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Featured Strategy Free Stocks Algo V11/11 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Thunder Fusion Rus 2000
(104600171)

Created by: ESThunder ESThunder
Started: 07/2016
Futures
Last trade: 2,980 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.

14.5%
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.

(89.2%)
Max Drawdown
52
Num Trades
73.1%
Win Trades
1.3 : 1
Profit Factor
2.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                          +314.9%(58.5%)+43.1%(0.2%)(0.2%)(0.2%)+145.0%
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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/10/16 12:43 @TFSU6 Emini Russell 2000 SHORT 368 1233.40 9/16 22:07 1236.96 178.72%
Trade id #105098447
Max drawdown($251,499)
Time8/15/16 13:55
Quant open-262
Worst price1243.00
Drawdown as % of equity-178.72%
 ($133,974)
Includes Typical Broker Commissions trade costs of $2,944.00
8/5/16 14:41 @TFSU6 Emini Russell 2000 SHORT 813 1230.25 8/10 11:51 1228.49 16.9%
Trade id #105014384
Max drawdown($28,368)
Time8/5/16 15:07
Quant open-269
Worst price1230.70
Drawdown as % of equity-16.90%
 $136,756
Includes Typical Broker Commissions trade costs of $6,504.00
8/2/16 13:18 @TFSU6 Emini Russell 2000 SHORT 638 1221.62 8/5 14:37 1225.74 201.22%
Trade id #104945512
Max drawdown($374,318)
Time8/5/16 11:48
Quant open-306
Worst price1230.60
Drawdown as % of equity-201.22%
 ($268,224)
Includes Typical Broker Commissions trade costs of $5,104.00
8/5/16 10:54 @ESU6 E-MINI S&P 500 SHORT 1 2174.25 8/5 11:41 2177.25 0.08%
Trade id #105009949
Max drawdown($162)
Time8/5/16 11:36
Quant open-1
Worst price2177.50
Drawdown as % of equity-0.08%
 ($158)
Includes Typical Broker Commissions trade costs of $8.00
8/4/16 11:30 @ESU6 E-MINI S&P 500 SHORT 1 2159.50 8/4 15:54 2159.75 0.05%
Trade id #104989806
Max drawdown($200)
Time8/4/16 12:07
Quant open-1
Worst price2163.50
Drawdown as % of equity-0.05%
 ($21)
Includes Typical Broker Commissions trade costs of $8.00
8/2/16 13:18 @ESU6 E-MINI S&P 500 SHORT 1 2142.50 8/3 15:59 2157.75 0.19%
Trade id #104945502
Max drawdown($787)
Time8/3/16 15:59
Quant open-1
Worst price2158.25
Drawdown as % of equity-0.19%
 ($771)
Includes Typical Broker Commissions trade costs of $8.00
8/2/16 11:11 @ESU6 E-MINI S&P 500 SHORT 1 2147.75 8/2 13:17 2143.00 0.03%
Trade id #104939394
Max drawdown($137)
Time8/2/16 11:24
Quant open-1
Worst price2150.50
Drawdown as % of equity-0.03%
 $230
Includes Typical Broker Commissions trade costs of $8.00
8/2/16 11:03 @TFSU6 Emini Russell 2000 SHORT 12 1201.91 8/2 13:17 1198.20 0.38%
Trade id #104939130
Max drawdown($1,700)
Time8/2/16 11:28
Quant open-8
Worst price1204.30
Drawdown as % of equity-0.38%
 $4,354
Includes Typical Broker Commissions trade costs of $96.00
8/2/16 10:46 @ESU6 E-MINI S&P 500 SHORT 1 2149.25 8/2 11:10 2148.25 0%
Trade id #104938504
Max drawdown($12)
Time8/2/16 10:48
Quant open-1
Worst price2149.50
Drawdown as % of equity-0.00%
 $42
Includes Typical Broker Commissions trade costs of $8.00
8/2/16 10:08 @TFSU6 Emini Russell 2000 SHORT 57 1208.77 8/2 11:01 1202.30 0.15%
Trade id #104936874
Max drawdown($600)
Time8/2/16 10:10
Quant open-30
Worst price1209.60
Drawdown as % of equity-0.15%
 $36,424
Includes Typical Broker Commissions trade costs of $456.00
8/2/16 10:13 @ESU6 E-MINI S&P 500 SHORT 1 2152.75 8/2 10:46 2149.25 0.02%
Trade id #104937085
Max drawdown($75)
Time8/2/16 10:15
Quant open-1
Worst price2154.25
Drawdown as % of equity-0.02%
 $167
Includes Typical Broker Commissions trade costs of $8.00
7/31/16 18:01 @ESU6 E-MINI S&P 500 SHORT 1 2173.00 8/2 10:12 2153.00 0.09%
Trade id #104906802
Max drawdown($237)
Time8/1/16 2:04
Quant open-1
Worst price2177.75
Drawdown as % of equity-0.09%
 $992
Includes Typical Broker Commissions trade costs of $8.00
8/1/16 12:24 @TFSU6 Emini Russell 2000 SHORT 167 1215.17 8/2 10:08 1212.80 14.25%
Trade id #104920628
Max drawdown($46,530)
Time8/1/16 14:08
Quant open-102
Worst price1218.80
Drawdown as % of equity-14.25%
 $38,234
Includes Typical Broker Commissions trade costs of $1,336.00
7/31/16 18:01 @TFSU6 Emini Russell 2000 SHORT 151 1220.68 8/1 12:24 1213.74 5.52%
Trade id #104906791
Max drawdown($14,000)
Time7/31/16 22:43
Quant open-40
Worst price1224.80
Drawdown as % of equity-5.52%
 $103,702
Includes Typical Broker Commissions trade costs of $1,208.00
7/29/16 13:05 @TFSU6 Emini Russell 2000 SHORT 150 1214.93 7/29 16:11 1219.24 22.16%
Trade id #104891789
Max drawdown($67,000)
Time7/29/16 16:10
Quant open-150
Worst price1219.40
Drawdown as % of equity-22.16%
 ($65,760)
Includes Typical Broker Commissions trade costs of $1,200.00
7/29/16 11:12 @ESU6 E-MINI S&P 500 SHORT 1 2167.50 7/29 16:11 2170.25 0.1%
Trade id #104888820
Max drawdown($212)
Time7/29/16 12:06
Quant open-1
Worst price2171.75
Drawdown as % of equity-0.10%
 ($146)
Includes Typical Broker Commissions trade costs of $8.00
7/28/16 16:04 @TFSU6 Emini Russell 2000 SHORT 320 1216.97 7/29 13:05 1215.28 70.08%
Trade id #104875733
Max drawdown($153,981)
Time7/29/16 12:06
Quant open-250
Worst price1223.60
Drawdown as % of equity-70.08%
 $51,540
Includes Typical Broker Commissions trade costs of $2,560.00
7/28/16 11:51 @TFSU6 Emini Russell 2000 SHORT 200 1215.59 7/28 16:03 1215.08 15.24%
Trade id #104869770
Max drawdown($38,200)
Time7/28/16 14:47
Quant open-200
Worst price1217.50
Drawdown as % of equity-15.24%
 $8,700
Includes Typical Broker Commissions trade costs of $1,600.00
7/27/16 16:15 @TFSU6 Emini Russell 2000 SHORT 30 1215.70 7/28 11:23 1213.60 5.09%
Trade id #104856216
Max drawdown($12,900)
Time7/28/16 3:40
Quant open-30
Worst price1220.00
Drawdown as % of equity-5.09%
 $6,060
Includes Typical Broker Commissions trade costs of $240.00
7/27/16 14:12 @TFSU6 Emini Russell 2000 SHORT 150 1212.03 7/27 16:10 1215.97 34.2%
Trade id #104852810
Max drawdown($86,500)
Time7/27/16 16:02
Quant open-150
Worst price1217.80
Drawdown as % of equity-34.20%
 ($60,200)
Includes Typical Broker Commissions trade costs of $1,200.00
7/27/16 10:46 @ESU6 E-MINI S&P 500 SHORT 1 2159.25 7/27 16:10 2160.75 0.15%
Trade id #104847467
Max drawdown($375)
Time7/27/16 15:17
Quant open-1
Worst price2166.75
Drawdown as % of equity-0.15%
 ($83)
Includes Typical Broker Commissions trade costs of $8.00
7/27/16 10:47 @TFSU6 Emini Russell 2000 SHORT 200 1213.30 7/27 14:11 1210.80 11.47%
Trade id #104847488
Max drawdown($29,500)
Time7/27/16 11:12
Quant open-100
Worst price1216.50
Drawdown as % of equity-11.47%
 $48,400
Includes Typical Broker Commissions trade costs of $1,600.00
7/26/16 16:11 @TFSU6 Emini Russell 2000 SHORT 200 1216.95 7/27 10:46 1213.72 42.31%
Trade id #104833597
Max drawdown($71,050)
Time7/27/16 10:12
Quant open-200
Worst price1220.50
Drawdown as % of equity-42.31%
 $62,850
Includes Typical Broker Commissions trade costs of $1,600.00
7/27/16 8:52 @ESU6 E-MINI S&P 500 SHORT 1 2168.00 7/27 10:46 2159.50 0.03%
Trade id #104843234
Max drawdown($62)
Time7/27/16 9:31
Quant open-1
Worst price2169.25
Drawdown as % of equity-0.03%
 $417
Includes Typical Broker Commissions trade costs of $8.00
7/26/16 11:01 @TFSU6 Emini Russell 2000 SHORT 251 1211.38 7/26 16:08 1212.44 43.83%
Trade id #104826867
Max drawdown($79,970)
Time7/26/16 12:27
Quant open-151
Worst price1215.30
Drawdown as % of equity-43.83%
 ($28,808)
Includes Typical Broker Commissions trade costs of $2,008.00
7/22/16 16:00 @ESU6 E-MINI S&P 500 SHORT 1 2167.75 7/26 16:08 2163.00 0.14%
Trade id #104778190
Max drawdown($237)
Time7/24/16 21:07
Quant open-1
Worst price2172.50
Drawdown as % of equity-0.14%
 $230
Includes Typical Broker Commissions trade costs of $8.00
7/21/16 15:04 @TFSU6 Emini Russell 2000 SHORT 496 1207.72 7/26 11:00 1207.38 78.48%
Trade id #104755719
Max drawdown($120,609)
Time7/22/16 12:54
Quant open-201
Worst price1212.20
Drawdown as % of equity-78.48%
 $13,122
Includes Typical Broker Commissions trade costs of $3,968.00
7/21/16 12:59 @ESU6 E-MINI S&P 500 SHORT 1 2159.25 7/22 14:41 2167.50 0.3%
Trade id #104752429
Max drawdown($425)
Time7/22/16 13:35
Quant open-1
Worst price2167.75
Drawdown as % of equity-0.30%
 ($421)
Includes Typical Broker Commissions trade costs of $8.00
7/21/16 13:59 @TFSU6 Emini Russell 2000 SHORT 51 1200.00 7/21 15:04 1199.30 2.46%
Trade id #104754150
Max drawdown($5,080)
Time7/21/16 14:41
Quant open-51
Worst price1201.00
Drawdown as % of equity-2.46%
 $3,182
Includes Typical Broker Commissions trade costs of $408.00
7/21/16 13:08 @TFSU6 Emini Russell 2000 SHORT 51 1202.25 7/21 13:58 1200.30 2.73%
Trade id #104752675
Max drawdown($5,370)
Time7/21/16 13:21
Quant open-51
Worst price1203.30
Drawdown as % of equity-2.73%
 $9,522
Includes Typical Broker Commissions trade costs of $408.00
Next

Statistics

  • Strategy began
    7/12/2016
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    3036.43
  • Age
    102 months ago
  • What it trades
    Futures
  • # Trades
    52
  • # Profitable
    38
  • % Profitable
    73.10%
  • Avg trade duration
    1.5 days
  • Max peak-to-valley drawdown
    89.25%
  • drawdown period
    Aug 03, 2016 - Aug 15, 2016
  • Annual Return (Compounded)
    14.5%
  • Avg win
    $18,385
  • Avg loss
    $39,325
  • Model Account Values (Raw)
  • Cash
    $198,082
  • Margin Used
    $0
  • Buying Power
    $198,082
  • Ratios
  • W:L ratio
    1.27:1
  • Sharpe Ratio
    0.32
  • Sortino Ratio
    0.52
  • Calmar Ratio
    1.621
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    55.51%
  • Correlation to SP500
    -0.04300
  • Return Percent SP500 (cumu) during strategy life
    179.14%
  • Return Statistics
  • Ann Return (w trading costs)
    14.5%
  • Slump
  • Current Slump as Pcnt Equity
    244.80%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.145%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    17.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    86.00%
  • Chance of 20% account loss
    72.00%
  • Chance of 30% account loss
    49.50%
  • Chance of 40% account loss
    44.50%
  • Chance of 60% account loss (Monte Carlo)
    19.50%
  • Chance of 70% account loss (Monte Carlo)
    6.00%
  • Chance of 80% account loss (Monte Carlo)
    1.00%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    32.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • 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
    $39,326
  • Avg Win
    $18,385
  • Sum Trade PL (losers)
    $550,562.000
  • Age
  • Num Months filled monthly returns table
    101
  • Win / Loss
  • Sum Trade PL (winners)
    $698,644.000
  • # Winners
    38
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    14
  • % Winners
    73.1%
  • Frequency
  • Avg Position Time (mins)
    2170.87
  • Avg Position Time (hrs)
    36.18
  • Avg Trade Length
    1.5 days
  • Last Trade Ago
    2970
  • Regression
  • Alpha
    0.06
  • Beta
    -0.14
  • Treynor Index
    -0.40
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.25
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    53.54
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    67.48
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.42
  • MAE:Equity, average, winning trades
    0.13
  • MAE:Equity, average, losing trades
    0.57
  • Avg(MAE) / Avg(PL) - All trades
    10.556
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.996
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.575
  • Hold-and-Hope Ratio
    0.095
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.74699
  • SD
    3.49481
  • Sharpe ratio (Glass type estimate)
    0.78602
  • Sharpe ratio (Hedges UMVUE)
    0.74301
  • df
    14.00000
  • t
    0.87880
  • p
    0.38568
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00413
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54913
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03150
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51753
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.87507
  • Upside Potential Ratio
    8.84783
  • Upside part of mean
    3.08630
  • Downside part of mean
    -0.33932
  • Upside SD
    3.45059
  • Downside SD
    0.34882
  • N nonnegative terms
    1.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.56249
  • Mean of criterion
    2.74699
  • SD of predictor
    0.35242
  • SD of criterion
    3.49481
  • Covariance
    -0.09050
  • r
    -0.07347
  • b (slope, estimate of beta)
    -0.72861
  • a (intercept, estimate of alpha)
    3.15682
  • Mean Square Error
    13.08220
  • DF error
    13.00000
  • t(b)
    -0.26563
  • p(b)
    0.54673
  • t(a)
    0.88077
  • p(a)
    0.35036
  • Lowerbound of 95% confidence interval for beta
    -6.65429
  • Upperbound of 95% confidence interval for beta
    5.19708
  • Lowerbound of 95% confidence interval for alpha
    -4.58628
  • Upperbound of 95% confidence interval for alpha
    10.89990
  • Treynor index (mean / b)
    -3.77019
  • Jensen alpha (a)
    3.15682
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84153
  • SD
    1.51038
  • Sharpe ratio (Glass type estimate)
    0.55717
  • Sharpe ratio (Hedges UMVUE)
    0.52668
  • df
    14.00000
  • t
    0.62293
  • p
    0.41789
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21747
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31238
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23718
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29055
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90965
  • Upside Potential Ratio
    2.86608
  • Upside part of mean
    1.26300
  • Downside part of mean
    -0.42147
  • Upside SD
    1.41208
  • Downside SD
    0.44067
  • N nonnegative terms
    1.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.49119
  • Mean of criterion
    0.84153
  • SD of predictor
    0.35817
  • SD of criterion
    1.51038
  • Covariance
    -0.01410
  • r
    -0.02607
  • b (slope, estimate of beta)
    -0.10995
  • a (intercept, estimate of alpha)
    0.89554
  • Mean Square Error
    2.45505
  • DF error
    13.00000
  • t(b)
    -0.09404
  • p(b)
    0.51660
  • t(a)
    0.59129
  • p(a)
    0.39742
  • Lowerbound of 95% confidence interval for beta
    -2.63579
  • Upperbound of 95% confidence interval for beta
    2.41589
  • Lowerbound of 95% confidence interval for alpha
    -2.37644
  • Upperbound of 95% confidence interval for alpha
    4.16751
  • Treynor index (mean / b)
    -7.65381
  • Jensen alpha (a)
    0.89554
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.47641
  • Expected Shortfall on VaR
    0.55828
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09439
  • Expected Shortfall on VaR
    0.20218
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.61247
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    4.86021
  • Mean of quarter 1
    0.90211
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.96505
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.13333
  • Mean of outliers low
    0.80422
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    4.86021
  • 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)
    5.57503
  • VaR(95%) (regression method)
    0.23852
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.38999
  • Quartile 1
    0.38999
  • Median
    0.38999
  • Quartile 3
    0.38999
  • Maximum
    0.38999
  • 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)
    1.57181
  • Compounded annual return (geometric extrapolation)
    1.38557
  • Calmar ratio (compounded annual return / max draw down)
    3.55280
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.48185
  • 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
    1.36119
  • SD
    0.98448
  • Sharpe ratio (Glass type estimate)
    1.38265
  • Sharpe ratio (Hedges UMVUE)
    1.37948
  • df
    328.00000
  • t
    1.54938
  • p
    0.06113
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37061
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13388
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37274
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13171
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.19986
  • Upside Potential Ratio
    4.47879
  • Upside part of mean
    2.77132
  • Downside part of mean
    -1.41013
  • Upside SD
    0.76842
  • Downside SD
    0.61877
  • N nonnegative terms
    28.00000
  • N negative terms
    301.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    329.00000
  • Mean of predictor
    0.55845
  • Mean of criterion
    1.36119
  • SD of predictor
    0.38553
  • SD of criterion
    0.98448
  • Covariance
    -0.01372
  • r
    -0.03614
  • b (slope, estimate of beta)
    -0.09228
  • a (intercept, estimate of alpha)
    1.23300
  • Mean Square Error
    0.97090
  • DF error
    327.00000
  • t(b)
    -0.65388
  • p(b)
    0.74318
  • t(a)
    1.60022
  • p(a)
    0.05526
  • Lowerbound of 95% confidence interval for beta
    -0.36989
  • Upperbound of 95% confidence interval for beta
    0.18534
  • Lowerbound of 95% confidence interval for alpha
    -0.32402
  • Upperbound of 95% confidence interval for alpha
    3.14947
  • Treynor index (mean / b)
    -14.75130
  • Jensen alpha (a)
    1.41273
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.83757
  • SD
    1.05630
  • Sharpe ratio (Glass type estimate)
    0.79292
  • Sharpe ratio (Hedges UMVUE)
    0.79111
  • df
    328.00000
  • t
    0.88854
  • p
    0.18745
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95775
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54244
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54120
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04008
  • Upside Potential Ratio
    3.12788
  • Upside part of mean
    2.51885
  • Downside part of mean
    -1.68128
  • Upside SD
    0.68306
  • Downside SD
    0.80529
  • N nonnegative terms
    28.00000
  • N negative terms
    301.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    329.00000
  • Mean of predictor
    0.48350
  • Mean of criterion
    0.83757
  • SD of predictor
    0.38690
  • SD of criterion
    1.05630
  • Covariance
    -0.01320
  • r
    -0.03230
  • b (slope, estimate of beta)
    -0.08817
  • a (intercept, estimate of alpha)
    0.88020
  • Mean Square Error
    1.11802
  • DF error
    327.00000
  • t(b)
    -0.58431
  • p(b)
    0.72029
  • t(a)
    0.93005
  • p(a)
    0.17652
  • Lowerbound of 95% confidence interval for beta
    -0.38503
  • Upperbound of 95% confidence interval for beta
    0.20869
  • Lowerbound of 95% confidence interval for alpha
    -0.98159
  • Upperbound of 95% confidence interval for alpha
    2.74199
  • Treynor index (mean / b)
    -9.49919
  • Jensen alpha (a)
    0.88020
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09890
  • Expected Shortfall on VaR
    0.12289
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01767
  • Expected Shortfall on VaR
    0.04003
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    329.00000
  • Minimum
    0.53216
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.35257
  • Mean of quarter 1
    0.97905
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.04248
  • Inter Quartile Range
    0.00000
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.06383
  • Mean of outliers low
    0.91721
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.08511
  • Mean of outliers high
    1.12439
  • 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)
    0.20909
  • VaR(95%) (regression method)
    0.01223
  • Expected Shortfall (regression method)
    0.06760
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00559
  • Quartile 1
    0.09175
  • Median
    0.17791
  • Quartile 3
    0.43187
  • Maximum
    0.68583
  • Mean of quarter 1
    0.00559
  • Mean of quarter 2
    0.17791
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.68583
  • Inter Quartile Range
    0.34012
  • 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)
    1.56464
  • Compounded annual return (geometric extrapolation)
    1.37613
  • Calmar ratio (compounded annual return / max draw down)
    2.00651
  • Compounded annual return / average of 25% largest draw downs
    2.00651
  • Compounded annual return / Expected Shortfall lognormal
    11.19810
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.73583
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.54386
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.58768
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.54558
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6851340000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.09200
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -391333000000000014020965700730880.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -308243000
  • Max Equity Drawdown (num days)
    12
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

TF - Russell 2000 mini futures
Index for 2000 small cap stocks. It usually requires additional data fee from your broker.

It's more volatile than ES (SP500 mini futures), YM (DOW 30 mini futures) and NQ (Nasdaq 100 mini futures).

Summary Statistics

Strategy began
2016-07-12
Suggested Minimum Capital
$100,000
# Trades
52
# Profitable
38
% Profitable
73.1%
Correlation S&P500
-0.043
Sharpe Ratio
0.32
Sortino Ratio
0.52
Beta
-0.14
Alpha
0.06

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

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