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B48 ES
(93192881)

Created by: B48ES B48ES
Started: 03/2015
Futures
Last trade: 2 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 $135.00 per month.

8.8%
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.

(17.7%)
Max Drawdown
243
Num Trades
90.5%
Win Trades
2.0 : 1
Profit Factor
69.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015              +5.0%+2.3%+6.0%+0.8%+0.9%(2.9%)+3.1%+1.2%+1.5%+1.3%+20.7%
2016+4.8%+0.1%+1.1%(0.1%)+1.7%+1.0%(0.2%)+0.4%(0.9%)+0.3%+0.3%+0.3%+8.8%
2017  -    -  +0.4%(0.2%)+0.4%+1.9%+0.3%+0.5%  -    -    -  +0.2%+3.7%
2018(0.5%)+2.1%+4.7%+0.9%+1.0%+0.3%+0.4%(0.2%)+0.3%(2.5%)(6.8%)+1.6%+0.8%

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 48 hours.

Trading Record

This strategy has placed 343 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/10/18 5:37 @ESZ8 E-MINI S&P 500 LONG 1 2625.25 12/10 7:47 2636.00 0.01%
Trade id #121419207
Max drawdown($12)
Time12/10/18 7:27
Quant open1
Worst price2625.00
Drawdown as % of equity-0.01%
$530
Includes Typical Broker Commissions trade costs of $8.00
12/4/18 16:31 @ESZ8 E-MINI S&P 500 LONG 1 2697.00 12/4 19:05 2712.00 0.03%
Trade id #121345203
Max drawdown($25)
Time12/4/18 16:53
Quant open1
Worst price2696.50
Drawdown as % of equity-0.03%
$742
Includes Typical Broker Commissions trade costs of $8.00
11/9/18 6:15 @ESZ8 E-MINI S&P 500 LONG 3 2708.87 11/28 12:02 2670.27 10.51%
Trade id #120846663
Max drawdown($9,337)
Time11/20/18 9:15
Quant open2
Worst price2650.75
Drawdown as % of equity-10.51%
($5,814)
Includes Typical Broker Commissions trade costs of $24.00
10/23/18 16:31 @ESZ8 E-MINI S&P 500 LONG 3 2681.09 10/31 8:51 2684.79 8.03%
Trade id #120499016
Max drawdown($7,306)
Time10/26/18 11:00
Quant open2
Worst price2627.25
Drawdown as % of equity-8.03%
$531
Includes Typical Broker Commissions trade costs of $24.00
10/23/18 6:16 @ESZ8 E-MINI S&P 500 LONG 1 2721.71 10/23 13:24 2733.38 1.55%
Trade id #120481929
Max drawdown($1,473)
Time10/23/18 10:19
Quant open1
Worst price2692.25
Drawdown as % of equity-1.55%
$575
Includes Typical Broker Commissions trade costs of $8.00
10/15/18 16:31 @ESZ8 E-MINI S&P 500 LONG 1 2748.57 10/15 20:00 2756.00 0.17%
Trade id #120364426
Max drawdown($165)
Time10/15/18 16:40
Quant open1
Worst price2745.25
Drawdown as % of equity-0.17%
$364
Includes Typical Broker Commissions trade costs of $8.00
10/15/18 5:15 @ESZ8 E-MINI S&P 500 LONG 1 2751.48 10/15 6:24 2755.75 0.09%
Trade id #120346209
Max drawdown($86)
Time10/15/18 5:19
Quant open1
Worst price2749.75
Drawdown as % of equity-0.09%
$205
Includes Typical Broker Commissions trade costs of $8.00
10/11/18 16:36 @ESZ8 E-MINI S&P 500 LONG 1 2746.88 10/11 18:30 2754.00 0.05%
Trade id #120310963
Max drawdown($43)
Time10/11/18 16:42
Quant open1
Worst price2746.00
Drawdown as % of equity-0.05%
$348
Includes Typical Broker Commissions trade costs of $8.00
10/10/18 16:31 @ESZ8 E-MINI S&P 500 LONG 1 2782.18 10/11 9:31 2787.50 1.87%
Trade id #120285504
Max drawdown($1,746)
Time10/11/18 5:12
Quant open1
Worst price2747.25
Drawdown as % of equity-1.87%
$258
Includes Typical Broker Commissions trade costs of $8.00
10/9/18 16:31 @ESZ8 E-MINI S&P 500 LONG 1 2888.75 10/10 15:55 2795.00 4.91%
Trade id #120261871
Max drawdown($4,688)
Time10/10/18 15:55
Quant open0
Worst price2795.00
Drawdown as % of equity-4.91%
($4,696)
Includes Typical Broker Commissions trade costs of $8.00
10/8/18 4:28 @ESZ8 E-MINI S&P 500 LONG 1 2885.51 10/8 10:11 2892.00 0.38%
Trade id #120226360
Max drawdown($375)
Time10/8/18 9:34
Quant open1
Worst price2878.00
Drawdown as % of equity-0.38%
$317
Includes Typical Broker Commissions trade costs of $8.00
9/24/18 16:30 @ESZ8 E-MINI S&P 500 LONG 1 2926.00 9/25 5:32 2929.75 0.13%
Trade id #120012145
Max drawdown($125)
Time9/24/18 20:20
Quant open1
Worst price2923.50
Drawdown as % of equity-0.13%
$180
Includes Typical Broker Commissions trade costs of $8.00
9/6/18 16:48 @ESU8 E-MINI S&P 500 LONG 1 2878.25 9/7 11:34 2883.00 0.68%
Trade id #119752925
Max drawdown($662)
Time9/7/18 9:33
Quant open1
Worst price2865.00
Drawdown as % of equity-0.68%
$230
Includes Typical Broker Commissions trade costs of $8.00
7/30/18 16:30 @ESU8 E-MINI S&P 500 LONG 1 2803.75 7/31 0:05 2808.00 0.05%
Trade id #119193401
Max drawdown($50)
Time7/30/18 20:36
Quant open1
Worst price2802.75
Drawdown as % of equity-0.05%
$205
Includes Typical Broker Commissions trade costs of $8.00
7/30/18 4:51 @ESU8 E-MINI S&P 500 LONG 1 2814.25 7/30 8:28 2817.82 0.03%
Trade id #119178977
Max drawdown($25)
Time7/30/18 4:53
Quant open1
Worst price2813.75
Drawdown as % of equity-0.03%
$170
Includes Typical Broker Commissions trade costs of $8.00
7/23/18 7:03 @ESU8 E-MINI S&P 500 LONG 1 2798.05 7/23 10:40 2801.25 0.1%
Trade id #119057315
Max drawdown($102)
Time7/23/18 10:32
Quant open1
Worst price2796.00
Drawdown as % of equity-0.10%
$152
Includes Typical Broker Commissions trade costs of $8.00
6/21/18 16:30 @ESU8 E-MINI S&P 500 LONG 1 2752.12 6/21 21:15 2756.25 0.15%
Trade id #118576216
Max drawdown($143)
Time6/21/18 18:05
Quant open1
Worst price2749.25
Drawdown as % of equity-0.15%
$199
Includes Typical Broker Commissions trade costs of $8.00
6/18/18 16:30 @ESU8 E-MINI S&P 500 LONG 1 2779.25 6/20 21:58 2783.50 2.27%
Trade id #118494179
Max drawdown($2,175)
Time6/19/18 3:16
Quant open1
Worst price2735.75
Drawdown as % of equity-2.27%
$205
Includes Typical Broker Commissions trade costs of $8.00
5/29/18 16:31 @ESM8 E-MINI S&P 500 LONG 1 2692.25 5/30 2:06 2697.25 0.34%
Trade id #118155035
Max drawdown($325)
Time5/29/18 22:29
Quant open1
Worst price2685.75
Drawdown as % of equity-0.34%
$242
Includes Typical Broker Commissions trade costs of $8.00
5/22/18 16:40 @ESM8 E-MINI S&P 500 LONG 1 2727.00 5/23 15:29 2727.99 1.17%
Trade id #118055881
Max drawdown($1,125)
Time5/23/18 5:43
Quant open1
Worst price2704.50
Drawdown as % of equity-1.17%
$41
Includes Typical Broker Commissions trade costs of $8.00
5/16/18 8:41 @ESM8 E-MINI S&P 500 LONG 1 2708.16 5/16 9:30 2713.00 0.19%
Trade id #117956921
Max drawdown($182)
Time5/16/18 8:55
Quant open1
Worst price2704.50
Drawdown as % of equity-0.19%
$234
Includes Typical Broker Commissions trade costs of $8.00
5/15/18 16:33 @ESM8 E-MINI S&P 500 LONG 1 2709.50 5/16 4:32 2712.25 0.26%
Trade id #117950313
Max drawdown($250)
Time5/15/18 19:21
Quant open1
Worst price2704.50
Drawdown as % of equity-0.26%
$130
Includes Typical Broker Commissions trade costs of $8.00
5/3/18 16:33 @ESM8 E-MINI S&P 500 LONG 1 2631.25 5/4 10:27 2638.00 0.99%
Trade id #117786219
Max drawdown($950)
Time5/4/18 9:34
Quant open1
Worst price2612.25
Drawdown as % of equity-0.99%
$330
Includes Typical Broker Commissions trade costs of $8.00
4/24/18 16:30 @ESM8 E-MINI S&P 500 LONG 1 2635.75 4/25 14:59 2643.00 1.28%
Trade id #117647511
Max drawdown($1,225)
Time4/25/18 9:46
Quant open1
Worst price2611.25
Drawdown as % of equity-1.28%
$355
Includes Typical Broker Commissions trade costs of $8.00
4/20/18 10:56 @ESM8 E-MINI S&P 500 LONG 1 2678.57 4/23 11:23 2680.75 0.98%
Trade id #117597421
Max drawdown($941)
Time4/20/18 15:20
Quant open1
Worst price2659.75
Drawdown as % of equity-0.98%
$101
Includes Typical Broker Commissions trade costs of $8.00
4/2/18 16:30 @ESM8 E-MINI S&P 500 LONG 1 2576.75 4/2 20:56 2586.00 0.03%
Trade id #117336079
Max drawdown($25)
Time4/2/18 16:32
Quant open1
Worst price2576.25
Drawdown as % of equity-0.03%
$455
Includes Typical Broker Commissions trade costs of $8.00
3/28/18 10:44 @ESM8 E-MINI S&P 500 LONG 1 2604.19 3/28 11:03 2611.00 0.59%
Trade id #117277519
Max drawdown($559)
Time3/28/18 10:48
Quant open1
Worst price2593.00
Drawdown as % of equity-0.59%
$332
Includes Typical Broker Commissions trade costs of $8.00
3/28/18 4:37 @ESM8 E-MINI S&P 500 LONG 1 2607.41 3/28 6:53 2617.00 0.31%
Trade id #117271824
Max drawdown($295)
Time3/28/18 5:22
Quant open1
Worst price2601.50
Drawdown as % of equity-0.31%
$472
Includes Typical Broker Commissions trade costs of $8.00
3/22/18 16:31 @ESM8 E-MINI S&P 500 LONG 1 2642.52 3/23 9:26 2652.00 1.36%
Trade id #117192439
Max drawdown($1,276)
Time3/22/18 22:39
Quant open1
Worst price2617.00
Drawdown as % of equity-1.36%
$466
Includes Typical Broker Commissions trade costs of $8.00
3/19/18 16:31 @ESM8 E-MINI S&P 500 LONG 2 2724.88 3/21 11:51 2728.50 1.3%
Trade id #117125790
Max drawdown($1,212)
Time3/20/18 14:01
Quant open2
Worst price2712.75
Drawdown as % of equity-1.30%
$347
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    3/12/2015
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    1371.29
  • Age
    46 months ago
  • What it trades
    Futures
  • # Trades
    243
  • # Profitable
    220
  • % Profitable
    90.50%
  • Avg trade duration
    1.0 days
  • Max peak-to-valley drawdown
    17.69%
  • drawdown period
    Aug 04, 2015 - Aug 24, 2015
  • Annual Return (Compounded)
    8.8%
  • Avg win
    $295.96
  • Avg loss
    $1,423
  • Model Account Values (Raw)
  • Cash
    $92,375
  • Margin Used
    $0
  • Buying Power
    $92,375
  • Ratios
  • W:L ratio
    1.99:1
  • Sharpe Ratio
    1.128
  • Sortino Ratio
    1.527
  • Calmar Ratio
    1.038
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.25500
  • Return Statistics
  • Ann Return (w trading costs)
    8.8%
  • Ann Return (Compnd, No Fees)
    12.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    353
  • Popularity (Last 6 weeks)
    956
  • C2 Score
    97.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,423
  • Avg Win
    $296
  • # Winners
    220
  • # Losers
    23
  • % Winners
    90.5%
  • Frequency
  • Avg Position Time (mins)
    1421.30
  • Avg Position Time (hrs)
    23.69
  • Avg Trade Length
    1.0 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09008
  • SD
    0.08503
  • Sharpe ratio (Glass type estimate)
    1.05947
  • Sharpe ratio (Hedges UMVUE)
    1.04087
  • df
    43.00000
  • t
    2.02874
  • p
    0.02435
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00600
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10126
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08780
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30831
  • Upside Potential Ratio
    3.35726
  • Upside part of mean
    0.13102
  • Downside part of mean
    -0.04094
  • Upside SD
    0.07886
  • Downside SD
    0.03903
  • N nonnegative terms
    32.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.04988
  • Mean of criterion
    0.09008
  • SD of predictor
    0.09672
  • SD of criterion
    0.08503
  • Covariance
    0.00012
  • r
    0.01435
  • b (slope, estimate of beta)
    0.01262
  • a (intercept, estimate of alpha)
    0.08946
  • Mean Square Error
    0.00740
  • DF error
    42.00000
  • t(b)
    0.09301
  • p(b)
    0.46317
  • t(a)
    1.96900
  • p(a)
    0.02779
  • Lowerbound of 95% confidence interval for beta
    -0.26112
  • Upperbound of 95% confidence interval for beta
    0.28636
  • Lowerbound of 95% confidence interval for alpha
    -0.00223
  • Upperbound of 95% confidence interval for alpha
    0.18114
  • Treynor index (mean / b)
    7.14015
  • Jensen alpha (a)
    0.08946
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08615
  • SD
    0.08293
  • Sharpe ratio (Glass type estimate)
    1.03881
  • Sharpe ratio (Hedges UMVUE)
    1.02057
  • df
    43.00000
  • t
    1.98918
  • p
    0.02653
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01365
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07976
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02547
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06661
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16126
  • Upside Potential Ratio
    3.20551
  • Upside part of mean
    0.12777
  • Downside part of mean
    -0.04162
  • Upside SD
    0.07583
  • Downside SD
    0.03986
  • N nonnegative terms
    32.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.04510
  • Mean of criterion
    0.08615
  • SD of predictor
    0.09697
  • SD of criterion
    0.08293
  • Covariance
    0.00016
  • r
    0.01945
  • b (slope, estimate of beta)
    0.01663
  • a (intercept, estimate of alpha)
    0.08540
  • Mean Square Error
    0.00704
  • DF error
    42.00000
  • t(b)
    0.12608
  • p(b)
    0.45014
  • t(a)
    1.93143
  • p(a)
    0.03010
  • Lowerbound of 95% confidence interval for beta
    -0.24963
  • Upperbound of 95% confidence interval for beta
    0.28290
  • Lowerbound of 95% confidence interval for alpha
    -0.00383
  • Upperbound of 95% confidence interval for alpha
    0.17463
  • Treynor index (mean / b)
    5.17874
  • Jensen alpha (a)
    0.08540
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03168
  • Expected Shortfall on VaR
    0.04129
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00478
  • Expected Shortfall on VaR
    0.01209
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    44.00000
  • Minimum
    0.94796
  • Quartile 1
    1.00197
  • Median
    1.00577
  • Quartile 3
    1.01128
  • Maximum
    1.11295
  • Mean of quarter 1
    0.98872
  • Mean of quarter 2
    1.00392
  • Mean of quarter 3
    1.00853
  • Mean of quarter 4
    1.03817
  • Inter Quartile Range
    0.00932
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.06818
  • Mean of outliers low
    0.96213
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.15909
  • Mean of outliers high
    1.05089
  • 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)
    -0.24842
  • VaR(95%) (regression method)
    0.02255
  • Expected Shortfall (regression method)
    0.03881
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00671
  • Quartile 1
    0.00816
  • Median
    0.02491
  • Quartile 3
    0.04872
  • Maximum
    0.07138
  • Mean of quarter 1
    0.00671
  • Mean of quarter 2
    0.00865
  • Mean of quarter 3
    0.04116
  • Mean of quarter 4
    0.07138
  • Inter Quartile Range
    0.04056
  • 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)
    0.14161
  • Compounded annual return (geometric extrapolation)
    0.12081
  • Calmar ratio (compounded annual return / max draw down)
    1.69259
  • Compounded annual return / average of 25% largest draw downs
    1.69259
  • Compounded annual return / Expected Shortfall lognormal
    2.92629
  • 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
    0.09034
  • SD
    0.08003
  • Sharpe ratio (Glass type estimate)
    1.12894
  • Sharpe ratio (Hedges UMVUE)
    1.12806
  • df
    965.00000
  • t
    2.16775
  • p
    0.01521
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10671
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15065
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10610
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15003
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.52691
  • Upside Potential Ratio
    5.27270
  • Upside part of mean
    0.31198
  • Downside part of mean
    -0.22163
  • Upside SD
    0.05411
  • Downside SD
    0.05917
  • N nonnegative terms
    290.00000
  • N negative terms
    676.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    966.00000
  • Mean of predictor
    0.04867
  • Mean of criterion
    0.09034
  • SD of predictor
    0.13351
  • SD of criterion
    0.08003
  • Covariance
    0.00305
  • r
    0.28506
  • b (slope, estimate of beta)
    0.17086
  • a (intercept, estimate of alpha)
    0.08200
  • Mean Square Error
    0.00589
  • DF error
    964.00000
  • t(b)
    9.23381
  • p(b)
    0.00000
  • t(a)
    2.05182
  • p(a)
    0.02023
  • Lowerbound of 95% confidence interval for beta
    0.13455
  • Upperbound of 95% confidence interval for beta
    0.20717
  • Lowerbound of 95% confidence interval for alpha
    0.00357
  • Upperbound of 95% confidence interval for alpha
    0.16048
  • Treynor index (mean / b)
    0.52876
  • Jensen alpha (a)
    0.08203
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08710
  • SD
    0.08045
  • Sharpe ratio (Glass type estimate)
    1.08262
  • Sharpe ratio (Hedges UMVUE)
    1.08178
  • df
    965.00000
  • t
    2.07881
  • p
    0.01895
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06049
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10423
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05991
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10365
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.44916
  • Upside Potential Ratio
    5.16604
  • Upside part of mean
    0.31050
  • Downside part of mean
    -0.22340
  • Upside SD
    0.05369
  • Downside SD
    0.06010
  • N nonnegative terms
    290.00000
  • N negative terms
    676.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    966.00000
  • Mean of predictor
    0.03973
  • Mean of criterion
    0.08710
  • SD of predictor
    0.13388
  • SD of criterion
    0.08045
  • Covariance
    0.00309
  • r
    0.28734
  • b (slope, estimate of beta)
    0.17267
  • a (intercept, estimate of alpha)
    0.08024
  • Mean Square Error
    0.00594
  • DF error
    964.00000
  • t(b)
    9.31411
  • p(b)
    0.00000
  • t(a)
    1.99802
  • p(a)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.13629
  • Upperbound of 95% confidence interval for beta
    0.20905
  • Lowerbound of 95% confidence interval for alpha
    0.00143
  • Upperbound of 95% confidence interval for alpha
    0.15905
  • Treynor index (mean / b)
    0.50442
  • Jensen alpha (a)
    0.08024
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00781
  • Expected Shortfall on VaR
    0.00987
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00234
  • Expected Shortfall on VaR
    0.00528
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    966.00000
  • Minimum
    0.94770
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00088
  • Maximum
    1.03290
  • Mean of quarter 1
    0.99692
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00011
  • Mean of quarter 4
    1.00478
  • Inter Quartile Range
    0.00088
  • Number outliers low
    92.00000
  • Percentage of outliers low
    0.09524
  • Mean of outliers low
    0.99223
  • Number of outliers high
    152.00000
  • Percentage of outliers high
    0.15735
  • Mean of outliers high
    1.00673
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71590
  • VaR(95%) (moments method)
    0.00246
  • Expected Shortfall (moments method)
    0.01140
  • Extreme Value Index (regression method)
    0.43594
  • VaR(95%) (regression method)
    0.00312
  • Expected Shortfall (regression method)
    0.00899
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    66.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00065
  • Median
    0.00154
  • Quartile 3
    0.00972
  • Maximum
    0.11737
  • Mean of quarter 1
    0.00022
  • Mean of quarter 2
    0.00116
  • Mean of quarter 3
    0.00370
  • Mean of quarter 4
    0.02992
  • Inter Quartile Range
    0.00907
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.05817
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.63902
  • VaR(95%) (moments method)
    0.03238
  • Expected Shortfall (moments method)
    0.09489
  • Extreme Value Index (regression method)
    0.66484
  • VaR(95%) (regression method)
    0.02712
  • Expected Shortfall (regression method)
    0.07868
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14324
  • Compounded annual return (geometric extrapolation)
    0.12188
  • Calmar ratio (compounded annual return / max draw down)
    1.03846
  • Compounded annual return / average of 25% largest draw downs
    4.07289
  • Compounded annual return / Expected Shortfall lognormal
    12.34950
  • 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
    -0.12945
  • SD
    0.11328
  • Sharpe ratio (Glass type estimate)
    -1.14272
  • Sharpe ratio (Hedges UMVUE)
    -1.13611
  • df
    130.00000
  • t
    -0.80802
  • p
    0.53534
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.91583
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63474
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.91135
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63913
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.31896
  • Upside Potential Ratio
    3.24391
  • Upside part of mean
    0.31837
  • Downside part of mean
    -0.44782
  • Upside SD
    0.05627
  • Downside SD
    0.09814
  • N nonnegative terms
    30.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11683
  • Mean of criterion
    -0.12945
  • SD of predictor
    0.14819
  • SD of criterion
    0.11328
  • Covariance
    0.00846
  • r
    0.50384
  • b (slope, estimate of beta)
    0.38514
  • a (intercept, estimate of alpha)
    -0.08445
  • Mean Square Error
    0.00965
  • DF error
    129.00000
  • t(b)
    6.62487
  • p(b)
    0.19339
  • t(a)
    -0.60720
  • p(a)
    0.53397
  • Lowerbound of 95% confidence interval for beta
    0.27012
  • Upperbound of 95% confidence interval for beta
    0.50017
  • Lowerbound of 95% confidence interval for alpha
    -0.35964
  • Upperbound of 95% confidence interval for alpha
    0.19073
  • Treynor index (mean / b)
    -0.33610
  • Jensen alpha (a)
    -0.08445
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13592
  • SD
    0.11444
  • Sharpe ratio (Glass type estimate)
    -1.18768
  • Sharpe ratio (Hedges UMVUE)
    -1.18081
  • df
    130.00000
  • t
    -0.83982
  • p
    0.53673
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.96107
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59006
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.95633
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59470
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.36316
  • Upside Potential Ratio
    3.17683
  • Upside part of mean
    0.31677
  • Downside part of mean
    -0.45269
  • Upside SD
    0.05591
  • Downside SD
    0.09971
  • N nonnegative terms
    30.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12780
  • Mean of criterion
    -0.13592
  • SD of predictor
    0.14884
  • SD of criterion
    0.11444
  • Covariance
    0.00860
  • r
    0.50509
  • b (slope, estimate of beta)
    0.38837
  • a (intercept, estimate of alpha)
    -0.08629
  • Mean Square Error
    0.00983
  • DF error
    129.00000
  • t(b)
    6.64699
  • p(b)
    0.19270
  • t(a)
    -0.61448
  • p(a)
    0.53438
  • Lowerbound of 95% confidence interval for beta
    0.27277
  • Upperbound of 95% confidence interval for beta
    0.50397
  • Lowerbound of 95% confidence interval for alpha
    -0.36412
  • Upperbound of 95% confidence interval for alpha
    0.19155
  • Treynor index (mean / b)
    -0.34998
  • Jensen alpha (a)
    -0.08629
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01208
  • Expected Shortfall on VaR
    0.01499
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00506
  • Expected Shortfall on VaR
    0.01102
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95460
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01816
  • Mean of quarter 1
    0.99354
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00492
  • Inter Quartile Range
    0.00000
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.98878
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.22901
  • Mean of outliers high
    1.00541
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.55994
  • VaR(95%) (moments method)
    0.00274
  • Expected Shortfall (moments method)
    0.00385
  • Extreme Value Index (regression method)
    -0.00912
  • VaR(95%) (regression method)
    0.00856
  • Expected Shortfall (regression method)
    0.01673
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00083
  • Median
    0.00650
  • Quartile 3
    0.03833
  • Maximum
    0.11737
  • Mean of quarter 1
    0.00029
  • Mean of quarter 2
    0.00101
  • Mean of quarter 3
    0.01199
  • Mean of quarter 4
    0.11737
  • Inter Quartile Range
    0.03750
  • 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
    0.25000
  • Mean of outliers high
    0.11737
  • 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)
    -0.10515
  • Compounded annual return (geometric extrapolation)
    -0.10239
  • Calmar ratio (compounded annual return / max draw down)
    -0.87236
  • Compounded annual return / average of 25% largest draw downs
    -0.87236
  • Compounded annual return / Expected Shortfall lognormal
    -6.83212

Strategy Description

This system uses algos to trade the ES futures market.

The system trades high probability patterns within defined risk metrics.

The system will trade 1 contract per $10,000 of equity and can take multiple positions, as equity allows.

Any questions, please post them here https://forums.collective2.com/t/b48es-system-forum/8086

Summary Statistics

Strategy began
2015-03-12
Suggested Minimum Capital
$80,000
# Trades
243
# Profitable
220
% Profitable
90.5%
Correlation S&P500
0.255
Sharpe Ratio
1.128

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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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.