Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

OPN W8868
(102081384)

Created by: OPNTrader OPNTrader
Started: 09/2016
Futures
Last trade: 2 days ago
Trading style: Futures Trend-following Momentum

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 $258.00 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.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
46.8%
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.

(54.2%)
Max Drawdown
4890
Num Trades
32.3%
Win Trades
1.2 : 1
Profit Factor
60.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                        (3.6%)+8.8%(2.3%)+20.6%+23.5%
2017+13.9%(3.1%)+5.7%+5.9%+4.7%+7.4%+11.2%(2%)(0.7%)+2.1%(6.6%)+16.8%+67.4%
2018+9.0%+14.8%(23.5%)(18.4%)+8.0%(1.6%)(6.6%)+17.6%+31.9%(5.6%)(22.1%)(13.4%)(23.4%)
2019+11.6%(8.4%)+21.3%(11.4%)+48.5%(21.7%)+13.9%+7.3%+10.7%(4.7%)+4.2%+7.8%+85.0%
2020+5.8%+16.4%+25.5%+3.5%(1.7%)(5.6%)+5.1%+0.6%+3.2%+13.6%(1%)(2.5%)+77.3%
2021+1.0%                                                                  +1.0%

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 3,286 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 704 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/15/21 6:58 @SH1 SOYBEANS LONG 1 1424 1/15 11:08 1418 0.26%
Trade id #133395881
Max drawdown($337)
Time1/15/21 9:30
Quant open1
Worst price1417 1/4
Drawdown as % of equity-0.26%
($308)
Includes Typical Broker Commissions trade costs of $8.00
1/15/21 5:35 @SMH1 SOYBEAN MEAL LONG 2 463.1 1/15 9:30 460.6 0.41%
Trade id #133394893
Max drawdown($540)
Time1/15/21 9:30
Quant open2
Worst price460.4
Drawdown as % of equity-0.41%
($516)
Includes Typical Broker Commissions trade costs of $16.00
1/14/21 2:57 @WH1 WHEAT LONG 2 661 1/14 11:38 671 0.5%
Trade id #133366460
Max drawdown($650)
Time1/14/21 7:30
Quant open2
Worst price654 2/4
Drawdown as % of equity-0.50%
$984
Includes Typical Broker Commissions trade costs of $16.00
1/11/21 12:01 QCLG1 CRUDE OIL LONG 2 52.12 1/12 12:14 52.91 0.25%
Trade id #133307942
Max drawdown($320)
Time1/11/21 12:21
Quant open2
Worst price51.96
Drawdown as % of equity-0.25%
$1,564
Includes Typical Broker Commissions trade costs of $16.00
1/12/21 2:41 QNGG1 Natural Gas LONG 3 2.818 1/12 12:04 2.807 0.27%
Trade id #133319338
Max drawdown($360)
Time1/12/21 12:04
Quant open3
Worst price2.806
Drawdown as % of equity-0.27%
($354)
Includes Typical Broker Commissions trade costs of $24.00
1/6/21 2:54 @WH1 WHEAT LONG 4 653 1/6 9:52 651 1/4 0.31%
Trade id #133200712
Max drawdown($400)
Time1/6/21 9:44
Quant open4
Worst price651
Drawdown as % of equity-0.31%
($407)
Includes Typical Broker Commissions trade costs of $32.00
1/6/21 2:55 @SH1 SOYBEANS LONG 2 1365 1/6 9:30 1361 0.34%
Trade id #133200778
Max drawdown($450)
Time1/6/21 9:30
Quant open2
Worst price1360 2/4
Drawdown as % of equity-0.34%
($416)
Includes Typical Broker Commissions trade costs of $16.00
1/4/21 7:06 QCLG1 CRUDE OIL SHORT 1 48.71 1/4 10:37 47.71 0.29%
Trade id #133150793
Max drawdown($380)
Time1/4/21 9:00
Quant open1
Worst price49.09
Drawdown as % of equity-0.29%
$992
Includes Typical Broker Commissions trade costs of $8.00
12/21/20 14:10 @CH1 CORN LONG 2 439 2/4 12/23 9:56 447 0.17%
Trade id #132945947
Max drawdown($225)
Time12/22/20 0:00
Quant open2
Worst price437 1/4
Drawdown as % of equity-0.17%
$734
Includes Typical Broker Commissions trade costs of $16.00
12/21/20 14:09 @SMF1 SOYBEAN MEAL LONG 1 411.7 12/23 9:56 419.5 0.24%
Trade id #132945928
Max drawdown($310)
Time12/22/20 0:00
Quant open1
Worst price408.6
Drawdown as % of equity-0.24%
$772
Includes Typical Broker Commissions trade costs of $8.00
12/21/20 14:09 @WH1 WHEAT LONG 2 611 1/4 12/22 0:40 605 0.49%
Trade id #132945935
Max drawdown($625)
Time12/22/20 0:40
Quant open2
Worst price605
Drawdown as % of equity-0.49%
($641)
Includes Typical Broker Commissions trade costs of $16.00
12/21/20 4:56 QCLF1 CRUDE OIL LONG 2 46.57 12/21 5:11 46.28 0.45%
Trade id #132931459
Max drawdown($580)
Time12/21/20 5:11
Quant open2
Worst price46.28
Drawdown as % of equity-0.45%
($596)
Includes Typical Broker Commissions trade costs of $16.00
12/15/20 3:24 QCLF1 CRUDE OIL LONG 2 46.78 12/16 11:20 47.37 0.02%
Trade id #132814635
Max drawdown($20)
Time12/15/20 3:27
Quant open2
Worst price46.77
Drawdown as % of equity-0.02%
$1,164
Includes Typical Broker Commissions trade costs of $16.00
12/15/20 10:53 @SF1 SOYBEANS LONG 1 1172 12/16 11:20 1185 1/4 0.02%
Trade id #132822724
Max drawdown($25)
Time12/15/20 11:02
Quant open1
Worst price1171 2/4
Drawdown as % of equity-0.02%
$655
Includes Typical Broker Commissions trade costs of $8.00
12/15/20 3:17 @CH1 CORN SHORT 2 421 12/15 14:14 425 0.33%
Trade id #132814552
Max drawdown($425)
Time12/15/20 14:14
Quant open2
Worst price425 1/4
Drawdown as % of equity-0.33%
($416)
Includes Typical Broker Commissions trade costs of $16.00
12/14/20 9:35 QGCG1 Gold 100 oz LONG 1 1841.5 12/14 9:55 1836.5 0.44%
Trade id #132794486
Max drawdown($560)
Time12/14/20 9:55
Quant open1
Worst price1835.9
Drawdown as % of equity-0.44%
($508)
Includes Typical Broker Commissions trade costs of $8.00
12/14/20 8:18 QSIH1 Silver 5000 oz LONG 1 24.125 12/14 8:20 24.020 0.41%
Trade id #132792587
Max drawdown($525)
Time12/14/20 8:20
Quant open1
Worst price24.020
Drawdown as % of equity-0.41%
($533)
Includes Typical Broker Commissions trade costs of $8.00
12/8/20 9:31 QSIH1 Silver 5000 oz LONG 1 24.800 12/9 0:30 24.460 1.99%
Trade id #132693758
Max drawdown($2,575)
Time12/9/20 0:00
Quant open1
Worst price24.285
Drawdown as % of equity-1.99%
($1,708)
Includes Typical Broker Commissions trade costs of $8.00
12/7/20 3:11 @SMF1 SOYBEAN MEAL SHORT 1 382.6 12/7 11:28 384.9 0.18%
Trade id #132665083
Max drawdown($240)
Time12/7/20 11:28
Quant open1
Worst price385.0
Drawdown as % of equity-0.18%
($238)
Includes Typical Broker Commissions trade costs of $8.00
12/7/20 3:12 @SF1 SOYBEANS SHORT 1 1154 12/7 10:59 1161 0.27%
Trade id #132665088
Max drawdown($350)
Time12/7/20 10:59
Quant open1
Worst price1161
Drawdown as % of equity-0.27%
($358)
Includes Typical Broker Commissions trade costs of $8.00
12/7/20 3:12 @CH1 CORN SHORT 2 416 3/4 12/7 10:44 420 0.25%
Trade id #132665098
Max drawdown($325)
Time12/7/20 10:44
Quant open2
Worst price420
Drawdown as % of equity-0.25%
($341)
Includes Typical Broker Commissions trade costs of $16.00
12/7/20 9:14 QCLF1 CRUDE OIL LONG 2 45.96 12/7 9:39 45.70 0.39%
Trade id #132670077
Max drawdown($520)
Time12/7/20 9:39
Quant open2
Worst price45.70
Drawdown as % of equity-0.39%
($536)
Includes Typical Broker Commissions trade costs of $16.00
12/2/20 5:52 QCLF1 CRUDE OIL LONG 4 44.52 12/2 6:26 44.40 0.42%
Trade id #132588030
Max drawdown($560)
Time12/2/20 6:26
Quant open4
Worst price44.38
Drawdown as % of equity-0.42%
($512)
Includes Typical Broker Commissions trade costs of $32.00
11/25/20 10:34 @CH1 CORN SHORT 2 428 3/4 11/27 12:45 433 2/4 0.36%
Trade id #132455400
Max drawdown($475)
Time11/27/20 11:52
Quant open2
Worst price433 2/4
Drawdown as % of equity-0.36%
($491)
Includes Typical Broker Commissions trade costs of $16.00
11/24/20 12:28 @SMF1 SOYBEAN MEAL LONG 2 394.5 11/25 9:34 397.6 0.09%
Trade id #132431769
Max drawdown($120)
Time11/24/20 12:32
Quant open2
Worst price393.9
Drawdown as % of equity-0.09%
$604
Includes Typical Broker Commissions trade costs of $16.00
11/20/20 5:38 @WZ0 WHEAT LONG 4 598 1/4 11/23 10:14 603 0.23%
Trade id #132364749
Max drawdown($300)
Time11/20/20 14:14
Quant open2
Worst price592
Drawdown as % of equity-0.23%
$943
Includes Typical Broker Commissions trade costs of $32.00
11/23/20 2:21 @SMZ0 SOYBEAN MEAL LONG 2 400.2 11/23 9:44 397.7 0.45%
Trade id #132393770
Max drawdown($600)
Time11/23/20 9:44
Quant open2
Worst price397.2
Drawdown as % of equity-0.45%
($516)
Includes Typical Broker Commissions trade costs of $16.00
11/23/20 3:19 @CZ0 CORN LONG 4 429 2/4 11/23 9:36 426 3/4 0.41%
Trade id #132400736
Max drawdown($550)
Time11/23/20 9:36
Quant open4
Worst price426 3/4
Drawdown as % of equity-0.41%
($582)
Includes Typical Broker Commissions trade costs of $32.00
11/19/20 21:25 @SMZ0 SOYBEAN MEAL LONG 2 395.4 11/20 11:04 393.0 0.4%
Trade id #132359280
Max drawdown($540)
Time11/20/20 11:04
Quant open2
Worst price392.7
Drawdown as % of equity-0.40%
($496)
Includes Typical Broker Commissions trade costs of $16.00
11/19/20 10:48 @CZ0 CORN LONG 2 425 2/4 11/19 10:57 423 0.19%
Trade id #132346445
Max drawdown($250)
Time11/19/20 10:57
Quant open2
Worst price423
Drawdown as % of equity-0.19%
($266)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    9/27/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1572.85
  • Age
    52 months ago
  • What it trades
    Futures
  • # Trades
    4890
  • # Profitable
    1581
  • % Profitable
    32.30%
  • Avg trade duration
    10.3 hours
  • Max peak-to-valley drawdown
    54.21%
  • drawdown period
    Oct 16, 2018 - April 22, 2019
  • Annual Return (Compounded)
    46.8%
  • Avg win
    $745.75
  • Avg loss
    $298.18
  • Model Account Values (Raw)
  • Cash
    $217,361
  • Margin Used
    $0
  • Buying Power
    $217,361
  • Ratios
  • W:L ratio
    1.19:1
  • Sharpe Ratio
    0.88
  • Sortino Ratio
    1.57
  • Calmar Ratio
    2.473
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    349.82%
  • Correlation to SP500
    0.01180
  • Return Percent SP500 (cumu) during strategy life
    74.46%
  • Return Statistics
  • Ann Return (w trading costs)
    46.8%
  • Slump
  • Current Slump as Pcnt Equity
    7.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.468%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    65.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    44.50%
  • Chance of 20% account loss
    15.00%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    867
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    174
  • Popularity (7 days, Percentile 1000 scale)
    649
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $298
  • Avg Win
    $746
  • Sum Trade PL (losers)
    $986,670.000
  • Age
  • Num Months filled monthly returns table
    53
  • Win / Loss
  • Sum Trade PL (winners)
    $1,179,030.000
  • # Winners
    1581
  • Num Months Winners
    32
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    3309
  • % Winners
    32.3%
  • Frequency
  • Avg Position Time (mins)
    616.68
  • Avg Position Time (hrs)
    10.28
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    6.33
  • Daily leverage (max)
    33.79
  • Regression
  • Alpha
    0.13
  • Beta
    0.03
  • Treynor Index
    4.91
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    22.18
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    12.73
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.33
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    5.001
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.107
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.600
  • Hold-and-Hope Ratio
    0.198
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53759
  • SD
    0.28660
  • Sharpe ratio (Glass type estimate)
    1.87572
  • Sharpe ratio (Hedges UMVUE)
    1.84684
  • df
    49.00000
  • t
    3.82879
  • p
    0.00018
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.83824
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89651
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81939
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87428
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.17963
  • Upside Potential Ratio
    6.65387
  • Upside part of mean
    0.69060
  • Downside part of mean
    -0.15301
  • Upside SD
    0.30628
  • Downside SD
    0.10379
  • N nonnegative terms
    32.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.11162
  • Mean of criterion
    0.53759
  • SD of predictor
    0.13778
  • SD of criterion
    0.28660
  • Covariance
    -0.00607
  • r
    -0.15369
  • b (slope, estimate of beta)
    -0.31970
  • a (intercept, estimate of alpha)
    0.57327
  • Mean Square Error
    0.08187
  • DF error
    48.00000
  • t(b)
    -1.07763
  • p(b)
    0.85671
  • t(a)
    3.98011
  • p(a)
    0.00012
  • Lowerbound of 95% confidence interval for beta
    -0.91620
  • Upperbound of 95% confidence interval for beta
    0.27680
  • Lowerbound of 95% confidence interval for alpha
    0.28367
  • Upperbound of 95% confidence interval for alpha
    0.86287
  • Treynor index (mean / b)
    -1.68152
  • Jensen alpha (a)
    0.57327
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48873
  • SD
    0.26982
  • Sharpe ratio (Glass type estimate)
    1.81133
  • Sharpe ratio (Hedges UMVUE)
    1.78344
  • df
    49.00000
  • t
    3.69737
  • p
    0.00028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.77857
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82785
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76040
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.80649
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.48314
  • Upside Potential Ratio
    5.93610
  • Upside part of mean
    0.64713
  • Downside part of mean
    -0.15840
  • Upside SD
    0.28172
  • Downside SD
    0.10902
  • N nonnegative terms
    32.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.10093
  • Mean of criterion
    0.48873
  • SD of predictor
    0.14556
  • SD of criterion
    0.26982
  • Covariance
    -0.00585
  • r
    -0.14896
  • b (slope, estimate of beta)
    -0.27612
  • a (intercept, estimate of alpha)
    0.51660
  • Mean Square Error
    0.07267
  • DF error
    48.00000
  • t(b)
    -1.04370
  • p(b)
    0.84907
  • t(a)
    3.83417
  • p(a)
    0.00018
  • Lowerbound of 95% confidence interval for beta
    -0.80805
  • Upperbound of 95% confidence interval for beta
    0.25581
  • Lowerbound of 95% confidence interval for alpha
    0.24569
  • Upperbound of 95% confidence interval for alpha
    0.78750
  • Treynor index (mean / b)
    -1.77000
  • Jensen alpha (a)
    0.51660
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08368
  • Expected Shortfall on VaR
    0.11266
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02313
  • Expected Shortfall on VaR
    0.05064
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    50.00000
  • Minimum
    0.86955
  • Quartile 1
    0.99184
  • Median
    1.03423
  • Quartile 3
    1.09051
  • Maximum
    1.31203
  • Mean of quarter 1
    0.95529
  • Mean of quarter 2
    1.01169
  • Mean of quarter 3
    1.07087
  • Mean of quarter 4
    1.14976
  • Inter Quartile Range
    0.09867
  • 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
    0.02000
  • Mean of outliers high
    1.31203
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.61875
  • VaR(95%) (moments method)
    0.02901
  • Expected Shortfall (moments method)
    0.03382
  • Extreme Value Index (regression method)
    -0.15536
  • VaR(95%) (regression method)
    0.04293
  • Expected Shortfall (regression method)
    0.05906
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00839
  • Quartile 1
    0.01413
  • Median
    0.02529
  • Quartile 3
    0.04632
  • Maximum
    0.22479
  • Mean of quarter 1
    0.01067
  • Mean of quarter 2
    0.02172
  • Mean of quarter 3
    0.02758
  • Mean of quarter 4
    0.13151
  • Inter Quartile Range
    0.03219
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.17100
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -4.37592
  • VaR(95%) (moments method)
    0.12517
  • Expected Shortfall (moments method)
    0.12531
  • Extreme Value Index (regression method)
    -0.26620
  • VaR(95%) (regression method)
    0.24926
  • Expected Shortfall (regression method)
    0.32172
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.82585
  • Compounded annual return (geometric extrapolation)
    0.67638
  • Calmar ratio (compounded annual return / max draw down)
    3.00896
  • Compounded annual return / average of 25% largest draw downs
    5.14315
  • Compounded annual return / Expected Shortfall lognormal
    6.00390
  • 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
    0.51621
  • SD
    0.26391
  • Sharpe ratio (Glass type estimate)
    1.95598
  • Sharpe ratio (Hedges UMVUE)
    1.95466
  • df
    1112.00000
  • t
    4.03145
  • p
    0.43999
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.00115
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.90996
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.00026
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.90906
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.86760
  • Upside Potential Ratio
    12.07380
  • Upside part of mean
    1.61149
  • Downside part of mean
    -1.09528
  • Upside SD
    0.22976
  • Downside SD
    0.13347
  • N nonnegative terms
    501.00000
  • N negative terms
    612.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1113.00000
  • Mean of predictor
    0.12330
  • Mean of criterion
    0.51621
  • SD of predictor
    0.20020
  • SD of criterion
    0.26391
  • Covariance
    -0.00107
  • r
    -0.02020
  • b (slope, estimate of beta)
    -0.02663
  • a (intercept, estimate of alpha)
    0.51900
  • Mean Square Error
    0.06968
  • DF error
    1111.00000
  • t(b)
    -0.67344
  • p(b)
    0.51286
  • t(a)
    4.05316
  • p(a)
    0.42334
  • Lowerbound of 95% confidence interval for beta
    -0.10421
  • Upperbound of 95% confidence interval for beta
    0.05096
  • Lowerbound of 95% confidence interval for alpha
    0.26801
  • Upperbound of 95% confidence interval for alpha
    0.77097
  • Treynor index (mean / b)
    -19.38540
  • Jensen alpha (a)
    0.51949
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48174
  • SD
    0.25920
  • Sharpe ratio (Glass type estimate)
    1.85852
  • Sharpe ratio (Hedges UMVUE)
    1.85727
  • df
    1112.00000
  • t
    3.83059
  • p
    0.44294
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.90406
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81219
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90321
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81133
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.56889
  • Upside Potential Ratio
    11.74930
  • Upside part of mean
    1.58594
  • Downside part of mean
    -1.10421
  • Upside SD
    0.22314
  • Downside SD
    0.13498
  • N nonnegative terms
    501.00000
  • N negative terms
    612.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1113.00000
  • Mean of predictor
    0.10310
  • Mean of criterion
    0.48174
  • SD of predictor
    0.20135
  • SD of criterion
    0.25920
  • Covariance
    -0.00119
  • r
    -0.02271
  • b (slope, estimate of beta)
    -0.02924
  • a (intercept, estimate of alpha)
    0.48475
  • Mean Square Error
    0.06721
  • DF error
    1111.00000
  • t(b)
    -0.75716
  • p(b)
    0.51446
  • t(a)
    3.85189
  • p(a)
    0.42708
  • Lowerbound of 95% confidence interval for beta
    -0.10500
  • Upperbound of 95% confidence interval for beta
    0.04653
  • Lowerbound of 95% confidence interval for alpha
    0.23782
  • Upperbound of 95% confidence interval for alpha
    0.73167
  • Treynor index (mean / b)
    -16.47780
  • Jensen alpha (a)
    0.48475
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02420
  • Expected Shortfall on VaR
    0.03069
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01024
  • Expected Shortfall on VaR
    0.01940
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1113.00000
  • Minimum
    0.94882
  • Quartile 1
    0.99423
  • Median
    1.00000
  • Quartile 3
    1.00684
  • Maximum
    1.16365
  • Mean of quarter 1
    0.98581
  • Mean of quarter 2
    0.99774
  • Mean of quarter 3
    1.00261
  • Mean of quarter 4
    1.02220
  • Inter Quartile Range
    0.01261
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.02606
  • Mean of outliers low
    0.96944
  • Number of outliers high
    74.00000
  • Percentage of outliers high
    0.06649
  • Mean of outliers high
    1.04352
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00309
  • VaR(95%) (moments method)
    0.01300
  • Expected Shortfall (moments method)
    0.01746
  • Extreme Value Index (regression method)
    -0.06842
  • VaR(95%) (regression method)
    0.01359
  • Expected Shortfall (regression method)
    0.01789
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    61.00000
  • Minimum
    0.00046
  • Quartile 1
    0.00729
  • Median
    0.02216
  • Quartile 3
    0.04909
  • Maximum
    0.26874
  • Mean of quarter 1
    0.00372
  • Mean of quarter 2
    0.01487
  • Mean of quarter 3
    0.03405
  • Mean of quarter 4
    0.10360
  • Inter Quartile Range
    0.04181
  • 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
    0.04918
  • Mean of outliers high
    0.22931
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.47025
  • VaR(95%) (moments method)
    0.11757
  • Expected Shortfall (moments method)
    0.23288
  • Extreme Value Index (regression method)
    0.78794
  • VaR(95%) (regression method)
    0.09209
  • Expected Shortfall (regression method)
    0.31230
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.81603
  • Compounded annual return (geometric extrapolation)
    0.66470
  • Calmar ratio (compounded annual return / max draw down)
    2.47338
  • Compounded annual return / average of 25% largest draw downs
    6.41594
  • Compounded annual return / Expected Shortfall lognormal
    21.65540
  • 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
    0.24087
  • SD
    0.08443
  • Sharpe ratio (Glass type estimate)
    2.85278
  • Sharpe ratio (Hedges UMVUE)
    2.83629
  • df
    130.00000
  • t
    2.01722
  • p
    0.41289
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05402
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.64084
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04313
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.62945
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.03945
  • Upside Potential Ratio
    13.53700
  • Upside part of mean
    0.53990
  • Downside part of mean
    -0.29903
  • Upside SD
    0.07553
  • Downside SD
    0.03988
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31447
  • Mean of criterion
    0.24087
  • SD of predictor
    0.16584
  • SD of criterion
    0.08443
  • Covariance
    0.00009
  • r
    0.00635
  • b (slope, estimate of beta)
    0.00323
  • a (intercept, estimate of alpha)
    0.23986
  • Mean Square Error
    0.00718
  • DF error
    129.00000
  • t(b)
    0.07208
  • p(b)
    0.49596
  • t(a)
    1.98731
  • p(a)
    0.39082
  • Lowerbound of 95% confidence interval for beta
    -0.08546
  • Upperbound of 95% confidence interval for beta
    0.09192
  • Lowerbound of 95% confidence interval for alpha
    0.00106
  • Upperbound of 95% confidence interval for alpha
    0.47865
  • Treynor index (mean / b)
    74.54720
  • Jensen alpha (a)
    0.23986
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23723
  • SD
    0.08399
  • Sharpe ratio (Glass type estimate)
    2.82451
  • Sharpe ratio (Hedges UMVUE)
    2.80819
  • df
    130.00000
  • t
    1.99723
  • p
    0.41373
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02630
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.61215
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01544
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.60093
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.92691
  • Upside Potential Ratio
    13.41710
  • Upside part of mean
    0.53702
  • Downside part of mean
    -0.29979
  • Upside SD
    0.07492
  • Downside SD
    0.04003
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30056
  • Mean of criterion
    0.23723
  • SD of predictor
    0.16634
  • SD of criterion
    0.08399
  • Covariance
    0.00007
  • r
    0.00495
  • b (slope, estimate of beta)
    0.00250
  • a (intercept, estimate of alpha)
    0.23647
  • Mean Square Error
    0.00711
  • DF error
    129.00000
  • t(b)
    0.05627
  • p(b)
    0.49685
  • t(a)
    1.97092
  • p(a)
    0.39169
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.08545
  • Upperbound of 95% confidence interval for beta
    0.09046
  • Lowerbound of 95% confidence interval for alpha
    -0.00091
  • Upperbound of 95% confidence interval for alpha
    0.47386
  • Treynor index (mean / b)
    94.83530
  • Jensen alpha (a)
    0.23647
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00760
  • Expected Shortfall on VaR
    0.00975
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00280
  • Expected Shortfall on VaR
    0.00554
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98876
  • Quartile 1
    0.99879
  • Median
    1.00000
  • Quartile 3
    1.00299
  • Maximum
    1.02473
  • Mean of quarter 1
    0.99601
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00102
  • Mean of quarter 4
    1.00738
  • Inter Quartile Range
    0.00420
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.99091
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.01790
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25219
  • VaR(95%) (moments method)
    0.00375
  • Expected Shortfall (moments method)
    0.00621
  • Extreme Value Index (regression method)
    0.27687
  • VaR(95%) (regression method)
    0.00335
  • Expected Shortfall (regression method)
    0.00549
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00196
  • Quartile 1
    0.00320
  • Median
    0.00503
  • Quartile 3
    0.01317
  • Maximum
    0.02989
  • Mean of quarter 1
    0.00252
  • Mean of quarter 2
    0.00366
  • Mean of quarter 3
    0.00738
  • Mean of quarter 4
    0.02812
  • Inter Quartile Range
    0.00997
  • 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
    0.12500
  • Mean of outliers high
    0.02989
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -368978000
  • Max Equity Drawdown (num days)
    188
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28351
  • Compounded annual return (geometric extrapolation)
    0.30360
  • Calmar ratio (compounded annual return / max draw down)
    10.15880
  • Compounded annual return / average of 25% largest draw downs
    10.79520
  • Compounded annual return / Expected Shortfall lognormal
    31.14560

Strategy Description

Hello. In this system, I trade in some futures that have normal results for my trading system. I use technical and fundamental analysis, mainly technical. I'm looking for something like waves and springs in the markets, like a Inside Bar. And using a % levels from months and Years for taking a best point to entering.
I trade mainly on coffee, cocoa, sugar, soybean, soybean meal, wheat, corn, soybean oil, oil WTI, natural gas, meat (Le, Gf,, He), gold, silver, platinum, copper, nasdaq, Dow.
Tools are selected in accordance with the criteria, which must will be with the minimal slippage and high liquidity positions.
I trade manually. Time is chosen so as to use maximum control over the markets.
System started for deposits from 50 thousand. Now it trade like with 100 k, but You can simply to deviding positions on 2, because all most positions (95 %) was and will be open from 2, 4, 6, 8 or 10 contracts by one position.
Any questions you can ask.
Best Regards.

Summary Statistics

Strategy began
2016-09-27
Suggested Minimum Capital
$100,000
# Trades
4890
# Profitable
1581
% Profitable
32.3%
Correlation S&P500
0.012
Sharpe Ratio
0.88
Sortino Ratio
1.57
Beta
0.03
Alpha
0.13
Leverage
6.33 Average
33.79 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.