1
    0.00740
  • Mean of quarter 2
    0.02106
  • Mean of quarter 3
    0.03968
  • Mean of quarter 4
    0.20284
  • Inter Quartile Range
    0.03599
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    0.24465
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.12079
  • VaR(95%) (moments method)
    0.14318
  • Expected Shortfall (moments method)
    0.19234
  • Extreme Value Index (regression method)
    0.17504
  • VaR(95%) (regression method)
    0.15464
  • Expected Shortfall (regression method)
    0.24080
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11221
  • Compounded annual return (geometric extrapolation)
    0.10313
  • Calmar ratio (compounded annual return / max draw down)
    0.23245
  • Compounded annual return / average of 25% largest draw downs
    0.50844
  • Compounded annual return / Expected Shortfall lognormal
    4.29671
  • 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
    0.96256
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43800
  • 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
    0.86403
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44405
  • 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)
    -6817150000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01900
  • 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)
    163109999999999997019969422360576.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -418997000
  • Max Equity Drawdown (num days)
    185
  • 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

OneSystem is an end-of-day, long term, trend following system that trades 20 diversified US futures markets LONG and SHORT.It was developed as a complete solution with a $50K portfolio size in mind and the trades could be held anywhere from a few days to sometimes a month.

**Please keep in mind that rollover trades may be required to continue a trend into the next contract.**

OneSystem uses end-of-day prices and I post the new signals between 8pm EST and midnight EST. It will always enter or exit a trade at 9:30am EST the next trading day. This system will trade one to two contracts based on the size of the contract and could have up to 20 positions engaged at any time. The futures markets were chosen so that every position was roughly the same size based on volatility, so no one trade will wipe out the portfolio. This is why the portfolio has some full-sized contracts and some mini contracts.

The following are the US futures markets traded in this system:
@ES - S&P 500 E-mini
@TY - US 10-yr T-note
@FV - US 5-yr T-note
@CC - Cocoa
@CT - Cotton No.2
@LE - Live Cattle
@SB - Sugar #11
@C - Corn
@W - Wheat
@S - Soybeans
@YG - Mini Gold
@YI - Mini Silver
@QC - Copper Emini
@JE - E-mini Japanese Yen
@ME - E-mini Euro FX
@AD - Australian Dollar
@BP - British Pound
@QG - Miny Natural Gas
@QM - Miny Crude Oil
@OJ - Orange Juice

Please visit http://freedomtrend.com/onesystem/ for more information and backtested performance data.

I hope you will take advantage of the free 14-day trial which gives you access to every trading signal for that period of time.

Summary Statistics

Strategy began
2014-06-01
Suggested Minimum Capital
$50,000
# Trades
180
# Profitable
70
% Profitable
38.9%
Correlation S&P500
0.002
Sharpe Ratio
0.05
Sortino Ratio
0.07
Beta
0.00
Alpha
0.00

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.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.