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Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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OPN W8868
(102081384)

Created by: OPNTrader OPNTrader
Started: 09/2016
Futures
Last trade: 4 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 $146.00 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).
16.0%
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.

(70.6%)
Max Drawdown
6152
Num Trades
33.5%
Win Trades
1.1 : 1
Profit Factor
54.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                        (2.8%)+9.6%(1.5%)+20.8%+26.7%
2017+14.2%(2.5%)+6.1%+6.2%+5.0%+7.6%+11.1%(1.5%)(0.3%)+2.4%(5.8%)+16.1%+73.3%
2018+8.8%+14.3%(21.9%)(16.7%)+7.8%(1%)(5.6%)+16.2%+29.3%(4.9%)(20%)(11.6%)(17.6%)
2019+10.6%(7%)+19.0%(9.8%)+42.7%(19.4%)+12.6%+6.8%+9.8%(4%)+4.1%+7.3%+79.8%
2020+5.4%+15.0%+23.5%+3.4%(1.4%)(5%)+4.8%+0.6%+3.0%+12.7%(0.9%)(2.3%)+72.0%
2021(4.8%)(1.6%)(2.1%)+6.1%(7.3%)(0.1%)(15.1%)+0.9%(1.1%)+9.2%+7.9%+1.9%(8.4%)
2022+6.4%+2.0%+17.3%+7.5%(2.6%)(7.6%)+40.1%(10.5%)+12.6%+0.4%+0.7%+4.2%+83.0%
2023+2.1%(3.5%)(5%)(14.6%)(26.8%)+6.1%+10.7%(1.6%)(24.6%)+23.4%(3.5%)(3.7%)(41.6%)
2024(3.3%)(33.2%)+37.1%(4.5%)+17.5%(8.3%)+2.9%+8.1%+8.4%(25.1%)(10.1%)(15.9%)(37.7%)

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 3,235 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 800 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/9/24 2:46 QHGH5 Copper LONG 2 426.25 12/17 9:24 414.65 18.81%
Trade id #150276125
Max drawdown($6,475)
Time12/17/24 8:36
Quant open2
Worst price413.30
Drawdown as % of equity-18.81%
 ($5,816)
Includes Typical Broker Commissions trade costs of $16.00
12/9/24 12:00 QCLF5 CRUDE OIL LONG 1 68.52 12/16 8:47 70.71 2.02%
Trade id #150281321
Max drawdown($800)
Time12/10/24 0:00
Quant open1
Worst price67.72
Drawdown as % of equity-2.02%
 $2,182
Includes Typical Broker Commissions trade costs of $8.00
12/9/24 11:56 @WH5 WHEAT SHORT 2 560 3/4 12/16 8:47 558 2.16%
Trade id #150281282
Max drawdown($850)
Time12/11/24 0:00
Quant open2
Worst price569 1/4
Drawdown as % of equity-2.16%
 $259
Includes Typical Broker Commissions trade costs of $16.00
12/9/24 11:55 @SMF5 SOYBEAN MEAL SHORT 3 289.1 12/16 8:47 290.3 3.64%
Trade id #150281279
Max drawdown($1,440)
Time12/10/24 0:00
Quant open3
Worst price293.9
Drawdown as % of equity-3.64%
 ($384)
Includes Typical Broker Commissions trade costs of $24.00
12/9/24 11:55 @SF5 SOYBEANS SHORT 2 986 1/4 12/16 8:47 992 2/4 3.74%
Trade id #150281265
Max drawdown($1,475)
Time12/11/24 0:00
Quant open2
Worst price1001
Drawdown as % of equity-3.74%
 ($641)
Includes Typical Broker Commissions trade costs of $16.00
12/9/24 11:55 @CH5 CORN SHORT 5 441 12/11 6:32 449 3/4 5.69%
Trade id #150281272
Max drawdown($2,250)
Time12/10/24 0:00
Quant open5
Worst price450
Drawdown as % of equity-5.69%
 ($2,228)
Includes Typical Broker Commissions trade costs of $40.00
12/3/24 4:05 @WH5 WHEAT LONG 1 550 1/4 12/9 11:55 560 3/4 1.25%
Trade id #150229490
Max drawdown($500)
Time12/4/24 0:00
Quant open1
Worst price540 1/4
Drawdown as % of equity-1.25%
 $517
Includes Typical Broker Commissions trade costs of $8.00
12/3/24 1:47 @SMF5 SOYBEAN MEAL LONG 3 290.7 12/9 11:55 289.1 1.39%
Trade id #150229021
Max drawdown($590)
Time12/9/24 11:42
Quant open3
Worst price288.7
Drawdown as % of equity-1.39%
 ($494)
Includes Typical Broker Commissions trade costs of $24.00
12/3/24 1:47 @CH5 CORN LONG 5 436 3/4 12/9 11:55 441 1.99%
Trade id #150229019
Max drawdown($787)
Time12/5/24 0:00
Quant open3
Worst price428 1/4
Drawdown as % of equity-1.99%
 $1,010
Includes Typical Broker Commissions trade costs of $40.00
11/27/24 9:34 @SF5 SOYBEANS LONG 2 994 3/4 12/9 11:55 986 3/4 2.12%
Trade id #150193622
Max drawdown($900)
Time12/9/24 11:53
Quant open2
Worst price985 3/4
Drawdown as % of equity-2.12%
 ($816)
Includes Typical Broker Commissions trade costs of $16.00
11/26/24 6:46 QCLF5 CRUDE OIL LONG 2 69.64 11/27 7:53 69.59 4.12%
Trade id #150182433
Max drawdown($1,590)
Time11/26/24 13:05
Quant open1
Worst price68.05
Drawdown as % of equity-4.12%
 ($126)
Includes Typical Broker Commissions trade costs of $16.00
11/25/24 9:20 @SF5 SOYBEANS LONG 2 988 11/27 7:52 988 2/4 2.77%
Trade id #150165728
Max drawdown($1,125)
Time11/26/24 0:00
Quant open2
Worst price976 3/4
Drawdown as % of equity-2.77%
 $34
Includes Typical Broker Commissions trade costs of $16.00
11/24/24 20:00 @SMF5 SOYBEAN MEAL LONG 3 293.0 11/27 7:52 292.5 1.77%
Trade id #150163120
Max drawdown($720)
Time11/26/24 0:00
Quant open3
Worst price290.6
Drawdown as % of equity-1.77%
 ($174)
Includes Typical Broker Commissions trade costs of $24.00
11/21/24 5:02 @SF5 SOYBEANS LONG 2 996 11/21 9:30 988 2/4 1.98%
Trade id #150139643
Max drawdown($825)
Time11/21/24 9:30
Quant open2
Worst price987 3/4
Drawdown as % of equity-1.98%
 ($766)
Includes Typical Broker Commissions trade costs of $16.00
11/11/24 7:26 @WZ4 WHEAT SHORT 3 560 11/15 11:25 540 1/4 3.57%
Trade id #150052867
Max drawdown($1,312)
Time11/12/24 0:00
Quant open3
Worst price568 3/4
Drawdown as % of equity-3.57%
 $2,939
Includes Typical Broker Commissions trade costs of $24.00
11/8/24 4:01 @CZ4 CORN SHORT 3 427 2/4 11/15 11:25 422 1/4 2.87%
Trade id #150036605
Max drawdown($1,087)
Time11/8/24 12:06
Quant open3
Worst price434 3/4
Drawdown as % of equity-2.87%
 $764
Includes Typical Broker Commissions trade costs of $24.00
11/4/24 4:56 QHGZ4 Copper LONG 2 441.65 11/6 3:08 437.15 10.09%
Trade id #149946795
Max drawdown($3,800)
Time11/6/24 1:27
Quant open2
Worst price434.05
Drawdown as % of equity-10.09%
 ($2,266)
Includes Typical Broker Commissions trade costs of $16.00
11/4/24 4:55 QCLZ4 CRUDE OIL LONG 1 71.47 11/6 3:08 70.87 3.29%
Trade id #149946791
Max drawdown($1,240)
Time11/6/24 1:12
Quant open1
Worst price70.23
Drawdown as % of equity-3.29%
 ($608)
Includes Typical Broker Commissions trade costs of $8.00
11/4/24 4:54 @WZ4 WHEAT LONG 2 574 2/4 11/6 3:08 563 3/4 2.47%
Trade id #149946787
Max drawdown($1,075)
Time11/6/24 0:00
Quant open2
Worst price563 3/4
Drawdown as % of equity-2.47%
 ($1,091)
Includes Typical Broker Commissions trade costs of $16.00
11/4/24 4:54 @SMZ4 SOYBEAN MEAL LONG 2 299.4 11/6 3:07 295.9 2.16%
Trade id #149946785
Max drawdown($940)
Time11/6/24 0:00
Quant open2
Worst price294.7
Drawdown as % of equity-2.16%
 ($716)
Includes Typical Broker Commissions trade costs of $16.00
11/4/24 4:54 @CZ4 CORN LONG 3 418 11/6 3:07 417 1/4 1.12%
Trade id #149946783
Max drawdown($487)
Time11/6/24 0:00
Quant open3
Worst price414 3/4
Drawdown as % of equity-1.12%
 ($137)
Includes Typical Broker Commissions trade costs of $24.00
11/4/24 4:53 @SF5 SOYBEANS LONG 2 1006 11/6 3:07 985 2/4 5.4%
Trade id #149946781
Max drawdown($2,350)
Time11/6/24 0:00
Quant open2
Worst price982 2/4
Drawdown as % of equity-5.40%
 ($2,066)
Includes Typical Broker Commissions trade costs of $16.00
10/29/24 13:53 @SMZ4 SOYBEAN MEAL LONG 2 302.1 10/31 12:31 299.4 1.18%
Trade id #149883504
Max drawdown($540)
Time10/31/24 12:31
Quant open2
Worst price299.4
Drawdown as % of equity-1.18%
 ($556)
Includes Typical Broker Commissions trade costs of $16.00
10/29/24 13:53 @CZ4 CORN LONG 3 414 10/31 12:30 410 1/4 1.57%
Trade id #149883494
Max drawdown($712)
Time10/31/24 2:38
Quant open3
Worst price409 1/4
Drawdown as % of equity-1.57%
 ($587)
Includes Typical Broker Commissions trade costs of $24.00
10/29/24 13:53 @WZ4 WHEAT LONG 3 571 1/4 10/31 12:30 565 3/4 2.49%
Trade id #149883497
Max drawdown($1,162)
Time10/31/24 9:34
Quant open3
Worst price563 2/4
Drawdown as % of equity-2.49%
 ($849)
Includes Typical Broker Commissions trade costs of $24.00
10/29/24 13:53 @SX4 SOYBEANS LONG 2 966 3/4 10/31 12:30 978 1/4 0.65%
Trade id #149883506
Max drawdown($300)
Time10/29/24 20:00
Quant open2
Worst price963 3/4
Drawdown as % of equity-0.65%
 $1,134
Includes Typical Broker Commissions trade costs of $16.00
10/28/24 10:52 @WZ4 WHEAT SHORT 2 564 2/4 10/29 13:53 571 1/4 1.75%
Trade id #149864452
Max drawdown($825)
Time10/29/24 12:00
Quant open2
Worst price572 3/4
Drawdown as % of equity-1.75%
 ($691)
Includes Typical Broker Commissions trade costs of $16.00
10/28/24 10:52 @CZ4 CORN SHORT 3 413 2/4 10/29 13:53 414 0.4%
Trade id #149864449
Max drawdown($187)
Time10/29/24 10:27
Quant open3
Worst price414 3/4
Drawdown as % of equity-0.40%
 ($99)
Includes Typical Broker Commissions trade costs of $24.00
10/25/24 7:01 @SMZ4 SOYBEAN MEAL SHORT 2 308.4 10/25 7:01 308.5 0.04%
Trade id #149825863
Max drawdown($20)
Time10/25/24 7:01
Quant open2
Worst price308.5
Drawdown as % of equity-0.04%
 ($36)
Includes Typical Broker Commissions trade costs of $16.00
10/23/24 10:32 @CZ4 CORN LONG 3 415 3/4 10/25 7:01 417 3/4 0.38%
Trade id #149805914
Max drawdown($187)
Time10/23/24 11:00
Quant open3
Worst price414 2/4
Drawdown as % of equity-0.38%
 $276
Includes Typical Broker Commissions trade costs of $24.00
Next

Statistics

  • Strategy began
    9/27/2016
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    3006.97
  • Age
    100 months ago
  • What it trades
    Futures
  • # Trades
    6152
  • # Profitable
    2063
  • % Profitable
    33.50%
  • Avg trade duration
    14.6 hours
  • Max peak-to-valley drawdown
    70.55%
  • drawdown period
    March 23, 2023 - Feb 26, 2024
  • Annual Return (Compounded)
    16.0%
  • Avg win
    $458.07
  • Avg loss
    $212.66
  • Model Account Values (Raw)
  • Cash
    $85,482
  • Margin Used
    $0
  • Buying Power
    $85,482
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    0.43
  • Sortino Ratio
    0.7
  • Calmar Ratio
    0.678
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    66.09%
  • Correlation to SP500
    0.00160
  • Return Percent SP500 (cumu) during strategy life
    174.59%
  • Return Statistics
  • Ann Return (w trading costs)
    16.0%
  • Slump
  • Current Slump as Pcnt Equity
    192.10%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.21%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.160%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    29.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    58.00%
  • Chance of 20% account loss
    25.00%
  • Chance of 30% account loss
    13.00%
  • Chance of 40% account loss
    6.50%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    706
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    449
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $213
  • Avg Win
    $458
  • Sum Trade PL (losers)
    $869,561.000
  • Age
  • Num Months filled monthly returns table
    100
  • Win / Loss
  • Sum Trade PL (winners)
    $944,992.000
  • # Winners
    2063
  • Num Months Winners
    54
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    4089
  • % Winners
    33.5%
  • Frequency
  • Avg Position Time (mins)
    878.58
  • Avg Position Time (hrs)
    14.64
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    5.25
  • Daily leverage (max)
    33.79
  • Regression
  • Alpha
    0.06
  • Beta
    0.00
  • Treynor Index
    16.44
  • 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)
    -0.19
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    46.853
  • 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
    0.148
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.614
  • Hold-and-Hope Ratio
    0.021
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28776
  • SD
    0.28615
  • Sharpe ratio (Glass type estimate)
    1.00561
  • Sharpe ratio (Hedges UMVUE)
    0.99773
  • df
    96.00000
  • t
    2.85907
  • p
    0.00261
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29926
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70698
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29407
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70140
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93547
  • Upside Potential Ratio
    3.61458
  • Upside part of mean
    0.53741
  • Downside part of mean
    -0.24965
  • Upside SD
    0.25659
  • Downside SD
    0.14868
  • N nonnegative terms
    57.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    97.00000
  • Mean of predictor
    0.10979
  • Mean of criterion
    0.28776
  • SD of predictor
    0.14044
  • SD of criterion
    0.28615
  • Covariance
    -0.00539
  • r
    -0.13417
  • b (slope, estimate of beta)
    -0.27338
  • a (intercept, estimate of alpha)
    0.31777
  • Mean Square Error
    0.08126
  • DF error
    95.00000
  • t(b)
    -1.31966
  • p(b)
    0.90494
  • t(a)
    3.09092
  • p(a)
    0.00131
  • Lowerbound of 95% confidence interval for beta
    -0.68464
  • Upperbound of 95% confidence interval for beta
    0.13788
  • Lowerbound of 95% confidence interval for alpha
    0.11367
  • Upperbound of 95% confidence interval for alpha
    0.52188
  • Treynor index (mean / b)
    -1.05260
  • Jensen alpha (a)
    0.31777
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24549
  • SD
    0.27777
  • Sharpe ratio (Glass type estimate)
    0.88378
  • Sharpe ratio (Hedges UMVUE)
    0.87685
  • df
    96.00000
  • t
    2.51268
  • p
    0.00682
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18096
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58216
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17641
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57729
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55709
  • Upside Potential Ratio
    3.21255
  • Upside part of mean
    0.50648
  • Downside part of mean
    -0.26100
  • Upside SD
    0.23775
  • Downside SD
    0.15766
  • N nonnegative terms
    57.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    97.00000
  • Mean of predictor
    0.09893
  • Mean of criterion
    0.24549
  • SD of predictor
    0.14508
  • SD of criterion
    0.27777
  • Covariance
    -0.00555
  • r
    -0.13761
  • b (slope, estimate of beta)
    -0.26346
  • a (intercept, estimate of alpha)
    0.27155
  • Mean Square Error
    0.07649
  • DF error
    95.00000
  • t(b)
    -1.35413
  • p(b)
    0.91055
  • t(a)
    2.73842
  • p(a)
    0.00369
  • Lowerbound of 95% confidence interval for beta
    -0.64972
  • Upperbound of 95% confidence interval for beta
    0.12279
  • Lowerbound of 95% confidence interval for alpha
    0.07469
  • Upperbound of 95% confidence interval for alpha
    0.46842
  • Treynor index (mean / b)
    -0.93177
  • Jensen alpha (a)
    0.27155
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10545
  • Expected Shortfall on VaR
    0.13455
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04227
  • Expected Shortfall on VaR
    0.08548
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    97.00000
  • Minimum
    0.83052
  • Quartile 1
    0.97327
  • Median
    1.01757
  • Quartile 3
    1.08156
  • Maximum
    1.31203
  • Mean of quarter 1
    0.92933
  • Mean of quarter 2
    0.99681
  • Mean of quarter 3
    1.05232
  • Mean of quarter 4
    1.13081
  • Inter Quartile Range
    0.10829
  • 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
    0.01031
  • Mean of outliers high
    1.31203
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15964
  • VaR(95%) (moments method)
    0.06789
  • Expected Shortfall (moments method)
    0.10261
  • Extreme Value Index (regression method)
    -0.04148
  • VaR(95%) (regression method)
    0.07218
  • Expected Shortfall (regression method)
    0.09806
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00838
  • Quartile 1
    0.02312
  • Median
    0.04611
  • Quartile 3
    0.11721
  • Maximum
    0.41574
  • Mean of quarter 1
    0.01597
  • Mean of quarter 2
    0.03375
  • Mean of quarter 3
    0.08373
  • Mean of quarter 4
    0.26311
  • Inter Quartile Range
    0.09410
  • 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
    0.07692
  • Mean of outliers high
    0.41574
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.22999
  • VaR(95%) (moments method)
    0.25079
  • Expected Shortfall (moments method)
    0.31005
  • Extreme Value Index (regression method)
    0.60475
  • VaR(95%) (regression method)
    0.38593
  • Expected Shortfall (regression method)
    1.01701
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.00393
  • Compounded annual return (geometric extrapolation)
    0.31442
  • Calmar ratio (compounded annual return / max draw down)
    0.75628
  • Compounded annual return / average of 25% largest draw downs
    1.19501
  • Compounded annual return / Expected Shortfall lognormal
    2.33683
  • 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
    0.26584
  • SD
    0.24869
  • Sharpe ratio (Glass type estimate)
    1.06899
  • Sharpe ratio (Hedges UMVUE)
    1.06861
  • df
    2135.00000
  • t
    3.05227
  • p
    0.00115
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75605
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38143
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75579
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84671
  • Upside Potential Ratio
    9.48849
  • Upside part of mean
    1.36593
  • Downside part of mean
    -1.10008
  • Upside SD
    0.20338
  • Downside SD
    0.14396
  • N nonnegative terms
    869.00000
  • N negative terms
    1267.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2136.00000
  • Mean of predictor
    0.11312
  • Mean of criterion
    0.26584
  • SD of predictor
    0.18454
  • SD of criterion
    0.24869
  • Covariance
    -0.00071
  • r
    -0.01551
  • b (slope, estimate of beta)
    -0.02090
  • a (intercept, estimate of alpha)
    0.26800
  • Mean Square Error
    0.06186
  • DF error
    2134.00000
  • t(b)
    -0.71635
  • p(b)
    0.76307
  • t(a)
    3.07685
  • p(a)
    0.00106
  • Lowerbound of 95% confidence interval for beta
    -0.07810
  • Upperbound of 95% confidence interval for beta
    0.03631
  • Lowerbound of 95% confidence interval for alpha
    0.09726
  • Upperbound of 95% confidence interval for alpha
    0.43916
  • Treynor index (mean / b)
    -12.72270
  • Jensen alpha (a)
    0.26821
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23528
  • SD
    0.24578
  • Sharpe ratio (Glass type estimate)
    0.95731
  • Sharpe ratio (Hedges UMVUE)
    0.95697
  • df
    2135.00000
  • t
    2.73339
  • p
    0.00316
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27019
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64425
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26994
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64400
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61027
  • Upside Potential Ratio
    9.21064
  • Upside part of mean
    1.34582
  • Downside part of mean
    -1.11053
  • Upside SD
    0.19809
  • Downside SD
    0.14612
  • N nonnegative terms
    869.00000
  • N negative terms
    1267.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2136.00000
  • Mean of predictor
    0.09599
  • Mean of criterion
    0.23528
  • SD of predictor
    0.18524
  • SD of criterion
    0.24578
  • Covariance
    -0.00079
  • r
    -0.01743
  • b (slope, estimate of beta)
    -0.02313
  • a (intercept, estimate of alpha)
    0.23751
  • Mean Square Error
    0.06042
  • DF error
    2134.00000
  • t(b)
    -0.80539
  • p(b)
    0.78966
  • t(a)
    2.75754
  • p(a)
    0.00294
  • Lowerbound of 95% confidence interval for beta
    -0.07945
  • Upperbound of 95% confidence interval for beta
    0.03319
  • Lowerbound of 95% confidence interval for alpha
    0.06860
  • Upperbound of 95% confidence interval for alpha
    0.40641
  • Treynor index (mean / b)
    -10.17290
  • Jensen alpha (a)
    0.23751
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02379
  • Expected Shortfall on VaR
    0.02995
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01073
  • Expected Shortfall on VaR
    0.02087
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2136.00000
  • Minimum
    0.91167
  • Quartile 1
    0.99473
  • Median
    1.00000
  • Quartile 3
    1.00552
  • Maximum
    1.16369
  • Mean of quarter 1
    0.98539
  • Mean of quarter 2
    0.99807
  • Mean of quarter 3
    1.00164
  • Mean of quarter 4
    1.01938
  • Inter Quartile Range
    0.01079
  • Number outliers low
    100.00000
  • Percentage of outliers low
    0.04682
  • Mean of outliers low
    0.96922
  • Number of outliers high
    152.00000
  • Percentage of outliers high
    0.07116
  • Mean of outliers high
    1.03811
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17954
  • VaR(95%) (moments method)
    0.01367
  • Expected Shortfall (moments method)
    0.02098
  • Extreme Value Index (regression method)
    0.04906
  • VaR(95%) (regression method)
    0.01368
  • Expected Shortfall (regression method)
    0.01938
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    84.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00722
  • Median
    0.02004
  • Quartile 3
    0.04920
  • Maximum
    0.44414
  • Mean of quarter 1
    0.00314
  • Mean of quarter 2
    0.01198
  • Mean of quarter 3
    0.03242
  • Mean of quarter 4
    0.12309
  • Inter Quartile Range
    0.04198
  • 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
    0.07143
  • Mean of outliers high
    0.23766
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.31089
  • VaR(95%) (moments method)
    0.12494
  • Expected Shortfall (moments method)
    0.21371
  • Extreme Value Index (regression method)
    0.38463
  • VaR(95%) (regression method)
    0.14608
  • Expected Shortfall (regression method)
    0.27785
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.92586
  • Compounded annual return (geometric extrapolation)
    0.30108
  • Calmar ratio (compounded annual return / max draw down)
    0.67788
  • Compounded annual return / average of 25% largest draw downs
    2.44594
  • Compounded annual return / Expected Shortfall lognormal
    10.05290
  • 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
    -0.22095
  • SD
    0.26253
  • Sharpe ratio (Glass type estimate)
    -0.84160
  • Sharpe ratio (Hedges UMVUE)
    -0.83674
  • df
    130.00000
  • t
    -0.59510
  • p
    0.52606
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.61373
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93366
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.61041
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93693
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.10481
  • Upside Potential Ratio
    5.96474
  • Upside part of mean
    1.19286
  • Downside part of mean
    -1.41380
  • Upside SD
    0.16908
  • Downside SD
    0.19998
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    -0.22095
  • SD of predictor
    0.14146
  • SD of criterion
    0.26253
  • Covariance
    -0.00533
  • r
    -0.14345
  • b (slope, estimate of beta)
    -0.26622
  • a (intercept, estimate of alpha)
    -0.18295
  • Mean Square Error
    0.06803
  • DF error
    129.00000
  • t(b)
    -1.64631
  • p(b)
    0.59101
  • t(a)
    -0.49502
  • p(a)
    0.52771
  • Lowerbound of 95% confidence interval for beta
    -0.58617
  • Upperbound of 95% confidence interval for beta
    0.05372
  • Lowerbound of 95% confidence interval for alpha
    -0.91416
  • Upperbound of 95% confidence interval for alpha
    0.54827
  • Treynor index (mean / b)
    0.82992
  • Jensen alpha (a)
    -0.18295
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25564
  • SD
    0.26492
  • Sharpe ratio (Glass type estimate)
    -0.96498
  • Sharpe ratio (Hedges UMVUE)
    -0.95940
  • df
    130.00000
  • t
    -0.68234
  • p
    0.52987
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.73745
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81113
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.73365
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81486
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.24442
  • Upside Potential Ratio
    5.73802
  • Upside part of mean
    1.17874
  • Downside part of mean
    -1.43437
  • Upside SD
    0.16642
  • Downside SD
    0.20543
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    -0.25564
  • SD of predictor
    0.14181
  • SD of criterion
    0.26492
  • Covariance
    -0.00549
  • r
    -0.14600
  • b (slope, estimate of beta)
    -0.27275
  • a (intercept, estimate of alpha)
    -0.21944
  • Mean Square Error
    0.06922
  • DF error
    129.00000
  • t(b)
    -1.67626
  • p(b)
    0.59262
  • t(a)
    -0.58879
  • p(a)
    0.53294
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.59469
  • Upperbound of 95% confidence interval for beta
    0.04918
  • Lowerbound of 95% confidence interval for alpha
    -0.95682
  • Upperbound of 95% confidence interval for alpha
    0.51794
  • Treynor index (mean / b)
    0.93724
  • Jensen alpha (a)
    -0.21944
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02751
  • Expected Shortfall on VaR
    0.03412
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01409
  • Expected Shortfall on VaR
    0.02819
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91167
  • Quartile 1
    0.99246
  • Median
    1.00000
  • Quartile 3
    1.00449
  • Maximum
    1.04897
  • Mean of quarter 1
    0.98134
  • Mean of quarter 2
    0.99750
  • Mean of quarter 3
    1.00116
  • Mean of quarter 4
    1.01711
  • Inter Quartile Range
    0.01204
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.95647
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.03271
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50385
  • VaR(95%) (moments method)
    0.02075
  • Expected Shortfall (moments method)
    0.04468
  • Extreme Value Index (regression method)
    0.78964
  • VaR(95%) (regression method)
    0.01603
  • Expected Shortfall (regression method)
    0.05908
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00118
  • Quartile 1
    0.01103
  • Median
    0.01672
  • Quartile 3
    0.02068
  • Maximum
    0.25406
  • Mean of quarter 1
    0.00645
  • Mean of quarter 2
    0.01598
  • Mean of quarter 3
    0.01969
  • Mean of quarter 4
    0.15156
  • Inter Quartile Range
    0.00966
  • 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
    0.22222
  • Mean of outliers high
    0.15156
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.08386
  • VaR(95%) (moments method)
    0.07609
  • Expected Shortfall (moments method)
    0.11923
  • Extreme Value Index (regression method)
    1.85283
  • VaR(95%) (regression method)
    0.40588
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -360814000
  • Max Equity Drawdown (num days)
    340
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.21524
  • Compounded annual return (geometric extrapolation)
    -0.20366
  • Calmar ratio (compounded annual return / max draw down)
    -0.80161
  • Compounded annual return / average of 25% largest draw downs
    -1.34374
  • Compounded annual return / Expected Shortfall lognormal
    -5.96877

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
$30,000
# Trades
6152
# Profitable
2063
% Profitable
33.5%
Correlation S&P500
0.002
Sharpe Ratio
0.43
Sortino Ratio
0.70
Beta
0.00
Alpha
0.06
Leverage
5.25 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

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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.