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Contrarian ATS (92527663)

Created by: Alejandro_Lucas_Ara Alejandro_Lucas_Ara
Started: 02/2015
Futures
Last trade: Yesterday

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. There is a free trial period of 30 days. After that, subscriptions cost $29.00 per month.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade Contrarian ATS.

Free AutoTrade

10.1%
Annual Return (Compounded)
53.4%
Max Drawdown
1304
Num Trades
65.8%
Win Trades
1.2 : 1
Profit Factor
54.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015       +1.1%(2.8%)+2.6%+5.9%+0.8%(1.7%)+3.0%+7.6%(2.6%)(1.9%)+3.9%+16.4%
2016+0.4%+18.6%(11.5%)(1.2%)+2.5%+27.1%+0.1%+7.1%(0.7%)(0.1%)(9%)(23.2%)+0.9%
2017+3.8%(16.1%)+13.8%+9.5%(11.7%)(14.2%)+43.2%(7.7%)                        +8.7%

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 12 hours.

Trading Record

This strategy has placed 327 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/21/17 13:30 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5780.50 8/23 1:28 5869.75 n/a $1,777
Includes Typical Broker Commissions trade costs of $8.00
8/22/17 11:45 QGCZ7 Gold 100 oz LONG 1 1293.2 8/23 1:25 1290.8 n/a ($248)
Includes Typical Broker Commissions trade costs of $8.00
8/21/17 19:00 @TYU7 US T-NOTE 10 YR LONG 1 126 53/64 8/23 1:24 126 36/64 n/a ($274)
Includes Typical Broker Commissions trade costs of $8.00
8/22/17 6:00 @ESU7 E-MINI S&P 500 LONG 1 2431.25 8/22 8:15 2433.50 n/a $105
Includes Typical Broker Commissions trade costs of $8.00
8/21/17 13:00 @ESU7 E-MINI S&P 500 SHORT 1 2427.25 8/22 5:30 2430.25 n/a ($158)
Includes Typical Broker Commissions trade costs of $8.00
8/21/17 6:45 QGCZ7 Gold 100 oz LONG 2 1293.5 8/21 22:30 1294.7 0.13%
Trade id #113251136
Max drawdown($60)
Time8/21/17 7:01
Quant open1
Worst price1292.6
Drawdown as % of equity-0.13%
$204
Includes Typical Broker Commissions trade costs of $16.00
8/18/17 16:00 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5794.50 8/21 9:00 5802.00 0.71%
Trade id #113237112
Max drawdown($315)
Time8/21/17 4:25
Quant open1
Worst price5778.75
Drawdown as % of equity-0.71%
$142
Includes Typical Broker Commissions trade costs of $8.00
8/21/17 1:04 @ESU7 E-MINI S&P 500 LONG 1 2424.75 8/21 7:45 2427.50 0.56%
Trade id #113248168
Max drawdown($250)
Time8/21/17 3:41
Quant open1
Worst price2419.75
Drawdown as % of equity-0.56%
$130
Includes Typical Broker Commissions trade costs of $8.00
8/21/17 3:00 QGCZ7 Gold 100 oz SHORT 1 1292.5 8/21 6:45 1293.2 0.49%
Trade id #113248990
Max drawdown($220)
Time8/21/17 4:23
Quant open-1
Worst price1294.7
Drawdown as % of equity-0.49%
($78)
Includes Typical Broker Commissions trade costs of $8.00
8/21/17 1:03 @TYU7 US T-NOTE 10 YR LONG 1 126 45/64 8/21 4:00 126 52/64 0.14%
Trade id #113248163
Max drawdown($62)
Time8/21/17 2:41
Quant open1
Worst price126 41/64
Drawdown as % of equity-0.14%
$101
Includes Typical Broker Commissions trade costs of $8.00
8/18/17 9:15 QGCZ7 Gold 100 oz LONG 1 1306.1 8/21 3:00 1292.1 4.44%
Trade id #113219209
Max drawdown($1,990)
Time8/20/17 19:14
Quant open1
Worst price1286.2
Drawdown as % of equity-4.44%
($1,408)
Includes Typical Broker Commissions trade costs of $8.00
8/18/17 5:00 @TYU7 US T-NOTE 10 YR SHORT 1 126 53/64 8/18 13:00 126 40/64 0.49%
Trade id #113216495
Max drawdown($218)
Time8/18/17 9:59
Quant open-1
Worst price127 3/64
Drawdown as % of equity-0.49%
$195
Includes Typical Broker Commissions trade costs of $8.00
8/17/17 4:45 @ESU7 E-MINI S&P 500 LONG 1 2463.75 8/18 12:00 2433.50 4.94%
Trade id #113191892
Max drawdown($2,212)
Time8/18/17 10:00
Quant open1
Worst price2419.50
Drawdown as % of equity-4.94%
($1,521)
Includes Typical Broker Commissions trade costs of $8.00
8/17/17 1:03 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5916.50 8/18 11:30 5818.00 6.43%
Trade id #113189230
Max drawdown($2,880)
Time8/18/17 10:00
Quant open1
Worst price5772.50
Drawdown as % of equity-6.43%
($1,978)
Includes Typical Broker Commissions trade costs of $8.00
8/17/17 8:30 QGCZ7 Gold 100 oz LONG 1 1290.4 8/18 6:30 1300.7 0.83%
Trade id #113194194
Max drawdown($400)
Time8/17/17 10:35
Quant open1
Worst price1286.4
Drawdown as % of equity-0.83%
$1,022
Includes Typical Broker Commissions trade costs of $8.00
8/18/17 0:01 @TYU7 US T-NOTE 10 YR LONG 1 126 46/64 8/18 3:00 126 47/64 0.1%
Trade id #113213256
Max drawdown($47)
Time8/18/17 1:41
Quant open1
Worst price126 43/64
Drawdown as % of equity-0.10%
$7
Includes Typical Broker Commissions trade costs of $8.00
8/17/17 7:00 @TYU7 US T-NOTE 10 YR LONG 1 126 24/64 8/17 10:00 126 30/64 0.07%
Trade id #113193230
Max drawdown($31)
Time8/17/17 8:34
Quant open1
Worst price126 22/64
Drawdown as % of equity-0.07%
$86
Includes Typical Broker Commissions trade costs of $8.00
8/16/17 14:00 @TYU7 US T-NOTE 10 YR SHORT 1 126 25/64 8/17 4:30 126 27/64 0.39%
Trade id #113180610
Max drawdown($187)
Time8/16/17 14:22
Quant open-1
Worst price126 37/64
Drawdown as % of equity-0.39%
($39)
Includes Typical Broker Commissions trade costs of $8.00
8/15/17 8:15 QGCZ7 Gold 100 oz LONG 1 1278.6 8/17 3:30 1293.4 1.28%
Trade id #113148169
Max drawdown($590)
Time8/15/17 9:11
Quant open1
Worst price1272.7
Drawdown as % of equity-1.28%
$1,472
Includes Typical Broker Commissions trade costs of $8.00
8/16/17 13:15 @ESU7 E-MINI S&P 500 LONG 1 2467.25 8/17 3:30 2467.75 0.5%
Trade id #113179210
Max drawdown($237)
Time8/16/17 14:25
Quant open1
Worst price2462.50
Drawdown as % of equity-0.50%
$17
Includes Typical Broker Commissions trade costs of $8.00
8/13/17 18:04 @NQZ7 E-MINI NASDAQ 100 STK IDX SHORT 1 5856.50 8/17 1:03 5924.25 4.29%
Trade id #113119574
Max drawdown($1,995)
Time8/16/17 12:27
Quant open-1
Worst price5956.25
Drawdown as % of equity-4.29%
($1,363)
Includes Typical Broker Commissions trade costs of $8.00
8/14/17 20:00 @TYU7 US T-NOTE 10 YR LONG 1 126 31/64 8/16 11:00 126 11/64 1.05%
Trade id #113140563
Max drawdown($484)
Time8/16/17 5:43
Quant open1
Worst price126
Drawdown as % of equity-1.05%
($320)
Includes Typical Broker Commissions trade costs of $8.00
8/15/17 16:00 @ESU7 E-MINI S&P 500 LONG 1 2463.50 8/16 2:30 2466.25 0.21%
Trade id #113161858
Max drawdown($100)
Time8/15/17 19:15
Quant open1
Worst price2461.50
Drawdown as % of equity-0.21%
$130
Includes Typical Broker Commissions trade costs of $8.00
8/15/17 7:15 @ESU7 E-MINI S&P 500 SHORT 1 2469.50 8/15 11:00 2462.75 0.14%
Trade id #113147738
Max drawdown($62)
Time8/15/17 8:34
Quant open-1
Worst price2470.75
Drawdown as % of equity-0.14%
$330
Includes Typical Broker Commissions trade costs of $8.00
8/15/17 4:00 @ESU7 E-MINI S&P 500 LONG 1 2466.75 8/15 7:00 2468.75 0.16%
Trade id #113145463
Max drawdown($75)
Time8/15/17 4:03
Quant open1
Worst price2465.25
Drawdown as % of equity-0.16%
$92
Includes Typical Broker Commissions trade costs of $8.00
8/14/17 10:45 QGCZ7 Gold 100 oz LONG 1 1289.4 8/14 23:15 1281.3 2.67%
Trade id #113130632
Max drawdown($1,240)
Time8/14/17 21:10
Quant open1
Worst price1277.0
Drawdown as % of equity-2.67%
($818)
Includes Typical Broker Commissions trade costs of $8.00
8/13/17 19:00 @ESU7 E-MINI S&P 500 SHORT 1 2444.50 8/14 15:00 2462.25 2.31%
Trade id #113120024
Max drawdown($1,100)
Time8/14/17 10:53
Quant open-1
Worst price2466.50
Drawdown as % of equity-2.31%
($896)
Includes Typical Broker Commissions trade costs of $8.00
8/14/17 2:00 @TYU7 US T-NOTE 10 YR LONG 1 126 42/64 8/14 13:00 126 41/64 0.35%
Trade id #113123022
Max drawdown($171)
Time8/14/17 6:53
Quant open1
Worst price126 31/64
Drawdown as % of equity-0.35%
($23)
Includes Typical Broker Commissions trade costs of $8.00
8/9/17 10:55 @TYU7 US T-NOTE 10 YR SHORT 1 126 27/64 8/13 18:30 126 47/64 0.93%
Trade id #113059802
Max drawdown($453)
Time8/11/17 8:31
Quant open-1
Worst price126 56/64
Drawdown as % of equity-0.93%
($320)
Includes Typical Broker Commissions trade costs of $8.00
8/9/17 23:30 @ESU7 E-MINI S&P 500 LONG 1 2467.25 8/13 18:04 2444.25 3.78%
Trade id #113071357
Max drawdown($1,850)
Time8/11/17 7:51
Quant open1
Worst price2430.25
Drawdown as % of equity-3.78%
($1,158)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    2/14/2015
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    921.59
  • Age
    31 months ago
  • What it trades
    Futures
  • # Trades
    1304
  • # Profitable
    858
  • % Profitable
    65.80%
  • Avg trade duration
    21.7 hours
  • Max peak-to-valley drawdown
    53.41%
  • drawdown period
    Nov 08, 2016 - June 28, 2017
  • Annual Return (Compounded)
    10.2%
  • Avg win
    $199.81
  • Avg loss
    $332.41
  • Model Account Values (Raw)
  • Cash
    $46,646
  • Margin Used
    $0
  • Buying Power
    $46,646
  • Ratios
  • W:L ratio
    1.16:1
  • Sharpe Ratio
    1.172
  • Sortino Ratio
    1.669
  • Calmar Ratio
    0.96
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.07600
  • Return Statistics
  • Ann Return (w trading costs)
    10.2%
  • Ann Return (Compnd, No Fees)
    31.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    51.00%
  • Chance of 20% account loss
    23.00%
  • Chance of 30% account loss
    7.00%
  • Chance of 40% account loss
    1.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    460
  • C2 Score
    7.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    30
  • Win / Loss
  • Avg Loss
    $332
  • Avg Win
    $200
  • # Winners
    858
  • # Losers
    446
  • % Winners
    65.8%
  • Frequency
  • Avg Position Time (mins)
    1299.83
  • Avg Position Time (hrs)
    21.66
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25101
  • SD
    0.26212
  • Sharpe ratio (Glass type estimate)
    0.95763
  • Sharpe ratio (Hedges UMVUE)
    0.93171
  • df
    28.00000
  • t
    1.48869
  • p
    0.07387
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33583
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23473
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35247
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21589
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.68058
  • Upside Potential Ratio
    3.20756
  • Upside part of mean
    0.47908
  • Downside part of mean
    -0.22807
  • Upside SD
    0.22199
  • Downside SD
    0.14936
  • N nonnegative terms
    19.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.04546
  • Mean of criterion
    0.25101
  • SD of predictor
    0.09363
  • SD of criterion
    0.26212
  • Covariance
    -0.00775
  • r
    -0.31595
  • b (slope, estimate of beta)
    -0.88454
  • a (intercept, estimate of alpha)
    0.29123
  • Mean Square Error
    0.06414
  • DF error
    27.00000
  • t(b)
    -1.73037
  • p(b)
    0.95251
  • t(a)
    1.76972
  • p(a)
    0.04403
  • Lowerbound of 95% confidence interval for beta
    -1.93340
  • Upperbound of 95% confidence interval for beta
    0.16433
  • Lowerbound of 95% confidence interval for alpha
    -0.04642
  • Upperbound of 95% confidence interval for alpha
    0.62888
  • Treynor index (mean / b)
    -0.28378
  • Jensen alpha (a)
    0.29123
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21569
  • SD
    0.25934
  • Sharpe ratio (Glass type estimate)
    0.83169
  • Sharpe ratio (Hedges UMVUE)
    0.80918
  • df
    28.00000
  • t
    1.29292
  • p
    0.10330
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45475
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10382
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46929
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08765
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.35137
  • Upside Potential Ratio
    2.85321
  • Upside part of mean
    0.45540
  • Downside part of mean
    -0.23971
  • Upside SD
    0.20818
  • Downside SD
    0.15961
  • N nonnegative terms
    19.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.04102
  • Mean of criterion
    0.21569
  • SD of predictor
    0.09419
  • SD of criterion
    0.25934
  • Covariance
    -0.00794
  • r
    -0.32515
  • b (slope, estimate of beta)
    -0.89526
  • a (intercept, estimate of alpha)
    0.25242
  • Mean Square Error
    0.06237
  • DF error
    27.00000
  • t(b)
    -1.78660
  • p(b)
    0.95738
  • t(a)
    1.55848
  • p(a)
    0.06538
  • Lowerbound of 95% confidence interval for beta
    -1.92342
  • Upperbound of 95% confidence interval for beta
    0.13291
  • Lowerbound of 95% confidence interval for alpha
    -0.07991
  • Upperbound of 95% confidence interval for alpha
    0.58474
  • Treynor index (mean / b)
    -0.24093
  • Jensen alpha (a)
    0.25242
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09983
  • Expected Shortfall on VaR
    0.12722
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03359
  • Expected Shortfall on VaR
    0.07314
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.82971
  • Quartile 1
    0.98942
  • Median
    1.02143
  • Quartile 3
    1.06369
  • Maximum
    1.20159
  • Mean of quarter 1
    0.93472
  • Mean of quarter 2
    1.00883
  • Mean of quarter 3
    1.04430
  • Mean of quarter 4
    1.11778
  • Inter Quartile Range
    0.07427
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03448
  • Mean of outliers low
    0.82971
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.03448
  • Mean of outliers high
    1.20159
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.42151
  • VaR(95%) (moments method)
    0.03868
  • Expected Shortfall (moments method)
    0.04064
  • Extreme Value Index (regression method)
    -0.07307
  • VaR(95%) (regression method)
    0.09293
  • Expected Shortfall (regression method)
    0.13602
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00567
  • Quartile 1
    0.01708
  • Median
    0.05739
  • Quartile 3
    0.06281
  • Maximum
    0.24572
  • Mean of quarter 1
    0.01137
  • Mean of quarter 2
    0.05739
  • Mean of quarter 3
    0.06281
  • Mean of quarter 4
    0.24572
  • Inter Quartile Range
    0.04573
  • 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
    0.20000
  • Mean of outliers high
    0.24572
  • 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)
    0.33171
  • Compounded annual return (geometric extrapolation)
    0.27583
  • Calmar ratio (compounded annual return / max draw down)
    1.12251
  • Compounded annual return / average of 25% largest draw downs
    1.12251
  • Compounded annual return / Expected Shortfall lognormal
    2.16819
  • 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
    0.27375
  • SD
    0.23333
  • Sharpe ratio (Glass type estimate)
    1.17326
  • Sharpe ratio (Hedges UMVUE)
    1.17191
  • df
    654.00000
  • t
    1.85508
  • p
    0.03202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06840
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41404
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41313
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66929
  • Upside Potential Ratio
    7.98088
  • Upside part of mean
    1.30880
  • Downside part of mean
    -1.03505
  • Upside SD
    0.16658
  • Downside SD
    0.16399
  • N nonnegative terms
    366.00000
  • N negative terms
    289.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    655.00000
  • Mean of predictor
    0.04162
  • Mean of criterion
    0.27375
  • SD of predictor
    0.12848
  • SD of criterion
    0.23333
  • Covariance
    -0.00178
  • r
    -0.05940
  • b (slope, estimate of beta)
    -0.10788
  • a (intercept, estimate of alpha)
    0.27800
  • Mean Square Error
    0.05433
  • DF error
    653.00000
  • t(b)
    -1.52061
  • p(b)
    0.93558
  • t(a)
    1.88702
  • p(a)
    0.02980
  • Lowerbound of 95% confidence interval for beta
    -0.24718
  • Upperbound of 95% confidence interval for beta
    0.03143
  • Lowerbound of 95% confidence interval for alpha
    -0.01129
  • Upperbound of 95% confidence interval for alpha
    0.56777
  • Treynor index (mean / b)
    -2.53762
  • Jensen alpha (a)
    0.27824
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24633
  • SD
    0.23395
  • Sharpe ratio (Glass type estimate)
    1.05290
  • Sharpe ratio (Hedges UMVUE)
    1.05170
  • df
    654.00000
  • t
    1.66479
  • p
    0.04822
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18838
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29342
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18920
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29259
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47045
  • Upside Potential Ratio
    7.73109
  • Upside part of mean
    1.29510
  • Downside part of mean
    -1.04877
  • Upside SD
    0.16376
  • Downside SD
    0.16752
  • N nonnegative terms
    366.00000
  • N negative terms
    289.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    655.00000
  • Mean of predictor
    0.03335
  • Mean of criterion
    0.24633
  • SD of predictor
    0.12864
  • SD of criterion
    0.23395
  • Covariance
    -0.00181
  • r
    -0.06010
  • b (slope, estimate of beta)
    -0.10929
  • a (intercept, estimate of alpha)
    0.24997
  • Mean Square Error
    0.05462
  • DF error
    653.00000
  • t(b)
    -1.53848
  • p(b)
    0.93779
  • t(a)
    1.69097
  • p(a)
    0.04566
  • Lowerbound of 95% confidence interval for beta
    -0.24879
  • Upperbound of 95% confidence interval for beta
    0.03020
  • Lowerbound of 95% confidence interval for alpha
    -0.04030
  • Upperbound of 95% confidence interval for alpha
    0.54025
  • Treynor index (mean / b)
    -2.25385
  • Jensen alpha (a)
    0.24997
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02258
  • Expected Shortfall on VaR
    0.02845
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00820
  • Expected Shortfall on VaR
    0.01785
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    655.00000
  • Minimum
    0.92673
  • Quartile 1
    0.99665
  • Median
    1.00095
  • Quartile 3
    1.00674
  • Maximum
    1.07197
  • Mean of quarter 1
    0.98540
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00324
  • Mean of quarter 4
    1.01685
  • Inter Quartile Range
    0.01009
  • Number outliers low
    42.00000
  • Percentage of outliers low
    0.06412
  • Mean of outliers low
    0.96633
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.04733
  • Mean of outliers high
    1.03584
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58913
  • VaR(95%) (moments method)
    0.01360
  • Expected Shortfall (moments method)
    0.03758
  • Extreme Value Index (regression method)
    0.28772
  • VaR(95%) (regression method)
    0.01247
  • Expected Shortfall (regression method)
    0.02240
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    26.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00414
  • Median
    0.01064
  • Quartile 3
    0.06297
  • Maximum
    0.32874
  • Mean of quarter 1
    0.00163
  • Mean of quarter 2
    0.00617
  • Mean of quarter 3
    0.03292
  • Mean of quarter 4
    0.12035
  • Inter Quartile Range
    0.05883
  • 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
    0.03846
  • Mean of outliers high
    0.32874
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49386
  • VaR(95%) (moments method)
    0.14356
  • Expected Shortfall (moments method)
    0.28459
  • Extreme Value Index (regression method)
    0.84451
  • VaR(95%) (regression method)
    0.11789
  • Expected Shortfall (regression method)
    0.48637
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.39397
  • Compounded annual return (geometric extrapolation)
    0.31552
  • Calmar ratio (compounded annual return / max draw down)
    0.95980
  • Compounded annual return / average of 25% largest draw downs
    2.62162
  • Compounded annual return / Expected Shortfall lognormal
    11.09180
  • 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
    0.56581
  • SD
    0.34265
  • Sharpe ratio (Glass type estimate)
    1.65131
  • Sharpe ratio (Hedges UMVUE)
    1.64176
  • df
    130.00000
  • t
    1.16765
  • p
    0.44906
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13091
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.42723
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.13722
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.42074
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23861
  • Upside Potential Ratio
    8.75245
  • Upside part of mean
    2.21220
  • Downside part of mean
    -1.64639
  • Upside SD
    0.23205
  • Downside SD
    0.25275
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04257
  • Mean of criterion
    0.56581
  • SD of predictor
    0.07602
  • SD of criterion
    0.34265
  • Covariance
    0.00054
  • r
    0.02062
  • b (slope, estimate of beta)
    0.09293
  • a (intercept, estimate of alpha)
    0.56186
  • Mean Square Error
    0.11827
  • DF error
    129.00000
  • t(b)
    0.23420
  • p(b)
    0.48688
  • t(a)
    1.15457
  • p(a)
    0.43573
  • Lowerbound of 95% confidence interval for beta
    -0.69213
  • Upperbound of 95% confidence interval for beta
    0.87799
  • Lowerbound of 95% confidence interval for alpha
    -0.40097
  • Upperbound of 95% confidence interval for alpha
    1.52469
  • Treynor index (mean / b)
    6.08869
  • Jensen alpha (a)
    0.56186
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50634
  • SD
    0.34551
  • Sharpe ratio (Glass type estimate)
    1.46548
  • Sharpe ratio (Hedges UMVUE)
    1.45701
  • df
    130.00000
  • t
    1.03625
  • p
    0.45474
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31482
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24023
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.32045
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23447
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95008
  • Upside Potential Ratio
    8.41771
  • Upside part of mean
    2.18566
  • Downside part of mean
    -1.67932
  • Upside SD
    0.22809
  • Downside SD
    0.25965
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03969
  • Mean of criterion
    0.50634
  • SD of predictor
    0.07611
  • SD of criterion
    0.34551
  • Covariance
    0.00051
  • r
    0.01955
  • b (slope, estimate of beta)
    0.08875
  • a (intercept, estimate of alpha)
    0.50282
  • Mean Square Error
    0.12026
  • DF error
    129.00000
  • t(b)
    0.22210
  • p(b)
    0.48755
  • t(a)
    1.02474
  • p(a)
    0.44287
  • Lowerbound of 95% confidence interval for beta
    -0.70189
  • Upperbound of 95% confidence interval for beta
    0.87940
  • Lowerbound of 95% confidence interval for alpha
    -0.46800
  • Upperbound of 95% confidence interval for alpha
    1.47363
  • Treynor index (mean / b)
    5.70504
  • Jensen alpha (a)
    0.50282
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03263
  • Expected Shortfall on VaR
    0.04119
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01163
  • Expected Shortfall on VaR
    0.02579
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92673
  • Quartile 1
    0.99628
  • Median
    1.00462
  • Quartile 3
    1.01348
  • Maximum
    1.05993
  • Mean of quarter 1
    0.97601
  • Mean of quarter 2
    1.00044
  • Mean of quarter 3
    1.00837
  • Mean of quarter 4
    1.02443
  • Inter Quartile Range
    0.01720
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.94314
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.04946
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47157
  • VaR(95%) (moments method)
    0.01820
  • Expected Shortfall (moments method)
    0.04213
  • Extreme Value Index (regression method)
    -0.06272
  • VaR(95%) (regression method)
    0.02519
  • Expected Shortfall (regression method)
    0.03692
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00164
  • Quartile 1
    0.00436
  • Median
    0.00611
  • Quartile 3
    0.08450
  • Maximum
    0.20487
  • Mean of quarter 1
    0.00291
  • Mean of quarter 2
    0.00538
  • Mean of quarter 3
    0.03652
  • Mean of quarter 4
    0.13135
  • Inter Quartile Range
    0.08014
  • 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
    0.10000
  • Mean of outliers high
    0.20487
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.18250
  • VaR(95%) (moments method)
    0.15503
  • Expected Shortfall (moments method)
    0.21956
  • Extreme Value Index (regression method)
    2.67205
  • VaR(95%) (regression method)
    0.28453
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.61240
  • Compounded annual return (geometric extrapolation)
    0.70616
  • Calmar ratio (compounded annual return / max draw down)
    3.44681
  • Compounded annual return / average of 25% largest draw downs
    5.37633
  • Compounded annual return / Expected Shortfall lognormal
    17.14250

Strategy Description

Contrarian is a counter trend automated system.

The aim of the strategy is to operate opposite to a short term trend signal in case of two longer term indicators advise us.

• One of them measures the strength of the main trend by calculating at every candle the ratio between its profit and risk.
• The other one memorizes the behavior of volume in previous turns of market. The goal is to decide if supports are stronger than resistances or vice versa, taking also account of the distance of several historical supports & resistances to the current price, and how old they are.

The strategy doesn’t have a fixed profit target as well as doesn’t have a trailing stop loss. There are only entry and exit signals and a physical stop loss which comes defined by the money management.

Summary Statistics

Strategy began
2015-02-14
Minimum Capital Required
$25,000
# Trades
1304
# Profitable
858
% Profitable
65.8%
Correlation S&P500
-0.076
Sharpe Ratio
1.172

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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