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These are hypothetical performance results that have certain inherent limitations. Learn more

Two Cents
(88546341)

Created by: JohnGrover4 JohnGrover4
Started: 07/2014
Futures
Last trade: 2,305 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 $55.00 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.

-0.7%
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.

(49.8%)
Max Drawdown
459
Num Trades
51.4%
Win Trades
1.1 : 1
Profit Factor
13.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                          +4.1%+16.6%+22.1%+3.4%+8.7%(0.5%)+65.6%
2015+3.6%(8.3%)+0.8%+5.6%+2.6%(4.9%)(3.8%)(5.4%)+0.9%(0.2%)+0.7%(4.8%)(13.4%)
2016+4.4%+0.6%(3%)(1.6%)(4.3%)+26.2%(3.6%)  -  +4.5%(0.6%)(5.3%)(2%)+12.6%
2017(18.3%)(2.8%)(7.9%)(1.9%)+4.0%(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(16.8%)(5.7%)(42.2%)
2018(0.3%)  -    -    -    -    -    -    -    -    -    -    -  (0.3%)
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 100 hours.

Trading Record

This strategy has placed 420 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2940 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/9/17 8:30 @OJF8 Orange Juice LONG 1 159.85 12/6 8:31 161.05 1.04%
Trade id #114766069
Max drawdown($480)
Time11/9/17 9:42
Quant open1
Worst price156.65
Drawdown as % of equity-1.04%
$172
Includes Typical Broker Commissions trade costs of $8.00
11/8/17 4:00 LRCF8 Coffee Robusta Liffe SHORT 1 1830 12/6 4:00 1752 0.5%
Trade id #114741685
Max drawdown($220)
Time11/16/17 10:06
Quant open-1
Worst price1852
Drawdown as % of equity-0.50%
$772
Includes Typical Broker Commissions trade costs of $8.00
11/8/17 3:45 QWH8 Liffe Sugar White LONG 1 381.5 12/6 3:45 382.0 0.01%
Trade id #114741576
Max drawdown($5)
Time12/4/17 4:28
Quant open1
Worst price381.4
Drawdown as % of equity-0.01%
$17
Includes Typical Broker Commissions trade costs of $8.00
11/7/17 20:46 @KWZ7 Hard Red Winter Wheat Electronic SHORT 1 426.000 12/5 20:21 415.000 0.95%
Trade id #114737623
Max drawdown($450)
Time11/10/17 13:53
Quant open-1
Worst price435.000
Drawdown as % of equity-0.95%
$542
Includes Typical Broker Commissions trade costs of $8.00
12/1/17 8:39 @BOZ7 SOYBEAN OIL SHORT 1 33.81 12/5 20:21 33.36 0.13%
Trade id #115137916
Max drawdown($54)
Time12/1/17 10:42
Quant open-1
Worst price33.90
Drawdown as % of equity-0.13%
$262
Includes Typical Broker Commissions trade costs of $8.00
11/8/17 21:54 @CZ7 CORN SHORT 1 347 1/4 12/5 20:20 339 2/4 0.27%
Trade id #114759903
Max drawdown($125)
Time11/9/17 9:54
Quant open-1
Worst price349 3/4
Drawdown as % of equity-0.27%
$380
Includes Typical Broker Commissions trade costs of $8.00
11/7/17 20:25 @TYZ7 US T-NOTE 10 YR SHORT 1 125 25/64 12/5 18:00 124 40/64 0.13%
Trade id #114737348
Max drawdown($62)
Time11/8/17 7:54
Quant open-1
Worst price125 29/64
Drawdown as % of equity-0.13%
$758
Includes Typical Broker Commissions trade costs of $8.00
11/7/17 20:36 @RRF8 Rough Rice SHORT 1 11.525 12/4 20:20 12.255 5.15%
Trade id #114737531
Max drawdown($2,110)
Time11/30/17 11:48
Quant open-1
Worst price12.580
Drawdown as % of equity-5.15%
($1,468)
Includes Typical Broker Commissions trade costs of $8.00
11/13/17 14:03 @SMZ7 SOYBEAN MEAL SHORT 1 311.4 12/4 14:27 341.2 7.47%
Trade id #114830365
Max drawdown($2,980)
Time12/4/17 14:27
Quant open0
Worst price341.2
Drawdown as % of equity-7.47%
($2,988)
Includes Typical Broker Commissions trade costs of $8.00
11/8/17 21:55 @BOZ7 SOYBEAN OIL LONG 1 35.40 12/1 8:39 33.81 2.71%
Trade id #114759922
Max drawdown($1,176)
Time11/27/17 13:05
Quant open1
Worst price33.44
Drawdown as % of equity-2.71%
($962)
Includes Typical Broker Commissions trade costs of $8.00
11/17/17 11:22 @VXZ7 CBOE Volatility Index VIX SHORT 1 12.45 12/1 5:54 12.00 1.1%
Trade id #114916668
Max drawdown($450)
Time11/19/17 22:29
Quant open-1
Worst price12.90
Drawdown as % of equity-1.10%
$442
Includes Typical Broker Commissions trade costs of $8.00
11/15/17 19:37 @NQZ7 E-MINI NASDAQ 100 STK IDX LONG 1 6279.00 11/29 11:59 6291.00 0.3%
Trade id #114882498
Max drawdown($130)
Time11/15/17 19:59
Quant open1
Worst price6272.50
Drawdown as % of equity-0.30%
$232
Includes Typical Broker Commissions trade costs of $8.00
11/15/17 21:24 @ESZ7 E-MINI S&P 500 LONG 1 2570.00 11/28 13:05 2620.00 0.26%
Trade id #114883509
Max drawdown($112)
Time11/15/17 22:41
Quant open1
Worst price2567.75
Drawdown as % of equity-0.26%
$2,492
Includes Typical Broker Commissions trade costs of $8.00
11/7/17 20:48 @QOZ7 miNY Gold SHORT 1 1277.00 11/28 9:02 1295.00 2.52%
Trade id #114737643
Max drawdown($1,087)
Time11/27/17 9:05
Quant open-1
Worst price1298.75
Drawdown as % of equity-2.52%
($908)
Includes Typical Broker Commissions trade costs of $8.00
11/7/17 22:12 @QGZ7 MINY NATURAL GAS SHORT 1 3.140 11/27 9:00 2.920 0.47%
Trade id #114738262
Max drawdown($225)
Time11/13/17 10:19
Quant open-1
Worst price3.230
Drawdown as % of equity-0.47%
$542
Includes Typical Broker Commissions trade costs of $8.00
11/8/17 10:06 @LBF8 Random Length Lumber Globex LONG 1 456.20 11/21 10:00 425.90 7.88%
Trade id #114746362
Max drawdown($3,333)
Time11/21/17 10:00
Quant open0
Worst price425.90
Drawdown as % of equity-7.88%
($3,341)
Includes Typical Broker Commissions trade costs of $8.00
11/7/17 21:20 @CTZ7 COTTON - #2 SHORT 1 6810 11/21 7:37 7159 4.2%
Trade id #114738034
Max drawdown($1,760)
Time11/21/17 7:20
Quant open-1
Worst price7162
Drawdown as % of equity-4.20%
($1,753)
Includes Typical Broker Commissions trade costs of $8.00
11/8/17 21:56 GBP/USD GBP/USD SHORT 10 1.31241 11/21 7:17 1.32377 3.87%
Trade id #114759932
Max drawdown($1,553)
Time11/20/17 5:00
Quant open-10
Worst price1.32794
Drawdown as % of equity-3.87%
($1,136)
11/7/17 20:36 @QMZ7 MINY CRUDE OIL LONG 1 57.150 11/16 9:04 55.150 2.58%
Trade id #114737540
Max drawdown($1,162)
Time11/14/17 16:51
Quant open1
Worst price54.825
Drawdown as % of equity-2.58%
($1,008)
Includes Typical Broker Commissions trade costs of $8.00
11/7/17 20:35 EUR/USD EUR/USD SHORT 4 1.15970 11/15 9:18 1.18276 2.42%
Trade id #114737526
Max drawdown($1,056)
Time11/15/17 8:34
Quant open-4
Worst price1.18611
Drawdown as % of equity-2.42%
($922)
11/8/17 21:54 @SMZ7 SOYBEAN MEAL LONG 1 315.0 11/13 14:03 311.4 0.78%
Trade id #114759909
Max drawdown($360)
Time11/9/17 13:53
Quant open1
Worst price311.4
Drawdown as % of equity-0.78%
($368)
Includes Typical Broker Commissions trade costs of $8.00
4/12/17 11:08 @YKN7 Mini Soybeans Globex SHORT 1 958.625 5/25 9:47 950.500 0.72%
Trade id #110942024
Max drawdown($303)
Time5/10/17 12:01
Quant open-1
Worst price989.000
Drawdown as % of equity-0.72%
$73
Includes Typical Broker Commissions trade costs of $8.00
5/11/17 20:20 @RRN7 Rough Rice LONG 1 10.650 5/25 9:47 11.025 1.54%
Trade id #111561390
Max drawdown($670)
Time5/12/17 12:44
Quant open1
Worst price10.315
Drawdown as % of equity-1.54%
$742
Includes Typical Broker Commissions trade costs of $8.00
4/12/17 1:31 @TYM7 US T-NOTE 10 YR LONG 1 125 35/64 5/25 9:26 126 9/64 1.98%
Trade id #110930343
Max drawdown($828)
Time5/11/17 8:51
Quant open1
Worst price124 46/64
Drawdown as % of equity-1.98%
$586
Includes Typical Broker Commissions trade costs of $8.00
4/24/17 4:00 LRCN7 Coffee Robusta Liffe SHORT 1 2001 5/25 9:24 1914 0.98%
Trade id #111222960
Max drawdown($410)
Time5/9/17 9:08
Quant open-1
Worst price2042
Drawdown as % of equity-0.98%
$862
Includes Typical Broker Commissions trade costs of $8.00
4/23/17 22:12 @QGM7 MINY NATURAL GAS LONG 1 3.220 5/25 9:03 3.255 0.5%
Trade id #111220500
Max drawdown($237)
Time4/25/17 11:11
Quant open1
Worst price3.125
Drawdown as % of equity-0.50%
$80
Includes Typical Broker Commissions trade costs of $8.00
5/11/17 19:36 EUR/USD EUR/USD LONG 10 1.08668 5/16 8:51 1.10830 0.27%
Trade id #111560948
Max drawdown($115)
Time5/12/17 3:02
Quant open10
Worst price1.08553
Drawdown as % of equity-0.27%
$2,162
5/11/17 19:28 EUR/USD EUR/USD LONG 10 1.08672 5/11 19:28 1.08668 0.01%
Trade id #111560876
Max drawdown($4)
Time5/11/17 19:28
Quant open0
Worst price1.08668
Drawdown as % of equity-0.01%
($4)
4/26/17 9:31 @RRN7 Rough Rice SHORT 1 9.525 5/10 9:46 10.105 2.75%
Trade id #111268786
Max drawdown($1,160)
Time5/10/17 9:46
Quant open0
Worst price10.105
Drawdown as % of equity-2.75%
($1,168)
Includes Typical Broker Commissions trade costs of $8.00
4/5/17 9:50 @HEM7 LEAN HOGS SHORT 1 71.950 5/5 9:50 76.325 4.39%
Trade id #110722203
Max drawdown($1,860)
Time5/5/17 9:31
Quant open-1
Worst price76.600
Drawdown as % of equity-4.39%
($1,758)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    7/13/2014
  • Suggested Minimum Cap
    $32,703
  • Strategy Age (days)
    3544.3
  • Age
    118 months ago
  • What it trades
    Futures
  • # Trades
    459
  • # Profitable
    236
  • % Profitable
    51.40%
  • Avg trade duration
    9.2 days
  • Max peak-to-valley drawdown
    49.85%
  • drawdown period
    Oct 24, 2016 - Dec 04, 2017
  • Annual Return (Compounded)
    -0.7%
  • Avg win
    $535.47
  • Avg loss
    $538.25
  • Model Account Values (Raw)
  • Cash
    $39,044
  • Margin Used
    $0
  • Buying Power
    $39,044
  • Ratios
  • W:L ratio
    1.05:1
  • Sharpe Ratio
    -0.14
  • Sortino Ratio
    -0.19
  • Calmar Ratio
    0.109
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -171.34%
  • Correlation to SP500
    0.00640
  • Return Percent SP500 (cumu) during strategy life
    167.05%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.7%
  • Slump
  • Current Slump as Pcnt Equity
    95.30%
  • Instruments
  • Percent Trades Futures
    0.88%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.77%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.007%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.00%
  • Percent Trades Forex
    0.12%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.8%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    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
    $538
  • Avg Win
    $535
  • Sum Trade PL (losers)
    $120,029.000
  • Age
  • Num Months filled monthly returns table
    117
  • Win / Loss
  • Sum Trade PL (winners)
    $126,371.000
  • # Winners
    236
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    223
  • % Winners
    51.4%
  • Frequency
  • Avg Position Time (mins)
    13318.70
  • Avg Position Time (hrs)
    221.98
  • Avg Trade Length
    9.2 days
  • Last Trade Ago
    2303
  • Regression
  • Alpha
    -0.01
  • Beta
    0.00
  • Treynor Index
    -1.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    37.20
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    15.84
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.04
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    43.755
  • 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
    0.338
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.117
  • Hold-and-Hope Ratio
    0.023
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03804
  • SD
    0.21577
  • Sharpe ratio (Glass type estimate)
    0.17629
  • Sharpe ratio (Hedges UMVUE)
    0.17352
  • df
    48.00000
  • t
    0.35623
  • p
    0.36162
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79518
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14596
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79704
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14407
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28151
  • Upside Potential Ratio
    1.82258
  • Upside part of mean
    0.24627
  • Downside part of mean
    -0.20823
  • Upside SD
    0.16574
  • Downside SD
    0.13512
  • N nonnegative terms
    17.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.19058
  • Mean of criterion
    0.03804
  • SD of predictor
    0.21927
  • SD of criterion
    0.21577
  • Covariance
    -0.00163
  • r
    -0.03447
  • b (slope, estimate of beta)
    -0.03392
  • a (intercept, estimate of alpha)
    0.04450
  • Mean Square Error
    0.04749
  • DF error
    47.00000
  • t(b)
    -0.23643
  • p(b)
    0.59294
  • t(a)
    0.39999
  • p(a)
    0.34549
  • Lowerbound of 95% confidence interval for beta
    -0.32250
  • Upperbound of 95% confidence interval for beta
    0.25467
  • Lowerbound of 95% confidence interval for alpha
    -0.17931
  • Upperbound of 95% confidence interval for alpha
    0.26832
  • Treynor index (mean / b)
    -1.12150
  • Jensen alpha (a)
    0.04450
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01561
  • SD
    0.21287
  • Sharpe ratio (Glass type estimate)
    0.07335
  • Sharpe ratio (Hedges UMVUE)
    0.07220
  • df
    48.00000
  • t
    0.14823
  • p
    0.44139
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89707
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04302
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89784
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04224
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.10857
  • Upside Potential Ratio
    1.62191
  • Upside part of mean
    0.23327
  • Downside part of mean
    -0.21765
  • Upside SD
    0.15403
  • Downside SD
    0.14382
  • N nonnegative terms
    17.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.16653
  • Mean of criterion
    0.01561
  • SD of predictor
    0.21134
  • SD of criterion
    0.21287
  • Covariance
    -0.00169
  • r
    -0.03756
  • b (slope, estimate of beta)
    -0.03783
  • a (intercept, estimate of alpha)
    0.02192
  • Mean Square Error
    0.04621
  • DF error
    47.00000
  • t(b)
    -0.25768
  • p(b)
    0.60111
  • t(a)
    0.20077
  • p(a)
    0.42087
  • Lowerbound of 95% confidence interval for beta
    -0.33319
  • Upperbound of 95% confidence interval for beta
    0.25753
  • Lowerbound of 95% confidence interval for alpha
    -0.19768
  • Upperbound of 95% confidence interval for alpha
    0.24151
  • Treynor index (mean / b)
    -0.41274
  • Jensen alpha (a)
    0.02192
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09496
  • Expected Shortfall on VaR
    0.11768
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04688
  • Expected Shortfall on VaR
    0.09255
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    49.00000
  • Minimum
    0.83022
  • Quartile 1
    0.98688
  • Median
    1.00000
  • Quartile 3
    1.02066
  • Maximum
    1.22909
  • Mean of quarter 1
    0.94104
  • Mean of quarter 2
    0.99922
  • Mean of quarter 3
    1.00481
  • Mean of quarter 4
    1.08229
  • Inter Quartile Range
    0.03378
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.08163
  • Mean of outliers low
    0.88833
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.10204
  • Mean of outliers high
    1.13108
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26534
  • VaR(95%) (moments method)
    0.04708
  • Expected Shortfall (moments method)
    0.08273
  • Extreme Value Index (regression method)
    0.25264
  • VaR(95%) (regression method)
    0.06670
  • Expected Shortfall (regression method)
    0.11987
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.04458
  • Quartile 1
    0.09485
  • Median
    0.14512
  • Quartile 3
    0.26855
  • Maximum
    0.39199
  • Mean of quarter 1
    0.04458
  • Mean of quarter 2
    0.14512
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.39199
  • Inter Quartile Range
    0.17370
  • 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)
    0.04763
  • Compounded annual return (geometric extrapolation)
    0.04448
  • Calmar ratio (compounded annual return / max draw down)
    0.11348
  • Compounded annual return / average of 25% largest draw downs
    0.11348
  • Compounded annual return / Expected Shortfall lognormal
    0.37801
  • 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
    0.02847
  • SD
    0.16420
  • Sharpe ratio (Glass type estimate)
    0.17336
  • Sharpe ratio (Hedges UMVUE)
    0.17324
  • df
    1083.00000
  • t
    0.35262
  • p
    0.49318
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79027
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13693
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79036
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13684
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25871
  • Upside Potential Ratio
    6.41662
  • Upside part of mean
    0.70600
  • Downside part of mean
    -0.67753
  • Upside SD
    0.12179
  • Downside SD
    0.11003
  • N nonnegative terms
    343.00000
  • N negative terms
    741.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1084.00000
  • Mean of predictor
    0.23641
  • Mean of criterion
    0.02847
  • SD of predictor
    0.24517
  • SD of criterion
    0.16420
  • Covariance
    0.00018
  • r
    0.00439
  • b (slope, estimate of beta)
    0.00294
  • a (intercept, estimate of alpha)
    0.02800
  • Mean Square Error
    0.02699
  • DF error
    1082.00000
  • t(b)
    0.14445
  • p(b)
    0.49780
  • t(a)
    0.34324
  • p(a)
    0.49478
  • Lowerbound of 95% confidence interval for beta
    -0.03701
  • Upperbound of 95% confidence interval for beta
    0.04289
  • Lowerbound of 95% confidence interval for alpha
    -0.13098
  • Upperbound of 95% confidence interval for alpha
    0.18652
  • Treynor index (mean / b)
    9.67883
  • Jensen alpha (a)
    0.02777
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01505
  • SD
    0.16375
  • Sharpe ratio (Glass type estimate)
    0.09189
  • Sharpe ratio (Hedges UMVUE)
    0.09182
  • df
    1083.00000
  • t
    0.18690
  • p
    0.49639
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05547
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87176
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05540
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13458
  • Upside Potential Ratio
    6.24957
  • Upside part of mean
    0.69869
  • Downside part of mean
    -0.68364
  • Upside SD
    0.11954
  • Downside SD
    0.11180
  • N nonnegative terms
    343.00000
  • N negative terms
    741.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1084.00000
  • Mean of predictor
    0.20599
  • Mean of criterion
    0.01505
  • SD of predictor
    0.24701
  • SD of criterion
    0.16375
  • Covariance
    0.00018
  • r
    0.00448
  • b (slope, estimate of beta)
    0.00297
  • a (intercept, estimate of alpha)
    0.01443
  • Mean Square Error
    0.02684
  • DF error
    1082.00000
  • t(b)
    0.14745
  • p(b)
    0.49776
  • t(a)
    0.17898
  • p(a)
    0.49728
  • Lowerbound of 95% confidence interval for beta
    -0.03657
  • Upperbound of 95% confidence interval for beta
    0.04252
  • Lowerbound of 95% confidence interval for alpha
    -0.14381
  • Upperbound of 95% confidence interval for alpha
    0.17267
  • Treynor index (mean / b)
    5.06316
  • Jensen alpha (a)
    0.01443
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01645
  • Expected Shortfall on VaR
    0.02059
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00715
  • Expected Shortfall on VaR
    0.01481
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1084.00000
  • Minimum
    0.93206
  • Quartile 1
    0.99838
  • Median
    1.00000
  • Quartile 3
    1.00193
  • Maximum
    1.08907
  • Mean of quarter 1
    0.99018
  • Mean of quarter 2
    0.99977
  • Mean of quarter 3
    1.00024
  • Mean of quarter 4
    1.01067
  • Inter Quartile Range
    0.00355
  • Number outliers low
    138.00000
  • Percentage of outliers low
    0.12731
  • Mean of outliers low
    0.98451
  • Number of outliers high
    138.00000
  • Percentage of outliers high
    0.12731
  • Mean of outliers high
    1.01699
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28986
  • VaR(95%) (moments method)
    0.00653
  • Expected Shortfall (moments method)
    0.01190
  • Extreme Value Index (regression method)
    0.08206
  • VaR(95%) (regression method)
    0.00929
  • Expected Shortfall (regression method)
    0.01483
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00309
  • Median
    0.00801
  • Quartile 3
    0.03965
  • Maximum
    0.40098
  • Mean of quarter 1
    0.00168
  • Mean of quarter 2
    0.00599
  • Mean of quarter 3
    0.01836
  • Mean of quarter 4
    0.15553
  • Inter Quartile Range
    0.03657
  • 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
    0.13043
  • Mean of outliers high
    0.24169
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.05831
  • VaR(95%) (moments method)
    0.12686
  • Expected Shortfall (moments method)
    0.18736
  • Extreme Value Index (regression method)
    0.53558
  • VaR(95%) (regression method)
    0.23349
  • Expected Shortfall (regression method)
    0.60655
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04701
  • Compounded annual return (geometric extrapolation)
    0.04389
  • Calmar ratio (compounded annual return / max draw down)
    0.10945
  • Compounded annual return / average of 25% largest draw downs
    0.28218
  • Compounded annual return / Expected Shortfall lognormal
    2.13180
  • 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
    0.94568
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45677
  • 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
    0.83893
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.46248
  • 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)
    -6823570000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01600
  • 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)
    -99037699999999994682587754790912.00000
  • 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?
    -431416000
  • Max Equity Drawdown (num days)
    406
  • 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

This is a longer term trend following system with 2 types of entries and 2 types of exit. The second type of entry can be counter to the longer term trend, or in the direction of the long term trend depending on when the signal is given. If the long term trade "is on" the second type of entry will be disabled though the signal can be used to exit from the long term trade. I started the system on Collective2 with the bare minimum of $50,000. Note that trades will take more than 2% risk at this low capitalization. It is likely prudent to watch this system and wait until a drawdown occurs before actually trading. Historical testing implies that the long term worst drawdown may be 30%, though the worst drawdown is always in the future.
The trendfollowing entries and exit take place the day after the signal. The type 2 entries and exits can take place during the trading day.
The last thing to note is that I maintain an average of the equity, and may close the trading down when the equity dips below the average. This will hopefully minimize big drawdowns. It will also allow subscribers to join when the equity is flat and positions are 0 with the idea that new trades will be hitting a new equity high after a drawdown.

Summary Statistics

Strategy began
2014-07-13
Suggested Minimum Capital
$30,000
# Trades
459
# Profitable
236
% Profitable
51.4%
Correlation S&P500
0.006
Sharpe Ratio
-0.14
Sortino Ratio
-0.19
Beta
0.00
Alpha
-0.01

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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