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

TT Futures Moderate
(133128454)

Created by: Taurus_Trading Taurus_Trading
Started: 01/2021
Futures
Last trade: 563 days ago
Trading style: Futures Trend-following
Subscriptions not currently available.

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.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
6.2%
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.

(17.5%)
Max Drawdown
94
Num Trades
21.3%
Win Trades
1.2 : 1
Profit Factor
25.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021+1.8%+2.3%(1.2%)(1%)+14.5%(12.8%)(2.2%)+5.4%+6.5%(3.3%)+11.7%(3.2%)+16.8%
2022(3.9%)+4.1%+2.5%+2.6%(6.7%)+27.5%(13.3%)(1.2%)(2.8%)  -    -    -  +4.1%
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
9/12/22 4:01 QSIZ2 Silver 5000 oz SHORT 1 19.135 9/12 7:56 19.435 1.3%
Trade id #141743080
Max drawdown($1,600)
Time9/12/22 7:56
Quant open1
Worst price19.455
Drawdown as % of equity-1.30%
($1,508)
Includes Typical Broker Commissions trade costs of $8.00
9/1/22 21:05 @CTZ2 COTTON - #2 LONG 2 10717 9/2 12:16 10523 1.69%
Trade id #141631338
Max drawdown($2,080)
Time9/2/22 12:16
Quant open2
Worst price10509
Drawdown as % of equity-1.69%
($1,956)
Includes Typical Broker Commissions trade costs of $16.00
8/26/22 11:06 @YMU2 MINI DOW LONG 1 32752 8/26 14:18 32495 1.03%
Trade id #141558366
Max drawdown($1,290)
Time8/26/22 14:18
Quant open1
Worst price32494
Drawdown as % of equity-1.03%
($1,293)
Includes Typical Broker Commissions trade costs of $8.00
7/27/22 14:41 @BPU2 BRITISH POUND SHORT 4 1.2130 7/27 15:33 1.2200 1.38%
Trade id #141204405
Max drawdown($1,775)
Time7/27/22 15:33
Quant open4
Worst price1.2201
Drawdown as % of equity-1.38%
($1,782)
Includes Typical Broker Commissions trade costs of $32.00
7/19/22 23:11 @NEU2 New Zealand Dollar SHORT 5 0.6260 7/22 9:51 0.6298 1.53%
Trade id #141113115
Max drawdown($2,000)
Time7/22/22 9:51
Quant open5
Worst price0.6300
Drawdown as % of equity-1.53%
($1,915)
Includes Typical Broker Commissions trade costs of $40.00
6/28/22 9:34 @YMU2 MINI DOW SHORT 1 31807 7/22 9:30 32162 1.44%
Trade id #140885248
Max drawdown($1,890)
Time7/22/22 9:30
Quant open1
Worst price32185
Drawdown as % of equity-1.44%
($1,783)
Includes Typical Broker Commissions trade costs of $8.00
6/27/22 3:33 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 4 12232.75 7/20 10:47 12446.25 1.28%
Trade id #140867769
Max drawdown($1,716)
Time7/20/22 10:47
Quant open4
Worst price12447.20
Drawdown as % of equity-1.28%
($1,712)
Includes Typical Broker Commissions trade costs of $3.76
6/2/22 11:52 QMGCQ2 E-Micro Gold SHORT 14 1873.4 7/1 6:14 1791.2 1.06%
Trade id #140662421
Max drawdown($1,302)
Time6/13/22 0:00
Quant open14
Worst price1882.7
Drawdown as % of equity-1.06%
$11,498
Includes Typical Broker Commissions trade costs of $9.80
6/23/22 10:12 @USU2 US T-BOND SHORT 1 137 13/32 6/30 23:19 138 23/32 0.95%
Trade id #140841196
Max drawdown($1,375)
Time6/30/22 23:19
Quant open1
Worst price138 25/32
Drawdown as % of equity-0.95%
($1,321)
Includes Typical Broker Commissions trade costs of $8.00
6/16/22 6:59 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 4 11308.00 6/16 7:00 11320.25 0.08%
Trade id #140782017
Max drawdown($98)
Time6/16/22 7:00
Quant open4
Worst price11320.20
Drawdown as % of equity-0.08%
($102)
Includes Typical Broker Commissions trade costs of $3.76
5/31/22 13:30 @USU2 US T-BOND SHORT 1 139 10/32 6/13 8:50 133 31/32 0.6%
Trade id #140639489
Max drawdown($687)
Time6/1/22 0:00
Quant open1
Worst price140
Drawdown as % of equity-0.60%
$5,336
Includes Typical Broker Commissions trade costs of $8.00
5/30/22 0:27 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 4 12799.75 6/13 4:17 11491.25 1.07%
Trade id #140626762
Max drawdown($1,162)
Time6/3/22 0:00
Quant open4
Worst price12945.00
Drawdown as % of equity-1.07%
$10,464
Includes Typical Broker Commissions trade costs of $3.76
5/31/22 5:08 @CCN2 COCOA SHORT 7 2513 6/2 9:22 2541 1.76%
Trade id #140632628
Max drawdown($1,960)
Time6/2/22 9:22
Quant open7
Worst price2541
Drawdown as % of equity-1.76%
($2,016)
Includes Typical Broker Commissions trade costs of $56.00
6/2/22 3:04 QHGN2 Copper SHORT 1 436.15 6/2 5:01 441.45 1.27%
Trade id #140656836
Max drawdown($1,412)
Time6/2/22 5:01
Quant open1
Worst price441.80
Drawdown as % of equity-1.27%
($1,333)
Includes Typical Broker Commissions trade costs of $8.00
5/19/22 7:12 @BON2 SOYBEAN OIL LONG 2 78.75 6/1 5:34 77.40 1.5%
Trade id #140528066
Max drawdown($1,704)
Time6/1/22 5:34
Quant open2
Worst price77.33
Drawdown as % of equity-1.50%
($1,636)
Includes Typical Broker Commissions trade costs of $16.00
5/19/22 8:53 @USM2 US T-BOND SHORT 1 141 31/32 5/31 13:34 140 9/32 0.58%
Trade id #140528885
Max drawdown($718)
Time5/25/22 0:00
Quant open1
Worst price142 22/32
Drawdown as % of equity-0.58%
$1,680
Includes Typical Broker Commissions trade costs of $8.00
5/31/22 13:14 @USU2 US T-BOND SHORT 1 139 8/32 5/31 13:17 139 10/32 0.05%
Trade id #140638784
Max drawdown($62)
Time5/31/22 13:17
Quant open1
Worst price139 10/32
Drawdown as % of equity-0.05%
($71)
Includes Typical Broker Commissions trade costs of $8.00
5/27/22 11:42 @MESM2 MICRO E-MINI S&P 500 SHORT 7 4126.75 5/29 22:21 4177.25 1.56%
Trade id #140617001
Max drawdown($1,776)
Time5/29/22 22:21
Quant open7
Worst price4177.50
Drawdown as % of equity-1.56%
($1,775)
Includes Typical Broker Commissions trade costs of $6.58
5/24/22 23:38 @NEM2 New Zealand Dollar SHORT 4 0.6503 5/29 21:51 0.6550 1.67%
Trade id #140589292
Max drawdown($1,900)
Time5/29/22 21:51
Quant open4
Worst price0.6551
Drawdown as % of equity-1.67%
($1,912)
Includes Typical Broker Commissions trade costs of $32.00
5/27/22 9:54 @M2KM2 MICRO E-MINI RUSSELL 2000 SHORT 13 1862.10 5/27 16:36 1890.90 1.65%
Trade id #140615281
Max drawdown($1,885)
Time5/27/22 16:36
Quant open13
Worst price1891.10
Drawdown as % of equity-1.65%
($1,884)
Includes Typical Broker Commissions trade costs of $12.22
5/27/22 9:48 @YMM2 MINI DOW SHORT 1 32775 5/27 15:32 33119 1.48%
Trade id #140615140
Max drawdown($1,720)
Time5/27/22 15:32
Quant open1
Worst price33119
Drawdown as % of equity-1.48%
($1,728)
Includes Typical Broker Commissions trade costs of $8.00
5/19/22 9:20 @CDM2 CANADIAN DOLLAR SHORT 5 0.7816 5/27 5:56 0.7853 1.51%
Trade id #140529240
Max drawdown($1,825)
Time5/27/22 5:56
Quant open5
Worst price0.7853
Drawdown as % of equity-1.51%
($1,840)
Includes Typical Broker Commissions trade costs of $40.00
5/23/22 6:42 QHGN2 Copper SHORT 1 429.40 5/23 6:43 429.50 0.02%
Trade id #140561454
Max drawdown($25)
Time5/23/22 6:43
Quant open1
Worst price429.50
Drawdown as % of equity-0.02%
($33)
Includes Typical Broker Commissions trade costs of $8.00
5/22/22 18:00 QHGN2 Copper SHORT 1 429.45 5/22 18:00 429.45 n/a ($8)
Includes Typical Broker Commissions trade costs of $8.00
5/4/22 12:43 QPLN2 PLATINUM SHORT 2 975.9 5/4 21:14 991.7 1.31%
Trade id #140365798
Max drawdown($1,600)
Time5/4/22 21:14
Quant open2
Worst price991.9
Drawdown as % of equity-1.31%
($1,596)
Includes Typical Broker Commissions trade costs of $16.00
4/11/22 21:12 @ADM2 AUSTRALIAN DOLLAR LONG 5 0.7409 4/17 23:19 0.7369 1.63%
Trade id #140103849
Max drawdown($2,025)
Time4/17/22 23:19
Quant open5
Worst price0.7369
Drawdown as % of equity-1.63%
($2,040)
Includes Typical Broker Commissions trade costs of $40.00
3/22/22 22:07 @BPM2 BRITISH POUND SHORT 5 1.3291 4/8 9:39 1.2994 0.08%
Trade id #139882580
Max drawdown($93)
Time3/23/22 0:00
Quant open5
Worst price1.3294
Drawdown as % of equity-0.08%
$9,241
Includes Typical Broker Commissions trade costs of $40.00
4/8/22 3:27 @NEM2 New Zealand Dollar LONG 5 0.6855 4/8 9:25 0.6821 1.43%
Trade id #140069527
Max drawdown($1,800)
Time4/8/22 9:25
Quant open5
Worst price0.6819
Drawdown as % of equity-1.43%
($1,740)
Includes Typical Broker Commissions trade costs of $40.00
3/30/22 4:58 @DXM2 US Dollar Index LONG 5 97.865 4/5 15:13 99.470 0.59%
Trade id #139962879
Max drawdown($675)
Time3/30/22 10:51
Quant open5
Worst price97.730
Drawdown as % of equity-0.59%
$7,985
Includes Typical Broker Commissions trade costs of $40.00
3/31/22 10:37 @KCK2 COFFEE SHORT 1 227.15 4/4 9:46 230.85 1.14%
Trade id #139979447
Max drawdown($1,387)
Time4/4/22 9:46
Quant open1
Worst price230.85
Drawdown as % of equity-1.14%
($1,396)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    1/1/2021
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1177.67
  • Age
    39 months ago
  • What it trades
    Futures
  • # Trades
    94
  • # Profitable
    20
  • % Profitable
    21.30%
  • Avg trade duration
    5.5 days
  • Max peak-to-valley drawdown
    17.55%
  • drawdown period
    March 11, 2021 - April 21, 2021
  • Annual Return (Compounded)
    6.2%
  • Avg win
    $7,485
  • Avg loss
    $1,628
  • Model Account Values (Raw)
  • Cash
    $129,207
  • Margin Used
    $0
  • Buying Power
    $129,207
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    0.29
  • Sortino Ratio
    0.43
  • Calmar Ratio
    0.992
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -17.71%
  • Correlation to SP500
    -0.06180
  • Return Percent SP500 (cumu) during strategy life
    39.80%
  • Return Statistics
  • Ann Return (w trading costs)
    6.2%
  • Slump
  • Current Slump as Pcnt Equity
    20.50%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.53%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.062%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    51.00%
  • Chance of 20% account loss
    14.00%
  • Chance of 30% account loss
    1.00%
  • 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
    53.40%
  • 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
    $1,628
  • Avg Win
    $7,485
  • Sum Trade PL (losers)
    $120,505.000
  • Age
  • Num Months filled monthly returns table
    39
  • Win / Loss
  • Sum Trade PL (winners)
    $149,708.000
  • # Winners
    20
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    74
  • % Winners
    21.3%
  • Frequency
  • Avg Position Time (mins)
    7909.70
  • Avg Position Time (hrs)
    131.83
  • Avg Trade Length
    5.5 days
  • Last Trade Ago
    559
  • Leverage
  • Daily leverage (average)
    4.07
  • Daily leverage (max)
    20.48
  • Regression
  • Alpha
    0.02
  • Beta
    -0.06
  • Treynor Index
    -0.27
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.79
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    14.186
  • 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
    0.159
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.040
  • Hold-and-Hope Ratio
    0.070
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12771
  • SD
    0.17726
  • Sharpe ratio (Glass type estimate)
    0.72050
  • Sharpe ratio (Hedges UMVUE)
    0.69441
  • df
    21.00000
  • t
    0.97557
  • p
    0.36841
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75146
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17583
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76828
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15709
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15234
  • Upside Potential Ratio
    2.83178
  • Upside part of mean
    0.31385
  • Downside part of mean
    -0.18613
  • Upside SD
    0.13809
  • Downside SD
    0.11083
  • N nonnegative terms
    13.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.12726
  • Mean of criterion
    0.12771
  • SD of predictor
    0.21795
  • SD of criterion
    0.17726
  • Covariance
    0.00052
  • r
    0.01341
  • b (slope, estimate of beta)
    0.01091
  • a (intercept, estimate of alpha)
    0.12632
  • Mean Square Error
    0.03298
  • DF error
    20.00000
  • t(b)
    0.06000
  • p(b)
    0.49329
  • t(a)
    0.92808
  • p(a)
    0.39840
  • Lowerbound of 95% confidence interval for beta
    -0.36840
  • Upperbound of 95% confidence interval for beta
    0.39022
  • Lowerbound of 95% confidence interval for alpha
    -0.15760
  • Upperbound of 95% confidence interval for alpha
    0.41025
  • Treynor index (mean / b)
    11.70610
  • Jensen alpha (a)
    0.12632
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11186
  • SD
    0.17743
  • Sharpe ratio (Glass type estimate)
    0.63048
  • Sharpe ratio (Hedges UMVUE)
    0.60764
  • df
    21.00000
  • t
    0.85367
  • p
    0.38407
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83669
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08306
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85151
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06679
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96785
  • Upside Potential Ratio
    2.63064
  • Upside part of mean
    0.30405
  • Downside part of mean
    -0.19218
  • Upside SD
    0.13317
  • Downside SD
    0.11558
  • N nonnegative terms
    13.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.10402
  • Mean of criterion
    0.11186
  • SD of predictor
    0.21658
  • SD of criterion
    0.17743
  • Covariance
    0.00077
  • r
    0.01997
  • b (slope, estimate of beta)
    0.01636
  • a (intercept, estimate of alpha)
    0.11016
  • Mean Square Error
    0.03304
  • DF error
    20.00000
  • t(b)
    0.08935
  • p(b)
    0.49001
  • t(a)
    0.81244
  • p(a)
    0.41063
  • Lowerbound of 95% confidence interval for beta
    -0.36567
  • Upperbound of 95% confidence interval for beta
    0.39840
  • Lowerbound of 95% confidence interval for alpha
    -0.17268
  • Upperbound of 95% confidence interval for alpha
    0.39300
  • Treynor index (mean / b)
    6.83604
  • Jensen alpha (a)
    0.11016
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07219
  • Expected Shortfall on VaR
    0.09167
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03135
  • Expected Shortfall on VaR
    0.06347
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.89067
  • Quartile 1
    0.97899
  • Median
    1.01612
  • Quartile 3
    1.04862
  • Maximum
    1.08903
  • Mean of quarter 1
    0.94866
  • Mean of quarter 2
    1.00213
  • Mean of quarter 3
    1.03011
  • Mean of quarter 4
    1.07204
  • Inter Quartile Range
    0.06964
  • 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)
    -0.15842
  • VaR(95%) (moments method)
    0.05212
  • Expected Shortfall (moments method)
    0.06634
  • Extreme Value Index (regression method)
    0.62209
  • VaR(95%) (regression method)
    0.06579
  • Expected Shortfall (regression method)
    0.17307
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01224
  • Quartile 1
    0.03922
  • Median
    0.03990
  • Quartile 3
    0.09867
  • Maximum
    0.10933
  • Mean of quarter 1
    0.02573
  • Mean of quarter 2
    0.03990
  • Mean of quarter 3
    0.09867
  • Mean of quarter 4
    0.10933
  • Inter Quartile Range
    0.05944
  • 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)
    0.15931
  • Compounded annual return (geometric extrapolation)
    0.15001
  • Calmar ratio (compounded annual return / max draw down)
    1.37203
  • Compounded annual return / average of 25% largest draw downs
    1.37203
  • Compounded annual return / Expected Shortfall lognormal
    1.63640
  • 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
    0.13007
  • SD
    0.19942
  • Sharpe ratio (Glass type estimate)
    0.65225
  • Sharpe ratio (Hedges UMVUE)
    0.65124
  • df
    485.00000
  • t
    0.88834
  • p
    0.18740
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78773
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09158
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78841
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09089
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97930
  • Upside Potential Ratio
    7.22251
  • Upside part of mean
    0.95930
  • Downside part of mean
    -0.82922
  • Upside SD
    0.14869
  • Downside SD
    0.13282
  • N nonnegative terms
    137.00000
  • N negative terms
    349.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    486.00000
  • Mean of predictor
    0.16266
  • Mean of criterion
    0.13007
  • SD of predictor
    0.21829
  • SD of criterion
    0.19942
  • Covariance
    -0.00279
  • r
    -0.06414
  • b (slope, estimate of beta)
    -0.05859
  • a (intercept, estimate of alpha)
    0.14000
  • Mean Square Error
    0.03969
  • DF error
    484.00000
  • t(b)
    -1.41393
  • p(b)
    0.92099
  • t(a)
    0.95341
  • p(a)
    0.17043
  • Lowerbound of 95% confidence interval for beta
    -0.14002
  • Upperbound of 95% confidence interval for beta
    0.02283
  • Lowerbound of 95% confidence interval for alpha
    -0.14810
  • Upperbound of 95% confidence interval for alpha
    0.42731
  • Treynor index (mean / b)
    -2.21988
  • Jensen alpha (a)
    0.13960
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11023
  • SD
    0.19911
  • Sharpe ratio (Glass type estimate)
    0.55363
  • Sharpe ratio (Hedges UMVUE)
    0.55278
  • df
    485.00000
  • t
    0.75403
  • p
    0.22560
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88611
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99286
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88671
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99226
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.81725
  • Upside Potential Ratio
    7.03105
  • Upside part of mean
    0.94837
  • Downside part of mean
    -0.83814
  • Upside SD
    0.14634
  • Downside SD
    0.13488
  • N nonnegative terms
    137.00000
  • N negative terms
    349.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    486.00000
  • Mean of predictor
    0.13879
  • Mean of criterion
    0.11023
  • SD of predictor
    0.21857
  • SD of criterion
    0.19911
  • Covariance
    -0.00275
  • r
    -0.06328
  • b (slope, estimate of beta)
    -0.05764
  • a (intercept, estimate of alpha)
    0.11823
  • Mean Square Error
    0.03957
  • DF error
    484.00000
  • t(b)
    -1.39494
  • p(b)
    0.91816
  • t(a)
    0.80892
  • p(a)
    0.20948
  • Lowerbound of 95% confidence interval for beta
    -0.13884
  • Upperbound of 95% confidence interval for beta
    0.02355
  • Lowerbound of 95% confidence interval for alpha
    -0.16896
  • Upperbound of 95% confidence interval for alpha
    0.40543
  • Treynor index (mean / b)
    -1.91231
  • Jensen alpha (a)
    0.11823
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01962
  • Expected Shortfall on VaR
    0.02463
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00902
  • Expected Shortfall on VaR
    0.01853
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    486.00000
  • Minimum
    0.94560
  • Quartile 1
    0.99936
  • Median
    1.00000
  • Quartile 3
    1.00134
  • Maximum
    1.06633
  • Mean of quarter 1
    0.98772
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00011
  • Mean of quarter 4
    1.01460
  • Inter Quartile Range
    0.00198
  • Number outliers low
    102.00000
  • Percentage of outliers low
    0.20988
  • Mean of outliers low
    0.98574
  • Number of outliers high
    103.00000
  • Percentage of outliers high
    0.21193
  • Mean of outliers high
    1.01675
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.05122
  • VaR(95%) (moments method)
    0.00432
  • Expected Shortfall (moments method)
    0.00473
  • Extreme Value Index (regression method)
    0.04672
  • VaR(95%) (regression method)
    0.01134
  • Expected Shortfall (regression method)
    0.01847
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00036
  • Quartile 1
    0.02690
  • Median
    0.05502
  • Quartile 3
    0.12509
  • Maximum
    0.14936
  • Mean of quarter 1
    0.01150
  • Mean of quarter 2
    0.03944
  • Mean of quarter 3
    0.08475
  • Mean of quarter 4
    0.13795
  • Inter Quartile Range
    0.09819
  • 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)
    -0.91092
  • VaR(95%) (moments method)
    0.14552
  • Expected Shortfall (moments method)
    0.14820
  • Extreme Value Index (regression method)
    -0.06225
  • VaR(95%) (regression method)
    0.14738
  • Expected Shortfall (regression method)
    0.15668
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15745
  • Compounded annual return (geometric extrapolation)
    0.14814
  • Calmar ratio (compounded annual return / max draw down)
    0.99180
  • Compounded annual return / average of 25% largest draw downs
    1.07389
  • Compounded annual return / Expected Shortfall lognormal
    6.01356
  • 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
    -0.02535
  • SD
    0.19033
  • Sharpe ratio (Glass type estimate)
    -0.13318
  • Sharpe ratio (Hedges UMVUE)
    -0.13241
  • df
    130.00000
  • t
    -0.09417
  • p
    0.50413
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.90479
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.90426
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63945
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20845
  • Upside Potential Ratio
    5.99093
  • Upside part of mean
    0.72850
  • Downside part of mean
    -0.75385
  • Upside SD
    0.14549
  • Downside SD
    0.12160
  • N nonnegative terms
    22.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.48397
  • Mean of criterion
    -0.02535
  • SD of predictor
    0.30950
  • SD of criterion
    0.19033
  • Covariance
    -0.01293
  • r
    -0.21943
  • b (slope, estimate of beta)
    -0.13494
  • a (intercept, estimate of alpha)
    0.03996
  • Mean Square Error
    0.03475
  • DF error
    129.00000
  • t(b)
    -2.55451
  • p(b)
    0.63857
  • t(a)
    0.15087
  • p(a)
    0.49154
  • Lowerbound of 95% confidence interval for beta
    -0.23946
  • Upperbound of 95% confidence interval for beta
    -0.03043
  • Lowerbound of 95% confidence interval for alpha
    -0.48408
  • Upperbound of 95% confidence interval for alpha
    0.56400
  • Treynor index (mean / b)
    0.18784
  • Jensen alpha (a)
    0.03996
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04316
  • SD
    0.18906
  • Sharpe ratio (Glass type estimate)
    -0.22828
  • Sharpe ratio (Hedges UMVUE)
    -0.22696
  • df
    130.00000
  • t
    -0.16142
  • p
    0.50708
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.99987
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54403
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.99891
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54498
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.35023
  • Upside Potential Ratio
    5.82765
  • Upside part of mean
    0.71814
  • Downside part of mean
    -0.76130
  • Upside SD
    0.14245
  • Downside SD
    0.12323
  • N nonnegative terms
    22.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.43596
  • Mean of criterion
    -0.04316
  • SD of predictor
    0.30972
  • SD of criterion
    0.18906
  • Covariance
    -0.01279
  • r
    -0.21844
  • b (slope, estimate of beta)
    -0.13334
  • a (intercept, estimate of alpha)
    0.01497
  • Mean Square Error
    0.03430
  • DF error
    129.00000
  • t(b)
    -2.54239
  • p(b)
    0.63795
  • t(a)
    0.05695
  • p(a)
    0.49681
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    -0.23711
  • Upperbound of 95% confidence interval for beta
    -0.02957
  • Lowerbound of 95% confidence interval for alpha
    -0.50522
  • Upperbound of 95% confidence interval for alpha
    0.53517
  • Treynor index (mean / b)
    0.32368
  • Jensen alpha (a)
    0.01497
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01919
  • Expected Shortfall on VaR
    0.02396
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00897
  • Expected Shortfall on VaR
    0.01819
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95918
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06633
  • Mean of quarter 1
    0.98893
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01111
  • Inter Quartile Range
    0.00000
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.22137
  • Mean of outliers low
    0.98740
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.16794
  • Mean of outliers high
    1.01666
  • 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)
    0.02651
  • VaR(95%) (regression method)
    0.00820
  • Expected Shortfall (regression method)
    0.01387
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02785
  • Quartile 1
    0.06709
  • Median
    0.10633
  • Quartile 3
    0.12785
  • Maximum
    0.14936
  • Mean of quarter 1
    0.02785
  • Mean of quarter 2
    0.10633
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14936
  • Inter Quartile Range
    0.06075
  • 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?
    -358882000
  • Max Equity Drawdown (num days)
    41
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01519
  • Compounded annual return (geometric extrapolation)
    -0.01514
  • Calmar ratio (compounded annual return / max draw down)
    -0.10134
  • Compounded annual return / average of 25% largest draw downs
    -0.10134
  • Compounded annual return / Expected Shortfall lognormal
    -0.63182

Strategy Description

Taurus Trading LLC currently executes a 3-tiered swing trading system. It is a trend following, automated based system with predetermined rules for position sizing, risk management, trade entry, and trade exit. It only trades futures and is based 100% on technical analysis. It can take either bullish or bearish positions in 33 different markets across 7 different sectors with positions typically closed within 4 weeks. All 3 funds use the same trigger price and initial stop price. They only differ in profit targets. The strategies utilize high reward-to-risk ratio models that helps offset potentially low probability win/loss percentages. The three strategies are:
TT Futures Moderate
-Holding period: ~ 5.00 days (range 1 to 26 days)
-Reward-to-risk ratio: ~4.51
TT Futures Aggressive
-Holding period: ~ 5.56 days (range 1 to 27 days)
-Reward-to-risk ratio: ~5.99
TT Futures X Aggressive
-Holding period: ~ 6.54 days (range 1 to 32 days)
-Reward-to-risk ratio: ~7.63

Risk Management:
The minimum account balance required to trade each strategy is 100,000. Risk management is based off percentages of each strategies stable equity (closed PNL + OTE). Total risk per trade is 2% of stable equity, total portfolio risk is 20% of stable equity, and total margin is 75% of stable equity. All trade signals must process through a 60-day ATR volatility filter. All entries are taken in futures contracts with the highest open interest and rolled over as needed. Potential trade signals change daily, and the process is automated as follows: all orders from previous day trading signals that go unfilled are cancelled daily at 435pm cst; all orders for new trading signals are entered daily at 444pm cst; all orders for new trading signals are manually double checked before 500pm cst and cancelled or revised if needed. The automated trade entry process also has a risk filter in place to prevent any orders being sent with a risk that exceeds 2% of stable equity.

Summary Statistics

Strategy began
2021-01-01
Suggested Minimum Capital
$100,000
# Trades
94
# Profitable
20
% Profitable
21.3%
Correlation S&P500
-0.062
Sharpe Ratio
0.29
Sortino Ratio
0.43
Beta
-0.06
Alpha
0.02
Leverage
4.07 Average
20.48 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.