Collective2 Collective2
Featured Strategy S2Prox0 +51.8% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Multi-Instrument Futures
(91929325)

Created by:
Started: 09/2010
Futures
Last trade: 3,061 days ago
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 $49.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

13.1%
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.

(53.1%)
Max Drawdown
2299
Num Trades
43.6%
Win Trades
1.2 : 1
Profit Factor
22.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                        +8.2%+32.5%+31.5%+28.2%+141.8%
2011+0.4%+8.1%(3.2%)+18.6%(4%)(0.7%)+1.6%+1.6%+3.7%(15.3%)(11.9%)+2.3%(3%)
2012(9.9%)+15.7%(6.6%)+1.8%+25.1%(3.3%)+19.0%(3.6%)(11.2%)(14%)(16.5%)(1.7%)(13.8%)
2013+4.9%(12.6%)+2.0%+3.9%(6.9%)+14.4%(0.5%)+16.2%+6.9%(5%)(30.4%)+22.7%+3.9%
2014+2.4%+6.7%+30.6%(8.1%)(2.9%)+14.4%+1.1%+11.3%+36.9%(5.1%)+31.6%+3.2%+188.8%
2015+23.6%(1.8%)+8.2%(1.5%)(1.5%)(3.6%)(4.2%)(4.5%)(1%)(6.5%)(2.7%)(0.3%)+1.0%
2016  -    -  +0.3%  -  (0.1%)  -  +0.1%+0.4%  -  (0.2%)  -    -  +0.4%
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -  (0.2%)  -  (0.2%)
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022(12.1%)  -    -    -    -    -    -    -    -    -    -    -  (12.1%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  

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
9/11/15 10:00 @BOZ5 SOYBEAN OIL SHORT 3 26.67 12/14 9:39 31.15 3.31%
Trade id #97175724
Max drawdown($9,522)
Time12/4/15 14:06
Quant open-3
Worst price31.96
Drawdown as % of equity-3.31%
 ($8,088)
Includes Typical Broker Commissions trade costs of $24.00
9/17/15 13:54 @EUZ5 EUROFX LONG 1 1.13640 12/14 9:33 1.09960 3.8%
Trade id #97289687
Max drawdown($10,925)
Time12/3/15 7:46
Quant open1
Worst price1.04900
Drawdown as % of equity-3.80%
 ($4,608)
Includes Typical Broker Commissions trade costs of $8.00
9/17/15 10:09 @OJX5 Orange Juice SHORT 2 121.65 11/9 9:00 138.60 2.06%
Trade id #97282773
Max drawdown($6,090)
Time10/27/15 12:17
Quant open-2
Worst price141.95
Drawdown as % of equity-2.06%
 ($5,101)
Includes Typical Broker Commissions trade costs of $16.00
7/30/15 21:14 QPLV5 PLATINUM SHORT 4 995.5 10/28 9:07 991.8 0.75%
Trade id #96182622
Max drawdown($2,390)
Time8/20/15 23:07
Quant open-1
Worst price1038.5
Drawdown as % of equity-0.75%
 $698
Includes Typical Broker Commissions trade costs of $32.00
9/14/15 22:40 @SMZ5 SOYBEAN MEAL LONG 2 315.1 9/16 12:18 314.5 0.1%
Trade id #97220210
Max drawdown($320)
Time9/15/15 8:26
Quant open2
Worst price313.5
Drawdown as % of equity-0.10%
 ($136)
Includes Typical Broker Commissions trade costs of $16.00
9/9/15 9:10 @YIZ5 Mini Silver ICE SHORT 3 14.645 9/16 3:03 14.432 0.19%
Trade id #97118361
Max drawdown($597)
Time9/10/15 9:08
Quant open-3
Worst price14.844
Drawdown as % of equity-0.19%
 $615
Includes Typical Broker Commissions trade costs of $24.00
9/9/15 20:52 @TUZ5 US T-NOTE 2 YR LONG 5 109 38/128 9/15 13:03 109 24/128 0.35%
Trade id #97135969
Max drawdown($1,095)
Time9/15/15 13:03
Quant open0
Worst price109 24/128
Drawdown as % of equity-0.35%
 ($1,135)
Includes Typical Broker Commissions trade costs of $40.00
9/14/15 8:48 EZZ5 EUREX SCHATZ LONG 5 111.315 9/15 11:07 111.285 0.05%
Trade id #97203237
Max drawdown($171)
Time9/15/15 11:07
Quant open0
Worst price111.285
Drawdown as % of equity-0.05%
 ($204)
Includes Typical Broker Commissions trade costs of $40.00
9/11/15 11:21 @SX5 SOYBEANS SHORT 1 865 1/4 9/15 10:17 894 1/4 0.46%
Trade id #97178496
Max drawdown($1,450)
Time9/15/15 10:17
Quant open0
Worst price894 1/4
Drawdown as % of equity-0.46%
 ($1,458)
Includes Typical Broker Commissions trade costs of $8.00
9/11/15 8:41 @TYZ5 US T-NOTE 10 YR LONG 2 127 26/64 9/15 9:16 127 19/64 0.07%
Trade id #97173283
Max drawdown($219)
Time9/15/15 9:16
Quant open0
Worst price127 19/64
Drawdown as % of equity-0.07%
 ($235)
Includes Typical Broker Commissions trade costs of $16.00
9/14/15 9:00 QRBX5 RBOB Gasoline SHORT 1 1.3334 9/15 8:10 1.3127 0.03%
Trade id #97203377
Max drawdown($88)
Time9/14/15 9:02
Quant open-1
Worst price1.3355
Drawdown as % of equity-0.03%
 $861
Includes Typical Broker Commissions trade costs of $8.00
8/24/15 20:50 @CZ5 CORN SHORT 3 383 1/4 9/14 20:00 393 0.51%
Trade id #96820898
Max drawdown($1,612)
Time9/14/15 13:45
Quant open-3
Worst price394
Drawdown as % of equity-0.51%
 ($1,487)
Includes Typical Broker Commissions trade costs of $24.00
9/11/15 10:01 @KWZ5 Hard Red Winter Wheat Electronic SHORT 2 473.500 9/14 10:33 492.250 0.6%
Trade id #97175773
Max drawdown($1,875)
Time9/14/15 10:33
Quant open0
Worst price492.250
Drawdown as % of equity-0.60%
 ($1,891)
Includes Typical Broker Commissions trade costs of $16.00
9/11/15 10:30 @MWZ5 Hard Red Spring Wheat SHORT 2 504.000 9/14 10:32 520.000 0.51%
Trade id #97177253
Max drawdown($1,600)
Time9/14/15 10:32
Quant open0
Worst price520.000
Drawdown as % of equity-0.51%
 ($1,616)
Includes Typical Broker Commissions trade costs of $16.00
9/10/15 4:16 LRCX5 Coffee Robusta Liffe SHORT 4 1582 9/14 8:42 1572 0.13%
Trade id #97141531
Max drawdown($400)
Time9/10/15 5:01
Quant open-4
Worst price1592
Drawdown as % of equity-0.13%
 $368
Includes Typical Broker Commissions trade costs of $32.00
9/11/15 12:00 @SMZ5 SOYBEAN MEAL SHORT 2 305.3 9/13 21:21 311.5 0.4%
Trade id #97179469
Max drawdown($1,240)
Time9/13/15 21:21
Quant open0
Worst price311.5
Drawdown as % of equity-0.40%
 ($1,256)
Includes Typical Broker Commissions trade costs of $16.00
9/11/15 3:40 @CDZ5 CANADIAN DOLLAR SHORT 1 0.7530 9/13 20:44 0.7555 0.08%
Trade id #97169644
Max drawdown($250)
Time9/11/15 6:36
Quant open-1
Worst price0.7555
Drawdown as % of equity-0.08%
 ($258)
Includes Typical Broker Commissions trade costs of $8.00
9/9/15 10:13 @OJX5 Orange Juice SHORT 2 125.05 9/11 11:25 125.25 0.05%
Trade id #97120832
Max drawdown($150)
Time9/10/15 10:02
Quant open-2
Worst price125.55
Drawdown as % of equity-0.05%
 ($76)
Includes Typical Broker Commissions trade costs of $16.00
9/9/15 2:56 @USZ5 US T-BOND SHORT 1 153 12/32 9/11 8:41 154 29/32 0.48%
Trade id #97113418
Max drawdown($1,531)
Time9/11/15 8:41
Quant open0
Worst price154 29/32
Drawdown as % of equity-0.48%
 ($1,539)
Includes Typical Broker Commissions trade costs of $8.00
9/9/15 9:17 @HEV5 LEAN HOGS LONG 2 69.250 9/10 13:48 68.625 0.24%
Trade id #97118486
Max drawdown($760)
Time9/9/15 11:38
Quant open2
Worst price68.300
Drawdown as % of equity-0.24%
 ($516)
Includes Typical Broker Commissions trade costs of $16.00
9/9/15 11:23 QRBV5 RBOB Gasoline SHORT 1 1.3803 9/10 6:45 1.3860 0.13%
Trade id #97123554
Max drawdown($415)
Time9/9/15 12:37
Quant open-1
Worst price1.3902
Drawdown as % of equity-0.13%
 ($247)
Includes Typical Broker Commissions trade costs of $8.00
9/3/15 8:00 @TYZ5 US T-NOTE 10 YR LONG 2 127 24/64 9/8 8:55 127 17/64 0.12%
Trade id #97025654
Max drawdown($375)
Time9/3/15 10:37
Quant open2
Worst price127 12/64
Drawdown as % of equity-0.12%
 ($235)
Includes Typical Broker Commissions trade costs of $16.00
9/2/15 4:00 LRCX5 Coffee Robusta Liffe SHORT 3 1591 9/8 6:03 1597 0.15%
Trade id #96996932
Max drawdown($480)
Time9/2/15 7:07
Quant open-3
Worst price1607
Drawdown as % of equity-0.15%
 ($204)
Includes Typical Broker Commissions trade costs of $24.00
9/3/15 8:34 LGZ5 GILT LONG LONG 1 117.66 9/8 5:49 118.15 0.18%
Trade id #97026141
Max drawdown($563)
Time9/3/15 10:40
Quant open1
Worst price117.27
Drawdown as % of equity-0.18%
 $591
Includes Typical Broker Commissions trade costs of $8.00
9/1/15 4:18 @USZ5 US T-BOND LONG 1 154 29/32 9/8 3:46 154 31/32 0.37%
Trade id #96968737
Max drawdown($1,187)
Time9/3/15 10:37
Quant open1
Worst price153 23/32
Drawdown as % of equity-0.37%
 $55
Includes Typical Broker Commissions trade costs of $8.00
8/31/15 9:31 @MWZ5 Hard Red Spring Wheat SHORT 2 507.750 9/7 20:16 510.000 0.33%
Trade id #96947719
Max drawdown($1,050)
Time9/1/15 10:46
Quant open-2
Worst price518.250
Drawdown as % of equity-0.33%
 ($241)
Includes Typical Broker Commissions trade costs of $16.00
8/31/15 8:01 @SX5 SOYBEANS SHORT 1 875 2/4 9/7 20:03 875 0.21%
Trade id #96945439
Max drawdown($650)
Time8/31/15 14:15
Quant open-1
Worst price888 2/4
Drawdown as % of equity-0.21%
 $17
Includes Typical Broker Commissions trade costs of $8.00
8/28/15 11:22 @KWZ5 Hard Red Winter Wheat Electronic SHORT 2 483.500 9/4 10:18 474.500 0.23%
Trade id #96919794
Max drawdown($725)
Time9/1/15 7:41
Quant open-2
Worst price490.750
Drawdown as % of equity-0.23%
 $884
Includes Typical Broker Commissions trade costs of $16.00
9/2/15 10:02 @HEV5 LEAN HOGS LONG 2 68.900 9/3 9:00 69.300 0.04%
Trade id #97003391
Max drawdown($120)
Time9/2/15 10:04
Quant open2
Worst price68.750
Drawdown as % of equity-0.04%
 $304
Includes Typical Broker Commissions trade costs of $16.00
8/28/15 12:26 LRCU5 Coffee Robusta Liffe SHORT 3 1577 9/2 4:00 1586 0.19%
Trade id #96921973
Max drawdown($600)
Time9/1/15 12:27
Quant open-3
Worst price1597
Drawdown as % of equity-0.19%
 ($294)
Includes Typical Broker Commissions trade costs of $24.00
Next

Statistics

  • Strategy began
    9/8/2010
  • Suggested Minimum Cap
    $37,717
  • Strategy Age (days)
    4982.64
  • Age
    166 months ago
  • What it trades
    Futures
  • # Trades
    2299
  • # Profitable
    1002
  • % Profitable
    43.60%
  • Avg trade duration
    5.4 days
  • Max peak-to-valley drawdown
    53.07%
  • drawdown period
    July 23, 2012 - Dec 05, 2013
  • Annual Return (Compounded)
    13.1%
  • Avg win
    $1,319
  • Avg loss
    $845.24
  • Model Account Values (Raw)
  • Cash
    $263,161
  • Margin Used
    $0
  • Buying Power
    $263,161
  • Ratios
  • W:L ratio
    1.21:1
  • Sharpe Ratio
    0.5
  • Sortino Ratio
    0.79
  • Calmar Ratio
    0.877
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    73.69%
  • Correlation to SP500
    -0.01590
  • Return Percent SP500 (cumu) during strategy life
    356.74%
  • Return Statistics
  • Ann Return (w trading costs)
    13.1%
  • Slump
  • Current Slump as Pcnt Equity
    49.90%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.67%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.131%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • 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
    $845
  • Avg Win
    $1,319
  • Sum Trade PL (losers)
    $1,096,280.000
  • Age
  • Num Months filled monthly returns table
    164
  • Win / Loss
  • Sum Trade PL (winners)
    $1,321,700.000
  • # Winners
    1002
  • Num Months Winners
    38
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    1297
  • % Winners
    43.6%
  • Frequency
  • Avg Position Time (mins)
    7776.58
  • Avg Position Time (hrs)
    129.61
  • Avg Trade Length
    5.4 days
  • Last Trade Ago
    3060
  • Regression
  • Alpha
    0.04
  • Beta
    -0.02
  • Treynor Index
    -1.65
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    52.91
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    39.23
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.33
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    10.859
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.295
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.180
  • Hold-and-Hope Ratio
    0.092
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34321
  • SD
    0.36564
  • Sharpe ratio (Glass type estimate)
    0.93865
  • Sharpe ratio (Hedges UMVUE)
    0.92924
  • df
    75.00000
  • t
    2.36223
  • p
    0.01038
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14254
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72876
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13636
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72212
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.19020
  • Upside Potential Ratio
    3.89004
  • Upside part of mean
    0.60958
  • Downside part of mean
    -0.26637
  • Upside SD
    0.34234
  • Downside SD
    0.15670
  • N nonnegative terms
    36.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    76.00000
  • Mean of predictor
    0.23934
  • Mean of criterion
    0.34321
  • SD of predictor
    0.21133
  • SD of criterion
    0.36564
  • Covariance
    -0.00586
  • r
    -0.07580
  • b (slope, estimate of beta)
    -0.13114
  • a (intercept, estimate of alpha)
    0.37460
  • Mean Square Error
    0.13472
  • DF error
    74.00000
  • t(b)
    -0.65392
  • p(b)
    0.74241
  • t(a)
    2.43968
  • p(a)
    0.00855
  • Lowerbound of 95% confidence interval for beta
    -0.53075
  • Upperbound of 95% confidence interval for beta
    0.26846
  • Lowerbound of 95% confidence interval for alpha
    0.06865
  • Upperbound of 95% confidence interval for alpha
    0.68054
  • Treynor index (mean / b)
    -2.61705
  • Jensen alpha (a)
    0.37460
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27883
  • SD
    0.34099
  • Sharpe ratio (Glass type estimate)
    0.81771
  • Sharpe ratio (Hedges UMVUE)
    0.80951
  • df
    75.00000
  • t
    2.05786
  • p
    0.02154
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02539
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60475
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59902
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67851
  • Upside Potential Ratio
    3.35804
  • Upside part of mean
    0.55783
  • Downside part of mean
    -0.27900
  • Upside SD
    0.30598
  • Downside SD
    0.16612
  • N nonnegative terms
    36.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    76.00000
  • Mean of predictor
    0.21562
  • Mean of criterion
    0.27883
  • SD of predictor
    0.20502
  • SD of criterion
    0.34099
  • Covariance
    -0.00494
  • r
    -0.07065
  • b (slope, estimate of beta)
    -0.11750
  • a (intercept, estimate of alpha)
    0.30416
  • Mean Square Error
    0.11725
  • DF error
    74.00000
  • t(b)
    -0.60924
  • p(b)
    0.72788
  • t(a)
    2.13780
  • p(a)
    0.01792
  • Lowerbound of 95% confidence interval for beta
    -0.50177
  • Upperbound of 95% confidence interval for beta
    0.26678
  • Lowerbound of 95% confidence interval for alpha
    0.02067
  • Upperbound of 95% confidence interval for alpha
    0.58766
  • Treynor index (mean / b)
    -2.37311
  • Jensen alpha (a)
    0.30416
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12949
  • Expected Shortfall on VaR
    0.16402
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05282
  • Expected Shortfall on VaR
    0.10241
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    76.00000
  • Minimum
    0.82937
  • Quartile 1
    0.97645
  • Median
    1.00000
  • Quartile 3
    1.07170
  • Maximum
    1.36299
  • Mean of quarter 1
    0.92112
  • Mean of quarter 2
    0.99500
  • Mean of quarter 3
    1.02972
  • Mean of quarter 4
    1.17788
  • Inter Quartile Range
    0.09525
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01316
  • Mean of outliers low
    0.82937
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.07895
  • Mean of outliers high
    1.28336
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.21093
  • VaR(95%) (moments method)
    0.07407
  • Expected Shortfall (moments method)
    0.09312
  • Extreme Value Index (regression method)
    -0.50983
  • VaR(95%) (regression method)
    0.09164
  • Expected Shortfall (regression method)
    0.10777
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.04921
  • Quartile 1
    0.08646
  • Median
    0.25123
  • Quartile 3
    0.28750
  • Maximum
    0.36659
  • Mean of quarter 1
    0.06784
  • Mean of quarter 2
    0.25123
  • Mean of quarter 3
    0.28750
  • Mean of quarter 4
    0.36659
  • Inter Quartile Range
    0.20104
  • 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)
    0.94378
  • Compounded annual return (geometric extrapolation)
    0.35898
  • Calmar ratio (compounded annual return / max draw down)
    0.97923
  • Compounded annual return / average of 25% largest draw downs
    0.97923
  • Compounded annual return / Expected Shortfall lognormal
    2.18866
  • 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
    0.31199
  • SD
    0.26069
  • Sharpe ratio (Glass type estimate)
    1.19680
  • Sharpe ratio (Hedges UMVUE)
    1.19626
  • df
    1662.00000
  • t
    3.01520
  • p
    0.46312
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41763
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97566
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41724
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97527
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.96834
  • Upside Potential Ratio
    9.10345
  • Upside part of mean
    1.44293
  • Downside part of mean
    -1.13094
  • Upside SD
    0.20776
  • Downside SD
    0.15850
  • N nonnegative terms
    669.00000
  • N negative terms
    994.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1663.00000
  • Mean of predictor
    0.24158
  • Mean of criterion
    0.31199
  • SD of predictor
    0.22611
  • SD of criterion
    0.26069
  • Covariance
    -0.00161
  • r
    -0.02735
  • b (slope, estimate of beta)
    -0.03153
  • a (intercept, estimate of alpha)
    0.32000
  • Mean Square Error
    0.06795
  • DF error
    1661.00000
  • t(b)
    -1.11503
  • p(b)
    0.51741
  • t(a)
    3.08233
  • p(a)
    0.45204
  • Lowerbound of 95% confidence interval for beta
    -0.08699
  • Upperbound of 95% confidence interval for beta
    0.02393
  • Lowerbound of 95% confidence interval for alpha
    0.11623
  • Upperbound of 95% confidence interval for alpha
    0.52298
  • Treynor index (mean / b)
    -9.89478
  • Jensen alpha (a)
    0.31961
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27815
  • SD
    0.25894
  • Sharpe ratio (Glass type estimate)
    1.07419
  • Sharpe ratio (Hedges UMVUE)
    1.07370
  • df
    1662.00000
  • t
    2.70629
  • p
    0.46688
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29523
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85284
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29490
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85251
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.72163
  • Upside Potential Ratio
    8.80066
  • Upside part of mean
    1.42186
  • Downside part of mean
    -1.14371
  • Upside SD
    0.20299
  • Downside SD
    0.16156
  • N nonnegative terms
    669.00000
  • N negative terms
    994.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1663.00000
  • Mean of predictor
    0.21539
  • Mean of criterion
    0.27815
  • SD of predictor
    0.22967
  • SD of criterion
    0.25894
  • Covariance
    -0.00155
  • r
    -0.02602
  • b (slope, estimate of beta)
    -0.02934
  • a (intercept, estimate of alpha)
    0.28447
  • Mean Square Error
    0.06705
  • DF error
    1661.00000
  • t(b)
    -1.06087
  • p(b)
    0.51656
  • t(a)
    2.76324
  • p(a)
    0.45697
  • Lowerbound of 95% confidence interval for beta
    -0.08358
  • Upperbound of 95% confidence interval for beta
    0.02490
  • Lowerbound of 95% confidence interval for alpha
    0.08255
  • Upperbound of 95% confidence interval for alpha
    0.48639
  • Treynor index (mean / b)
    -9.48118
  • Jensen alpha (a)
    0.28447
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02494
  • Expected Shortfall on VaR
    0.03141
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01104
  • Expected Shortfall on VaR
    0.02210
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1663.00000
  • Minimum
    0.90371
  • Quartile 1
    0.99494
  • Median
    1.00000
  • Quartile 3
    1.00618
  • Maximum
    1.11081
  • Mean of quarter 1
    0.98450
  • Mean of quarter 2
    0.99849
  • Mean of quarter 3
    1.00175
  • Mean of quarter 4
    1.02045
  • Inter Quartile Range
    0.01124
  • Number outliers low
    75.00000
  • Percentage of outliers low
    0.04510
  • Mean of outliers low
    0.96535
  • Number of outliers high
    128.00000
  • Percentage of outliers high
    0.07697
  • Mean of outliers high
    1.03798
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24082
  • VaR(95%) (moments method)
    0.01424
  • Expected Shortfall (moments method)
    0.02330
  • Extreme Value Index (regression method)
    0.13107
  • VaR(95%) (regression method)
    0.01461
  • Expected Shortfall (regression method)
    0.02217
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    46.00000
  • Minimum
    0.00088
  • Quartile 1
    0.00720
  • Median
    0.01544
  • Quartile 3
    0.04282
  • Maximum
    0.40847
  • Mean of quarter 1
    0.00409
  • Mean of quarter 2
    0.01085
  • Mean of quarter 3
    0.02795
  • Mean of quarter 4
    0.14948
  • Inter Quartile Range
    0.03562
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.15217
  • Mean of outliers high
    0.21196
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.21279
  • VaR(95%) (moments method)
    0.13060
  • Expected Shortfall (moments method)
    0.21364
  • Extreme Value Index (regression method)
    0.35895
  • VaR(95%) (regression method)
    0.13208
  • Expected Shortfall (regression method)
    0.24392
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.94170
  • Compounded annual return (geometric extrapolation)
    0.35806
  • Calmar ratio (compounded annual return / max draw down)
    0.87660
  • Compounded annual return / average of 25% largest draw downs
    2.39534
  • Compounded annual return / Expected Shortfall lognormal
    11.39780
  • 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
    -0.22049
  • SD
    0.13618
  • Sharpe ratio (Glass type estimate)
    -1.61916
  • Sharpe ratio (Hedges UMVUE)
    -1.60980
  • df
    130.00000
  • t
    -1.14492
  • p
    0.54996
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.39492
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.16265
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.38850
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16891
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.61724
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.22049
  • Upside SD
    0.00000
  • Downside SD
    0.13634
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.97292
  • Mean of criterion
    -0.22049
  • SD of predictor
    0.43434
  • SD of criterion
    0.13618
  • Covariance
    0.00877
  • r
    0.14830
  • b (slope, estimate of beta)
    0.04650
  • a (intercept, estimate of alpha)
    -0.26573
  • Mean Square Error
    0.01828
  • DF error
    129.00000
  • t(b)
    1.70321
  • p(b)
    0.40594
  • t(a)
    -1.37664
  • p(a)
    0.57642
  • Lowerbound of 95% confidence interval for beta
    -0.00752
  • Upperbound of 95% confidence interval for beta
    0.10051
  • Lowerbound of 95% confidence interval for alpha
    -0.64763
  • Upperbound of 95% confidence interval for alpha
    0.11618
  • Treynor index (mean / b)
    -4.74216
  • Jensen alpha (a)
    -0.26573
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.23040
  • SD
    0.14319
  • Sharpe ratio (Glass type estimate)
    -1.60911
  • Sharpe ratio (Hedges UMVUE)
    -1.59981
  • df
    130.00000
  • t
    -1.13782
  • p
    0.54965
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.38479
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17261
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.37843
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17881
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.60731
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.23040
  • Upside SD
    0.00000
  • Downside SD
    0.14335
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.87574
  • Mean of criterion
    -0.23040
  • SD of predictor
    0.44105
  • SD of criterion
    0.14319
  • Covariance
    0.00933
  • r
    0.14769
  • b (slope, estimate of beta)
    0.04795
  • a (intercept, estimate of alpha)
    -0.27239
  • Mean Square Error
    0.02021
  • DF error
    129.00000
  • t(b)
    1.69603
  • p(b)
    0.40632
  • t(a)
    -1.34469
  • p(a)
    0.57468
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    -0.00799
  • Upperbound of 95% confidence interval for beta
    0.10388
  • Lowerbound of 95% confidence interval for alpha
    -0.67318
  • Upperbound of 95% confidence interval for alpha
    0.12840
  • Treynor index (mean / b)
    -4.80541
  • Jensen alpha (a)
    -0.27239
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01531
  • Expected Shortfall on VaR
    0.01894
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00292
  • Expected Shortfall on VaR
    0.00663
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90371
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    0.99708
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.90371
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.09629
  • Quartile 1
    0.09629
  • Median
    0.09629
  • Quartile 3
    0.09629
  • Maximum
    0.09629
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -453588000
  • Max Equity Drawdown (num days)
    500
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.19258
  • Compounded annual return (geometric extrapolation)
    -0.18331
  • Calmar ratio (compounded annual return / max draw down)
    -1.90371
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -9.67884

Strategy Description

Clone of system 52737021 as of Sat Jan 17 20:02:16 2015 ET

Summary Statistics

Strategy began
2010-09-08
Suggested Minimum Capital
$40,000
# Trades
2299
# Profitable
1002
% Profitable
43.6%
Correlation S&P500
-0.016
Sharpe Ratio
0.50
Sortino Ratio
0.79
Beta
-0.02
Alpha
0.04

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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