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

Dow Futures Long Short
(93902632)

Created by: OverBrookeCapital OverBrookeCapital
Started: 04/2015
Futures
Last trade: 3,058 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 $199.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

12.5%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(25.0%)
Max Drawdown
43
Num Trades
53.5%
Win Trades
1.4 : 1
Profit Factor
4.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                     +2.3%(14.7%)+5.5%+9.1%+17.8%(12.9%)(8.6%)+20.1%  -  +13.0%
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 16 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/30/15 16:44 @YGZ5 Mini Gold NYSE Liffe SHORT 2 1114.4 11/13 7:59 1083.8 0.85%
Trade id #97532603
Max drawdown$171
Time10/2/15 6:12
Quant open
Worst price1190.7
Drawdown as % of equity0.85%
$2,016
Includes Typical Broker Commissions trade costs of $16.00
9/28/15 16:57 @YGZ5 Mini Gold NYSE Liffe LONG 2 1132.6 9/30 16:44 1114.4 0.22%
Trade id #97482975
Max drawdown$46
Time9/29/15 9:50
Quant open
Worst price1111.5
Drawdown as % of equity0.22%
($1,224)
Includes Typical Broker Commissions trade costs of $16.00
9/29/15 16:00 @YMZ5 MINI DOW SHORT 1 15940 9/30 13:02 16052 1.13%
Trade id #97506525
Max drawdown$234
Time9/29/15 20:06
Quant open
Worst price16180
Drawdown as % of equity1.13%
($568)
Includes Typical Broker Commissions trade costs of $8.00
9/23/15 2:00 @YMZ5 MINI DOW SHORT 1 16087 9/23 16:14 16189 1.09%
Trade id #97386964
Max drawdown$232
Time9/23/15 2:03
Quant open
Worst price16316
Drawdown as % of equity1.09%
($518)
Includes Typical Broker Commissions trade costs of $8.00
9/22/15 16:30 @YMZ5 MINI DOW LONG 1 16223 9/23 2:00 16087 0.77%
Trade id #97380599
Max drawdown$169
Time9/22/15 21:20
Quant open
Worst price16065
Drawdown as % of equity0.77%
($688)
Includes Typical Broker Commissions trade costs of $8.00
9/18/15 2:00 @YMZ5 MINI DOW SHORT 1 16571 9/22 16:14 16227 1.06%
Trade id #97301738
Max drawdown$231
Time9/20/15 21:27
Quant open
Worst price16465
Drawdown as % of equity1.06%
$1,712
Includes Typical Broker Commissions trade costs of $8.00
9/22/15 11:00 @ESZ5 E-MINI S&P 500 LONG 1 1923.75 9/22 15:01 1925.25 0.05%
Trade id #97371570
Max drawdown$12
Time9/22/15 12:13
Quant open
Worst price1917.75
Drawdown as % of equity0.05%
$67
Includes Typical Broker Commissions trade costs of $8.00
9/17/15 16:38 @YMZ5 MINI DOW LONG 1 16542 9/18 2:00 16571 0.27%
Trade id #97296006
Max drawdown$55
Time9/17/15 18:56
Quant open
Worst price16525
Drawdown as % of equity0.27%
$137
Includes Typical Broker Commissions trade costs of $8.00
9/3/15 2:00 @YMU5 MINI DOW SHORT 1 16327 9/17 16:14 16655 3.27%
Trade id #97021348
Max drawdown$879
Time9/4/15 14:27
Quant open
Worst price16903
Drawdown as % of equity3.27%
($1,648)
Includes Typical Broker Commissions trade costs of $8.00
9/2/15 2:00 @YMU5 MINI DOW SHORT 1 16216 9/2 21:10 16330 1.02%
Trade id #96994271
Max drawdown$270
Time9/2/15 10:49
Quant open
Worst price16399
Drawdown as % of equity1.02%
($578)
Includes Typical Broker Commissions trade costs of $8.00
9/1/15 2:00 @YMU5 MINI DOW SHORT 1 16232 9/1 16:14 16092 0.58%
Trade id #96966722
Max drawdown$151
Time9/1/15 8:59
Quant open
Worst price16229
Drawdown as % of equity0.58%
$692
Includes Typical Broker Commissions trade costs of $8.00
8/31/15 16:14 @YMU5 MINI DOW LONG 1 16467 9/1 2:00 16232 1.05%
Trade id #96960503
Max drawdown$279
Time8/31/15 18:03
Quant open
Worst price16214
Drawdown as % of equity1.05%
($1,183)
Includes Typical Broker Commissions trade costs of $8.00
8/27/15 12:00 @YMU5 MINI DOW SHORT 1 16524 8/31 16:14 16467 1.26%
Trade id #96889232
Max drawdown$344
Time8/27/15 15:07
Quant open
Worst price16673
Drawdown as % of equity1.26%
$277
Includes Typical Broker Commissions trade costs of $8.00
8/23/15 18:24 @YMU5 MINI DOW LONG 3 15916 8/27 11:59 16125 4.76%
Trade id #96789370
Max drawdown$1,095
Time8/23/15 20:41
Quant open
Worst price15285
Drawdown as % of equity4.76%
$3,111
Includes Typical Broker Commissions trade costs of $24.00
8/20/15 10:00 @YMU5 MINI DOW SHORT 1 17119 8/23 18:24 16369 0.57%
Trade id #96746331
Max drawdown$120
Time8/20/15 22:45
Quant open
Worst price16900
Drawdown as % of equity0.57%
$3,742
Includes Typical Broker Commissions trade costs of $8.00
8/18/15 18:13 @YMU5 MINI DOW LONG 2 17479 8/20 10:00 17278 1.87%
Trade id #96708067
Max drawdown$402
Time8/18/15 20:50
Quant open
Worst price17109
Drawdown as % of equity1.87%
($2,031)
Includes Typical Broker Commissions trade costs of $16.00
8/18/15 2:06 @YMU5 MINI DOW SHORT 1 17497 8/18 16:14 17480 0.35%
Trade id #96689378
Max drawdown$75
Time8/18/15 8:28
Quant open
Worst price17514
Drawdown as % of equity0.35%
$77
Includes Typical Broker Commissions trade costs of $8.00
8/17/15 16:14 @YMU5 MINI DOW LONG 1 17502 8/18 2:06 17497 0.2%
Trade id #96682898
Max drawdown$43
Time8/17/15 21:40
Quant open
Worst price17492
Drawdown as % of equity0.20%
($33)
Includes Typical Broker Commissions trade costs of $8.00
8/13/15 2:00 @YMU5 MINI DOW SHORT 1 17401 8/17 16:14 17502 0.93%
Trade id #96611450
Max drawdown$206
Time8/13/15 10:06
Quant open
Worst price17510
Drawdown as % of equity0.93%
($513)
Includes Typical Broker Commissions trade costs of $8.00
8/12/15 16:14 @YMU5 MINI DOW LONG 2 17367 8/13 2:00 17395 0.76%
Trade id #96605004
Max drawdown$164
Time8/12/15 20:59
Quant open
Worst price17296
Drawdown as % of equity0.76%
$264
Includes Typical Broker Commissions trade costs of $16.00
8/6/15 16:34 @YMU5 MINI DOW LONG 2 17373 8/7 2:00 17384 0.16%
Trade id #96489782
Max drawdown$34
Time8/6/15 18:01
Quant open
Worst price17366
Drawdown as % of equity0.16%
$94
Includes Typical Broker Commissions trade costs of $16.00
7/30/15 16:14 @YMU5 MINI DOW LONG 2 17687 7/31 2:00 17684 0.22%
Trade id #96170749
Max drawdown$46
Time7/30/15 16:15
Quant open
Worst price17666
Drawdown as % of equity0.22%
($46)
Includes Typical Broker Commissions trade costs of $16.00
7/29/15 20:14 @YGZ5 Mini Gold NYSE Liffe SHORT 2 1096.6 7/30 22:24 1084.3 0.08%
Trade id #96148276
Max drawdown$17
Time7/30/15 2:51
Quant open
Worst price1092.4
Drawdown as % of equity0.08%
$801
Includes Typical Broker Commissions trade costs of $16.00
7/26/15 19:16 @YGQ5 Mini Gold NYSE Liffe SHORT 2 1095.0 7/29 19:16 1096.4 0.09%
Trade id #96069194
Max drawdown$18
Time7/27/15 8:31
Quant open
Worst price1098.1
Drawdown as % of equity0.09%
($109)
Includes Typical Broker Commissions trade costs of $16.00
7/20/15 10:37 @YMU5 MINI DOW SHORT 1 18000 7/22 12:30 17760 0.33%
Trade id #95963272
Max drawdown$70
Time7/21/15 14:15
Quant open
Worst price17859
Drawdown as % of equity0.33%
$1,192
Includes Typical Broker Commissions trade costs of $8.00
7/13/15 18:00 @YMU5 MINI DOW LONG 3 17939 7/20 10:36 17983 0.38%
Trade id #95861891
Max drawdown$78
Time7/14/15 22:08
Quant open
Worst price17923
Drawdown as % of equity0.38%
$641
Includes Typical Broker Commissions trade costs of $24.00
7/2/15 16:00 @YMU5 MINI DOW LONG 1 17630 7/8 10:00 17502 1.73%
Trade id #95684904
Max drawdown$355
Time7/7/15 3:16
Quant open
Worst price17371
Drawdown as % of equity1.73%
($648)
Includes Typical Broker Commissions trade costs of $8.00
6/28/15 18:00 @TUU5 US T-NOTE 2 YR LONG 2 109 63/128 7/3 10:17 109 65/128 0%
Trade id #95530614
Max drawdown$0
Time6/28/15 18:18
Quant open
Worst price109 37/128
Drawdown as % of equity0.00%
$47
Includes Typical Broker Commissions trade costs of $16.00
6/17/15 19:16 @YGQ5 Mini Gold NYSE Liffe LONG 2 1185.5 6/22 19:16 1184.8 0.22%
Trade id #95127691
Max drawdown$48
Time6/18/15 11:12
Quant open
Worst price1182.4
Drawdown as % of equity0.22%
($62)
Includes Typical Broker Commissions trade costs of $16.00
6/19/15 16:14 @YMU5 MINI DOW LONG 2 17910 6/22 2:00 17984 0.26%
Trade id #95183684
Max drawdown$50
Time6/19/15 17:12
Quant open
Worst price17907
Drawdown as % of equity0.26%
$724
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    4/16/2015
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    3263.69
  • Age
    109 months ago
  • What it trades
    Futures
  • # Trades
    43
  • # Profitable
    23
  • % Profitable
    53.50%
  • Avg trade duration
    4.5 days
  • Max peak-to-valley drawdown
    24.96%
  • drawdown period
    May 07, 2015 - May 31, 2015
  • Cumul. Return
    5.6%
  • Avg win
    $817.52
  • Avg loss
    $671.80
  • Model Account Values (Raw)
  • Cash
    $25,366
  • Margin Used
    $0
  • Buying Power
    $25,366
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    0.02
  • Sortino Ratio
    0.03
  • Calmar Ratio
    0.337
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    15.14%
  • Correlation to SP500
    -0.03740
  • Return Percent SP500 (cumu) during strategy life
    149.34%
  • Return Statistics
  • Ann Return (w trading costs)
    12.5%
  • Slump
  • Current Slump as Pcnt Equity
    9.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.056%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    78.00%
  • Chance of 20% account loss
    35.50%
  • Chance of 30% account loss
    19.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    463
  • Popularity (Last 6 weeks)
    830
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $672
  • Avg Win
    $818
  • Sum Trade PL (losers)
    $13,436.000
  • Age
  • Num Months filled monthly returns table
    108
  • Win / Loss
  • Sum Trade PL (winners)
    $18,803.000
  • # Winners
    23
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    20
  • % Winners
    53.5%
  • Frequency
  • Avg Position Time (mins)
    6410.20
  • Avg Position Time (hrs)
    106.84
  • Avg Trade Length
    4.5 days
  • Last Trade Ago
    2933
  • Regression
  • Alpha
    0.00
  • Beta
    -0.03
  • Treynor Index
    -0.03
  • Maximum Adverse Excursion (MAE)
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77550
  • SD
    0.38189
  • Sharpe ratio (Glass type estimate)
    2.03067
  • Sharpe ratio (Hedges UMVUE)
    1.62024
  • df
    4.00000
  • t
    1.31079
  • p
    0.13006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39505
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.25738
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61705
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.85753
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.75490
  • Upside Potential Ratio
    12.72260
  • Upside part of mean
    0.91739
  • Downside part of mean
    -0.14189
  • Upside SD
    0.40198
  • Downside SD
    0.07211
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.22187
  • Mean of criterion
    0.77550
  • SD of predictor
    0.11586
  • SD of criterion
    0.38189
  • Covariance
    -0.02991
  • r
    -0.67601
  • b (slope, estimate of beta)
    -2.22815
  • a (intercept, estimate of alpha)
    0.28113
  • Mean Square Error
    0.10559
  • DF error
    3.00000
  • t(b)
    -1.58893
  • p(b)
    0.89486
  • t(a)
    0.47505
  • p(a)
    0.33360
  • Lowerbound of 95% confidence interval for beta
    -6.69087
  • Upperbound of 95% confidence interval for beta
    2.23458
  • Lowerbound of 95% confidence interval for alpha
    -1.60223
  • Upperbound of 95% confidence interval for alpha
    2.16450
  • Treynor index (mean / b)
    -0.34805
  • Jensen alpha (a)
    0.28113
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70059
  • SD
    0.35256
  • Sharpe ratio (Glass type estimate)
    1.98714
  • Sharpe ratio (Hedges UMVUE)
    1.58551
  • df
    4.00000
  • t
    1.28269
  • p
    0.13444
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42552
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.20349
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64351
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81453
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.52322
  • Upside Potential Ratio
    11.48660
  • Upside part of mean
    0.84503
  • Downside part of mean
    -0.14444
  • Upside SD
    0.36733
  • Downside SD
    0.07357
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.22948
  • Mean of criterion
    0.70059
  • SD of predictor
    0.12033
  • SD of criterion
    0.35256
  • Covariance
    -0.02800
  • r
    -0.66005
  • b (slope, estimate of beta)
    -1.93386
  • a (intercept, estimate of alpha)
    0.25682
  • Mean Square Error
    0.09353
  • DF error
    3.00000
  • t(b)
    -1.52182
  • p(b)
    0.88729
  • t(a)
    0.46162
  • p(a)
    0.33788
  • Lowerbound of 95% confidence interval for beta
    -5.97797
  • Upperbound of 95% confidence interval for beta
    2.11024
  • Lowerbound of 95% confidence interval for alpha
    -1.51369
  • Upperbound of 95% confidence interval for alpha
    2.02732
  • Treynor index (mean / b)
    -0.36228
  • Jensen alpha (a)
    0.25682
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10329
  • Expected Shortfall on VaR
    0.14002
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02412
  • Expected Shortfall on VaR
    0.04450
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.95680
  • Quartile 1
    0.98574
  • Median
    1.02735
  • Quartile 3
    1.13773
  • Maximum
    1.21966
  • Mean of quarter 1
    0.97127
  • Mean of quarter 2
    1.02735
  • Mean of quarter 3
    1.13773
  • Mean of quarter 4
    1.21966
  • Inter Quartile Range
    0.15199
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.05685
  • Quartile 1
    0.05685
  • Median
    0.05685
  • Quartile 3
    0.05685
  • Maximum
    0.05685
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.82692
  • Compounded annual return (geometric extrapolation)
    1.03510
  • Calmar ratio (compounded annual return / max draw down)
    18.20900
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    7.39229
  • 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
    0.36900
  • SD
    0.36381
  • Sharpe ratio (Glass type estimate)
    1.01427
  • Sharpe ratio (Hedges UMVUE)
    1.00970
  • df
    167.00000
  • t
    0.70881
  • p
    0.46515
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.79396
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.81948
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79700
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.81640
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63697
  • Upside Potential Ratio
    10.51520
  • Upside part of mean
    2.37028
  • Downside part of mean
    -2.00128
  • Upside SD
    0.28487
  • Downside SD
    0.22542
  • N nonnegative terms
    73.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    168.00000
  • Mean of predictor
    -0.20062
  • Mean of criterion
    0.36900
  • SD of predictor
    0.16571
  • SD of criterion
    0.36381
  • Covariance
    -0.00249
  • r
    -0.04133
  • b (slope, estimate of beta)
    -0.09075
  • a (intercept, estimate of alpha)
    0.10600
  • Mean Square Error
    0.13293
  • DF error
    166.00000
  • t(b)
    -0.53301
  • p(b)
    0.52067
  • t(a)
    0.67095
  • p(a)
    0.47400
  • Lowerbound of 95% confidence interval for beta
    -0.42690
  • Upperbound of 95% confidence interval for beta
    0.24540
  • Lowerbound of 95% confidence interval for alpha
    -0.68146
  • Upperbound of 95% confidence interval for alpha
    1.38304
  • Treynor index (mean / b)
    -4.06615
  • Jensen alpha (a)
    0.35079
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30373
  • SD
    0.36104
  • Sharpe ratio (Glass type estimate)
    0.84127
  • Sharpe ratio (Hedges UMVUE)
    0.83749
  • df
    167.00000
  • t
    0.58791
  • p
    0.47108
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.96598
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64615
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.96856
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64354
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32501
  • Upside Potential Ratio
    10.16860
  • Upside part of mean
    2.33093
  • Downside part of mean
    -2.02720
  • Upside SD
    0.27802
  • Downside SD
    0.22923
  • N nonnegative terms
    73.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    168.00000
  • Mean of predictor
    -0.21437
  • Mean of criterion
    0.30373
  • SD of predictor
    0.16609
  • SD of criterion
    0.36104
  • Covariance
    -0.00242
  • r
    -0.04034
  • b (slope, estimate of beta)
    -0.08769
  • a (intercept, estimate of alpha)
    0.28493
  • Mean Square Error
    0.13092
  • DF error
    166.00000
  • t(b)
    -0.52018
  • p(b)
    0.52017
  • t(a)
    0.54898
  • p(a)
    0.47872
  • Lowerbound of 95% confidence interval for beta
    -0.42052
  • Upperbound of 95% confidence interval for beta
    0.24514
  • Lowerbound of 95% confidence interval for alpha
    -0.73979
  • Upperbound of 95% confidence interval for alpha
    1.30966
  • Treynor index (mean / b)
    -3.46372
  • Jensen alpha (a)
    0.28493
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03066
  • Expected Shortfall on VaR
    0.03848
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01444
  • Expected Shortfall on VaR
    0.02809
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    168.00000
  • Minimum
    0.94722
  • Quartile 1
    0.99295
  • Median
    1.00000
  • Quartile 3
    1.00901
  • Maximum
    1.07848
  • Mean of quarter 1
    0.97887
  • Mean of quarter 2
    0.99792
  • Mean of quarter 3
    1.00266
  • Mean of quarter 4
    1.02495
  • Inter Quartile Range
    0.01606
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.04762
  • Mean of outliers low
    0.95887
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.04762
  • Mean of outliers high
    1.05652
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01180
  • VaR(95%) (moments method)
    0.01866
  • Expected Shortfall (moments method)
    0.02535
  • Extreme Value Index (regression method)
    0.04018
  • VaR(95%) (regression method)
    0.01868
  • Expected Shortfall (regression method)
    0.02596
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00517
  • Median
    0.01830
  • Quartile 3
    0.03950
  • Maximum
    0.18849
  • Mean of quarter 1
    0.00156
  • Mean of quarter 2
    0.01091
  • Mean of quarter 3
    0.03186
  • Mean of quarter 4
    0.12356
  • Inter Quartile Range
    0.03433
  • 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
    0.16539
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -48.49620
  • VaR(95%) (moments method)
    0.09742
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.14770
  • VaR(95%) (regression method)
    0.26169
  • Expected Shortfall (regression method)
    0.26576
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33898
  • Compounded annual return (geometric extrapolation)
    0.36845
  • Calmar ratio (compounded annual return / max draw down)
    1.95475
  • Compounded annual return / average of 25% largest draw downs
    2.98195
  • Compounded annual return / Expected Shortfall lognormal
    9.57437
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Max Equity Drawdown (num days)
    24

Strategy Description

Dow Futures Long-Short is a non-discretionary technical trading system that predominately uses the Mini Dow Jones Industrial Average as its core futures contract. Will occasionally trade the Russell 2000, Gold, and the 2 yr Treasury as well.

Entries and exits are based on a variety of indicators. Those indicators include moving averages, stochastic oscillators, momentum indicators, and parabolics. The methodology is based on trending factors and the attempt to find the particular short-term trend of the market, whether increasing or declining, and riding that primary short-term trend as long as possible to maximize returns. Overnight trading strategies have also been developed to take advantage of profit opportunities as well.

Many years of trial and error have gone into the system. It is an aggressive trading methodology that looks to the use of leverage to maximize returns. The system does utilize indicator stops but focuses more on upfront equity levels to manage drawdowns to an acceptable level.

Summary Statistics

Strategy began
2015-04-16
Suggested Minimum Capital
$20,000
# Trades
43
# Profitable
23
% Profitable
53.5%
Correlation S&P500
-0.037
Sharpe Ratio
0.02
Sortino Ratio
0.03
Beta
-0.03
Alpha
0.00

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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