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Contrarian ATS (92527663)

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

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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.

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Free AutoTrade

3.2%
Annual Return (Compounded)
51.5%
Max Drawdown
1156
Num Trades
65.7%
Win Trades
1.1 : 1
Profit Factor
55.2%
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%)(4.5%)                                    (8.4%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

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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.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/22/17 20:15 @ESU7 E-MINI S&P 500 LONG 1 2432.75 6/23 3:15 2435.00 n/a $105
Includes Typical Broker Commissions trade costs of $8.00
6/22/17 10:00 @TYU7 US T-NOTE 10 YR SHORT 1 126 50/64 6/23 1:00 126 42/64 n/a $117
Includes Typical Broker Commissions trade costs of $8.00
6/22/17 13:00 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5802.75 6/22 16:00 5785.25 0.23%
Trade id #112175480
Max drawdown($90)
Time6/22/17 13:07
Quant open-1
Worst price5807.25
Drawdown as % of equity-0.23%
$342
Includes Typical Broker Commissions trade costs of $8.00
6/22/17 11:00 @ESU7 E-MINI S&P 500 SHORT 1 2435.25 6/22 16:00 2432.25 0.48%
Trade id #112172112
Max drawdown($187)
Time6/22/17 13:07
Quant open-1
Worst price2439.00
Drawdown as % of equity-0.48%
$142
Includes Typical Broker Commissions trade costs of $8.00
6/22/17 7:00 @TYU7 US T-NOTE 10 YR LONG 1 126 43/64 6/22 9:00 126 47/64 0.2%
Trade id #112167527
Max drawdown($78)
Time6/22/17 7:52
Quant open1
Worst price126 38/64
Drawdown as % of equity-0.20%
$54
Includes Typical Broker Commissions trade costs of $8.00
6/22/17 3:15 @ESU7 E-MINI S&P 500 LONG 1 2430.75 6/22 7:30 2432.75 0.36%
Trade id #112166079
Max drawdown($137)
Time6/22/17 5:31
Quant open1
Worst price2428.00
Drawdown as % of equity-0.36%
$92
Includes Typical Broker Commissions trade costs of $8.00
6/22/17 2:00 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5807.50 6/22 4:00 5787.25 0.27%
Trade id #112165385
Max drawdown($105)
Time6/22/17 2:02
Quant open-1
Worst price5812.75
Drawdown as % of equity-0.27%
$397
Includes Typical Broker Commissions trade costs of $8.00
6/21/17 10:45 QGCQ7 Gold 100 oz LONG 1 1245.9 6/22 2:30 1253.9 0.27%
Trade id #112152773
Max drawdown($100)
Time6/21/17 11:44
Quant open1
Worst price1244.9
Drawdown as % of equity-0.27%
$792
Includes Typical Broker Commissions trade costs of $8.00
6/21/17 14:00 @ESU7 E-MINI S&P 500 LONG 1 2429.50 6/22 1:45 2433.75 0.17%
Trade id #112158044
Max drawdown($62)
Time6/21/17 14:06
Quant open1
Worst price2428.25
Drawdown as % of equity-0.17%
$205
Includes Typical Broker Commissions trade costs of $8.00
6/21/17 8:00 @TYU7 US T-NOTE 10 YR LONG 1 126 43/64 6/21 14:00 126 44/64 0.47%
Trade id #112148324
Max drawdown($172)
Time6/21/17 10:03
Quant open1
Worst price126 32/64
Drawdown as % of equity-0.47%
$8
Includes Typical Broker Commissions trade costs of $8.00
6/21/17 9:00 @ESU7 E-MINI S&P 500 SHORT 1 2436.25 6/21 11:15 2431.50 0.51%
Trade id #112149083
Max drawdown($187)
Time6/21/17 10:43
Quant open-1
Worst price2440.00
Drawdown as % of equity-0.51%
$230
Includes Typical Broker Commissions trade costs of $8.00
6/20/17 18:12 @ESU7 E-MINI S&P 500 LONG 1 2436.50 6/21 8:45 2436.50 1.07%
Trade id #112142433
Max drawdown($387)
Time6/21/17 4:21
Quant open1
Worst price2428.75
Drawdown as % of equity-1.07%
($8)
Includes Typical Broker Commissions trade costs of $8.00
6/16/17 9:00 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5697.75 6/21 8:30 5740.00 2.06%
Trade id #112093932
Max drawdown($735)
Time6/16/17 11:11
Quant open1
Worst price5661.00
Drawdown as % of equity-2.06%
$837
Includes Typical Broker Commissions trade costs of $8.00
6/20/17 21:45 QGCQ7 Gold 100 oz LONG 1 1247.1 6/20 23:30 1246.9 0.3%
Trade id #112143738
Max drawdown($110)
Time6/20/17 22:48
Quant open1
Worst price1246.0
Drawdown as % of equity-0.30%
($28)
Includes Typical Broker Commissions trade costs of $8.00
6/16/17 9:00 @TYU7 US T-NOTE 10 YR SHORT 1 126 46/64 6/20 18:12 126 44/64 0.51%
Trade id #112093923
Max drawdown($187)
Time6/19/17 8:08
Quant open-1
Worst price126 58/64
Drawdown as % of equity-0.51%
$23
Includes Typical Broker Commissions trade costs of $8.00
6/12/17 13:26 QGCQ7 Gold 100 oz LONG 1 1268.1 6/18 18:21 1255.6 4.31%
Trade id #112017767
Max drawdown($1,540)
Time6/15/17 8:43
Quant open1
Worst price1252.7
Drawdown as % of equity-4.31%
($1,258)
Includes Typical Broker Commissions trade costs of $8.00
6/15/17 8:00 @TYU7 US T-NOTE 10 YR LONG 1 126 51/64 6/16 9:00 126 46/64 0.82%
Trade id #112071929
Max drawdown($297)
Time6/16/17 4:20
Quant open1
Worst price126 32/64
Drawdown as % of equity-0.82%
($86)
Includes Typical Broker Commissions trade costs of $8.00
6/15/17 13:00 @ESU7 E-MINI S&P 500 SHORT 1 2426.75 6/16 2:00 2434.50 1.32%
Trade id #112080211
Max drawdown($475)
Time6/15/17 23:50
Quant open-1
Worst price2436.25
Drawdown as % of equity-1.32%
($396)
Includes Typical Broker Commissions trade costs of $8.00
6/14/17 15:00 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5722.00 6/15 14:30 5702.00 4.51%
Trade id #112061688
Max drawdown($1,615)
Time6/15/17 10:27
Quant open1
Worst price5641.25
Drawdown as % of equity-4.51%
($408)
Includes Typical Broker Commissions trade costs of $8.00
6/15/17 4:45 @ESU7 E-MINI S&P 500 LONG 1 2424.25 6/15 11:30 2427.25 1.12%
Trade id #112070186
Max drawdown($400)
Time6/15/17 10:27
Quant open1
Worst price2416.25
Drawdown as % of equity-1.12%
$142
Includes Typical Broker Commissions trade costs of $8.00
6/15/17 4:00 @TYU7 US T-NOTE 10 YR SHORT 1 126 63/64 6/15 5:30 126 55/64 0.04%
Trade id #112069885
Max drawdown($16)
Time6/15/17 4:02
Quant open-1
Worst price127
Drawdown as % of equity-0.04%
$117
Includes Typical Broker Commissions trade costs of $8.00
6/14/17 13:52 @TYU7 US T-NOTE 10 YR SHORT 1 127 9/64 6/15 2:00 126 57/64 0.28%
Trade id #112059088
Max drawdown($109)
Time6/14/17 14:01
Quant open-1
Worst price127 16/64
Drawdown as % of equity-0.28%
$242
Includes Typical Broker Commissions trade costs of $8.00
6/14/17 1:59 @ESU7 E-MINI S&P 500 SHORT 2 2437.62 6/14 11:00 2437.12 0.75%
Trade id #112044418
Max drawdown($281)
Time6/14/17 8:45
Quant open-1
Worst price2443.25
Drawdown as % of equity-0.75%
$34
Includes Typical Broker Commissions trade costs of $16.00
6/13/17 9:00 @ESU7 E-MINI S&P 500 SHORT 1 2431.75 6/14 1:59 2436.00 0.99%
Trade id #112028841
Max drawdown($375)
Time6/13/17 15:38
Quant open-1
Worst price2439.25
Drawdown as % of equity-0.99%
($221)
Includes Typical Broker Commissions trade costs of $8.00
6/13/17 12:00 @TYU7 US T-NOTE 10 YR LONG 1 126 19/64 6/13 13:30 126 22/64 0.04%
Trade id #112034025
Max drawdown($15)
Time6/13/17 12:02
Quant open1
Worst price126 18/64
Drawdown as % of equity-0.04%
$39
Includes Typical Broker Commissions trade costs of $8.00
6/13/17 11:00 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5723.75 6/13 13:00 5756.00 0.19%
Trade id #112032155
Max drawdown($70)
Time6/13/17 11:04
Quant open1
Worst price5720.25
Drawdown as % of equity-0.19%
$637
Includes Typical Broker Commissions trade costs of $8.00
6/13/17 0:00 @ESU7 E-MINI S&P 500 SHORT 1 2429.50 6/13 7:00 2430.50 0.54%
Trade id #112025004
Max drawdown($200)
Time6/13/17 3:37
Quant open-1
Worst price2433.50
Drawdown as % of equity-0.54%
($58)
Includes Typical Broker Commissions trade costs of $8.00
6/12/17 13:27 @TYU7 US T-NOTE 10 YR SHORT 1 126 25/64 6/13 1:49 126 22/64 0.08%
Trade id #112017790
Max drawdown($30)
Time6/12/17 13:29
Quant open-1
Worst price126 27/64
Drawdown as % of equity-0.08%
$39
Includes Typical Broker Commissions trade costs of $8.00
6/9/17 13:15 @ESU7 E-MINI S&P 500 LONG 1 2433.00 6/12 16:00 2426.50 2.62%
Trade id #111995026
Max drawdown($1,025)
Time6/9/17 14:51
Quant open1
Worst price2412.50
Drawdown as % of equity-2.62%
($333)
Includes Typical Broker Commissions trade costs of $8.00
6/11/17 18:25 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5743.75 6/12 16:00 5715.50 5.45%
Trade id #112005799
Max drawdown($2,010)
Time6/12/17 9:53
Quant open1
Worst price5643.25
Drawdown as % of equity-5.45%
($573)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    2/14/2015
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    860.21
  • Age
    29 months ago
  • What it trades
    Futures
  • # Trades
    1156
  • # Profitable
    760
  • % Profitable
    65.70%
  • Avg trade duration
    21.8 hours
  • Max peak-to-valley drawdown
    51.49%
  • drawdown period
    Nov 08, 2016 - June 15, 2017
  • Annual Return (Compounded)
    3.1%
  • Avg win
    $186.12
  • Avg loss
    $314.81
  • Model Account Values (Raw)
  • Cash
    $39,894
  • Margin Used
    $10,959
  • Buying Power
    $29,328
  • Ratios
  • W:L ratio
    1.13:1
  • Sharpe Ratio
    1.011
  • Sortino Ratio
    1.412
  • Calmar Ratio
    0.782
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.07500
  • Return Statistics
  • Ann Return (w trading costs)
    3.1%
  • Ann Return (Compnd, No Fees)
    26.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    57.00%
  • Chance of 20% account loss
    23.50%
  • Chance of 30% account loss
    11.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    660
  • C2 Score
    4.6
  • 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
    $316
  • Avg Win
    $186
  • # Winners
    761
  • # Losers
    395
  • % Winners
    65.8%
  • Frequency
  • Avg Position Time (mins)
    1305.08
  • Avg Position Time (hrs)
    21.75
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23778
  • SD
    0.27114
  • Sharpe ratio (Glass type estimate)
    0.87699
  • Sharpe ratio (Hedges UMVUE)
    0.85141
  • df
    26.00000
  • t
    1.31549
  • p
    0.09991
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19689
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47557
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17838
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.53613
  • Upside Potential Ratio
    3.11866
  • Upside part of mean
    0.48275
  • Downside part of mean
    -0.24497
  • Upside SD
    0.22703
  • Downside SD
    0.15479
  • N nonnegative terms
    17.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.03956
  • Mean of criterion
    0.23778
  • SD of predictor
    0.09689
  • SD of criterion
    0.27114
  • Covariance
    -0.00850
  • r
    -0.32344
  • b (slope, estimate of beta)
    -0.90513
  • a (intercept, estimate of alpha)
    0.27359
  • Mean Square Error
    0.06846
  • DF error
    25.00000
  • t(b)
    -1.70908
  • p(b)
    0.95009
  • t(a)
    1.55729
  • p(a)
    0.06599
  • Lowerbound of 95% confidence interval for beta
    -1.99586
  • Upperbound of 95% confidence interval for beta
    0.18560
  • Lowerbound of 95% confidence interval for alpha
    -0.08824
  • Upperbound of 95% confidence interval for alpha
    0.63541
  • Treynor index (mean / b)
    -0.26271
  • Jensen alpha (a)
    0.27359
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20059
  • SD
    0.26815
  • Sharpe ratio (Glass type estimate)
    0.74804
  • Sharpe ratio (Hedges UMVUE)
    0.72622
  • df
    26.00000
  • t
    1.12206
  • p
    0.13605
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58114
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06331
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59525
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04768
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.21264
  • Upside Potential Ratio
    2.76911
  • Upside part of mean
    0.45805
  • Downside part of mean
    -0.25746
  • Upside SD
    0.21268
  • Downside SD
    0.16541
  • N nonnegative terms
    17.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.03486
  • Mean of criterion
    0.20059
  • SD of predictor
    0.09745
  • SD of criterion
    0.26815
  • Covariance
    -0.00872
  • r
    -0.33354
  • b (slope, estimate of beta)
    -0.91773
  • a (intercept, estimate of alpha)
    0.23258
  • Mean Square Error
    0.06646
  • DF error
    25.00000
  • t(b)
    -1.76897
  • p(b)
    0.95545
  • t(a)
    1.34583
  • p(a)
    0.09522
  • Lowerbound of 95% confidence interval for beta
    -1.98621
  • Upperbound of 95% confidence interval for beta
    0.15074
  • Lowerbound of 95% confidence interval for alpha
    -0.12334
  • Upperbound of 95% confidence interval for alpha
    0.58850
  • Treynor index (mean / b)
    -0.21857
  • Jensen alpha (a)
    0.23258
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10471
  • Expected Shortfall on VaR
    0.13285
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03819
  • Expected Shortfall on VaR
    0.08086
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    27.00000
  • Minimum
    0.82971
  • Quartile 1
    0.98617
  • Median
    1.01397
  • Quartile 3
    1.06503
  • Maximum
    1.20159
  • Mean of quarter 1
    0.92691
  • Mean of quarter 2
    1.00426
  • Mean of quarter 3
    1.04254
  • Mean of quarter 4
    1.11778
  • Inter Quartile Range
    0.07886
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03704
  • Mean of outliers low
    0.82971
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.03704
  • Mean of outliers high
    1.20159
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.34043
  • VaR(95%) (moments method)
    0.04806
  • Expected Shortfall (moments method)
    0.04810
  • Extreme Value Index (regression method)
    -0.12327
  • VaR(95%) (regression method)
    0.09764
  • Expected Shortfall (regression method)
    0.13793
  • 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)
    0.29873
  • Compounded annual return (geometric extrapolation)
    0.25671
  • Calmar ratio (compounded annual return / max draw down)
    1.04469
  • Compounded annual return / average of 25% largest draw downs
    1.04469
  • Compounded annual return / Expected Shortfall lognormal
    1.93225
  • 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
    0.22611
  • SD
    0.22342
  • Sharpe ratio (Glass type estimate)
    1.01201
  • Sharpe ratio (Hedges UMVUE)
    1.01077
  • df
    610.00000
  • t
    1.54545
  • p
    0.06138
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27305
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27393
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29547
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41228
  • Upside Potential Ratio
    7.70247
  • Upside part of mean
    1.23317
  • Downside part of mean
    -1.00706
  • Upside SD
    0.15620
  • Downside SD
    0.16010
  • N nonnegative terms
    338.00000
  • N negative terms
    273.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    611.00000
  • Mean of predictor
    0.04523
  • Mean of criterion
    0.22611
  • SD of predictor
    0.13112
  • SD of criterion
    0.22342
  • Covariance
    -0.00167
  • r
    -0.05684
  • b (slope, estimate of beta)
    -0.09685
  • a (intercept, estimate of alpha)
    0.23000
  • Mean Square Error
    0.04984
  • DF error
    609.00000
  • t(b)
    -1.40503
  • p(b)
    0.91974
  • t(a)
    1.57630
  • p(a)
    0.05774
  • Lowerbound of 95% confidence interval for beta
    -0.23223
  • Upperbound of 95% confidence interval for beta
    0.03852
  • Lowerbound of 95% confidence interval for alpha
    -0.05667
  • Upperbound of 95% confidence interval for alpha
    0.51765
  • Treynor index (mean / b)
    -2.33452
  • Jensen alpha (a)
    0.23049
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20096
  • SD
    0.22429
  • Sharpe ratio (Glass type estimate)
    0.89598
  • Sharpe ratio (Hedges UMVUE)
    0.89488
  • df
    610.00000
  • t
    1.36826
  • p
    0.08587
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38882
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18005
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38955
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17930
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22866
  • Upside Potential Ratio
    7.46578
  • Upside part of mean
    1.22110
  • Downside part of mean
    -1.02014
  • Upside SD
    0.15371
  • Downside SD
    0.16356
  • N nonnegative terms
    338.00000
  • N negative terms
    273.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    611.00000
  • Mean of predictor
    0.03663
  • Mean of criterion
    0.20096
  • SD of predictor
    0.13129
  • SD of criterion
    0.22429
  • Covariance
    -0.00169
  • r
    -0.05748
  • b (slope, estimate of beta)
    -0.09820
  • a (intercept, estimate of alpha)
    0.20455
  • Mean Square Error
    0.05022
  • DF error
    609.00000
  • t(b)
    -1.42090
  • p(b)
    0.92207
  • t(a)
    1.39370
  • p(a)
    0.08196
  • Lowerbound of 95% confidence interval for beta
    -0.23392
  • Upperbound of 95% confidence interval for beta
    0.03752
  • Lowerbound of 95% confidence interval for alpha
    -0.08368
  • Upperbound of 95% confidence interval for alpha
    0.49279
  • Treynor index (mean / b)
    -2.04642
  • Jensen alpha (a)
    0.20455
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02178
  • Expected Shortfall on VaR
    0.02742
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00804
  • Expected Shortfall on VaR
    0.01750
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    611.00000
  • Minimum
    0.92673
  • Quartile 1
    0.99665
  • Median
    1.00090
  • Quartile 3
    1.00621
  • Maximum
    1.07197
  • Mean of quarter 1
    0.98583
  • Mean of quarter 2
    0.99910
  • Mean of quarter 3
    1.00302
  • Mean of quarter 4
    1.01594
  • Inter Quartile Range
    0.00956
  • Number outliers low
    39.00000
  • Percentage of outliers low
    0.06383
  • Mean of outliers low
    0.96738
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.05074
  • Mean of outliers high
    1.03220
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.57788
  • VaR(95%) (moments method)
    0.01327
  • Expected Shortfall (moments method)
    0.03569
  • Extreme Value Index (regression method)
    0.34726
  • VaR(95%) (regression method)
    0.01215
  • Expected Shortfall (regression method)
    0.02307
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00406
  • Median
    0.00972
  • Quartile 3
    0.05103
  • 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
    0.12534
  • Inter Quartile Range
    0.04698
  • 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
    0.04000
  • Mean of outliers high
    0.32874
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.29097
  • VaR(95%) (moments method)
    0.12431
  • Expected Shortfall (moments method)
    0.20636
  • Extreme Value Index (regression method)
    0.58911
  • VaR(95%) (regression method)
    0.13825
  • Expected Shortfall (regression method)
    0.33704
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30243
  • Compounded annual return (geometric extrapolation)
    0.25717
  • Calmar ratio (compounded annual return / max draw down)
    0.78230
  • Compounded annual return / average of 25% largest draw downs
    2.05174
  • Compounded annual return / Expected Shortfall lognormal
    9.37932
  • 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
    0.20371
  • SD
    0.28945
  • Sharpe ratio (Glass type estimate)
    0.70376
  • Sharpe ratio (Hedges UMVUE)
    0.69970
  • df
    130.00000
  • t
    0.49764
  • p
    0.47820
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.07069
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47556
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.07341
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.47281
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89282
  • Upside Potential Ratio
    7.24620
  • Upside part of mean
    1.65331
  • Downside part of mean
    -1.44960
  • Upside SD
    0.17676
  • Downside SD
    0.22816
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12487
  • Mean of criterion
    0.20371
  • SD of predictor
    0.06822
  • SD of criterion
    0.28945
  • Covariance
    0.00110
  • r
    0.05575
  • b (slope, estimate of beta)
    0.23655
  • a (intercept, estimate of alpha)
    0.17417
  • Mean Square Error
    0.08417
  • DF error
    129.00000
  • t(b)
    0.63421
  • p(b)
    0.46453
  • t(a)
    0.42179
  • p(a)
    0.47638
  • Lowerbound of 95% confidence interval for beta
    -0.50139
  • Upperbound of 95% confidence interval for beta
    0.97448
  • Lowerbound of 95% confidence interval for alpha
    -0.64282
  • Upperbound of 95% confidence interval for alpha
    0.99116
  • Treynor index (mean / b)
    0.86118
  • Jensen alpha (a)
    0.17417
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16133
  • SD
    0.29327
  • Sharpe ratio (Glass type estimate)
    0.55012
  • Sharpe ratio (Hedges UMVUE)
    0.54693
  • df
    130.00000
  • t
    0.38899
  • p
    0.48295
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.22346
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32176
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22567
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31954
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68788
  • Upside Potential Ratio
    6.98300
  • Upside part of mean
    1.63778
  • Downside part of mean
    -1.47644
  • Upside SD
    0.17448
  • Downside SD
    0.23454
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12252
  • Mean of criterion
    0.16133
  • SD of predictor
    0.06823
  • SD of criterion
    0.29327
  • Covariance
    0.00110
  • r
    0.05514
  • b (slope, estimate of beta)
    0.23698
  • a (intercept, estimate of alpha)
    0.13230
  • Mean Square Error
    0.08641
  • DF error
    129.00000
  • t(b)
    0.62718
  • p(b)
    0.46492
  • t(a)
    0.31629
  • p(a)
    0.48228
  • Lowerbound of 95% confidence interval for beta
    -0.51060
  • Upperbound of 95% confidence interval for beta
    0.98456
  • Lowerbound of 95% confidence interval for alpha
    -0.69530
  • Upperbound of 95% confidence interval for alpha
    0.95989
  • Treynor index (mean / b)
    0.68079
  • Jensen alpha (a)
    0.13230
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02876
  • Expected Shortfall on VaR
    0.03607
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01109
  • Expected Shortfall on VaR
    0.02430
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92673
  • Quartile 1
    0.99586
  • Median
    1.00254
  • Quartile 3
    1.01122
  • Maximum
    1.04810
  • Mean of quarter 1
    0.97922
  • Mean of quarter 2
    0.99947
  • Mean of quarter 3
    1.00592
  • Mean of quarter 4
    1.01908
  • Inter Quartile Range
    0.01537
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.94425
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.04432
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22553
  • VaR(95%) (moments method)
    0.01485
  • Expected Shortfall (moments method)
    0.02514
  • Extreme Value Index (regression method)
    0.07018
  • VaR(95%) (regression method)
    0.02015
  • Expected Shortfall (regression method)
    0.03141
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00164
  • Quartile 1
    0.00518
  • Median
    0.00986
  • Quartile 3
    0.05578
  • Maximum
    0.20487
  • Mean of quarter 1
    0.00273
  • Mean of quarter 2
    0.00701
  • Mean of quarter 3
    0.01740
  • Mean of quarter 4
    0.14238
  • Inter Quartile Range
    0.05060
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.18019
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -23.96620
  • VaR(95%) (moments method)
    0.13515
  • Expected Shortfall (moments method)
    0.13515
  • Extreme Value Index (regression method)
    -1.84625
  • VaR(95%) (regression method)
    0.26113
  • Expected Shortfall (regression method)
    0.26689
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19848
  • Compounded annual return (geometric extrapolation)
    0.20833
  • Calmar ratio (compounded annual return / max draw down)
    1.01687
  • Compounded annual return / average of 25% largest draw downs
    1.46319
  • Compounded annual return / Expected Shortfall lognormal
    5.77604

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
1156
# Profitable
760
% Profitable
65.7%
Correlation S&P500
-0.075
Sharpe Ratio
1.011

Latest Subscribers

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subscribed on #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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