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

Contrarian ATS
(92527663)

Created by: Alejandro_Lucas_Ara Alejandro_Lucas_Ara
Started: 02/2015
Futures
Last trade: 37 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 $29.00 per month.

-2.8%
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.

53.4%
Max Drawdown
1529
Num Trades
65.3%
Win Trades
1.1 : 1
Profit Factor
48.6%
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%)(10.7%)(10.8%)(3.7%)+5.9%(11.7%)
2018(11.6%)  -                                                              (11.6%)

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
1/15/18 11:00 @ESH8 E-MINI S&P 500 SHORT 1 2795.75 1/15 13:52 2794.50 0.03%
Trade id #115886076
Max drawdown($12)
Time1/15/18 11:03
Quant open-1
Worst price2796.00
Drawdown as % of equity-0.03%
$55
Includes Typical Broker Commissions trade costs of $8.00
1/11/18 8:00 @TYH8 US T-NOTE 10 YR LONG 1 122 61/64 1/15 10:12 122 60/64 0.82%
Trade id #115824852
Max drawdown($328)
Time1/12/18 8:54
Quant open1
Worst price122 40/64
Drawdown as % of equity-0.82%
($23)
Includes Typical Broker Commissions trade costs of $8.00
1/11/18 12:30 @NQH8 E-MINI NASDAQ 100 STK IDX SHORT 1 6697.25 1/15 10:12 6780.75 5.06%
Trade id #115834634
Max drawdown($2,025)
Time1/15/18 0:30
Quant open-1
Worst price6798.50
Drawdown as % of equity-5.06%
($1,678)
Includes Typical Broker Commissions trade costs of $8.00
1/12/18 8:45 @ESH8 E-MINI S&P 500 LONG 1 2768.50 1/15 10:12 2795.00 0.03%
Trade id #115852560
Max drawdown($12)
Time1/12/18 8:50
Quant open1
Worst price2768.25
Drawdown as % of equity-0.03%
$1,317
Includes Typical Broker Commissions trade costs of $8.00
1/11/18 1:08 @ESH8 E-MINI S&P 500 SHORT 1 2752.75 1/12 8:00 2773.75 3%
Trade id #115820934
Max drawdown($1,200)
Time1/12/18 4:21
Quant open-1
Worst price2776.75
Drawdown as % of equity-3.00%
($1,058)
Includes Typical Broker Commissions trade costs of $8.00
1/11/18 1:08 @TYH8 US T-NOTE 10 YR SHORT 1 123 6/64 1/11 2:00 123 6/64 0.04%
Trade id #115820929
Max drawdown($15)
Time1/11/18 1:10
Quant open-1
Worst price123 7/64
Drawdown as % of equity-0.04%
($8)
Includes Typical Broker Commissions trade costs of $8.00
1/10/18 0:30 @NQH8 E-MINI NASDAQ 100 STK IDX LONG 1 6680.75 1/11 1:08 6679.25 2.59%
Trade id #115791694
Max drawdown($1,050)
Time1/10/18 10:03
Quant open1
Worst price6628.25
Drawdown as % of equity-2.59%
($38)
Includes Typical Broker Commissions trade costs of $8.00
1/9/18 15:00 @TYH8 US T-NOTE 10 YR LONG 1 123 4/64 1/10 14:00 122 60/64 0.89%
Trade id #115783053
Max drawdown($358)
Time1/10/18 6:56
Quant open1
Worst price122 45/64
Drawdown as % of equity-0.89%
($132)
Includes Typical Broker Commissions trade costs of $8.00
1/9/18 20:00 @ESH8 E-MINI S&P 500 LONG 1 2750.50 1/10 13:00 2749.50 1.73%
Trade id #115789703
Max drawdown($700)
Time1/10/18 9:54
Quant open1
Worst price2736.50
Drawdown as % of equity-1.73%
($58)
Includes Typical Broker Commissions trade costs of $8.00
1/9/18 4:00 @ESH8 E-MINI S&P 500 SHORT 1 2748.00 1/9 16:00 2751.75 1.44%
Trade id #115764264
Max drawdown($600)
Time1/9/18 14:01
Quant open-1
Worst price2760.00
Drawdown as % of equity-1.44%
($196)
Includes Typical Broker Commissions trade costs of $8.00
1/5/18 3:30 @NQH8 E-MINI NASDAQ 100 STK IDX SHORT 1 6616.25 1/9 10:00 6673.75 4.31%
Trade id #115710646
Max drawdown($1,790)
Time1/9/18 8:43
Quant open-1
Worst price6705.75
Drawdown as % of equity-4.31%
($1,158)
Includes Typical Broker Commissions trade costs of $8.00
1/8/18 18:31 @TYH8 US T-NOTE 10 YR LONG 1 123 29/64 1/9 7:30 123 28/64 0.38%
Trade id #115760229
Max drawdown($156)
Time1/9/18 3:36
Quant open1
Worst price123 19/64
Drawdown as % of equity-0.38%
($23)
Includes Typical Broker Commissions trade costs of $8.00
1/5/18 11:00 @TYH8 US T-NOTE 10 YR LONG 1 123 32/64 1/8 7:37 123 38/64 0.22%
Trade id #115718621
Max drawdown($93)
Time1/8/18 3:01
Quant open1
Worst price123 26/64
Drawdown as % of equity-0.22%
$86
Includes Typical Broker Commissions trade costs of $8.00
1/5/18 1:32 @TYH8 US T-NOTE 10 YR LONG 1 123 41/64 1/5 9:00 123 42/64 0.18%
Trade id #115710088
Max drawdown($78)
Time1/5/18 6:44
Quant open1
Worst price123 36/64
Drawdown as % of equity-0.18%
$7
Includes Typical Broker Commissions trade costs of $8.00
1/3/18 18:30 @TYH8 US T-NOTE 10 YR LONG 1 123 48/64 1/4 13:30 123 43/64 0.77%
Trade id #115683249
Max drawdown($328)
Time1/4/18 8:39
Quant open1
Worst price123 27/64
Drawdown as % of equity-0.77%
($86)
Includes Typical Broker Commissions trade costs of $8.00
1/4/18 7:30 @NQH8 E-MINI NASDAQ 100 STK IDX SHORT 1 6605.00 1/4 10:00 6600.25 0.58%
Trade id #115688833
Max drawdown($250)
Time1/4/18 8:26
Quant open-1
Worst price6617.50
Drawdown as % of equity-0.58%
$87
Includes Typical Broker Commissions trade costs of $8.00
1/3/18 13:00 @TYH8 US T-NOTE 10 YR SHORT 1 123 53/64 1/3 15:00 123 51/64 0.11%
Trade id #115673469
Max drawdown($47)
Time1/3/18 13:04
Quant open-1
Worst price123 56/64
Drawdown as % of equity-0.11%
$23
Includes Typical Broker Commissions trade costs of $8.00
1/2/18 2:31 @TYH8 US T-NOTE 10 YR LONG 1 123 63/64 1/3 6:00 123 49/64 1.06%
Trade id #115638678
Max drawdown($452)
Time1/2/18 13:27
Quant open1
Worst price123 34/64
Drawdown as % of equity-1.06%
($226)
Includes Typical Broker Commissions trade costs of $8.00
1/2/18 1:33 @NQH8 E-MINI NASDAQ 100 STK IDX LONG 1 6421.75 1/2 7:30 6432.50 1.13%
Trade id #115638021
Max drawdown($480)
Time1/2/18 4:58
Quant open1
Worst price6397.75
Drawdown as % of equity-1.13%
$207
Includes Typical Broker Commissions trade costs of $8.00
1/2/18 2:31 @ESH8 E-MINI S&P 500 LONG 1 2680.25 1/2 7:15 2682.25 0.59%
Trade id #115638670
Max drawdown($250)
Time1/2/18 4:58
Quant open1
Worst price2675.25
Drawdown as % of equity-0.59%
$92
Includes Typical Broker Commissions trade costs of $8.00
12/15/17 9:30 @NQH8 E-MINI NASDAQ 100 STK IDX SHORT 1 6433.75 12/19 6:30 6538.00 5.23%
Trade id #115370525
Max drawdown($2,240)
Time12/19/17 3:52
Quant open-1
Worst price6545.75
Drawdown as % of equity-5.23%
($2,093)
Includes Typical Broker Commissions trade costs of $8.00
12/14/17 15:14 @ESH8 E-MINI S&P 500 LONG 1 2658.00 12/15 7:00 2660.75 0.7%
Trade id #115359887
Max drawdown($312)
Time12/14/17 16:59
Quant open1
Worst price2651.75
Drawdown as % of equity-0.70%
$130
Includes Typical Broker Commissions trade costs of $8.00
12/13/17 9:00 @ESH8 E-MINI S&P 500 SHORT 1 2669.50 12/14 15:13 2658.25 0.69%
Trade id #115329658
Max drawdown($300)
Time12/13/17 11:51
Quant open-1
Worst price2675.50
Drawdown as % of equity-0.69%
$555
Includes Typical Broker Commissions trade costs of $8.00
12/13/17 9:00 @NQH8 E-MINI NASDAQ 100 STK IDX SHORT 1 6423.25 12/13 14:00 6412.00 0.66%
Trade id #115329668
Max drawdown($290)
Time12/13/17 9:42
Quant open-1
Worst price6437.75
Drawdown as % of equity-0.66%
$217
Includes Typical Broker Commissions trade costs of $8.00
12/13/17 5:00 @ESH8 E-MINI S&P 500 SHORT 1 2666.25 12/13 8:00 2666.00 0.31%
Trade id #115327555
Max drawdown($137)
Time12/13/17 6:10
Quant open-1
Worst price2669.00
Drawdown as % of equity-0.31%
$5
Includes Typical Broker Commissions trade costs of $8.00
12/12/17 18:30 @ESH8 E-MINI S&P 500 LONG 1 2666.75 12/13 4:30 2667.50 0.87%
Trade id #115322617
Max drawdown($375)
Time12/12/17 22:35
Quant open1
Worst price2659.25
Drawdown as % of equity-0.87%
$30
Includes Typical Broker Commissions trade costs of $8.00
12/12/17 22:30 @NQH8 E-MINI NASDAQ 100 STK IDX LONG 1 6387.50 12/13 4:30 6409.50 0.21%
Trade id #115323966
Max drawdown($90)
Time12/12/17 22:37
Quant open1
Worst price6383.00
Drawdown as % of equity-0.21%
$432
Includes Typical Broker Commissions trade costs of $8.00
12/12/17 5:00 @TYH8 US T-NOTE 10 YR LONG 1 124 17/64 12/12 22:30 124 13/64 0.61%
Trade id #115305133
Max drawdown($266)
Time12/12/17 13:00
Quant open1
Worst price124
Drawdown as % of equity-0.61%
($71)
Includes Typical Broker Commissions trade costs of $8.00
12/11/17 10:00 @NQH8 E-MINI NASDAQ 100 STK IDX SHORT 1 6381.25 12/12 6:00 6414.25 2.13%
Trade id #115289821
Max drawdown($930)
Time12/11/17 16:40
Quant open-1
Worst price6427.75
Drawdown as % of equity-2.13%
($668)
Includes Typical Broker Commissions trade costs of $8.00
12/11/17 13:00 @TYH8 US T-NOTE 10 YR LONG 1 124 23/64 12/12 0:00 124 19/64 0.32%
Trade id #115294131
Max drawdown($140)
Time12/11/17 15:17
Quant open1
Worst price124 14/64
Drawdown as % of equity-0.32%
($70)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    2/14/2015
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1099.23
  • Age
    37 months ago
  • What it trades
    Futures
  • # Trades
    1529
  • # Profitable
    998
  • % Profitable
    65.30%
  • Avg trade duration
    21.8 hours
  • Max peak-to-valley drawdown
    53.41%
  • drawdown period
    Nov 08, 2016 - June 28, 2017
  • Annual Return (Compounded)
    -2.8%
  • Avg win
    $199.56
  • Avg loss
    $343.52
  • Model Account Values (Raw)
  • Cash
    $40,209
  • Margin Used
    $0
  • Buying Power
    $40,209
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    0.792
  • Sortino Ratio
    1.116
  • Calmar Ratio
    0.617
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.07000
  • Return Statistics
  • Ann Return (w trading costs)
    -2.8%
  • Ann Return (Compnd, No Fees)
    19.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    59.00%
  • Chance of 20% account loss
    37.00%
  • Chance of 30% account loss
    14.00%
  • Chance of 40% account loss
    5.50%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    554
  • 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
    $344
  • Avg Win
    $200
  • # Winners
    998
  • # Losers
    531
  • % Winners
    65.3%
  • Frequency
  • Avg Position Time (mins)
    1308.65
  • Avg Position Time (hrs)
    21.81
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    33
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21892
  • SD
    0.26103
  • Sharpe ratio (Glass type estimate)
    0.83867
  • Sharpe ratio (Hedges UMVUE)
    0.81944
  • df
    33.00000
  • t
    1.41169
  • p
    0.08370
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34918
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01425
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36162
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00049
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41737
  • Upside Potential Ratio
    2.98339
  • Upside part of mean
    0.46080
  • Downside part of mean
    -0.24188
  • Upside SD
    0.21511
  • Downside SD
    0.15446
  • N nonnegative terms
    22.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.06298
  • Mean of criterion
    0.21892
  • SD of predictor
    0.08982
  • SD of criterion
    0.26103
  • Covariance
    -0.00811
  • r
    -0.34590
  • b (slope, estimate of beta)
    -1.00529
  • a (intercept, estimate of alpha)
    0.28223
  • Mean Square Error
    0.06186
  • DF error
    32.00000
  • t(b)
    -2.08543
  • p(b)
    0.97745
  • t(a)
    1.87096
  • p(a)
    0.03526
  • Lowerbound of 95% confidence interval for beta
    -1.98720
  • Upperbound of 95% confidence interval for beta
    -0.02338
  • Lowerbound of 95% confidence interval for alpha
    -0.02504
  • Upperbound of 95% confidence interval for alpha
    0.58949
  • Treynor index (mean / b)
    -0.21777
  • Jensen alpha (a)
    0.28223
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18419
  • SD
    0.25908
  • Sharpe ratio (Glass type estimate)
    0.71092
  • Sharpe ratio (Hedges UMVUE)
    0.69462
  • df
    33.00000
  • t
    1.19666
  • p
    0.11998
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47116
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48177
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87101
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.11804
  • Upside Potential Ratio
    2.66162
  • Upside part of mean
    0.43848
  • Downside part of mean
    -0.25429
  • Upside SD
    0.20208
  • Downside SD
    0.16474
  • N nonnegative terms
    22.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.05874
  • Mean of criterion
    0.18419
  • SD of predictor
    0.09030
  • SD of criterion
    0.25908
  • Covariance
    -0.00824
  • r
    -0.35203
  • b (slope, estimate of beta)
    -1.00997
  • a (intercept, estimate of alpha)
    0.24352
  • Mean Square Error
    0.06064
  • DF error
    32.00000
  • t(b)
    -2.12756
  • p(b)
    0.97941
  • t(a)
    1.63506
  • p(a)
    0.05592
  • Lowerbound of 95% confidence interval for beta
    -1.97691
  • Upperbound of 95% confidence interval for beta
    -0.04302
  • Lowerbound of 95% confidence interval for alpha
    -0.05985
  • Upperbound of 95% confidence interval for alpha
    0.54688
  • Treynor index (mean / b)
    -0.18237
  • Jensen alpha (a)
    0.24352
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10208
  • Expected Shortfall on VaR
    0.12937
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03638
  • Expected Shortfall on VaR
    0.07804
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    34.00000
  • Minimum
    0.82971
  • Quartile 1
    0.98508
  • Median
    1.01770
  • Quartile 3
    1.06147
  • Maximum
    1.20159
  • Mean of quarter 1
    0.92876
  • Mean of quarter 2
    1.00431
  • Mean of quarter 3
    1.03953
  • Mean of quarter 4
    1.10999
  • Inter Quartile Range
    0.07639
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02941
  • Mean of outliers low
    0.82971
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02941
  • Mean of outliers high
    1.20159
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.48230
  • VaR(95%) (moments method)
    0.05306
  • Expected Shortfall (moments method)
    0.06381
  • Extreme Value Index (regression method)
    0.30179
  • VaR(95%) (regression method)
    0.08568
  • Expected Shortfall (regression method)
    0.16251
  • 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)
    0.29076
  • Compounded annual return (geometric extrapolation)
    0.23627
  • Calmar ratio (compounded annual return / max draw down)
    0.96151
  • Compounded annual return / average of 25% largest draw downs
    0.96151
  • Compounded annual return / Expected Shortfall lognormal
    1.82623
  • 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
    0.18371
  • SD
    0.23159
  • Sharpe ratio (Glass type estimate)
    0.79325
  • Sharpe ratio (Hedges UMVUE)
    0.79247
  • df
    761.00000
  • t
    1.35281
  • p
    0.08826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35696
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94296
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35749
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94243
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.11610
  • Upside Potential Ratio
    7.66965
  • Upside part of mean
    1.26241
  • Downside part of mean
    -1.07870
  • Upside SD
    0.16309
  • Downside SD
    0.16460
  • N nonnegative terms
    405.00000
  • N negative terms
    357.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    762.00000
  • Mean of predictor
    0.06321
  • Mean of criterion
    0.18371
  • SD of predictor
    0.13325
  • SD of criterion
    0.23159
  • Covariance
    -0.00174
  • r
    -0.05625
  • b (slope, estimate of beta)
    -0.09776
  • a (intercept, estimate of alpha)
    0.19000
  • Mean Square Error
    0.05353
  • DF error
    760.00000
  • t(b)
    -1.55314
  • p(b)
    0.93960
  • t(a)
    1.39901
  • p(a)
    0.08111
  • Lowerbound of 95% confidence interval for beta
    -0.22132
  • Upperbound of 95% confidence interval for beta
    0.02580
  • Lowerbound of 95% confidence interval for alpha
    -0.07656
  • Upperbound of 95% confidence interval for alpha
    0.45634
  • Treynor index (mean / b)
    -1.87920
  • Jensen alpha (a)
    0.18989
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15677
  • SD
    0.23218
  • Sharpe ratio (Glass type estimate)
    0.67521
  • Sharpe ratio (Hedges UMVUE)
    0.67454
  • df
    761.00000
  • t
    1.15150
  • p
    0.12494
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47477
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82477
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47522
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82431
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93339
  • Upside Potential Ratio
    7.43801
  • Upside part of mean
    1.24927
  • Downside part of mean
    -1.09250
  • Upside SD
    0.16038
  • Downside SD
    0.16796
  • N nonnegative terms
    405.00000
  • N negative terms
    357.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    762.00000
  • Mean of predictor
    0.05425
  • Mean of criterion
    0.15677
  • SD of predictor
    0.13424
  • SD of criterion
    0.23218
  • Covariance
    -0.00176
  • r
    -0.05653
  • b (slope, estimate of beta)
    -0.09777
  • a (intercept, estimate of alpha)
    0.16207
  • Mean Square Error
    0.05381
  • DF error
    760.00000
  • t(b)
    -1.56081
  • p(b)
    0.94051
  • t(a)
    1.19121
  • p(a)
    0.11697
  • Lowerbound of 95% confidence interval for beta
    -0.22073
  • Upperbound of 95% confidence interval for beta
    0.02520
  • Lowerbound of 95% confidence interval for alpha
    -0.10502
  • Upperbound of 95% confidence interval for alpha
    0.42917
  • Treynor index (mean / b)
    -1.60350
  • Jensen alpha (a)
    0.16207
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02273
  • Expected Shortfall on VaR
    0.02856
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00893
  • Expected Shortfall on VaR
    0.01905
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    762.00000
  • Minimum
    0.92673
  • Quartile 1
    0.99633
  • Median
    1.00056
  • Quartile 3
    1.00641
  • Maximum
    1.07197
  • Mean of quarter 1
    0.98493
  • Mean of quarter 2
    0.99888
  • Mean of quarter 3
    1.00296
  • Mean of quarter 4
    1.01647
  • Inter Quartile Range
    0.01008
  • Number outliers low
    50.00000
  • Percentage of outliers low
    0.06562
  • Mean of outliers low
    0.96658
  • Number of outliers high
    38.00000
  • Percentage of outliers high
    0.04987
  • Mean of outliers high
    1.03453
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55552
  • VaR(95%) (moments method)
    0.01424
  • Expected Shortfall (moments method)
    0.03659
  • Extreme Value Index (regression method)
    0.30269
  • VaR(95%) (regression method)
    0.01274
  • Expected Shortfall (regression method)
    0.02294
  • 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
    0.14047
  • 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
    2.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    0.27996
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.45383
  • VaR(95%) (moments method)
    0.16411
  • Expected Shortfall (moments method)
    0.32543
  • Extreme Value Index (regression method)
    0.80429
  • VaR(95%) (regression method)
    0.17322
  • Expected Shortfall (regression method)
    0.76837
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24449
  • Compounded annual return (geometric extrapolation)
    0.20283
  • Calmar ratio (compounded annual return / max draw down)
    0.61700
  • Compounded annual return / average of 25% largest draw downs
    1.44400
  • Compounded annual return / Expected Shortfall lognormal
    7.10201
  • 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
    -0.10334
  • SD
    0.24711
  • Sharpe ratio (Glass type estimate)
    -0.41821
  • Sharpe ratio (Hedges UMVUE)
    -0.41579
  • df
    130.00000
  • t
    -0.29572
  • p
    0.51296
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.18976
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35479
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.18806
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35648
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.60679
  • Upside Potential Ratio
    7.24422
  • Upside part of mean
    1.23378
  • Downside part of mean
    -1.33712
  • Upside SD
    0.17786
  • Downside SD
    0.17031
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13201
  • Mean of criterion
    -0.10334
  • SD of predictor
    0.14939
  • SD of criterion
    0.24711
  • Covariance
    -0.00146
  • r
    -0.03952
  • b (slope, estimate of beta)
    -0.06537
  • a (intercept, estimate of alpha)
    -0.09471
  • Mean Square Error
    0.06144
  • DF error
    129.00000
  • t(b)
    -0.44920
  • p(b)
    0.52515
  • t(a)
    -0.26978
  • p(a)
    0.51512
  • Lowerbound of 95% confidence interval for beta
    -0.35330
  • Upperbound of 95% confidence interval for beta
    0.22256
  • Lowerbound of 95% confidence interval for alpha
    -0.78932
  • Upperbound of 95% confidence interval for alpha
    0.59989
  • Treynor index (mean / b)
    1.58089
  • Jensen alpha (a)
    -0.09471
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13352
  • SD
    0.24631
  • Sharpe ratio (Glass type estimate)
    -0.54209
  • Sharpe ratio (Hedges UMVUE)
    -0.53896
  • df
    130.00000
  • t
    -0.38332
  • p
    0.51680
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.31372
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23146
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.31154
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23362
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.77299
  • Upside Potential Ratio
    7.05253
  • Upside part of mean
    1.21823
  • Downside part of mean
    -1.35176
  • Upside SD
    0.17446
  • Downside SD
    0.17274
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12046
  • Mean of criterion
    -0.13352
  • SD of predictor
    0.15381
  • SD of criterion
    0.24631
  • Covariance
    -0.00147
  • r
    -0.03878
  • b (slope, estimate of beta)
    -0.06210
  • a (intercept, estimate of alpha)
    -0.12604
  • Mean Square Error
    0.06105
  • DF error
    129.00000
  • t(b)
    -0.44079
  • p(b)
    0.52468
  • t(a)
    -0.36029
  • p(a)
    0.52018
  • Lowerbound of 95% confidence interval for beta
    -0.34086
  • Upperbound of 95% confidence interval for beta
    0.21665
  • Lowerbound of 95% confidence interval for alpha
    -0.81820
  • Upperbound of 95% confidence interval for alpha
    0.56611
  • Treynor index (mean / b)
    2.15006
  • Jensen alpha (a)
    -0.12604
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02522
  • Expected Shortfall on VaR
    0.03138
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01308
  • Expected Shortfall on VaR
    0.02512
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95944
  • Quartile 1
    0.99508
  • Median
    1.00000
  • Quartile 3
    1.00574
  • Maximum
    1.05993
  • Mean of quarter 1
    0.98212
  • Mean of quarter 2
    0.99787
  • Mean of quarter 3
    1.00177
  • Mean of quarter 4
    1.01715
  • Inter Quartile Range
    0.01066
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.96956
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.04150
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10707
  • VaR(95%) (moments method)
    0.01404
  • Expected Shortfall (moments method)
    0.01877
  • Extreme Value Index (regression method)
    -0.44497
  • VaR(95%) (regression method)
    0.01614
  • Expected Shortfall (regression method)
    0.01943
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00594
  • Quartile 1
    0.00729
  • Median
    0.00864
  • Quartile 3
    0.11992
  • Maximum
    0.23119
  • Mean of quarter 1
    0.00594
  • Mean of quarter 2
    0.00864
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23119
  • Inter Quartile Range
    0.11263
  • 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)
    -0.10288
  • Compounded annual return (geometric extrapolation)
    -0.10023
  • Calmar ratio (compounded annual return / max draw down)
    -0.43354
  • Compounded annual return / average of 25% largest draw downs
    -0.43354
  • Compounded annual return / Expected Shortfall lognormal
    -3.19415

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
Suggested Minimum Capital
$25,000
# Trades
1529
# Profitable
998
% Profitable
65.3%
Correlation S&P500
-0.070
Sharpe Ratio
0.792

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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