Collective2 Collective2
Featured Strategy Easiest Followed by live capital $481,000 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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Silverton
(98965151)

Created by: DurangoForex DurangoForex
Started: 12/2015
Futures
Last trade: 2,480 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 $350.00 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.

-
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.

(100.0%)
Max Drawdown
122
Num Trades
86.9%
Win Trades
1.0 : 1
Profit Factor
11.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                                             (8.4%)(8.4%)
2016+16.9%+13.9%+15.8%+84.7%(48.2%)+111.6%+17.8%+9.1%(3.7%)(26.6%)+96.5%(53%)+161.3%
2017+366.4%+21.2%+8.6%(59.9%)+9.3%(55.2%)(119.8%)  -    -    -    -    -  (123.8%)
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.

System developer has asked us to delay this information by 2 hours.

Trading Record

This strategy has placed 103 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2715 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/17/17 15:25 QSIN7 Silver 5000 oz LONG 10 18.490 7/5 10:43 16.690 n/a ($90,080)
Includes Typical Broker Commissions trade costs of $80.00
4/9/17 18:43 QSIN7 Silver 5000 oz LONG 10 18.040 4/11 10:59 18.290 14.43%
Trade id #110860034
Max drawdown($11,750)
Time4/10/17 9:39
Quant open10
Worst price17.805
Drawdown as % of equity-14.43%
 $12,420
Includes Typical Broker Commissions trade costs of $80.00
4/6/17 9:40 QSIN7 Silver 5000 oz LONG 5 18.275 4/6 13:39 18.310 0.29%
Trade id #110766608
Max drawdown($250)
Time4/6/17 9:42
Quant open5
Worst price18.265
Drawdown as % of equity-0.29%
 $835
Includes Typical Broker Commissions trade costs of $40.00
4/3/17 7:28 QSIN7 Silver 5000 oz LONG 5 18.245 4/3 11:00 18.320 2.24%
Trade id #110640787
Max drawdown($1,875)
Time4/3/17 9:12
Quant open5
Worst price18.170
Drawdown as % of equity-2.24%
 $1,835
Includes Typical Broker Commissions trade costs of $40.00
3/30/17 21:18 QSIK7 Silver 5000 oz LONG 10 18.117 3/31 8:06 18.150 2.28%
Trade id #110567313
Max drawdown($1,875)
Time3/30/17 22:33
Quant open5
Worst price18.060
Drawdown as % of equity-2.28%
 $1,545
Includes Typical Broker Commissions trade costs of $80.00
3/29/17 23:17 QSIK7 Silver 5000 oz LONG 5 18.180 3/30 10:15 18.215 3.35%
Trade id #110534643
Max drawdown($2,750)
Time3/30/17 9:22
Quant open5
Worst price18.070
Drawdown as % of equity-3.35%
 $835
Includes Typical Broker Commissions trade costs of $40.00
3/28/17 16:57 QSIK7 Silver 5000 oz LONG 5 18.210 3/29 13:34 18.230 5.01%
Trade id #110494827
Max drawdown($3,875)
Time3/28/17 23:27
Quant open5
Worst price18.055
Drawdown as % of equity-5.01%
 $460
Includes Typical Broker Commissions trade costs of $40.00
3/28/17 11:08 QSIK7 Silver 5000 oz LONG 10 18.170 3/28 16:56 18.205 3.63%
Trade id #110481349
Max drawdown($2,875)
Time3/28/17 14:15
Quant open5
Worst price18.095
Drawdown as % of equity-3.63%
 $1,670
Includes Typical Broker Commissions trade costs of $80.00
3/27/17 8:11 QSIK7 Silver 5000 oz LONG 10 17.992 3/28 11:07 18.205 1.29%
Trade id #110441585
Max drawdown($875)
Time3/27/17 8:17
Quant open10
Worst price17.975
Drawdown as % of equity-1.29%
 $10,545
Includes Typical Broker Commissions trade costs of $80.00
3/15/17 21:17 QSIK7 Silver 5000 oz LONG 11 17.546 3/27 8:09 17.948 5.74%
Trade id #110262737
Max drawdown($2,300)
Time3/16/17 20:48
Quant open2
Worst price17.230
Drawdown as % of equity-5.74%
 $22,012
Includes Typical Broker Commissions trade costs of $88.00
3/2/17 11:29 QSIH7 Silver 5000 oz LONG 9 17.967 3/20 10:56 17.286 127.12%
Trade id #109990710
Max drawdown($39,608)
Time3/10/17 2:44
Quant open7
Worst price16.835
Drawdown as % of equity-127.12%
 ($30,697)
Includes Typical Broker Commissions trade costs of $72.00
3/2/17 7:43 QSIH7 Silver 5000 oz LONG 2 18.330 3/2 10:08 18.345 0.65%
Trade id #109982130
Max drawdown($500)
Time3/2/17 8:31
Quant open2
Worst price18.280
Drawdown as % of equity-0.65%
 $134
Includes Typical Broker Commissions trade costs of $16.00
3/2/17 7:34 QSIH7 Silver 5000 oz LONG 2 18.305 3/2 7:42 18.315 n/a $84
Includes Typical Broker Commissions trade costs of $16.00
2/28/17 21:16 QSIH7 Silver 5000 oz LONG 2 18.295 2/28 21:21 18.310 n/a $134
Includes Typical Broker Commissions trade costs of $16.00
2/28/17 20:15 QSIH7 Silver 5000 oz LONG 2 18.255 2/28 20:52 18.280 0.07%
Trade id #109928447
Max drawdown($50)
Time2/28/17 20:17
Quant open2
Worst price18.250
Drawdown as % of equity-0.07%
 $234
Includes Typical Broker Commissions trade costs of $16.00
2/27/17 13:48 QSIH7 Silver 5000 oz LONG 4 18.310 2/27 22:13 18.300 2.77%
Trade id #109880518
Max drawdown($2,100)
Time2/27/17 15:58
Quant open4
Worst price18.205
Drawdown as % of equity-2.77%
 ($232)
Includes Typical Broker Commissions trade costs of $32.00
2/21/17 9:02 QSIH7 Silver 5000 oz LONG 4 17.850 2/21 9:53 17.975 0.81%
Trade id #109702741
Max drawdown($600)
Time2/21/17 9:41
Quant open4
Worst price17.820
Drawdown as % of equity-0.81%
 $2,468
Includes Typical Broker Commissions trade costs of $32.00
2/14/17 10:39 QSIH7 Silver 5000 oz LONG 6 17.830 2/14 11:54 17.850 3.4%
Trade id #109529622
Max drawdown($2,500)
Time2/14/17 10:45
Quant open4
Worst price17.730
Drawdown as % of equity-3.40%
 $552
Includes Typical Broker Commissions trade costs of $48.00
2/13/17 13:34 QSIH7 Silver 5000 oz LONG 4 17.835 2/13 14:18 17.865 0.14%
Trade id #109502584
Max drawdown($100)
Time2/13/17 13:36
Quant open4
Worst price17.830
Drawdown as % of equity-0.14%
 $568
Includes Typical Broker Commissions trade costs of $32.00
2/10/17 5:13 QSIH7 Silver 5000 oz LONG 4 17.610 2/10 12:22 17.970 1.07%
Trade id #109454565
Max drawdown($700)
Time2/10/17 7:22
Quant open4
Worst price17.575
Drawdown as % of equity-1.07%
 $7,168
Includes Typical Broker Commissions trade costs of $32.00
2/9/17 21:13 QSIH7 Silver 5000 oz LONG 4 17.595 2/10 4:52 17.605 1.54%
Trade id #109446348
Max drawdown($1,000)
Time2/10/17 2:29
Quant open4
Worst price17.545
Drawdown as % of equity-1.54%
 $168
Includes Typical Broker Commissions trade costs of $32.00
2/2/17 19:11 QSIH7 Silver 5000 oz LONG 8 17.373 2/3 8:57 17.400 7.06%
Trade id #109248784
Max drawdown($4,500)
Time2/3/17 8:31
Quant open8
Worst price17.260
Drawdown as % of equity-7.06%
 $1,036
Includes Typical Broker Commissions trade costs of $64.00
2/2/17 12:39 QSIH7 Silver 5000 oz LONG 4 17.460 2/2 16:13 17.480 1.4%
Trade id #109240262
Max drawdown($900)
Time2/2/17 13:27
Quant open4
Worst price17.415
Drawdown as % of equity-1.40%
 $368
Includes Typical Broker Commissions trade costs of $32.00
1/30/17 12:58 QSIH7 Silver 5000 oz LONG 4 17.120 1/30 15:13 17.135 1.26%
Trade id #109141629
Max drawdown($800)
Time1/30/17 14:34
Quant open4
Worst price17.080
Drawdown as % of equity-1.26%
 $268
Includes Typical Broker Commissions trade costs of $32.00
1/27/17 12:10 QSIH7 Silver 5000 oz LONG 4 17.032 1/27 12:19 17.055 0.47%
Trade id #109097971
Max drawdown($300)
Time1/27/17 12:13
Quant open2
Worst price17.010
Drawdown as % of equity-0.47%
 $418
Includes Typical Broker Commissions trade costs of $32.00
1/24/17 14:20 QSIH7 Silver 5000 oz LONG 20 16.844 1/27 11:03 16.995 64.79%
Trade id #108989327
Max drawdown($20,900)
Time1/27/17 8:48
Quant open20
Worst price16.635
Drawdown as % of equity-64.79%
 $14,940
Includes Typical Broker Commissions trade costs of $160.00
1/19/17 2:21 QSIH7 Silver 5000 oz LONG 10 16.957 1/19 4:02 16.990 10.13%
Trade id #108747002
Max drawdown($4,600)
Time1/19/17 2:33
Quant open10
Worst price16.865
Drawdown as % of equity-10.13%
 $1,570
Includes Typical Broker Commissions trade costs of $80.00
1/12/17 18:37 QSIH7 Silver 5000 oz LONG 6 16.815 1/13 14:54 16.825 13.9%
Trade id #108610575
Max drawdown($6,150)
Time1/13/17 9:54
Quant open6
Worst price16.610
Drawdown as % of equity-13.90%
 $252
Includes Typical Broker Commissions trade costs of $48.00
1/11/17 12:04 QSIH7 Silver 5000 oz LONG 1 16.635 1/11 12:20 16.705 0.27%
Trade id #108536417
Max drawdown($125)
Time1/11/17 12:06
Quant open1
Worst price16.610
Drawdown as % of equity-0.27%
 $342
Includes Typical Broker Commissions trade costs of $8.00
1/11/17 10:57 QSIH7 Silver 5000 oz LONG 1 16.625 1/11 11:27 16.650 0.71%
Trade id #108532336
Max drawdown($325)
Time1/11/17 11:23
Quant open1
Worst price16.560
Drawdown as % of equity-0.71%
 $117
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    12/30/2015
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    3028.01
  • Age
    101 months ago
  • What it trades
    Futures
  • # Trades
    122
  • # Profitable
    106
  • % Profitable
    86.90%
  • Avg trade duration
    4.2 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    July 04, 2017 - July 05, 2017
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $1,271
  • Avg loss
    $8,164
  • Model Account Values (Raw)
  • Cash
    $9,156
  • Margin Used
    $0
  • Buying Power
    $9,156
  • Ratios
  • W:L ratio
    1.03:1
  • Sharpe Ratio
    -0.05
  • Sortino Ratio
    -0.06
  • Calmar Ratio
    0.308
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -161.82%
  • Correlation to SP500
    0.00730
  • Return Percent SP500 (cumu) during strategy life
    142.86%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.84%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    95.50%
  • Chance of 20% account loss
    93.50%
  • Chance of 30% account loss
    87.00%
  • Chance of 40% account loss
    85.50%
  • Chance of 60% account loss (Monte Carlo)
    67.50%
  • Chance of 70% account loss (Monte Carlo)
    53.50%
  • Chance of 80% account loss (Monte Carlo)
    36.00%
  • Chance of 90% account loss (Monte Carlo)
    19.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    73.00%
  • Popularity
  • Popularity (Today)
    856
  • Popularity (Last 6 weeks)
    824
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    635
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $8,164
  • Avg Win
    $1,272
  • Sum Trade PL (losers)
    $130,626.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $134,784.000
  • # Winners
    106
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    16
  • % Winners
    86.9%
  • Frequency
  • Avg Position Time (mins)
    6030.68
  • Avg Position Time (hrs)
    100.51
  • Avg Trade Length
    4.2 days
  • Last Trade Ago
    2475
  • Regression
  • Alpha
    0.00
  • Beta
    0.18
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.16
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    73.67
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    79.10
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.62
  • MAE:Equity, average, winning trades
    0.14
  • MAE:Equity, average, losing trades
    0.26
  • Avg(MAE) / Avg(PL) - All trades
    2.933
  • 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
    1.537
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.568
  • Hold-and-Hope Ratio
    0.337
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.96171
  • SD
    2.26182
  • Sharpe ratio (Glass type estimate)
    1.75156
  • Sharpe ratio (Hedges UMVUE)
    1.66793
  • df
    16.00000
  • t
    2.08477
  • p
    0.26891
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02568
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.48086
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07723
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41308
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.43409
  • Upside Potential Ratio
    6.01972
  • Upside part of mean
    5.37842
  • Downside part of mean
    -1.41671
  • Upside SD
    2.30750
  • Downside SD
    0.89347
  • N nonnegative terms
    13.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.09371
  • Mean of criterion
    3.96171
  • SD of predictor
    0.10003
  • SD of criterion
    2.26182
  • Covariance
    -0.05042
  • r
    -0.22286
  • b (slope, estimate of beta)
    -5.03918
  • a (intercept, estimate of alpha)
    4.43394
  • Mean Square Error
    5.18586
  • DF error
    15.00000
  • t(b)
    -0.88541
  • p(b)
    0.64070
  • t(a)
    2.23235
  • p(a)
    0.19584
  • Lowerbound of 95% confidence interval for beta
    -17.17000
  • Upperbound of 95% confidence interval for beta
    7.09162
  • Lowerbound of 95% confidence interval for alpha
    0.20041
  • Upperbound of 95% confidence interval for alpha
    8.66747
  • Treynor index (mean / b)
    -0.78618
  • Jensen alpha (a)
    4.43394
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.63900
  • SD
    2.14743
  • Sharpe ratio (Glass type estimate)
    0.76323
  • Sharpe ratio (Hedges UMVUE)
    0.72679
  • df
    16.00000
  • t
    0.90843
  • p
    0.38927
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91575
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41919
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93905
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39263
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10755
  • Upside Potential Ratio
    2.58255
  • Upside part of mean
    3.82175
  • Downside part of mean
    -2.18276
  • Upside SD
    1.54082
  • Downside SD
    1.47984
  • N nonnegative terms
    13.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.08846
  • Mean of criterion
    1.63900
  • SD of predictor
    0.10004
  • SD of criterion
    2.14743
  • Covariance
    -0.03269
  • r
    -0.15215
  • b (slope, estimate of beta)
    -3.26615
  • a (intercept, estimate of alpha)
    1.92790
  • Mean Square Error
    4.80503
  • DF error
    15.00000
  • t(b)
    -0.59622
  • p(b)
    0.59649
  • t(a)
    1.01236
  • p(a)
    0.34074
  • Lowerbound of 95% confidence interval for beta
    -14.94240
  • Upperbound of 95% confidence interval for beta
    8.41010
  • Lowerbound of 95% confidence interval for alpha
    -2.13114
  • Upperbound of 95% confidence interval for alpha
    5.98695
  • Treynor index (mean / b)
    -0.50181
  • Jensen alpha (a)
    1.92790
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.58649
  • Expected Shortfall on VaR
    0.67316
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.15582
  • Expected Shortfall on VaR
    0.36440
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.23405
  • Quartile 1
    1.04625
  • Median
    1.24092
  • Quartile 3
    1.85901
  • Maximum
    2.59960
  • Mean of quarter 1
    0.60971
  • Mean of quarter 2
    1.17341
  • Mean of quarter 3
    1.52631
  • Mean of quarter 4
    2.20115
  • Inter Quartile Range
    0.81276
  • 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)
    -0.97935
  • VaR(95%) (regression method)
    0.67275
  • Expected Shortfall (regression method)
    0.75431
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.30634
  • Quartile 1
    0.36345
  • Median
    0.46270
  • Quartile 3
    0.59867
  • Maximum
    0.76595
  • Mean of quarter 1
    0.30634
  • Mean of quarter 2
    0.38248
  • Mean of quarter 3
    0.54292
  • Mean of quarter 4
    0.76595
  • Inter Quartile Range
    0.23523
  • 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)
    6.78090
  • Compounded annual return (geometric extrapolation)
    4.29574
  • Calmar ratio (compounded annual return / max draw down)
    5.60837
  • Compounded annual return / average of 25% largest draw downs
    5.60837
  • Compounded annual return / Expected Shortfall lognormal
    6.38144
  • 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
    1.85509
  • SD
    1.70533
  • Sharpe ratio (Glass type estimate)
    1.08782
  • Sharpe ratio (Hedges UMVUE)
    1.08573
  • df
    390.00000
  • t
    1.32891
  • p
    0.09233
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51903
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69338
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52047
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69193
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81497
  • Upside Potential Ratio
    9.30334
  • Upside part of mean
    9.50897
  • Downside part of mean
    -7.65388
  • Upside SD
    1.36716
  • Downside SD
    1.02210
  • N nonnegative terms
    192.00000
  • N negative terms
    199.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    391.00000
  • Mean of predictor
    0.08802
  • Mean of criterion
    1.85509
  • SD of predictor
    0.11477
  • SD of criterion
    1.70533
  • Covariance
    -0.00099
  • r
    -0.00507
  • b (slope, estimate of beta)
    -0.07534
  • a (intercept, estimate of alpha)
    1.06300
  • Mean Square Error
    2.91554
  • DF error
    389.00000
  • t(b)
    -0.10000
  • p(b)
    0.53980
  • t(a)
    1.33047
  • p(a)
    0.09207
  • Lowerbound of 95% confidence interval for beta
    -1.55652
  • Upperbound of 95% confidence interval for beta
    1.40584
  • Lowerbound of 95% confidence interval for alpha
    -0.88941
  • Upperbound of 95% confidence interval for alpha
    4.61285
  • Treynor index (mean / b)
    -24.62370
  • Jensen alpha (a)
    1.86172
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47913
  • SD
    1.64775
  • Sharpe ratio (Glass type estimate)
    0.29078
  • Sharpe ratio (Hedges UMVUE)
    0.29022
  • df
    390.00000
  • t
    0.35522
  • p
    0.36131
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31390
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89514
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31430
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89474
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.42075
  • Upside Potential Ratio
    7.67041
  • Upside part of mean
    8.73473
  • Downside part of mean
    -8.25560
  • Upside SD
    1.18838
  • Downside SD
    1.13876
  • N nonnegative terms
    192.00000
  • N negative terms
    199.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    391.00000
  • Mean of predictor
    0.08141
  • Mean of criterion
    0.47913
  • SD of predictor
    0.11490
  • SD of criterion
    1.64775
  • Covariance
    -0.00215
  • r
    -0.01136
  • b (slope, estimate of beta)
    -0.16295
  • a (intercept, estimate of alpha)
    0.49240
  • Mean Square Error
    2.72171
  • DF error
    389.00000
  • t(b)
    -0.22414
  • p(b)
    0.58862
  • t(a)
    0.36426
  • p(a)
    0.35793
  • Lowerbound of 95% confidence interval for beta
    -1.59235
  • Upperbound of 95% confidence interval for beta
    1.26644
  • Lowerbound of 95% confidence interval for alpha
    -2.16527
  • Upperbound of 95% confidence interval for alpha
    3.15007
  • Treynor index (mean / b)
    -2.94027
  • Jensen alpha (a)
    0.49240
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15263
  • Expected Shortfall on VaR
    0.18735
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06774
  • Expected Shortfall on VaR
    0.13570
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    391.00000
  • Minimum
    0.66597
  • Quartile 1
    0.96609
  • Median
    1.00000
  • Quartile 3
    1.03909
  • Maximum
    1.63855
  • Mean of quarter 1
    0.89415
  • Mean of quarter 2
    0.98951
  • Mean of quarter 3
    1.01741
  • Mean of quarter 4
    1.12778
  • Inter Quartile Range
    0.07300
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.06394
  • Mean of outliers low
    0.79840
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.06650
  • Mean of outliers high
    1.26843
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03865
  • VaR(95%) (moments method)
    0.08876
  • Expected Shortfall (moments method)
    0.12534
  • Extreme Value Index (regression method)
    -0.08626
  • VaR(95%) (regression method)
    0.10924
  • Expected Shortfall (regression method)
    0.14928
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00074
  • Quartile 1
    0.00784
  • Median
    0.06212
  • Quartile 3
    0.17283
  • Maximum
    0.89315
  • Mean of quarter 1
    0.00370
  • Mean of quarter 2
    0.02553
  • Mean of quarter 3
    0.10700
  • Mean of quarter 4
    0.50271
  • Inter Quartile Range
    0.16499
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.69775
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.42037
  • VaR(95%) (moments method)
    0.50873
  • Expected Shortfall (moments method)
    0.60447
  • Extreme Value Index (regression method)
    -0.27572
  • VaR(95%) (regression method)
    0.48419
  • Expected Shortfall (regression method)
    0.58469
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.75799
  • Compounded annual return (geometric extrapolation)
    0.66037
  • Calmar ratio (compounded annual return / max draw down)
    0.73937
  • Compounded annual return / average of 25% largest draw downs
    1.31361
  • Compounded annual return / Expected Shortfall lognormal
    3.52485
  • 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
    -0.53691
  • SD
    1.72885
  • Sharpe ratio (Glass type estimate)
    -0.31056
  • Sharpe ratio (Hedges UMVUE)
    -0.30877
  • df
    130.00000
  • t
    -0.21960
  • p
    0.50963
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.08214
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46199
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.08082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46330
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43584
  • Upside Potential Ratio
    8.02050
  • Upside part of mean
    9.88055
  • Downside part of mean
    -10.41750
  • Upside SD
    1.20400
  • Downside SD
    1.23191
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12066
  • Mean of criterion
    -0.53691
  • SD of predictor
    0.06907
  • SD of criterion
    1.72885
  • Covariance
    -0.00238
  • r
    -0.01996
  • b (slope, estimate of beta)
    -0.49968
  • a (intercept, estimate of alpha)
    -0.47662
  • Mean Square Error
    3.01090
  • DF error
    129.00000
  • t(b)
    -0.22678
  • p(b)
    0.51271
  • t(a)
    -0.19310
  • p(a)
    0.51082
  • Lowerbound of 95% confidence interval for beta
    -4.85909
  • Upperbound of 95% confidence interval for beta
    3.85973
  • Lowerbound of 95% confidence interval for alpha
    -5.36020
  • Upperbound of 95% confidence interval for alpha
    4.40696
  • Treynor index (mean / b)
    1.07451
  • Jensen alpha (a)
    -0.47662
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.05320
  • SD
    1.75945
  • Sharpe ratio (Glass type estimate)
    -1.16695
  • Sharpe ratio (Hedges UMVUE)
    -1.16021
  • df
    130.00000
  • t
    -0.82516
  • p
    0.53609
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.94021
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61066
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.93560
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61518
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.50200
  • Upside Potential Ratio
    6.75501
  • Upside part of mean
    9.23392
  • Downside part of mean
    -11.28710
  • Upside SD
    1.10432
  • Downside SD
    1.36697
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11825
  • Mean of criterion
    -2.05320
  • SD of predictor
    0.06909
  • SD of criterion
    1.75945
  • Covariance
    -0.00294
  • r
    -0.02415
  • b (slope, estimate of beta)
    -0.61513
  • a (intercept, estimate of alpha)
    -1.98046
  • Mean Square Error
    3.11786
  • DF error
    129.00000
  • t(b)
    -0.27441
  • p(b)
    0.51538
  • t(a)
    -0.78866
  • p(a)
    0.54406
  • VAR (95 Confidence Intrvl)
    0.12200
  • Lowerbound of 95% confidence interval for beta
    -5.05026
  • Upperbound of 95% confidence interval for beta
    3.82000
  • Lowerbound of 95% confidence interval for alpha
    -6.94887
  • Upperbound of 95% confidence interval for alpha
    2.98795
  • Treynor index (mean / b)
    3.33784
  • Jensen alpha (a)
    -1.98046
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17025
  • Expected Shortfall on VaR
    0.20646
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09674
  • Expected Shortfall on VaR
    0.18044
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.67353
  • Quartile 1
    0.93664
  • Median
    1.00000
  • Quartile 3
    1.05448
  • Maximum
    1.29524
  • Mean of quarter 1
    0.86394
  • Mean of quarter 2
    0.97845
  • Mean of quarter 3
    1.01932
  • Mean of quarter 4
    1.13117
  • Inter Quartile Range
    0.11785
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.71397
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.27148
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.33381
  • VaR(95%) (moments method)
    0.13620
  • Expected Shortfall (moments method)
    0.16228
  • Extreme Value Index (regression method)
    -0.10251
  • VaR(95%) (regression method)
    0.15070
  • Expected Shortfall (regression method)
    0.19593
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00172
  • Quartile 1
    0.00678
  • Median
    0.02685
  • Quartile 3
    0.14458
  • Maximum
    0.89315
  • Mean of quarter 1
    0.00400
  • Mean of quarter 2
    0.01396
  • Mean of quarter 3
    0.07565
  • Mean of quarter 4
    0.54556
  • Inter Quartile Range
    0.13780
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.74155
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -26.00160
  • VaR(95%) (moments method)
    0.40127
  • Expected Shortfall (moments method)
    0.40127
  • Extreme Value Index (regression method)
    -1.52532
  • VaR(95%) (regression method)
    1.13573
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    1.18396
  • Max Equity Drawdown (num days)
    1
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.27349
  • Compounded annual return (geometric extrapolation)
    -0.86804
  • Calmar ratio (compounded annual return / max draw down)
    -0.97189
  • Compounded annual return / average of 25% largest draw downs
    -1.59111
  • Compounded annual return / Expected Shortfall lognormal
    -4.20440

Strategy Description

Silverton trades Silver 5000 oz [CMX Comex] Futures Contracts.

Details on this contract can be viewed at the following CME web site:

http://www.cmegroup.com/trading/metals/precious/silver_contractSpecs_futures.html

Contract Unit 5,000 troy ounces
Settlement Method Deliverable


Current Margin Requirements (C2):
Silver 5000 oz [CMX Comex] (Subject to change)
Price Format 20.365
Margin $1,755 / $1,300 (Initial/Maintenance - 1/26/2017)

A number of indicators are used with emphasis on technical and wave analysis.

Strategy will day trade and swing positions. Strategy is aggressive and has a high beta and volatility. Make sure to scale down and limit the number of contracts in your C2 account risk limits for this strategy.

Goal of maximum capital gains so this should be considered s speculative strategy to be best used with a diversified portfolio of risk capital only.

Your business is appreciated.

Silverton

Summary Statistics

Strategy began
2015-12-30
Suggested Minimum Capital
$5,000
# Trades
122
# Profitable
106
% Profitable
86.9%
Correlation S&P500
0.007
Sharpe Ratio
-0.05
Sortino Ratio
-0.06
Beta
0.18
Alpha
0.00

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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