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

Copernicus
(113956195)

Created by: JamesAutomaticTrad JamesAutomaticTrad
Started: 10/2017
Futures
Last trade: 2,198 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 $99.00 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.

-0.4%
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.

(57.0%)
Max Drawdown
87
Num Trades
55.2%
Win Trades
1.0 : 1
Profit Factor
5.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                               +11.0%+10.8%+4.5%+28.6%
2018+7.5%(19.3%)(12.7%)  -    -    -    -    -    -    -    -    -  (24.3%)
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.

Trading Record

This strategy has placed 139 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2242 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/22/18 9:54 @ESM8 E-MINI S&P 500 LONG 2 2687.50 3/22 10:57 2675.12 4.59%
Trade id #117179161
Max drawdown($1,238)
Time3/22/18 10:57
Quant open1
Worst price2672.50
Drawdown as % of equity-4.59%
($1,254)
Includes Typical Broker Commissions trade costs of $16.00
3/21/18 14:20 @ESM8 E-MINI S&P 500 LONG 1 2739.00 3/21 14:41 2722.25 2.94%
Trade id #117162226
Max drawdown($838)
Time3/21/18 14:41
Quant open0
Worst price2722.25
Drawdown as % of equity-2.94%
($846)
Includes Typical Broker Commissions trade costs of $8.00
3/21/18 12:05 @ESM8 E-MINI S&P 500 LONG 3 2732.92 3/21 14:06 2733.08 1.57%
Trade id #117157562
Max drawdown($450)
Time3/21/18 13:45
Quant open2
Worst price2725.75
Drawdown as % of equity-1.57%
$1
Includes Typical Broker Commissions trade costs of $24.00
3/16/18 15:13 @ESM8 E-MINI S&P 500 LONG 2 2757.25 3/16 15:29 2759.38 0.44%
Trade id #117101360
Max drawdown($125)
Time3/16/18 15:22
Quant open2
Worst price2756.00
Drawdown as % of equity-0.44%
$197
Includes Typical Broker Commissions trade costs of $16.00
3/16/18 14:20 @ESM8 E-MINI S&P 500 LONG 2 2755.75 3/16 15:12 2757.75 0.26%
Trade id #117100001
Max drawdown($75)
Time3/16/18 14:22
Quant open2
Worst price2755.00
Drawdown as % of equity-0.26%
$184
Includes Typical Broker Commissions trade costs of $16.00
3/16/18 10:02 @ESM8 E-MINI S&P 500 LONG 2 2760.00 3/16 14:19 2755.00 2.15%
Trade id #117092297
Max drawdown($625)
Time3/16/18 14:12
Quant open2
Worst price2753.75
Drawdown as % of equity-2.15%
($516)
Includes Typical Broker Commissions trade costs of $16.00
3/13/18 13:20 @ESM8 E-MINI S&P 500 LONG 2 2786.50 3/13 15:10 2771.50 5.85%
Trade id #117023823
Max drawdown($1,725)
Time3/13/18 15:08
Quant open2
Worst price2769.25
Drawdown as % of equity-5.85%
($1,516)
Includes Typical Broker Commissions trade costs of $16.00
3/13/18 10:00 @ESM8 E-MINI S&P 500 LONG 2 2802.00 3/13 11:16 2790.25 3.87%
Trade id #117014158
Max drawdown($1,175)
Time3/13/18 11:16
Quant open1
Worst price2789.00
Drawdown as % of equity-3.87%
($1,191)
Includes Typical Broker Commissions trade costs of $16.00
3/12/18 12:33 @ESM8 E-MINI S&P 500 LONG 2 2790.75 3/12 16:52 2788.25 2.04%
Trade id #116997743
Max drawdown($650)
Time3/12/18 14:50
Quant open2
Worst price2784.25
Drawdown as % of equity-2.04%
($266)
Includes Typical Broker Commissions trade costs of $16.00
3/12/18 9:58 @ESM8 E-MINI S&P 500 LONG 2 2797.75 3/12 11:20 2787.12 3.35%
Trade id #116991052
Max drawdown($1,075)
Time3/12/18 11:09
Quant open2
Worst price2787.00
Drawdown as % of equity-3.35%
($1,079)
Includes Typical Broker Commissions trade costs of $16.00
3/9/18 11:00 @ESM8 E-MINI S&P 500 LONG 2 2771.00 3/9 16:51 2786.75 0.48%
Trade id #116961651
Max drawdown($150)
Time3/9/18 11:11
Quant open2
Worst price2769.50
Drawdown as % of equity-0.48%
$1,559
Includes Typical Broker Commissions trade costs of $16.00
3/8/18 9:31 @ESM8 E-MINI S&P 500 LONG 3 2736.83 3/8 16:50 2738.67 3.23%
Trade id #116927275
Max drawdown($983)
Time3/8/18 13:46
Quant open2
Worst price2727.00
Drawdown as % of equity-3.23%
$251
Includes Typical Broker Commissions trade costs of $24.00
3/7/18 10:56 @ESH8 E-MINI S&P 500 LONG 2 2719.25 3/7 12:04 2705.50 4.24%
Trade id #116907097
Max drawdown($1,375)
Time3/7/18 12:04
Quant open1
Worst price2704.25
Drawdown as % of equity-4.24%
($1,391)
Includes Typical Broker Commissions trade costs of $16.00
3/7/18 6:30 @ESH8 E-MINI S&P 500 SHORT 2 2696.50 3/7 8:35 2707.25 3.33%
Trade id #116900771
Max drawdown($1,075)
Time3/7/18 8:35
Quant open1
Worst price2707.25
Drawdown as % of equity-3.33%
($1,091)
Includes Typical Broker Commissions trade costs of $16.00
3/7/18 1:00 @ESH8 E-MINI S&P 500 SHORT 2 2691.25 3/7 3:13 2700.12 3.11%
Trade id #116898321
Max drawdown($1,050)
Time3/7/18 2:55
Quant open-2
Worst price2701.75
Drawdown as % of equity-3.11%
($904)
Includes Typical Broker Commissions trade costs of $16.00
3/6/18 12:23 @ESH8 E-MINI S&P 500 LONG 2 2717.00 3/6 15:59 2727.88 0.83%
Trade id #116887657
Max drawdown($275)
Time3/6/18 12:31
Quant open2
Worst price2714.25
Drawdown as % of equity-0.83%
$1,072
Includes Typical Broker Commissions trade costs of $16.00
3/5/18 9:45 @ESH8 E-MINI S&P 500 LONG 3 2691.17 3/5 16:09 2707.50 2.31%
Trade id #116859436
Max drawdown($700)
Time3/5/18 10:15
Quant open2
Worst price2674.50
Drawdown as % of equity-2.31%
$2,426
Includes Typical Broker Commissions trade costs of $24.00
3/2/18 15:03 @ESH8 E-MINI S&P 500 LONG 1 2672.75 3/2 16:51 2691.75 0.54%
Trade id #116838152
Max drawdown($162)
Time3/2/18 15:08
Quant open1
Worst price2669.50
Drawdown as % of equity-0.54%
$942
Includes Typical Broker Commissions trade costs of $8.00
3/2/18 13:35 @ESH8 E-MINI S&P 500 SHORT 1 2664.25 3/2 14:20 2677.50 2.8%
Trade id #116835211
Max drawdown($850)
Time3/2/18 14:18
Quant open-1
Worst price2681.25
Drawdown as % of equity-2.80%
($671)
Includes Typical Broker Commissions trade costs of $8.00
3/2/18 11:54 @ESH8 E-MINI S&P 500 LONG 2 2673.25 3/2 13:19 2678.00 1.25%
Trade id #116832012
Max drawdown($375)
Time3/2/18 12:19
Quant open2
Worst price2669.50
Drawdown as % of equity-1.25%
$459
Includes Typical Broker Commissions trade costs of $16.00
3/1/18 10:11 @ESH8 E-MINI S&P 500 LONG 2 2708.25 3/1 12:20 2710.62 1.26%
Trade id #116799608
Max drawdown($375)
Time3/1/18 10:13
Quant open2
Worst price2704.50
Drawdown as % of equity-1.26%
$222
Includes Typical Broker Commissions trade costs of $16.00
2/28/18 10:07 @ESH8 E-MINI S&P 500 LONG 2 2756.75 2/28 10:58 2746.25 3.54%
Trade id #116773326
Max drawdown($1,050)
Time2/28/18 10:58
Quant open1
Worst price2746.00
Drawdown as % of equity-3.54%
($1,066)
Includes Typical Broker Commissions trade costs of $16.00
2/27/18 10:31 @ESH8 E-MINI S&P 500 LONG 2 2784.75 2/27 10:55 2770.12 4.74%
Trade id #116747864
Max drawdown($1,463)
Time2/27/18 10:55
Quant open1
Worst price2767.50
Drawdown as % of equity-4.74%
($1,479)
Includes Typical Broker Commissions trade costs of $16.00
2/26/18 9:47 @ESH8 E-MINI S&P 500 LONG 3 2763.50 2/26 16:51 2776.17 2.96%
Trade id #116721823
Max drawdown($900)
Time2/26/18 10:37
Quant open2
Worst price2752.75
Drawdown as % of equity-2.96%
$1,876
Includes Typical Broker Commissions trade costs of $24.00
2/23/18 12:26 @ESH8 E-MINI S&P 500 LONG 2 2726.50 2/23 16:51 2742.00 1.74%
Trade id #116695668
Max drawdown($500)
Time2/23/18 13:13
Quant open2
Worst price2721.50
Drawdown as % of equity-1.74%
$1,534
Includes Typical Broker Commissions trade costs of $16.00
2/22/18 9:31 @ESH8 E-MINI S&P 500 LONG 1 2710.50 2/22 14:58 2703.25 1.23%
Trade id #116663652
Max drawdown($363)
Time2/22/18 14:58
Quant open0
Worst price2703.25
Drawdown as % of equity-1.23%
($371)
Includes Typical Broker Commissions trade costs of $8.00
2/21/18 9:51 @ESH8 E-MINI S&P 500 LONG 2 2728.75 2/21 15:07 2729.12 1.64%
Trade id #116638655
Max drawdown($475)
Time2/21/18 10:03
Quant open2
Worst price2724.00
Drawdown as % of equity-1.64%
$22
Includes Typical Broker Commissions trade costs of $16.00
2/20/18 9:45 @ESH8 E-MINI S&P 500 LONG 3 2727.25 2/20 15:07 2721.17 3.12%
Trade id #116613138
Max drawdown($913)
Time2/20/18 15:07
Quant open2
Worst price2716.75
Drawdown as % of equity-3.12%
($937)
Includes Typical Broker Commissions trade costs of $24.00
2/16/18 9:44 @ESH8 E-MINI S&P 500 LONG 3 2733.83 2/16 16:50 2741.58 1.94%
Trade id #116554975
Max drawdown($562)
Time2/16/18 10:08
Quant open2
Worst price2725.75
Drawdown as % of equity-1.94%
$1,139
Includes Typical Broker Commissions trade costs of $24.00
2/15/18 11:17 @ESH8 E-MINI S&P 500 LONG 3 2704.75 2/15 16:50 2725.25 0.39%
Trade id #116533614
Max drawdown($100)
Time2/15/18 11:20
Quant open2
Worst price2697.75
Drawdown as % of equity-0.39%
$3,051
Includes Typical Broker Commissions trade costs of $24.00

Statistics

  • Strategy began
    10/1/2017
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2367.05
  • Age
    79 months ago
  • What it trades
    Futures
  • # Trades
    87
  • # Profitable
    48
  • % Profitable
    55.20%
  • Avg trade duration
    8.8 hours
  • Max peak-to-valley drawdown
    57%
  • drawdown period
    Jan 25, 2018 - Feb 05, 2018
  • Annual Return (Compounded)
    -0.4%
  • Avg win
    $760.12
  • Avg loss
    $892.13
  • Model Account Values (Raw)
  • Cash
    $26,693
  • Margin Used
    $0
  • Buying Power
    $26,693
  • Ratios
  • W:L ratio
    1.05:1
  • Sharpe Ratio
    -0.06
  • Sortino Ratio
    -0.08
  • Calmar Ratio
    0.1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -110.04%
  • Correlation to SP500
    0.07470
  • Return Percent SP500 (cumu) during strategy life
    108.33%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.4%
  • Slump
  • Current Slump as Pcnt Equity
    53.90%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.004%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    80.50%
  • Chance of 20% account loss
    53.00%
  • Chance of 30% account loss
    20.00%
  • Chance of 40% account loss
    5.50%
  • 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
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • 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
    $892
  • Avg Win
    $760
  • Sum Trade PL (losers)
    $34,793.000
  • Age
  • Num Months filled monthly returns table
    78
  • Win / Loss
  • Sum Trade PL (winners)
    $36,486.000
  • # Winners
    48
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    39
  • % Winners
    55.2%
  • Frequency
  • Avg Position Time (mins)
    527.82
  • Avg Position Time (hrs)
    8.80
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    2195
  • Regression
  • Alpha
    -0.00
  • Beta
    0.06
  • Treynor Index
    -0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    31.39
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    25.64
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.04
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    55.988
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.394
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.239
  • Hold-and-Hope Ratio
    0.018
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08184
  • SD
    0.36594
  • Sharpe ratio (Glass type estimate)
    0.22364
  • Sharpe ratio (Hedges UMVUE)
    0.21141
  • df
    14.00000
  • t
    0.25004
  • p
    0.46666
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53525
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97469
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54338
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96620
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.33782
  • Upside Potential Ratio
    1.67146
  • Upside part of mean
    0.40492
  • Downside part of mean
    -0.32308
  • Upside SD
    0.25856
  • Downside SD
    0.24225
  • N nonnegative terms
    4.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.48650
  • Mean of criterion
    0.08184
  • SD of predictor
    0.38183
  • SD of criterion
    0.36594
  • Covariance
    0.01894
  • r
    0.13555
  • b (slope, estimate of beta)
    0.12991
  • a (intercept, estimate of alpha)
    0.01864
  • Mean Square Error
    0.14156
  • DF error
    13.00000
  • t(b)
    0.49328
  • p(b)
    0.41397
  • t(a)
    0.05176
  • p(a)
    0.49086
  • Lowerbound of 95% confidence interval for beta
    -0.43904
  • Upperbound of 95% confidence interval for beta
    0.69885
  • Lowerbound of 95% confidence interval for alpha
    -0.75929
  • Upperbound of 95% confidence interval for alpha
    0.79657
  • Treynor index (mean / b)
    0.62999
  • Jensen alpha (a)
    0.01864
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01840
  • SD
    0.37035
  • Sharpe ratio (Glass type estimate)
    0.04969
  • Sharpe ratio (Hedges UMVUE)
    0.04697
  • df
    14.00000
  • t
    0.05556
  • p
    0.49258
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70430
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80199
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70616
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80010
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06862
  • Upside Potential Ratio
    1.39556
  • Upside part of mean
    0.37429
  • Downside part of mean
    -0.35588
  • Upside SD
    0.23689
  • Downside SD
    0.26820
  • N nonnegative terms
    4.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.41489
  • Mean of criterion
    0.01840
  • SD of predictor
    0.35934
  • SD of criterion
    0.37035
  • Covariance
    0.02273
  • r
    0.17080
  • b (slope, estimate of beta)
    0.17604
  • a (intercept, estimate of alpha)
    -0.05463
  • Mean Square Error
    0.14340
  • DF error
    13.00000
  • t(b)
    0.62502
  • p(b)
    0.39179
  • t(a)
    -0.15248
  • p(a)
    0.52689
  • Lowerbound of 95% confidence interval for beta
    -0.43243
  • Upperbound of 95% confidence interval for beta
    0.78451
  • Lowerbound of 95% confidence interval for alpha
    -0.82869
  • Upperbound of 95% confidence interval for alpha
    0.71942
  • Treynor index (mean / b)
    0.10454
  • Jensen alpha (a)
    -0.05463
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15997
  • Expected Shortfall on VaR
    0.19605
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07775
  • Expected Shortfall on VaR
    0.15937
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.80918
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.01549
  • Maximum
    1.22603
  • Mean of quarter 1
    0.90544
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.12887
  • Inter Quartile Range
    0.01549
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.13333
  • Mean of outliers low
    0.81088
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.16150
  • 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)
    -6.78108
  • VaR(95%) (regression method)
    0.86411
  • Expected Shortfall (regression method)
    0.86421
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.19386
  • Quartile 1
    0.19386
  • Median
    0.19386
  • Quartile 3
    0.19386
  • Maximum
    0.19386
  • 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)
    0.04768
  • Compounded annual return (geometric extrapolation)
    0.04740
  • Calmar ratio (compounded annual return / max draw down)
    0.24451
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.24177
  • 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
    0.07644
  • SD
    0.34088
  • Sharpe ratio (Glass type estimate)
    0.22424
  • Sharpe ratio (Hedges UMVUE)
    0.22376
  • df
    348.00000
  • t
    0.25881
  • p
    0.39797
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47416
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92238
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47451
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92203
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28644
  • Upside Potential Ratio
    3.47303
  • Upside part of mean
    0.92684
  • Downside part of mean
    -0.85040
  • Upside SD
    0.21136
  • Downside SD
    0.26687
  • N nonnegative terms
    54.00000
  • N negative terms
    295.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    349.00000
  • Mean of predictor
    0.60257
  • Mean of criterion
    0.07644
  • SD of predictor
    0.41589
  • SD of criterion
    0.34088
  • Covariance
    0.01276
  • r
    0.08997
  • b (slope, estimate of beta)
    0.07375
  • a (intercept, estimate of alpha)
    0.03200
  • Mean Square Error
    0.11559
  • DF error
    347.00000
  • t(b)
    1.68284
  • p(b)
    0.04665
  • t(a)
    0.10821
  • p(a)
    0.45695
  • Lowerbound of 95% confidence interval for beta
    -0.01244
  • Upperbound of 95% confidence interval for beta
    0.15994
  • Lowerbound of 95% confidence interval for alpha
    -0.54971
  • Upperbound of 95% confidence interval for alpha
    0.61372
  • Treynor index (mean / b)
    1.03653
  • Jensen alpha (a)
    0.03200
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01555
  • SD
    0.35425
  • Sharpe ratio (Glass type estimate)
    0.04390
  • Sharpe ratio (Hedges UMVUE)
    0.04380
  • df
    348.00000
  • t
    0.05066
  • p
    0.47981
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65430
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74209
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65439
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74199
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05388
  • Upside Potential Ratio
    3.13680
  • Upside part of mean
    0.90536
  • Downside part of mean
    -0.88981
  • Upside SD
    0.20453
  • Downside SD
    0.28863
  • N nonnegative terms
    54.00000
  • N negative terms
    295.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    349.00000
  • Mean of predictor
    0.51696
  • Mean of criterion
    0.01555
  • SD of predictor
    0.41165
  • SD of criterion
    0.35425
  • Covariance
    0.01366
  • r
    0.09368
  • b (slope, estimate of beta)
    0.08062
  • a (intercept, estimate of alpha)
    -0.02613
  • Mean Square Error
    0.12475
  • DF error
    347.00000
  • t(b)
    1.75279
  • p(b)
    0.04026
  • t(a)
    -0.08512
  • p(a)
    0.53389
  • Lowerbound of 95% confidence interval for beta
    -0.00984
  • Upperbound of 95% confidence interval for beta
    0.17108
  • Lowerbound of 95% confidence interval for alpha
    -0.62985
  • Upperbound of 95% confidence interval for alpha
    0.57759
  • Treynor index (mean / b)
    0.19289
  • Jensen alpha (a)
    -0.02613
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03530
  • Expected Shortfall on VaR
    0.04405
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01015
  • Expected Shortfall on VaR
    0.02275
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    349.00000
  • Minimum
    0.79561
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10128
  • Mean of quarter 1
    0.98748
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01426
  • Inter Quartile Range
    0.00000
  • Number outliers low
    47.00000
  • Percentage of outliers low
    0.13467
  • Mean of outliers low
    0.97657
  • Number of outliers high
    55.00000
  • Percentage of outliers high
    0.15759
  • Mean of outliers high
    1.02255
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.02212
  • VaR(95%) (moments method)
    0.00359
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.66378
  • VaR(95%) (regression method)
    0.00985
  • Expected Shortfall (regression method)
    0.05063
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00158
  • Quartile 1
    0.00527
  • Median
    0.01068
  • Quartile 3
    0.03075
  • Maximum
    0.44261
  • Mean of quarter 1
    0.00272
  • Mean of quarter 2
    0.00769
  • Mean of quarter 3
    0.01403
  • Mean of quarter 4
    0.17181
  • Inter Quartile Range
    0.02548
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.44261
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.24671
  • VaR(95%) (moments method)
    0.20523
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    7.33907
  • VaR(95%) (regression method)
    4.48134
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04474
  • Compounded annual return (geometric extrapolation)
    0.04442
  • Calmar ratio (compounded annual return / max draw down)
    0.10035
  • Compounded annual return / average of 25% largest draw downs
    0.25852
  • Compounded annual return / Expected Shortfall lognormal
    1.00825
  • 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
    -0.02791
  • 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
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.21228
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.52864
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • 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
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.07619
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.51440
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6809530000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.03500
  • 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
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    885504000000000092619870226612224.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • 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?
    -510957000
  • Max Equity Drawdown (num days)
    11
  • 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

Copernicus trades the E-mini S&P 500 contract. Most trades are day trades. Occasionally there will be a swing or trend following trade that will last a few days. I will send a message along with these longer term trades to help you distinguish them from the day trades. The system identifies a trend and trades in the same direction, trying to catch the big move of the day. No scalping.

The day trading system may go in long or short. Always 2 lots in and then scales out if there’s good profit.
One lot has a protective stop that trails up with price. Placement of the stop is dynamic and it’s large enough to allow the trade a chance to work. They are currently around 40 to 45 ticks. The other lot has no protective stop, but rather a trailing target. If the price action moves against the trade the target will move down with the market ( for longs ). Movement of the target becomes more aggressive the more that a trade moves against the position and consequently this target behaves similar to that of a stop.

All day trades are closed a few minutes before the end of the session at 5 pm EST.

The swing and trend following systems that I will email you about stay in trades for days. For these I use a combination of systematic systems I wrote plus my own discretion.

Summary Statistics

Strategy began
2017-10-01
Suggested Minimum Capital
$25,000
# Trades
87
# Profitable
48
% Profitable
55.2%
Correlation S&P500
0.075
Sharpe Ratio
-0.06
Sortino Ratio
-0.08
Beta
0.06
Alpha
-0.00

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