Collective2 Collective2
Featured Strategy Income Trades Followed by live capital $91,600 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

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

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

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

Okay, no problem

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

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

Got it

Later

You can find it here.

Got it

Video Saved for Later

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

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

Demo Test Account
(86563905)

Created by: idonttrade idonttrade
Started: 02/2014
Futures
Last trade: 3,468 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 $333.00 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.

-9.6%
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.

(29.0%)
Max Drawdown
31
Num Trades
67.7%
Win Trades
1.0 : 1
Profit Factor
4.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014       (0.7%)+6.9%(0.7%)+1.1%+3.1%+6.1%(2.1%)+0.2%(5.1%)(0.7%)+0.2%+8.1%
2015(5.1%)(0.6%)(14.4%)(0.8%)(0.1%)  -    -    -    -    -    -    -  (20.1%)
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 60 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3548 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/26/15 9:42 @ESM5 E-MINI S&P 500 LONG 2 2114.50 5/28 2:59 2117.88 3.86%
Trade id #94617808
Max drawdown($1,850)
Time5/26/15 14:56
Quant open2
Worst price2096.00
Drawdown as % of equity-3.86%
 $322
Includes Typical Broker Commissions trade costs of $16.00
3/27/15 9:38 @ESM5 E-MINI S&P 500 SHORT 1 2049.25 3/30 9:47 2075.00 2.58%
Trade id #93533982
Max drawdown($1,288)
Time3/30/15 9:47
Quant open0
Worst price2075.00
Drawdown as % of equity-2.58%
 ($1,296)
Includes Typical Broker Commissions trade costs of $8.00
3/20/15 15:58 @ESM5 E-MINI S&P 500 LONG 2 2101.75 3/25 13:18 2061.00 7.77%
Trade id #93391323
Max drawdown($4,075)
Time3/25/15 13:18
Quant open0
Worst price2061.00
Drawdown as % of equity-7.77%
 ($4,091)
Includes Typical Broker Commissions trade costs of $16.00
3/9/15 9:37 @ESH5 E-MINI S&P 500 SHORT 2 2072.00 3/9 9:37 2071.75 n/a $9
Includes Typical Broker Commissions trade costs of $16.00
3/4/15 9:51 @ESH5 E-MINI S&P 500 LONG 4 2094.75 3/8 18:00 2084.75 5.33%
Trade id #92918818
Max drawdown($2,925)
Time3/6/15 15:44
Quant open2
Worst price2065.50
Drawdown as % of equity-5.33%
 ($2,032)
Includes Typical Broker Commissions trade costs of $32.00
3/3/15 9:50 @ESH5 E-MINI S&P 500 LONG 2 2103.75 3/3 18:10 2104.50 1.47%
Trade id #92884164
Max drawdown($825)
Time3/3/15 12:26
Quant open2
Worst price2095.50
Drawdown as % of equity-1.47%
 $59
Includes Typical Broker Commissions trade costs of $16.00
2/27/15 14:42 @ESH5 E-MINI S&P 500 LONG 2 2104.00 3/3 9:50 2109.00 0.62%
Trade id #92823498
Max drawdown($350)
Time3/2/15 9:04
Quant open2
Worst price2100.50
Drawdown as % of equity-0.62%
 $484
Includes Typical Broker Commissions trade costs of $16.00
12/31/14 14:44 @ESH5 E-MINI S&P 500 LONG 1 2060.88 1/5/15 12:30 2014.25 4.13%
Trade id #91596937
Max drawdown($2,331)
Time1/5/15 12:30
Quant open0
Worst price2014.25
Drawdown as % of equity-4.13%
 ($2,339)
Includes Typical Broker Commissions trade costs of $8.00
12/18/14 9:34 @ESH5 E-MINI S&P 500 SHORT 1 2031.33 12/18 16:03 2058.25 2.39%
Trade id #91403303
Max drawdown($1,408)
Time12/18/14 16:02
Quant open-1
Worst price2059.50
Drawdown as % of equity-2.39%
 ($1,354)
Includes Typical Broker Commissions trade costs of $8.00
12/9/14 9:30 @ESZ4 E-MINI S&P 500 LONG 4 2046.29 12/10 13:47 2050.02 0.94%
Trade id #91217068
Max drawdown($558)
Time12/9/14 10:34
Quant open2
Worst price2033.25
Drawdown as % of equity-0.94%
 $714
Includes Typical Broker Commissions trade costs of $32.00
12/1/14 10:43 @ESZ4 E-MINI S&P 500 LONG 1 2052.17 12/3 15:57 2074.25 0.34%
Trade id #91073399
Max drawdown($196)
Time12/1/14 11:00
Quant open1
Worst price2048.25
Drawdown as % of equity-0.34%
 $1,096
Includes Typical Broker Commissions trade costs of $8.00
10/28/14 9:30 @ESZ4 E-MINI S&P 500 LONG 1 1962.67 10/28 9:36 1964.67 0.04%
Trade id #90471334
Max drawdown($21)
Time10/28/14 9:32
Quant open1
Worst price1962.25
Drawdown as % of equity-0.04%
 $92
Includes Typical Broker Commissions trade costs of $8.00
10/21/14 10:26 @ESZ4 E-MINI S&P 500 SHORT 1 1917.92 10/23 10:07 1944.50 2.29%
Trade id #90362963
Max drawdown($1,329)
Time10/23/14 10:07
Quant open0
Worst price1944.50
Drawdown as % of equity-2.29%
 ($1,337)
Includes Typical Broker Commissions trade costs of $8.00
10/20/14 14:12 @ESZ4 E-MINI S&P 500 SHORT 1 1893.12 10/21 10:26 1918.50 2.14%
Trade id #90345246
Max drawdown($1,269)
Time10/21/14 10:26
Quant open0
Worst price1918.50
Drawdown as % of equity-2.14%
 ($1,277)
Includes Typical Broker Commissions trade costs of $8.00
9/9/14 10:21 @ESZ4 E-MINI S&P 500 LONG 1 1983.00 9/14 18:05 1969.50 1.23%
Trade id #89537713
Max drawdown($750)
Time9/14/14 18:01
Quant open1
Worst price1968.00
Drawdown as % of equity-1.23%
 ($683)
Includes Typical Broker Commissions trade costs of $8.00
9/2/14 12:44 @ESU4 E-MINI S&P 500 LONG 4 1995.28 9/5 13:25 2001.50 1.16%
Trade id #89389774
Max drawdown($702)
Time9/5/14 10:42
Quant open2
Worst price1988.25
Drawdown as % of equity-1.16%
 $1,213
Includes Typical Broker Commissions trade costs of $32.00
8/11/14 10:09 @ESU4 E-MINI S&P 500 SHORT 1 1937.25 8/14 16:37 1954.25 1.41%
Trade id #89017919
Max drawdown($850)
Time8/14/14 16:37
Quant open0
Worst price1954.25
Drawdown as % of equity-1.41%
 ($858)
Includes Typical Broker Commissions trade costs of $8.00
7/29/14 11:35 @ESU4 E-MINI S&P 500 LONG 1 1967.75 7/29 15:33 1966.75 0.1%
Trade id #88810297
Max drawdown($62)
Time7/29/14 15:32
Quant open1
Worst price1966.50
Drawdown as % of equity-0.10%
 ($58)
Includes Typical Broker Commissions trade costs of $8.00
7/28/14 10:10 @ESU4 E-MINI S&P 500 LONG 1 1963.00 7/28 13:33 1973.50 0.19%
Trade id #88787061
Max drawdown($112)
Time7/28/14 10:23
Quant open1
Worst price1960.75
Drawdown as % of equity-0.19%
 $517
Includes Typical Broker Commissions trade costs of $8.00
7/17/14 15:19 @ESU4 E-MINI S&P 500 LONG 2 1954.75 7/24 16:36 1971.50 2.11%
Trade id #88631551
Max drawdown($1,225)
Time7/17/14 18:29
Quant open2
Worst price1942.50
Drawdown as % of equity-2.11%
 $1,659
Includes Typical Broker Commissions trade costs of $16.00
7/8/14 9:48 @ESU4 E-MINI S&P 500 LONG 1 1961.50 7/14 9:33 1972.00 1.41%
Trade id #88475526
Max drawdown($812)
Time7/10/14 9:03
Quant open1
Worst price1945.25
Drawdown as % of equity-1.41%
 $517
Includes Typical Broker Commissions trade costs of $8.00
6/26/14 10:12 @ESU4 E-MINI S&P 500 LONG 2 1940.25 7/3 12:00 1963.00 0.22%
Trade id #88302430
Max drawdown($125)
Time6/26/14 10:41
Quant open2
Worst price1939.00
Drawdown as % of equity-0.22%
 $2,259
Includes Typical Broker Commissions trade costs of $16.00
6/26/14 10:04 @ESU4 E-MINI S&P 500 SHORT 1 1939.50 6/26 10:04 1939.00 n/a $17
Includes Typical Broker Commissions trade costs of $8.00
6/25/14 9:30 @ESU4 E-MINI S&P 500 LONG 2 1938.25 6/26 10:03 1944.00 0.18%
Trade id #88276602
Max drawdown($100)
Time6/26/14 9:52
Quant open1
Worst price1936.25
Drawdown as % of equity-0.18%
 $559
Includes Typical Broker Commissions trade costs of $16.00
6/12/14 10:28 @ESM4 E-MINI S&P 500 LONG 2 1936.50 6/17 13:04 1940.00 2.18%
Trade id #88075714
Max drawdown($1,175)
Time6/12/14 15:40
Quant open2
Worst price1924.75
Drawdown as % of equity-2.18%
 $334
Includes Typical Broker Commissions trade costs of $16.00
5/15/14 13:49 @ESM4 E-MINI S&P 500 LONG 1 1860.75 5/16 14:57 1870.25 n/a $467
Includes Typical Broker Commissions trade costs of $8.00
5/15/14 13:03 @ESM4 E-MINI S&P 500 SHORT 1 1863.50 5/15 13:22 1863.25 0.07%
Trade id #87591060
Max drawdown($37)
Time5/15/14 13:06
Quant open-1
Worst price1864.25
Drawdown as % of equity-0.07%
 $5
Includes Typical Broker Commissions trade costs of $8.00
5/6/14 11:00 @ESM4 E-MINI S&P 500 LONG 1 1869.50 5/8 9:50 1879.50 1.4%
Trade id #87413897
Max drawdown($750)
Time5/7/14 10:16
Quant open1
Worst price1854.50
Drawdown as % of equity-1.40%
 $492
Includes Typical Broker Commissions trade costs of $8.00
3/13/14 12:06 @ESM4 E-MINI S&P 500 LONG 1 1851.75 3/18 10:55 1860.46 2.69%
Trade id #86563915
Max drawdown($1,412)
Time3/16/14 18:48
Quant open1
Worst price1823.50
Drawdown as % of equity-2.69%
 $428
Includes Typical Broker Commissions trade costs of $8.00
3/11/14 13:29 @ESH4 E-MINI S&P 500 LONG 2 1868.29 3/13 9:35 1873.00 2.8%
Trade id #86563912
Max drawdown($1,454)
Time3/12/14 9:48
Quant open2
Worst price1853.75
Drawdown as % of equity-2.80%
 $455
Includes Typical Broker Commissions trade costs of $16.00
Next

Statistics

  • Strategy began
    2/12/2014
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    3931.72
  • Age
    131 months ago
  • What it trades
    Futures
  • # Trades
    31
  • # Profitable
    21
  • % Profitable
    67.70%
  • Avg trade duration
    2.5 days
  • Max peak-to-valley drawdown
    29.04%
  • drawdown period
    Aug 12, 2014 - May 26, 2015
  • Annual Return (Compounded)
    -9.6%
  • Avg win
    $711.52
  • Avg loss
    $1,521
  • Model Account Values (Raw)
  • Cash
    $49,728
  • Margin Used
    $0
  • Buying Power
    $49,728
  • Ratios
  • W:L ratio
    0.98:1
  • Sharpe Ratio
    -0.79
  • Sortino Ratio
    -0.99
  • Calmar Ratio
    -0.009
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -29.38%
  • Correlation to SP500
    0.02910
  • Return Percent SP500 (cumu) during strategy life
    228.12%
  • Return Statistics
  • Ann Return (w trading costs)
    -9.6%
  • Slump
  • Current Slump as Pcnt Equity
    36.20%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.096%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    83.54%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    877
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    752
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,521
  • Avg Win
    $712
  • Sum Trade PL (losers)
    $15,213.000
  • Age
  • Num Months filled monthly returns table
    130
  • Win / Loss
  • Sum Trade PL (winners)
    $14,942.000
  • # Winners
    21
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    10
  • % Winners
    67.7%
  • Frequency
  • Avg Position Time (mins)
    3634.77
  • Avg Position Time (hrs)
    60.58
  • Avg Trade Length
    2.5 days
  • Last Trade Ago
    3462
  • Regression
  • Alpha
    -0.01
  • Beta
    0.01
  • Treynor Index
    -1.40
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    61.71
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    7.86
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.89
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -35.389
  • 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
    0.824
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.071
  • Hold-and-Hope Ratio
    -0.028
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00547
  • SD
    0.12992
  • Sharpe ratio (Glass type estimate)
    -0.04208
  • Sharpe ratio (Hedges UMVUE)
    -0.04019
  • df
    17.00000
  • t
    -0.05153
  • p
    0.50796
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64183
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64055
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56017
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.05603
  • Upside Potential Ratio
    1.49509
  • Upside part of mean
    0.14585
  • Downside part of mean
    -0.15132
  • Upside SD
    0.08017
  • Downside SD
    0.09755
  • N nonnegative terms
    9.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.08295
  • Mean of criterion
    -0.00547
  • SD of predictor
    0.08233
  • SD of criterion
    0.12992
  • Covariance
    0.00086
  • r
    0.08050
  • b (slope, estimate of beta)
    0.12702
  • a (intercept, estimate of alpha)
    -0.01600
  • Mean Square Error
    0.01782
  • DF error
    16.00000
  • t(b)
    0.32304
  • p(b)
    0.45975
  • t(a)
    -0.14067
  • p(a)
    0.51757
  • Lowerbound of 95% confidence interval for beta
    -0.70654
  • Upperbound of 95% confidence interval for beta
    0.96057
  • Lowerbound of 95% confidence interval for alpha
    -0.25717
  • Upperbound of 95% confidence interval for alpha
    0.22516
  • Treynor index (mean / b)
    -0.04304
  • Jensen alpha (a)
    -0.01600
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01359
  • SD
    0.13185
  • Sharpe ratio (Glass type estimate)
    -0.10305
  • Sharpe ratio (Hedges UMVUE)
    -0.09842
  • df
    17.00000
  • t
    -0.12621
  • p
    0.51948
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70222
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49909
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69907
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50222
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.13358
  • Upside Potential Ratio
    1.40226
  • Upside part of mean
    0.14263
  • Downside part of mean
    -0.15622
  • Upside SD
    0.07803
  • Downside SD
    0.10171
  • N nonnegative terms
    9.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.07944
  • Mean of criterion
    -0.01359
  • SD of predictor
    0.08194
  • SD of criterion
    0.13185
  • Covariance
    0.00100
  • r
    0.09287
  • b (slope, estimate of beta)
    0.14945
  • a (intercept, estimate of alpha)
    -0.02546
  • Mean Square Error
    0.01831
  • DF error
    16.00000
  • t(b)
    0.37311
  • p(b)
    0.45356
  • t(a)
    -0.22142
  • p(a)
    0.52764
  • Lowerbound of 95% confidence interval for beta
    -0.69969
  • Upperbound of 95% confidence interval for beta
    0.99859
  • Lowerbound of 95% confidence interval for alpha
    -0.26920
  • Upperbound of 95% confidence interval for alpha
    0.21829
  • Treynor index (mean / b)
    -0.09091
  • Jensen alpha (a)
    -0.02546
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06175
  • Expected Shortfall on VaR
    0.07646
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02882
  • Expected Shortfall on VaR
    0.05870
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.90070
  • Quartile 1
    0.98911
  • Median
    1.00422
  • Quartile 3
    1.00946
  • Maximum
    1.06172
  • Mean of quarter 1
    0.95642
  • Mean of quarter 2
    0.99960
  • Mean of quarter 3
    1.00884
  • Mean of quarter 4
    1.03817
  • Inter Quartile Range
    0.02035
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05556
  • Mean of outliers low
    0.90070
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.05552
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.82480
  • VaR(95%) (moments method)
    0.03922
  • Expected Shortfall (moments method)
    0.04393
  • Extreme Value Index (regression method)
    -0.00196
  • VaR(95%) (regression method)
    0.05327
  • Expected Shortfall (regression method)
    0.07683
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.18710
  • Quartile 1
    0.18710
  • Median
    0.18710
  • Quartile 3
    0.18710
  • Maximum
    0.18710
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00363
  • Compounded annual return (geometric extrapolation)
    -0.00363
  • Calmar ratio (compounded annual return / max draw down)
    -0.01940
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.04747
  • 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
    -0.01008
  • SD
    0.08265
  • Sharpe ratio (Glass type estimate)
    -0.12200
  • Sharpe ratio (Hedges UMVUE)
    -0.12182
  • df
    527.00000
  • t
    -0.15114
  • p
    0.56004
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70403
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46003
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70385
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46021
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.16190
  • Upside Potential Ratio
    4.09365
  • Upside part of mean
    0.25496
  • Downside part of mean
    -0.26505
  • Upside SD
    0.05422
  • Downside SD
    0.06228
  • N nonnegative terms
    69.00000
  • N negative terms
    459.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    528.00000
  • Mean of predictor
    0.08979
  • Mean of criterion
    -0.01008
  • SD of predictor
    0.11086
  • SD of criterion
    0.08265
  • Covariance
    0.00129
  • r
    0.14127
  • b (slope, estimate of beta)
    0.10533
  • a (intercept, estimate of alpha)
    -0.03100
  • Mean Square Error
    0.00671
  • DF error
    526.00000
  • t(b)
    3.27273
  • p(b)
    0.00057
  • t(a)
    -0.29530
  • p(a)
    0.61606
  • Lowerbound of 95% confidence interval for beta
    0.04210
  • Upperbound of 95% confidence interval for beta
    0.16855
  • Lowerbound of 95% confidence interval for alpha
    -0.14954
  • Upperbound of 95% confidence interval for alpha
    0.11045
  • Treynor index (mean / b)
    -0.09574
  • Jensen alpha (a)
    -0.01954
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01350
  • SD
    0.08286
  • Sharpe ratio (Glass type estimate)
    -0.16297
  • Sharpe ratio (Hedges UMVUE)
    -0.16274
  • df
    527.00000
  • t
    -0.20191
  • p
    0.57997
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74495
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41914
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74478
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41930
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.21445
  • Upside Potential Ratio
    4.02570
  • Upside part of mean
    0.25350
  • Downside part of mean
    -0.26701
  • Upside SD
    0.05374
  • Downside SD
    0.06297
  • N nonnegative terms
    69.00000
  • N negative terms
    459.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    528.00000
  • Mean of predictor
    0.08364
  • Mean of criterion
    -0.01350
  • SD of predictor
    0.11090
  • SD of criterion
    0.08286
  • Covariance
    0.00130
  • r
    0.14144
  • b (slope, estimate of beta)
    0.10568
  • a (intercept, estimate of alpha)
    -0.02234
  • Mean Square Error
    0.00674
  • DF error
    526.00000
  • t(b)
    3.27673
  • p(b)
    0.00056
  • t(a)
    -0.33686
  • p(a)
    0.63182
  • Lowerbound of 95% confidence interval for beta
    0.04232
  • Upperbound of 95% confidence interval for beta
    0.16904
  • Lowerbound of 95% confidence interval for alpha
    -0.15265
  • Upperbound of 95% confidence interval for alpha
    0.10796
  • Treynor index (mean / b)
    -0.12779
  • Jensen alpha (a)
    -0.02234
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00736
  • Expected Shortfall on VaR
    0.00921
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00246
  • Expected Shortfall on VaR
    0.00542
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    528.00000
  • Minimum
    0.96264
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03291
  • Mean of quarter 1
    0.99702
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00298
  • Inter Quartile Range
    0.00000
  • Number outliers low
    51.00000
  • Percentage of outliers low
    0.09659
  • Mean of outliers low
    0.99228
  • Number of outliers high
    69.00000
  • Percentage of outliers high
    0.13068
  • Mean of outliers high
    1.00570
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.28910
  • VaR(95%) (moments method)
    0.00212
  • Expected Shortfall (moments method)
    0.00367
  • Extreme Value Index (regression method)
    0.03453
  • VaR(95%) (regression method)
    0.00329
  • Expected Shortfall (regression method)
    0.00768
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00078
  • Quartile 1
    0.00285
  • Median
    0.00581
  • Quartile 3
    0.01154
  • Maximum
    0.20919
  • Mean of quarter 1
    0.00205
  • Mean of quarter 2
    0.00481
  • Mean of quarter 3
    0.00923
  • Mean of quarter 4
    0.07960
  • Inter Quartile Range
    0.00869
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    0.20919
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.22730
  • VaR(95%) (moments method)
    0.06995
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    4.02028
  • VaR(95%) (regression method)
    0.20210
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00354
  • Compounded annual return (geometric extrapolation)
    -0.00355
  • Calmar ratio (compounded annual return / max draw down)
    -0.01696
  • Compounded annual return / average of 25% largest draw downs
    -0.04457
  • Compounded annual return / Expected Shortfall lognormal
    -0.38516
  • 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
    -0.24855
  • SD
    0.09271
  • Sharpe ratio (Glass type estimate)
    -2.68113
  • Sharpe ratio (Hedges UMVUE)
    -2.66935
  • df
    171.00000
  • t
    -1.89585
  • p
    0.59103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.46365
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.10902
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.45556
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11685
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.83753
  • Upside Potential Ratio
    1.19193
  • Upside part of mean
    0.10441
  • Downside part of mean
    -0.35296
  • Upside SD
    0.03242
  • Downside SD
    0.08760
  • N nonnegative terms
    12.00000
  • N negative terms
    160.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.03905
  • Mean of criterion
    -0.24855
  • SD of predictor
    0.10683
  • SD of criterion
    0.09271
  • Covariance
    0.00245
  • r
    0.24735
  • b (slope, estimate of beta)
    0.21464
  • a (intercept, estimate of alpha)
    -0.25694
  • Mean Square Error
    0.00812
  • DF error
    170.00000
  • t(b)
    3.32846
  • p(b)
    0.37633
  • t(a)
    -2.01632
  • p(a)
    0.57641
  • Lowerbound of 95% confidence interval for beta
    0.08734
  • Upperbound of 95% confidence interval for beta
    0.34194
  • Lowerbound of 95% confidence interval for alpha
    -0.50848
  • Upperbound of 95% confidence interval for alpha
    -0.00539
  • Treynor index (mean / b)
    -1.15799
  • Jensen alpha (a)
    -0.25694
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25297
  • SD
    0.09373
  • Sharpe ratio (Glass type estimate)
    -2.69897
  • Sharpe ratio (Hedges UMVUE)
    -2.68712
  • df
    171.00000
  • t
    -1.90846
  • p
    0.59162
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.48158
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.09137
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.47351
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09928
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.84923
  • Upside Potential Ratio
    1.17004
  • Upside part of mean
    0.10388
  • Downside part of mean
    -0.35686
  • Upside SD
    0.03220
  • Downside SD
    0.08879
  • N nonnegative terms
    12.00000
  • N negative terms
    160.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.03337
  • Mean of criterion
    -0.25297
  • SD of predictor
    0.10690
  • SD of criterion
    0.09373
  • Covariance
    0.00248
  • r
    0.24765
  • b (slope, estimate of beta)
    0.21714
  • a (intercept, estimate of alpha)
    -0.26022
  • Mean Square Error
    0.00829
  • DF error
    170.00000
  • t(b)
    3.33283
  • p(b)
    0.37617
  • t(a)
    -2.02003
  • p(a)
    0.57655
  • VAR (95 Confidence Intrvl)
    0.00600
  • Lowerbound of 95% confidence interval for beta
    0.08853
  • Upperbound of 95% confidence interval for beta
    0.34575
  • Lowerbound of 95% confidence interval for alpha
    -0.51451
  • Upperbound of 95% confidence interval for alpha
    -0.00593
  • Treynor index (mean / b)
    -1.16505
  • Jensen alpha (a)
    -0.26022
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00901
  • Expected Shortfall on VaR
    0.01110
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00341
  • Expected Shortfall on VaR
    0.00753
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.96264
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01679
  • Mean of quarter 1
    0.99600
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00122
  • Inter Quartile Range
    0.00000
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.08140
  • Mean of outliers low
    0.98772
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.06977
  • Mean of outliers high
    1.00438
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22440
  • VaR(95%) (moments method)
    0.00166
  • Expected Shortfall (moments method)
    0.00389
  • Extreme Value Index (regression method)
    -0.22576
  • VaR(95%) (regression method)
    0.00411
  • Expected Shortfall (regression method)
    0.01167
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00009
  • Quartile 1
    0.03873
  • Median
    0.07737
  • Quartile 3
    0.11602
  • Maximum
    0.15466
  • Mean of quarter 1
    0.00009
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15466
  • Inter Quartile Range
    0.07728
  • 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
  • Max Equity Drawdown (num days)
    287
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.22884
  • Compounded annual return (geometric extrapolation)
    -0.21575
  • Calmar ratio (compounded annual return / max draw down)
    -1.39499
  • Compounded annual return / average of 25% largest draw downs
    -1.39499
  • Compounded annual return / Expected Shortfall lognormal
    -19.44420

Strategy Description

System Description
ALGOTRADES-FUTURES strategy is designed for trading the SP 500 index (ES Mini Futures).

This strategy enters both short and long positions, using market orders to be sure all clients are entered and exited from all positions.

This is an investing type system that can generate strong annual growth. It trades 1-3 times per month and is in 100% cash roughly 67% of the time.

System analyzes the market only during regular trading session hours (9:30-16:00 ET). Protective stops are live working orders around the clock 24/5.

This trading system is 100% mechanical and runs automatically on a dedicated server sending signals electronically to your brokerage firm.

The system trades up to 3 contracts per trade/leg. A $35k account is required but recomend $50K for all trades and position management to be properly executed during elevated volatility and margin requirements. System must be traded in lots of $50K increments meaning you trade 100% of the system per $50K available in your trading account and 200% of the system if you have a $100K trading account.

***Do Not Trade odd system percentages, for example: 150% of system using $75K; this is not recommended***

SYSTEM DESCRIPTION, STATS, & EXPECTATIONS:

http://www.algo-trades.com/ALGOTRADES-FUTURES-C2.pdf

Summary Statistics

Strategy began
2014-02-12
Suggested Minimum Capital
$20,000
# Trades
31
# Profitable
21
% Profitable
67.7%
Correlation S&P500
0.029
Sharpe Ratio
-0.79
Sortino Ratio
-0.99
Beta
0.01
Alpha
-0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

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

Want to see available plans and features?

Please hold...

Strategy is now visible

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

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

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

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

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

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

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

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

You can restore public visibility at any time.

Suggested Minimum Capital

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