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Emini Short term TEST
(96123971)

Created by: HkaurHkaur HkaurHkaur
Started: 07/2015
Futures
Last trade: 670 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. You can subscribe to this system for free.

C2Star

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

You can read more about C2Star certification requirements here.

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

13.4%
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.

(82.3%)
Max Drawdown
471
Num Trades
54.8%
Win Trades
1.2 : 1
Profit Factor
46.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                          +5.6%+2.2%+0.6%+5.2%(41.6%)+72.9%+15.3%
2016+2.1%+3.4%+12.2%+7.3%+4.9%+6.0%+4.6%+0.5%+4.3%+17.9%+43.4%(12.7%)+128.6%
2017(15.9%)(4.2%)+11.1%+3.9%+12.0%(4%)+4.3%+4.5%+5.4%(12.1%)+2.4%+5.4%+9.0%
2018(40.2%)  -    -    -    -    -    -    -    -    -    -    -  (40.2%)
2019  -    -    -    -    -    -    -    -    -    -        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 168 hours.

Trading Record

This strategy has placed 347 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/14/18 22:22 @TFSH8 Emini Russell 2000 LONG 2 1599.80 1/15 14:02 1592.15 6.26%
Trade id #115879830
Max drawdown($1,010)
Time1/15/18 12:42
Quant open2
Worst price1589.70
Drawdown as % of equity-6.26%
($781)
Includes Typical Broker Commissions trade costs of $16.00
1/5/18 12:44 @YMH8 MINI DOW SHORT 2 25134 1/14 22:22 25896 44.16%
Trade id #115722762
Max drawdown($7,840)
Time1/14/18 19:16
Quant open-2
Worst price25918
Drawdown as % of equity-44.16%
($7,636)
Includes Typical Broker Commissions trade costs of $16.00
1/8/18 14:52 @ESH8 E-MINI S&P 500 LONG 1 2747.50 1/12 0:56 2768.75 2.54%
Trade id #115755792
Max drawdown($550)
Time1/10/18 9:54
Quant open1
Worst price2736.50
Drawdown as % of equity-2.54%
$1,055
Includes Typical Broker Commissions trade costs of $8.00
1/5/18 12:44 @ESH8 E-MINI S&P 500 LONG 1 2732.75 1/8 14:51 2747.25 0.39%
Trade id #115722767
Max drawdown($87)
Time1/5/18 12:56
Quant open1
Worst price2731.00
Drawdown as % of equity-0.39%
$717
Includes Typical Broker Commissions trade costs of $8.00
1/2/18 11:40 @ESH8 E-MINI S&P 500 LONG 1 2688.25 1/3 10:25 2705.50 0.11%
Trade id #115646405
Max drawdown($25)
Time1/2/18 11:42
Quant open1
Worst price2687.75
Drawdown as % of equity-0.11%
$855
Includes Typical Broker Commissions trade costs of $8.00
1/2/18 11:40 @YMH8 MINI DOW SHORT 1 24720 1/3 10:25 24856 3.27%
Trade id #115646418
Max drawdown($730)
Time1/3/18 10:05
Quant open-1
Worst price24866
Drawdown as % of equity-3.27%
($688)
Includes Typical Broker Commissions trade costs of $8.00
12/4/17 14:31 @VXF8 CBOE Volatility Index VIX LONG 1 12.90 12/4 14:38 12.85 0.22%
Trade id #115179017
Max drawdown($50)
Time12/4/17 14:33
Quant open1
Worst price12.85
Drawdown as % of equity-0.22%
($58)
Includes Typical Broker Commissions trade costs of $8.00
12/4/17 14:31 @TFSZ7 Emini Russell 2000 LONG 1 1536.60 12/4 14:38 1539.30 n/a $127
Includes Typical Broker Commissions trade costs of $8.00
12/3/17 22:39 @VXF8 CBOE Volatility Index VIX LONG 1 12.75 12/4 9:42 12.75 0.23%
Trade id #115163750
Max drawdown($50)
Time12/3/17 23:15
Quant open1
Worst price12.70
Drawdown as % of equity-0.23%
($8)
Includes Typical Broker Commissions trade costs of $8.00
12/3/17 20:31 @ESZ7 E-MINI S&P 500 LONG 1 2659.50 12/4 9:41 2662.75 0.73%
Trade id #115162946
Max drawdown($162)
Time12/4/17 4:46
Quant open1
Worst price2656.25
Drawdown as % of equity-0.73%
$155
Includes Typical Broker Commissions trade costs of $8.00
12/3/17 20:32 @YMZ7 MINI DOW SHORT 1 24447 12/3 22:38 24464 0.52%
Trade id #115162951
Max drawdown($115)
Time12/3/17 21:39
Quant open-1
Worst price24470
Drawdown as % of equity-0.52%
($93)
Includes Typical Broker Commissions trade costs of $8.00
12/1/17 15:47 @VXZ7 CBOE Volatility Index VIX LONG 1 11.95 12/3 20:30 11.15 3.57%
Trade id #115152456
Max drawdown($800)
Time12/3/17 20:22
Quant open1
Worst price11.15
Drawdown as % of equity-3.57%
($808)
Includes Typical Broker Commissions trade costs of $8.00
11/30/17 23:41 @NQZ7 E-MINI NASDAQ 100 STK IDX LONG 1 6359.50 12/3 20:30 6376.25 10.6%
Trade id #115132405
Max drawdown($2,270)
Time12/1/17 11:34
Quant open1
Worst price6246.00
Drawdown as % of equity-10.60%
$327
Includes Typical Broker Commissions trade costs of $8.00
11/30/17 21:26 @TFSZ7 Emini Russell 2000 LONG 1 1539.20 12/3 20:30 1556.50 10.27%
Trade id #115131145
Max drawdown($2,200)
Time12/1/17 11:34
Quant open1
Worst price1495.20
Drawdown as % of equity-10.27%
$857
Includes Typical Broker Commissions trade costs of $8.00
12/1/17 15:46 @ESZ7 E-MINI S&P 500 SHORT 1 2641.25 12/1 15:47 2640.50 n/a $30
Includes Typical Broker Commissions trade costs of $8.00
12/1/17 11:56 @VXZ7 CBOE Volatility Index VIX LONG 1 12.65 12/1 15:46 11.90 3.77%
Trade id #115145718
Max drawdown($800)
Time12/1/17 15:41
Quant open1
Worst price11.85
Drawdown as % of equity-3.77%
($758)
Includes Typical Broker Commissions trade costs of $8.00
11/30/17 21:27 @YMZ7 MINI DOW SHORT 1 24216 12/1 11:56 24048 2.57%
Trade id #115131152
Max drawdown($545)
Time12/1/17 10:55
Quant open-1
Worst price24325
Drawdown as % of equity-2.57%
$832
Includes Typical Broker Commissions trade costs of $8.00
11/30/17 21:36 @VXZ7 CBOE Volatility Index VIX LONG 1 11.80 11/30 23:41 11.70 0.46%
Trade id #115131214
Max drawdown($100)
Time11/30/17 21:51
Quant open1
Worst price11.70
Drawdown as % of equity-0.46%
($108)
Includes Typical Broker Commissions trade costs of $8.00
11/30/17 21:27 @ESZ7 E-MINI S&P 500 SHORT 1 2638.25 11/30 21:35 2639.75 0.34%
Trade id #115131158
Max drawdown($75)
Time11/30/17 21:35
Quant open-1
Worst price2639.75
Drawdown as % of equity-0.34%
($83)
Includes Typical Broker Commissions trade costs of $8.00
11/17/17 13:36 @YMZ7 MINI DOW SHORT 1 23336 11/17 13:41 23343 0.21%
Trade id #114920051
Max drawdown($45)
Time11/17/17 13:40
Quant open-1
Worst price23345
Drawdown as % of equity-0.21%
($43)
Includes Typical Broker Commissions trade costs of $8.00
11/17/17 13:36 @TFSZ7 Emini Russell 2000 LONG 1 1495.90 11/17 13:41 1495.50 0.09%
Trade id #114920040
Max drawdown($20)
Time11/17/17 13:41
Quant open0
Worst price1495.50
Drawdown as % of equity-0.09%
($28)
Includes Typical Broker Commissions trade costs of $8.00
11/17/17 11:44 @YMZ7 MINI DOW SHORT 1 23348 11/17 12:17 23342 0.09%
Trade id #114917151
Max drawdown($20)
Time11/17/17 11:48
Quant open-1
Worst price23352
Drawdown as % of equity-0.09%
$22
Includes Typical Broker Commissions trade costs of $8.00
11/17/17 11:44 @TFSZ7 Emini Russell 2000 LONG 1 1491.40 11/17 12:16 1493.70 0.3%
Trade id #114917146
Max drawdown($65)
Time11/17/17 11:54
Quant open1
Worst price1490.10
Drawdown as % of equity-0.30%
$107
Includes Typical Broker Commissions trade costs of $8.00
11/17/17 10:32 @YMZ7 MINI DOW SHORT 1 23348 11/17 11:01 23354 0.39%
Trade id #114915351
Max drawdown($85)
Time11/17/17 10:53
Quant open-1
Worst price23365
Drawdown as % of equity-0.39%
($38)
Includes Typical Broker Commissions trade costs of $8.00
11/17/17 10:32 @TFSZ7 Emini Russell 2000 LONG 1 1483.60 11/17 11:01 1485.20 0.02%
Trade id #114915345
Max drawdown($5)
Time11/17/17 10:42
Quant open1
Worst price1483.50
Drawdown as % of equity-0.02%
$72
Includes Typical Broker Commissions trade costs of $8.00
11/14/17 16:25 @TFSZ7 Emini Russell 2000 LONG 1 1470.40 11/14 19:56 1469.40 0.3%
Trade id #114856012
Max drawdown($65)
Time11/14/17 17:49
Quant open1
Worst price1469.10
Drawdown as % of equity-0.30%
($58)
Includes Typical Broker Commissions trade costs of $8.00
11/14/17 16:26 @ESZ7 E-MINI S&P 500 SHORT 1 2578.00 11/14 19:56 2571.75 0%
Trade id #114856031
Max drawdown$0
Time11/14/17 16:31
Quant open-1
Worst price2578.00
Drawdown as % of equity0.00%
$305
Includes Typical Broker Commissions trade costs of $8.00
11/2/17 22:11 @VXZ7 CBOE Volatility Index VIX LONG 1 12.30 11/5 22:28 12.45 0.96%
Trade id #114663598
Max drawdown($200)
Time11/3/17 8:06
Quant open1
Worst price12.10
Drawdown as % of equity-0.96%
$142
Includes Typical Broker Commissions trade costs of $8.00
11/3/17 13:54 @ESZ7 E-MINI S&P 500 LONG 1 2583.75 11/3 14:27 2585.25 0.06%
Trade id #114677954
Max drawdown($12)
Time11/3/17 13:56
Quant open1
Worst price2583.50
Drawdown as % of equity-0.06%
$67
Includes Typical Broker Commissions trade costs of $8.00
11/3/17 13:47 @TFSZ7 Emini Russell 2000 LONG 1 1496.50 11/3 14:12 1496.50 0.12%
Trade id #114677757
Max drawdown($25)
Time11/3/17 13:57
Quant open1
Worst price1496.00
Drawdown as % of equity-0.12%
($8)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    7/29/2015
  • Suggested Minimum Cap
    $5,610
  • Strategy Age (days)
    1569.43
  • Age
    52 months ago
  • What it trades
    Futures
  • # Trades
    471
  • # Profitable
    258
  • % Profitable
    54.80%
  • Avg trade duration
    13.8 hours
  • Max peak-to-valley drawdown
    82.27%
  • drawdown period
    Dec 09, 2016 - Dec 02, 2017
  • Annual Return (Compounded)
    13.4%
  • Avg win
    $237.93
  • Avg loss
    $239.44
  • Model Account Values (Raw)
  • Cash
    $15,997
  • Margin Used
    $0
  • Buying Power
    $15,997
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    0.36
  • Sortino Ratio
    0.75
  • Calmar Ratio
    1.056
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    25.41%
  • Correlation to SP500
    -0.00320
  • Return Percent SP500 (cumu) during strategy life
    47.99%
  • Return Statistics
  • Ann Return (w trading costs)
    13.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.87%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.68%
  • Return Statistics
  • Return Pcnt Since TOS Status
    201.120%
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.134%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    27.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    82.00%
  • Chance of 20% account loss
    63.50%
  • Chance of 30% account loss
    49.50%
  • Chance of 40% account loss
    43.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    10.50%
  • Chance of 80% account loss (Monte Carlo)
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    22.50%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    28.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    361
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $239
  • Avg Win
    $238
  • Sum Trade PL (losers)
    $51,000.000
  • Age
  • Num Months (Age strategy)
    53
  • Win / Loss
  • Sum Trade PL (winners)
    $61,387.000
  • # Winners
    258
  • Num Months Winners
    24
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    213
  • % Winners
    54.8%
  • Frequency
  • Avg Position Time (mins)
    828.68
  • Avg Position Time (hrs)
    13.81
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    668
  • Regression
  • Alpha
    0.06
  • Beta
    -0.01
  • Treynor Index
    -5.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    42.91
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    32.25
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.05
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    16.533
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.714
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.379
  • Hold-and-Hope Ratio
    0.060
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42694
  • SD
    0.52017
  • Sharpe ratio (Glass type estimate)
    0.82078
  • Sharpe ratio (Hedges UMVUE)
    0.80527
  • df
    40.00000
  • t
    1.51714
  • p
    0.06855
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25957
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89120
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26965
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88020
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70995
  • Upside Potential Ratio
    2.84372
  • Upside part of mean
    0.71002
  • Downside part of mean
    -0.28308
  • Upside SD
    0.46564
  • Downside SD
    0.24968
  • N nonnegative terms
    34.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.09942
  • Mean of criterion
    0.42694
  • SD of predictor
    0.16256
  • SD of criterion
    0.52017
  • Covariance
    -0.01579
  • r
    -0.18674
  • b (slope, estimate of beta)
    -0.59755
  • a (intercept, estimate of alpha)
    0.48635
  • Mean Square Error
    0.26783
  • DF error
    39.00000
  • t(b)
    -1.18710
  • p(b)
    0.87882
  • t(a)
    1.70997
  • p(a)
    0.04761
  • Lowerbound of 95% confidence interval for beta
    -1.61572
  • Upperbound of 95% confidence interval for beta
    0.42062
  • Lowerbound of 95% confidence interval for alpha
    -0.08894
  • Upperbound of 95% confidence interval for alpha
    1.06164
  • Treynor index (mean / b)
    -0.71448
  • Jensen alpha (a)
    0.48635
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30527
  • SD
    0.47917
  • Sharpe ratio (Glass type estimate)
    0.63708
  • Sharpe ratio (Hedges UMVUE)
    0.62504
  • df
    40.00000
  • t
    1.17759
  • p
    0.12296
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43624
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70262
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44411
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69420
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04562
  • Upside Potential Ratio
    2.14663
  • Upside part of mean
    0.62671
  • Downside part of mean
    -0.32144
  • Upside SD
    0.38280
  • Downside SD
    0.29195
  • N nonnegative terms
    34.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.08658
  • Mean of criterion
    0.30527
  • SD of predictor
    0.15895
  • SD of criterion
    0.47917
  • Covariance
    -0.01398
  • r
    -0.18358
  • b (slope, estimate of beta)
    -0.55341
  • a (intercept, estimate of alpha)
    0.35318
  • Mean Square Error
    0.22755
  • DF error
    39.00000
  • t(b)
    -1.16626
  • p(b)
    0.87470
  • t(a)
    1.35153
  • p(a)
    0.09216
  • Lowerbound of 95% confidence interval for beta
    -1.51321
  • Upperbound of 95% confidence interval for beta
    0.40639
  • Lowerbound of 95% confidence interval for alpha
    -0.17539
  • Upperbound of 95% confidence interval for alpha
    0.88176
  • Treynor index (mean / b)
    -0.55161
  • Jensen alpha (a)
    0.35318
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18297
  • Expected Shortfall on VaR
    0.22787
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02151
  • Expected Shortfall on VaR
    0.06201
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    41.00000
  • Minimum
    0.68664
  • Quartile 1
    1.00000
  • Median
    1.01323
  • Quartile 3
    1.06479
  • Maximum
    1.58832
  • Mean of quarter 1
    0.91207
  • Mean of quarter 2
    1.00261
  • Mean of quarter 3
    1.04077
  • Mean of quarter 4
    1.19921
  • Inter Quartile Range
    0.06479
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.07317
  • Mean of outliers low
    0.76470
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.07317
  • Mean of outliers high
    1.42600
  • 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)
    -0.03705
  • VaR(95%) (regression method)
    0.07792
  • Expected Shortfall (regression method)
    0.13271
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.09105
  • Quartile 1
    0.16131
  • Median
    0.24357
  • Quartile 3
    0.30514
  • Maximum
    0.31336
  • Mean of quarter 1
    0.09105
  • Mean of quarter 2
    0.18473
  • Mean of quarter 3
    0.30240
  • Mean of quarter 4
    0.31336
  • Inter Quartile Range
    0.14383
  • 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)
    0.53787
  • Compounded annual return (geometric extrapolation)
    0.35699
  • Calmar ratio (compounded annual return / max draw down)
    1.13924
  • Compounded annual return / average of 25% largest draw downs
    1.13924
  • Compounded annual return / Expected Shortfall lognormal
    1.56667
  • 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
    0.35607
  • SD
    0.36022
  • Sharpe ratio (Glass type estimate)
    0.98847
  • Sharpe ratio (Hedges UMVUE)
    0.98765
  • df
    914.00000
  • t
    1.84723
  • p
    0.03252
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06154
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03799
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06211
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03742
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.10518
  • Upside Potential Ratio
    5.87741
  • Upside part of mean
    0.99410
  • Downside part of mean
    -0.63803
  • Upside SD
    0.31858
  • Downside SD
    0.16914
  • N nonnegative terms
    771.00000
  • N negative terms
    144.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    915.00000
  • Mean of predictor
    0.11244
  • Mean of criterion
    0.35607
  • SD of predictor
    0.14845
  • SD of criterion
    0.36022
  • Covariance
    -0.00015
  • r
    -0.00272
  • b (slope, estimate of beta)
    -0.00661
  • a (intercept, estimate of alpha)
    0.35700
  • Mean Square Error
    0.12990
  • DF error
    913.00000
  • t(b)
    -0.08232
  • p(b)
    0.53280
  • t(a)
    1.84806
  • p(a)
    0.03246
  • Lowerbound of 95% confidence interval for beta
    -0.16422
  • Upperbound of 95% confidence interval for beta
    0.15100
  • Lowerbound of 95% confidence interval for alpha
    -0.02211
  • Upperbound of 95% confidence interval for alpha
    0.73573
  • Treynor index (mean / b)
    -53.86010
  • Jensen alpha (a)
    0.35681
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29865
  • SD
    0.32933
  • Sharpe ratio (Glass type estimate)
    0.90684
  • Sharpe ratio (Hedges UMVUE)
    0.90609
  • df
    914.00000
  • t
    1.69469
  • p
    0.04524
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14302
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95621
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14352
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95570
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.69146
  • Upside Potential Ratio
    5.39082
  • Upside part of mean
    0.95183
  • Downside part of mean
    -0.65318
  • Upside SD
    0.27840
  • Downside SD
    0.17656
  • N nonnegative terms
    771.00000
  • N negative terms
    144.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    915.00000
  • Mean of predictor
    0.10139
  • Mean of criterion
    0.29865
  • SD of predictor
    0.14864
  • SD of criterion
    0.32933
  • Covariance
    -0.00065
  • r
    -0.01323
  • b (slope, estimate of beta)
    -0.02931
  • a (intercept, estimate of alpha)
    0.30162
  • Mean Square Error
    0.10856
  • DF error
    913.00000
  • t(b)
    -0.39972
  • p(b)
    0.65527
  • t(a)
    1.70924
  • p(a)
    0.04387
  • Lowerbound of 95% confidence interval for beta
    -0.17320
  • Upperbound of 95% confidence interval for beta
    0.11459
  • Lowerbound of 95% confidence interval for alpha
    -0.04470
  • Upperbound of 95% confidence interval for alpha
    0.64795
  • Treynor index (mean / b)
    -10.19030
  • Jensen alpha (a)
    0.30162
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03181
  • Expected Shortfall on VaR
    0.03998
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00196
  • Expected Shortfall on VaR
    0.00614
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    915.00000
  • Minimum
    0.87940
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.47523
  • Mean of quarter 1
    0.99027
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01516
  • Inter Quartile Range
    0.00000
  • Number outliers low
    144.00000
  • Percentage of outliers low
    0.15738
  • Mean of outliers low
    0.98453
  • Number of outliers high
    196.00000
  • Percentage of outliers high
    0.21421
  • Mean of outliers high
    1.01771
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.81708
  • VaR(95%) (moments method)
    0.00483
  • Expected Shortfall (moments method)
    0.03376
  • Extreme Value Index (regression method)
    0.12396
  • VaR(95%) (regression method)
    0.00830
  • Expected Shortfall (regression method)
    0.01635
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00267
  • Quartile 1
    0.00826
  • Median
    0.01994
  • Quartile 3
    0.04429
  • Maximum
    0.32960
  • Mean of quarter 1
    0.00480
  • Mean of quarter 2
    0.01405
  • Mean of quarter 3
    0.03287
  • Mean of quarter 4
    0.15731
  • Inter Quartile Range
    0.03603
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12903
  • Mean of outliers high
    0.24644
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.08340
  • VaR(95%) (moments method)
    0.13179
  • Expected Shortfall (moments method)
    0.19662
  • Extreme Value Index (regression method)
    -0.24780
  • VaR(95%) (regression method)
    0.20117
  • Expected Shortfall (regression method)
    0.26340
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.52621
  • Compounded annual return (geometric extrapolation)
    0.34804
  • Calmar ratio (compounded annual return / max draw down)
    1.05593
  • Compounded annual return / average of 25% largest draw downs
    2.21249
  • Compounded annual return / Expected Shortfall lognormal
    8.70556
  • 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
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12593
  • Mean of criterion
    0.00000
  • SD of predictor
    0.22578
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10066
  • Mean of criterion
    0.00000
  • SD of predictor
    0.22553
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.03200
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -262455000
  • Max Equity Drawdown (num days)
    358
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Short term Emini futures trading strategy. The strategy only does 4-5 high probability trades a month. Aims for high risk adjusted return.

Risk mgmt was refined earlier last year for a better risk profile.

Summary Statistics

Strategy began
2015-07-29
Suggested Minimum Capital
$25,000
# Trades
471
# Profitable
258
% Profitable
54.8%
Correlation S&P500
-0.003
Sharpe Ratio
0.36
Sortino Ratio
0.75
Beta
-0.01
Alpha
0.06

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

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