Crude Oil Trader Z
(115023400)
Subscription terms. Subscriptions to this system cost $190.00 per month.
Short Term
Makes shortterm trades or bases analysis on shortterm market movements.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2017  +0.5%  +8.1%  +8.7%  
2018  (0.4%)  +33.9%  (8.7%)  +19.3%  +14.9%  +1.4%  (9.5%)  (3.3%)  +2.1%    +7.1%  +13.2%  +83.2% 
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.
Started  $30,000  
Buy Power  $65,069  
Cash  $65,069  
Equity  $0  
Cumulative $  $35,069  
Total System Equity  $65,069  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began11/25/2017

Suggested Minimum Cap$60,000

Strategy Age (days)382.72

Age13 months ago

What it tradesFutures

# Trades187

# Profitable94

% Profitable50.30%

Avg trade duration5.1 hours

Max peaktovalley drawdown18.16%

drawdown periodJune 14, 2018  Oct 12, 2018

Annual Return (Compounded)91.9%

Avg win$1,216

Avg loss$852.29
 Model Account Values (Raw)

Cash$65,069

Margin Used$0

Buying Power$65,069
 Ratios

W:L ratio1.44:1

Sharpe Ratio2.904

Sortino Ratio5.601

Calmar Ratio8.109
 CORRELATION STATISTICS

Correlation to SP5000.03300
 Return Statistics

Ann Return (w trading costs)91.9%

Ann Return (Compnd, No Fees)108.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss15.50%

Chance of 20% account loss5.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)950

Popularity (Last 6 weeks)958

C2 Score98.7
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$852

Avg Win$1,216

# Winners94

# Losers93

% Winners50.3%
 Frequency

Avg Position Time (mins)304.78

Avg Position Time (hrs)5.08

Avg Trade Length0.2 days

Last Trade Ago0
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.83605

SD0.33843

Sharpe ratio (Glass type estimate)2.47036

Sharpe ratio (Hedges UMVUE)2.29734

df11.00000

t2.47036

p0.01555

Lowerbound of 95% confidence interval for Sharpe Ratio0.21742

Upperbound of 95% confidence interval for Sharpe Ratio4.63624

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.11490

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.47977
 Statistics related to Sortino ratio

Sortino ratio7.67936

Upside Potential Ratio8.82613

Upside part of mean0.96090

Downside part of mean0.12485

Upside SD0.38909

Downside SD0.10887

N nonnegative terms9.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations12.00000

Mean of predictor0.00777

Mean of criterion0.83605

SD of predictor0.12033

SD of criterion0.33843

Covariance0.00491

r0.12063

b (slope, estimate of beta)0.33927

a (intercept, estimate of alpha)0.83341

Mean Square Error0.12416

DF error10.00000

t(b)0.38428

p(b)0.64559

t(a)2.36479

p(a)0.01981

Lowerbound of 95% confidence interval for beta2.30645

Upperbound of 95% confidence interval for beta1.62791

Lowerbound of 95% confidence interval for alpha0.04816

Upperbound of 95% confidence interval for alpha1.61867

Treynor index (mean / b)2.46427

Jensen alpha (a)0.83341
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.76022

SD0.31840

Sharpe ratio (Glass type estimate)2.38760

Sharpe ratio (Hedges UMVUE)2.22037

df11.00000

t2.38760

p0.01801

Lowerbound of 95% confidence interval for Sharpe Ratio0.15107

Upperbound of 95% confidence interval for Sharpe Ratio4.53880

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.05189

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.38885
 Statistics related to Sortino ratio

Sortino ratio6.61791

Upside Potential Ratio7.75755

Upside part of mean0.89114

Downside part of mean0.13092

Upside SD0.35763

Downside SD0.11487

N nonnegative terms9.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations12.00000

Mean of predictor0.01441

Mean of criterion0.76022

SD of predictor0.12061

SD of criterion0.31840

Covariance0.00472

r0.12283

b (slope, estimate of beta)0.32424

a (intercept, estimate of alpha)0.75555

Mean Square Error0.10984

DF error10.00000

t(b)0.39137

p(b)0.64813

t(a)2.27828

p(a)0.02296

Lowerbound of 95% confidence interval for beta2.17020

Upperbound of 95% confidence interval for beta1.52172

Lowerbound of 95% confidence interval for alpha0.01663

Upperbound of 95% confidence interval for alpha1.49448

Treynor index (mean / b)2.34463

Jensen alpha (a)0.75555
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08409

Expected Shortfall on VaR0.11809
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01366

Expected Shortfall on VaR0.03473
 ORDER STATISTICS
 Quartiles of return rates

Number of observations12.00000

Minimum0.89410

Quartile 11.00093

Median1.07646

Quartile 31.12754

Maximum1.21742

Mean of quarter 10.96071

Mean of quarter 21.02583

Mean of quarter 31.10118

Mean of quarter 41.20027

Inter Quartile Range0.12661

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.43433

VaR(95%) (moments method)0.03292

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)5.30701

VaR(95%) (regression method)0.18935

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.11069

Quartile 10.11069

Median0.11069

Quartile 30.11069

Maximum0.11069

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)1.19928

Compounded annual return (geometric extrapolation)1.19928

Calmar ratio (compounded annual return / max draw down)10.83470

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal10.15530

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.79037

SD0.27141

Sharpe ratio (Glass type estimate)2.91210

Sharpe ratio (Hedges UMVUE)2.90376

df262.00000

t2.91765

p0.00192

Lowerbound of 95% confidence interval for Sharpe Ratio0.93738

Upperbound of 95% confidence interval for Sharpe Ratio4.88144

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.93179

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.87573
 Statistics related to Sortino ratio

Sortino ratio5.60085

Upside Potential Ratio13.55110

Upside part of mean1.91227

Downside part of mean1.12190

Upside SD0.23633

Downside SD0.14112

N nonnegative terms105.00000

N negative terms158.00000
 Statistics related to linear regression on benchmark

N of observations263.00000

Mean of predictor0.00316

Mean of criterion0.79037

SD of predictor0.15626

SD of criterion0.27141

Covariance0.00198

r0.04678

b (slope, estimate of beta)0.08125

a (intercept, estimate of alpha)0.79000

Mean Square Error0.07378

DF error261.00000

t(b)0.75660

p(b)0.22499

t(a)2.91432

p(a)0.00194

Lowerbound of 95% confidence interval for beta0.13021

Upperbound of 95% confidence interval for beta0.29271

Lowerbound of 95% confidence interval for alpha0.25626

Upperbound of 95% confidence interval for alpha1.32396

Treynor index (mean / b)9.72744

Jensen alpha (a)0.79011
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.75296

SD0.26876

Sharpe ratio (Glass type estimate)2.80159

Sharpe ratio (Hedges UMVUE)2.79356

df262.00000

t2.80693

p0.00269

Lowerbound of 95% confidence interval for Sharpe Ratio0.82810

Upperbound of 95% confidence interval for Sharpe Ratio4.76987

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.82276

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.76436
 Statistics related to Sortino ratio

Sortino ratio5.27385

Upside Potential Ratio13.20190

Upside part of mean1.88485

Downside part of mean1.13190

Upside SD0.23181

Downside SD0.14277

N nonnegative terms105.00000

N negative terms158.00000
 Statistics related to linear regression on benchmark

N of observations263.00000

Mean of predictor0.00907

Mean of criterion0.75296

SD of predictor0.15698

SD of criterion0.26876

Covariance0.00185

r0.04375

b (slope, estimate of beta)0.07491

a (intercept, estimate of alpha)0.75364

Mean Square Error0.07237

DF error261.00000

t(b)0.70753

p(b)0.23993

t(a)2.80677

p(a)0.00269

Lowerbound of 95% confidence interval for beta0.13357

Upperbound of 95% confidence interval for beta0.28338

Lowerbound of 95% confidence interval for alpha0.22492

Upperbound of 95% confidence interval for alpha1.28235

Treynor index (mean / b)10.05170

Jensen alpha (a)0.75364
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02414

Expected Shortfall on VaR0.03087
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01104

Expected Shortfall on VaR0.02104
 ORDER STATISTICS
 Quartiles of return rates

Number of observations263.00000

Minimum0.95991

Quartile 10.99441

Median1.00000

Quartile 31.01192

Maximum1.07825

Mean of quarter 10.98477

Mean of quarter 20.99842

Mean of quarter 31.00334

Mean of quarter 41.02597

Inter Quartile Range0.01752

Number outliers low2.00000

Percentage of outliers low0.00760

Mean of outliers low0.96012

Number of outliers high9.00000

Percentage of outliers high0.03422

Mean of outliers high1.05177
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.35591

VaR(95%) (moments method)0.01387

Expected Shortfall (moments method)0.01670

Extreme Value Index (regression method)0.29676

VaR(95%) (regression method)0.01663

Expected Shortfall (regression method)0.02076
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations14.00000

Minimum0.00024

Quartile 10.00480

Median0.02330

Quartile 30.04993

Maximum0.14593

Mean of quarter 10.00236

Mean of quarter 20.01194

Mean of quarter 30.03783

Mean of quarter 40.09537

Inter Quartile Range0.04513

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.14286

Mean of outliers high0.13422
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.48440

VaR(95%) (moments method)0.10706

Expected Shortfall (moments method)0.12465

Extreme Value Index (regression method)0.39993

VaR(95%) (regression method)0.12402

Expected Shortfall (regression method)0.14565
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.18535

Compounded annual return (geometric extrapolation)1.18336

Calmar ratio (compounded annual return / max draw down)8.10890

Compounded annual return / average of 25% largest draw downs12.40740

Compounded annual return / Expected Shortfall lognormal38.33340

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

Mean0.25369

SD0.24417

Sharpe ratio (Glass type estimate)1.03895

Sharpe ratio (Hedges UMVUE)1.03295

df130.00000

t0.73465

p0.46785

Lowerbound of 95% confidence interval for Sharpe Ratio1.73766

Upperbound of 95% confidence interval for Sharpe Ratio3.81170

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.74170

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.80760
 Statistics related to Sortino ratio

Sortino ratio1.72068

Upside Potential Ratio10.75450

Upside part of mean1.58558

Downside part of mean1.33190

Upside SD0.19410

Downside SD0.14743

N nonnegative terms49.00000

N negative terms82.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.11683

Mean of criterion0.25369

SD of predictor0.14819

SD of criterion0.24417

Covariance0.00058

r0.01603

b (slope, estimate of beta)0.02642

a (intercept, estimate of alpha)0.25060

Mean Square Error0.06007

DF error129.00000

t(b)0.18214

p(b)0.51021

t(a)0.72215

p(a)0.45963

Lowerbound of 95% confidence interval for beta0.31341

Upperbound of 95% confidence interval for beta0.26057

Lowerbound of 95% confidence interval for alpha0.43599

Upperbound of 95% confidence interval for alpha0.93719

Treynor index (mean / b)9.60204

Jensen alpha (a)0.25060
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.22415

SD0.24307

Sharpe ratio (Glass type estimate)0.92217

Sharpe ratio (Hedges UMVUE)0.91684

df130.00000

t0.65207

p0.47145

Lowerbound of 95% confidence interval for Sharpe Ratio1.85360

Upperbound of 95% confidence interval for Sharpe Ratio3.69455

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.85721

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.69088
 Statistics related to Sortino ratio

Sortino ratio1.50384

Upside Potential Ratio10.51250

Upside part of mean1.56694

Downside part of mean1.34278

Upside SD0.19133

Downside SD0.14905

N nonnegative terms49.00000

N negative terms82.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.12780

Mean of criterion0.22415

SD of predictor0.14884

SD of criterion0.24307

Covariance0.00059

r0.01640

b (slope, estimate of beta)0.02679

a (intercept, estimate of alpha)0.22073

Mean Square Error0.05953

DF error129.00000

t(b)0.18632

p(b)0.51044

t(a)0.63882

p(a)0.46427

Lowerbound of 95% confidence interval for beta0.31124

Upperbound of 95% confidence interval for beta0.25766

Lowerbound of 95% confidence interval for alpha0.46291

Upperbound of 95% confidence interval for alpha0.90437

Treynor index (mean / b)8.36801

Jensen alpha (a)0.22073
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02356

Expected Shortfall on VaR0.02966
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01345

Expected Shortfall on VaR0.02361
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95991

Quartile 10.99227

Median1.00000

Quartile 31.01079

Maximum1.05448

Mean of quarter 10.98405

Mean of quarter 20.99603

Mean of quarter 31.00205

Mean of quarter 41.02220

Inter Quartile Range0.01852

Number outliers low1.00000

Percentage of outliers low0.00763

Mean of outliers low0.95991

Number of outliers high1.00000

Percentage of outliers high0.00763

Mean of outliers high1.05448
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.19140

VaR(95%) (moments method)0.01612

Expected Shortfall (moments method)0.01983

Extreme Value Index (regression method)0.08141

VaR(95%) (regression method)0.01861

Expected Shortfall (regression method)0.02437
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.00428

Quartile 10.00727

Median0.01027

Quartile 30.07810

Maximum0.14593

Mean of quarter 10.00428

Mean of quarter 20.01027

Mean of quarter 30.00000

Mean of quarter 40.14593

Inter Quartile Range0.07083

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.26863

Compounded annual return (geometric extrapolation)0.28667

Calmar ratio (compounded annual return / max draw down)1.96442

Compounded annual return / average of 25% largest draw downs1.96442

Compounded annual return / Expected Shortfall lognormal9.66658
Strategy Description
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.