Collective2 Collective2
Featured Strategy Income Trades Followed by live capital $27,500 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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NeoTrader
(101992564)

Created by: FooR FooR
Started: 04/2016
Futures
Last trade: 2,767 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $199.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

23.1%
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.

(11.2%)
Max Drawdown
55
Num Trades
85.5%
Win Trades
5.7 : 1
Profit Factor
5.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                     +1.0%+22.0%+6.6%+2.7%+0.5%  -  (0.9%)  -    -  +34.3%
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -                                            0.0

Model Account Details

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

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

Trading Record

This strategy has placed 106 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/5/16 7:31 BDZ6 EUREX BUND LONG 2 164.17 10/20 11:05 164.19 8.69%
Trade id #106241042
Max drawdown($2,957)
Time10/17/16 4:04
Quant open2
Worst price162.81
Drawdown as % of equity-8.69%
 $28
Includes Typical Broker Commissions trade costs of $16.00
9/19/16 4:52 BDZ6 EUREX BUND LONG 2 163.80 9/19 8:28 163.73 0.82%
Trade id #105939028
Max drawdown($297)
Time9/19/16 6:00
Quant open2
Worst price163.67
Drawdown as % of equity-0.82%
 ($174)
Includes Typical Broker Commissions trade costs of $16.00
9/7/16 2:35 BDZ6 EUREX BUND LONG 1 165.38 9/7 8:27 165.61 0.09%
Trade id #105674051
Max drawdown($33)
Time9/7/16 2:38
Quant open1
Worst price165.35
Drawdown as % of equity-0.09%
 $243
Includes Typical Broker Commissions trade costs of $8.00
9/6/16 12:00 EXU6 DJ EURO STOXX 50 LONG 1 3077.00 9/6 15:59 3075.00 0.15%
Trade id #105661595
Max drawdown($56)
Time9/6/16 14:10
Quant open1
Worst price3072.00
Drawdown as % of equity-0.15%
 ($30)
Includes Typical Broker Commissions trade costs of $8.00
9/1/16 8:12 BDU6 EUREX BUND LONG 1 167.24 9/1 11:03 167.37 0.68%
Trade id #105572532
Max drawdown($245)
Time9/1/16 9:55
Quant open1
Worst price167.02
Drawdown as % of equity-0.68%
 $134
Includes Typical Broker Commissions trade costs of $8.00
8/31/16 4:01 EXU6 DJ EURO STOXX 50 LONG 1 3044.00 8/31 9:57 3042.96 0.28%
Trade id #105540855
Max drawdown($100)
Time8/31/16 5:16
Quant open1
Worst price3035.00
Drawdown as % of equity-0.28%
 ($19)
Includes Typical Broker Commissions trade costs of $8.00
8/23/16 2:18 BDU6 EUREX BUND LONG 1 167.60 8/23 10:03 167.79 0.72%
Trade id #105349955
Max drawdown($257)
Time8/23/16 6:27
Quant open1
Worst price167.37
Drawdown as % of equity-0.72%
 $199
Includes Typical Broker Commissions trade costs of $8.00
8/19/16 2:04 BDU6 EUREX BUND LONG 2 167.27 8/22 8:59 167.49 3.31%
Trade id #105283067
Max drawdown($1,144)
Time8/19/16 11:51
Quant open2
Worst price166.76
Drawdown as % of equity-3.31%
 $461
Includes Typical Broker Commissions trade costs of $16.00
8/18/16 3:17 BDU6 EUREX BUND LONG 1 167.43 8/18 13:27 167.60 0.87%
Trade id #105257838
Max drawdown($305)
Time8/18/16 5:00
Quant open1
Worst price167.16
Drawdown as % of equity-0.87%
 $177
Includes Typical Broker Commissions trade costs of $8.00
8/16/16 10:46 BDU6 EUREX BUND LONG 1 166.90 8/16 10:46 166.89 0.02%
Trade id #105214824
Max drawdown($6)
Time8/16/16 10:46
Quant open0
Worst price166.89
Drawdown as % of equity-0.02%
 ($13)
Includes Typical Broker Commissions trade costs of $8.00
8/16/16 2:16 BDU6 EUREX BUND LONG 1 167.46 8/16 10:01 166.98 1.52%
Trade id #105204580
Max drawdown($541)
Time8/16/16 10:01
Quant open0
Worst price166.98
Drawdown as % of equity-1.52%
 ($529)
Includes Typical Broker Commissions trade costs of $8.00
8/12/16 6:05 EXU6 DJ EURO STOXX 50 SHORT 1 3043.00 8/12 14:48 3040.00 0.16%
Trade id #105140046
Max drawdown($56)
Time8/12/16 6:25
Quant open-1
Worst price3048.00
Drawdown as % of equity-0.16%
 $25
Includes Typical Broker Commissions trade costs of $8.00
8/12/16 3:56 BDU6 EUREX BUND LONG 1 167.64 8/12 14:45 167.63 0.54%
Trade id #105138634
Max drawdown($191)
Time8/12/16 5:50
Quant open1
Worst price167.47
Drawdown as % of equity-0.54%
 ($20)
Includes Typical Broker Commissions trade costs of $8.00
8/3/16 6:17 BDU6 EUREX BUND LONG 1 166.61 8/3 9:42 166.74 0.19%
Trade id #104957607
Max drawdown($66)
Time8/3/16 6:23
Quant open1
Worst price166.55
Drawdown as % of equity-0.19%
 $134
Includes Typical Broker Commissions trade costs of $8.00
8/2/16 8:19 BDU6 EUREX BUND LONG 1 166.59 8/2 14:09 166.64 0.65%
Trade id #104934201
Max drawdown($232)
Time8/2/16 9:06
Quant open1
Worst price166.38
Drawdown as % of equity-0.65%
 $45
Includes Typical Broker Commissions trade costs of $8.00
7/29/16 6:54 BDU6 EUREX BUND LONG 1 167.14 7/29 8:39 167.27 0.29%
Trade id #104883105
Max drawdown($100)
Time7/29/16 7:27
Quant open1
Worst price167.05
Drawdown as % of equity-0.29%
 $135
Includes Typical Broker Commissions trade costs of $8.00
7/28/16 8:27 BDU6 EUREX BUND LONG 1 167.27 7/28 12:16 167.43 0.48%
Trade id #104864271
Max drawdown($167)
Time7/28/16 9:57
Quant open1
Worst price167.12
Drawdown as % of equity-0.48%
 $166
Includes Typical Broker Commissions trade costs of $8.00
7/22/16 7:52 BDU6 EUREX BUND LONG 1 166.06 7/22 10:05 166.28 0.16%
Trade id #104767072
Max drawdown($54)
Time7/22/16 8:32
Quant open1
Worst price166.01
Drawdown as % of equity-0.16%
 $232
Includes Typical Broker Commissions trade costs of $8.00
7/19/16 6:02 EXU6 DJ EURO STOXX 50 LONG 1 2911.00 7/19 8:36 2919.00 0.25%
Trade id #104697474
Max drawdown($87)
Time7/19/16 6:24
Quant open1
Worst price2903.00
Drawdown as % of equity-0.25%
 $79
Includes Typical Broker Commissions trade costs of $8.00
7/18/16 2:31 BDU6 EUREX BUND LONG 1 166.36 7/18 7:01 166.49 0.6%
Trade id #104672841
Max drawdown($208)
Time7/18/16 3:26
Quant open1
Worst price166.17
Drawdown as % of equity-0.60%
 $134
Includes Typical Broker Commissions trade costs of $8.00
7/13/16 2:14 BDU6 EUREX BUND SHORT 2 166.63 7/13 8:08 167.01 2.62%
Trade id #104610030
Max drawdown($910)
Time7/13/16 7:37
Quant open-2
Worst price167.04
Drawdown as % of equity-2.62%
 ($849)
Includes Typical Broker Commissions trade costs of $16.00
7/12/16 3:19 EXU6 DJ EURO STOXX 50 SHORT 2 2896.00 7/12 9:30 2933.00 2.41%
Trade id #104587560
Max drawdown($860)
Time7/12/16 6:53
Quant open-2
Worst price2935.00
Drawdown as % of equity-2.41%
 ($823)
Includes Typical Broker Commissions trade costs of $16.00
7/11/16 2:03 BDU6 EUREX BUND SHORT 2 167.83 7/11 8:05 167.71 1.36%
Trade id #104566198
Max drawdown($485)
Time7/11/16 4:02
Quant open-2
Worst price168.05
Drawdown as % of equity-1.36%
 $246
Includes Typical Broker Commissions trade costs of $16.00
7/7/16 3:13 BDU6 EUREX BUND LONG 2 167.71 7/8 11:47 167.88 2.91%
Trade id #104515725
Max drawdown($1,017)
Time7/7/16 10:26
Quant open2
Worst price167.25
Drawdown as % of equity-2.91%
 $355
Includes Typical Broker Commissions trade costs of $16.00
7/6/16 2:05 EXU6 DJ EURO STOXX 50 SHORT 2 2781.00 7/6 4:46 2753.00 1.26%
Trade id #104495047
Max drawdown($441)
Time7/6/16 3:26
Quant open-2
Worst price2801.00
Drawdown as % of equity-1.26%
 $595
Includes Typical Broker Commissions trade costs of $16.00
7/5/16 2:57 BDU6 EUREX BUND LONG 2 167.30 7/5 3:57 167.49 0.25%
Trade id #104475318
Max drawdown($88)
Time7/5/16 3:01
Quant open2
Worst price167.26
Drawdown as % of equity-0.25%
 $398
Includes Typical Broker Commissions trade costs of $16.00
7/4/16 2:52 EXU6 DJ EURO STOXX 50 SHORT 2 2887.00 7/4 3:12 2874.00 0.06%
Trade id #104449303
Max drawdown($22)
Time7/4/16 2:54
Quant open-2
Worst price2888.00
Drawdown as % of equity-0.06%
 $267
Includes Typical Broker Commissions trade costs of $16.00
7/1/16 3:18 EXU6 DJ EURO STOXX 50 SHORT 1 2865.00 7/1 3:44 2846.00 0.29%
Trade id #104414626
Max drawdown($99)
Time7/1/16 3:23
Quant open-1
Worst price2874.00
Drawdown as % of equity-0.29%
 $199
Includes Typical Broker Commissions trade costs of $8.00
6/30/16 2:40 BDU6 EUREX BUND LONG 2 166.81 6/30 10:22 167.03 2.62%
Trade id #104392863
Max drawdown($869)
Time6/30/16 4:26
Quant open2
Worst price166.42
Drawdown as % of equity-2.62%
 $464
Includes Typical Broker Commissions trade costs of $16.00
6/29/16 2:41 BDU6 EUREX BUND LONG 2 166.69 6/29 5:19 166.87 0.37%
Trade id #104368911
Max drawdown($122)
Time6/29/16 3:24
Quant open2
Worst price166.64
Drawdown as % of equity-0.37%
 $366
Includes Typical Broker Commissions trade costs of $16.00
Next

Statistics

  • Strategy began
    4/24/2016
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2939.71
  • Age
    98 months ago
  • What it trades
    Futures
  • # Trades
    55
  • # Profitable
    47
  • % Profitable
    85.50%
  • Avg trade duration
    1.0 days
  • Max peak-to-valley drawdown
    11.21%
  • drawdown period
    July 11, 2016 - Oct 17, 2016
  • Annual Return (Compounded)
    23.1%
  • Avg win
    $287.87
  • Avg loss
    $296.12
  • Model Account Values (Raw)
  • Cash
    $36,158
  • Margin Used
    $0
  • Buying Power
    $36,158
  • Ratios
  • W:L ratio
    5.71:1
  • Sharpe Ratio
    0.34
  • Sortino Ratio
    0.66
  • Calmar Ratio
    3.447
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    14.60%
  • Correlation to SP500
    -0.01010
  • Return Percent SP500 (cumu) during strategy life
    153.55%
  • Return Statistics
  • Ann Return (w trading costs)
    23.1%
  • Slump
  • Current Slump as Pcnt Equity
    3.90%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.231%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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
    3.01%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    408
  • 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
    $296
  • Avg Win
    $288
  • Sum Trade PL (losers)
    $2,369.000
  • Age
  • Num Months filled monthly returns table
    98
  • Win / Loss
  • Sum Trade PL (winners)
    $13,530.000
  • # Winners
    47
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    8
  • % Winners
    85.5%
  • Frequency
  • Avg Position Time (mins)
    1434.75
  • Avg Position Time (hrs)
    23.91
  • Avg Trade Length
    1.0 days
  • Last Trade Ago
    2761
  • Regression
  • Alpha
    0.01
  • Beta
    -0.00
  • Treynor Index
    -1.96
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    75.65
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    66.99
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.23
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.514
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.812
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.251
  • Hold-and-Hope Ratio
    0.398
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44859
  • SD
    0.24759
  • Sharpe ratio (Glass type estimate)
    1.81182
  • Sharpe ratio (Hedges UMVUE)
    1.65577
  • df
    9.00000
  • t
    1.65395
  • p
    0.06626
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53118
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.06875
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62345
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93499
  • Statistics related to Sortino ratio
  • Sortino ratio
    37.57610
  • Upside Potential Ratio
    39.50260
  • Upside part of mean
    0.47159
  • Downside part of mean
    -0.02300
  • Upside SD
    0.26795
  • Downside SD
    0.01194
  • N nonnegative terms
    5.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.17215
  • Mean of criterion
    0.44859
  • SD of predictor
    0.10482
  • SD of criterion
    0.24759
  • Covariance
    -0.00589
  • r
    -0.22688
  • b (slope, estimate of beta)
    -0.53594
  • a (intercept, estimate of alpha)
    0.54086
  • Mean Square Error
    0.06542
  • DF error
    8.00000
  • t(b)
    -0.65890
  • p(b)
    0.73577
  • t(a)
    1.72677
  • p(a)
    0.06124
  • Lowerbound of 95% confidence interval for beta
    -2.41159
  • Upperbound of 95% confidence interval for beta
    1.33972
  • Lowerbound of 95% confidence interval for alpha
    -0.18143
  • Upperbound of 95% confidence interval for alpha
    1.26314
  • Treynor index (mean / b)
    -0.83703
  • Jensen alpha (a)
    0.54086
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41569
  • SD
    0.22542
  • Sharpe ratio (Glass type estimate)
    1.84407
  • Sharpe ratio (Hedges UMVUE)
    1.68525
  • df
    9.00000
  • t
    1.68339
  • p
    0.06329
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50483
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10571
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59858
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96907
  • Statistics related to Sortino ratio
  • Sortino ratio
    34.75330
  • Upside Potential Ratio
    36.67760
  • Upside part of mean
    0.43871
  • Downside part of mean
    -0.02302
  • Upside SD
    0.24493
  • Downside SD
    0.01196
  • N nonnegative terms
    5.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.16576
  • Mean of criterion
    0.41569
  • SD of predictor
    0.10288
  • SD of criterion
    0.22542
  • Covariance
    -0.00529
  • r
    -0.22831
  • b (slope, estimate of beta)
    -0.50026
  • a (intercept, estimate of alpha)
    0.49862
  • Mean Square Error
    0.05419
  • DF error
    8.00000
  • t(b)
    -0.66329
  • p(b)
    0.73710
  • t(a)
    1.75571
  • p(a)
    0.05860
  • Lowerbound of 95% confidence interval for beta
    -2.23948
  • Upperbound of 95% confidence interval for beta
    1.23896
  • Lowerbound of 95% confidence interval for alpha
    -0.15628
  • Upperbound of 95% confidence interval for alpha
    1.15352
  • Treynor index (mean / b)
    -0.83095
  • Jensen alpha (a)
    0.49862
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06984
  • Expected Shortfall on VaR
    0.09453
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00446
  • Expected Shortfall on VaR
    0.00808
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.99247
  • Quartile 1
    1.00000
  • Median
    1.00251
  • Quartile 3
    1.05372
  • Maximum
    1.22204
  • Mean of quarter 1
    0.99749
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.01612
  • Mean of quarter 4
    1.12413
  • Inter Quartile Range
    0.05372
  • 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
    1.22204
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00752
  • Quartile 1
    0.00752
  • Median
    0.00752
  • Quartile 3
    0.00752
  • Maximum
    0.00752
  • 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)
    0.53670
  • Compounded annual return (geometric extrapolation)
    0.55831
  • Calmar ratio (compounded annual return / max draw down)
    74.19460
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    5.90629
  • 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
    0.39359
  • SD
    0.13550
  • Sharpe ratio (Glass type estimate)
    2.90461
  • Sharpe ratio (Hedges UMVUE)
    2.89529
  • df
    234.00000
  • t
    2.75088
  • p
    0.00320
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.81547
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.98772
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80924
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.98135
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.95542
  • Upside Potential Ratio
    10.75380
  • Upside part of mean
    0.71070
  • Downside part of mean
    -0.31712
  • Upside SD
    0.12044
  • Downside SD
    0.06609
  • N nonnegative terms
    79.00000
  • N negative terms
    156.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    0.17759
  • Mean of criterion
    0.39359
  • SD of predictor
    0.10921
  • SD of criterion
    0.13550
  • Covariance
    -0.00060
  • r
    -0.04052
  • b (slope, estimate of beta)
    -0.05028
  • a (intercept, estimate of alpha)
    0.19100
  • Mean Square Error
    0.01841
  • DF error
    233.00000
  • t(b)
    -0.61909
  • p(b)
    0.73177
  • t(a)
    2.79545
  • p(a)
    0.00281
  • Lowerbound of 95% confidence interval for beta
    -0.21030
  • Upperbound of 95% confidence interval for beta
    0.10973
  • Lowerbound of 95% confidence interval for alpha
    0.11883
  • Upperbound of 95% confidence interval for alpha
    0.68620
  • Treynor index (mean / b)
    -7.82779
  • Jensen alpha (a)
    0.40252
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38423
  • SD
    0.13423
  • Sharpe ratio (Glass type estimate)
    2.86252
  • Sharpe ratio (Hedges UMVUE)
    2.85334
  • df
    234.00000
  • t
    2.71102
  • p
    0.00360
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.77386
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.94522
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76776
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.93892
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.75345
  • Upside Potential Ratio
    10.53460
  • Upside part of mean
    0.70353
  • Downside part of mean
    -0.31930
  • Upside SD
    0.11851
  • Downside SD
    0.06678
  • N nonnegative terms
    79.00000
  • N negative terms
    156.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    0.17157
  • Mean of criterion
    0.38423
  • SD of predictor
    0.10935
  • SD of criterion
    0.13423
  • Covariance
    -0.00057
  • r
    -0.03902
  • b (slope, estimate of beta)
    -0.04790
  • a (intercept, estimate of alpha)
    0.39245
  • Mean Square Error
    0.01807
  • DF error
    233.00000
  • t(b)
    -0.59605
  • p(b)
    0.72414
  • t(a)
    2.75223
  • p(a)
    0.00319
  • Lowerbound of 95% confidence interval for beta
    -0.20622
  • Upperbound of 95% confidence interval for beta
    0.11042
  • Lowerbound of 95% confidence interval for alpha
    0.11151
  • Upperbound of 95% confidence interval for alpha
    0.67339
  • Treynor index (mean / b)
    -8.02205
  • Jensen alpha (a)
    0.39245
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01210
  • Expected Shortfall on VaR
    0.01551
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00326
  • Expected Shortfall on VaR
    0.00715
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    235.00000
  • Minimum
    0.96629
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00137
  • Maximum
    1.05822
  • Mean of quarter 1
    0.99546
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00022
  • Mean of quarter 4
    1.01073
  • Inter Quartile Range
    0.00137
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.10213
  • Mean of outliers low
    0.98957
  • Number of outliers high
    43.00000
  • Percentage of outliers high
    0.18298
  • Mean of outliers high
    1.01385
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.19997
  • VaR(95%) (moments method)
    0.00271
  • Expected Shortfall (moments method)
    0.00421
  • Extreme Value Index (regression method)
    0.22525
  • VaR(95%) (regression method)
    0.00520
  • Expected Shortfall (regression method)
    0.01175
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00046
  • Quartile 1
    0.00244
  • Median
    0.00871
  • Quartile 3
    0.01476
  • Maximum
    0.06815
  • Mean of quarter 1
    0.00108
  • Mean of quarter 2
    0.00546
  • Mean of quarter 3
    0.01045
  • Mean of quarter 4
    0.04008
  • Inter Quartile Range
    0.01232
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.04734
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.14544
  • VaR(95%) (moments method)
    0.03984
  • Expected Shortfall (moments method)
    0.04005
  • Extreme Value Index (regression method)
    -0.28547
  • VaR(95%) (regression method)
    0.05960
  • Expected Shortfall (regression method)
    0.07532
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49864
  • Compounded annual return (geometric extrapolation)
    0.51004
  • Calmar ratio (compounded annual return / max draw down)
    7.48398
  • Compounded annual return / average of 25% largest draw downs
    12.72440
  • Compounded annual return / Expected Shortfall lognormal
    32.87950
  • 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
    -0.03764
  • SD
    0.06874
  • Sharpe ratio (Glass type estimate)
    -0.54759
  • Sharpe ratio (Hedges UMVUE)
    -0.54443
  • df
    130.00000
  • t
    -0.38721
  • p
    0.51697
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.31924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22598
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.31702
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22817
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.80918
  • Upside Potential Ratio
    3.34657
  • Upside part of mean
    0.15567
  • Downside part of mean
    -0.19331
  • Upside SD
    0.05030
  • Downside SD
    0.04652
  • N nonnegative terms
    11.00000
  • N negative terms
    120.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28564
  • Mean of criterion
    -0.03764
  • SD of predictor
    0.09750
  • SD of criterion
    0.06874
  • Covariance
    0.00007
  • r
    0.01097
  • b (slope, estimate of beta)
    0.00773
  • a (intercept, estimate of alpha)
    -0.03985
  • Mean Square Error
    0.00476
  • DF error
    129.00000
  • t(b)
    0.12459
  • p(b)
    0.49302
  • t(a)
    -0.40180
  • p(a)
    0.52250
  • Lowerbound of 95% confidence interval for beta
    -0.11507
  • Upperbound of 95% confidence interval for beta
    0.13053
  • Lowerbound of 95% confidence interval for alpha
    -0.23608
  • Upperbound of 95% confidence interval for alpha
    0.15638
  • Treynor index (mean / b)
    -4.86768
  • Jensen alpha (a)
    -0.03985
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03998
  • SD
    0.06861
  • Sharpe ratio (Glass type estimate)
    -0.58267
  • Sharpe ratio (Hedges UMVUE)
    -0.57930
  • df
    130.00000
  • t
    -0.41201
  • p
    0.51806
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.35430
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19113
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.35200
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19340
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.85343
  • Upside Potential Ratio
    3.29620
  • Upside part of mean
    0.15441
  • Downside part of mean
    -0.19438
  • Upside SD
    0.04983
  • Downside SD
    0.04684
  • N nonnegative terms
    11.00000
  • N negative terms
    120.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28076
  • Mean of criterion
    -0.03998
  • SD of predictor
    0.09726
  • SD of criterion
    0.06861
  • Covariance
    0.00007
  • r
    0.01086
  • b (slope, estimate of beta)
    0.00766
  • a (intercept, estimate of alpha)
    -0.04213
  • Mean Square Error
    0.00474
  • DF error
    129.00000
  • t(b)
    0.12336
  • p(b)
    0.49309
  • t(a)
    -0.42576
  • p(a)
    0.52384
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    -0.11522
  • Upperbound of 95% confidence interval for beta
    0.13054
  • Lowerbound of 95% confidence interval for alpha
    -0.23790
  • Upperbound of 95% confidence interval for alpha
    0.15365
  • Treynor index (mean / b)
    -5.21805
  • Jensen alpha (a)
    -0.04213
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00710
  • Expected Shortfall on VaR
    0.00886
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00243
  • Expected Shortfall on VaR
    0.00528
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98292
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02353
  • Mean of quarter 1
    0.99746
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00240
  • Inter Quartile Range
    0.00000
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.99401
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.00608
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -15.73440
  • VaR(95%) (moments method)
    0.00250
  • Expected Shortfall (moments method)
    0.00330
  • Extreme Value Index (regression method)
    -1.33388
  • VaR(95%) (regression method)
    0.00414
  • Expected Shortfall (regression method)
    0.01042
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00021
  • Quartile 1
    0.01600
  • Median
    0.03178
  • Quartile 3
    0.04757
  • Maximum
    0.06336
  • Mean of quarter 1
    0.00021
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06336
  • Inter Quartile Range
    0.03157
  • 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
  • Max Equity Drawdown (num days)
    98
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01203
  • Compounded annual return (geometric extrapolation)
    -0.01200
  • Calmar ratio (compounded annual return / max draw down)
    -0.18937
  • Compounded annual return / average of 25% largest draw downs
    -0.18937
  • Compounded annual return / Expected Shortfall lognormal
    -1.35491

Strategy Description

This is algorithmic trading with a human touch.
The system swing trades the German 10 year Bond future and daytrades the Euro Stoxx50 future. Maximum open position is 3 contracts.
I use an algorithm to tell me when it’s time to enter and use stop loss and target orders for each position. The levels are chosen manually at support- and resistance levels and can change multiple times during a trade depending on price action.
18th of July 2016 there were some modifications made to the system to optimize the profit factor.

Summary Statistics

Strategy began
2016-04-24
Suggested Minimum Capital
$20,000
# Trades
55
# Profitable
47
% Profitable
85.5%
Correlation S&P500
-0.010
Sharpe Ratio
0.34
Sortino Ratio
0.66
Beta
-0.00
Alpha
0.01

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.

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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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