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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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RB CTA Strategy
(106100338)

Created by: RB_Portfolio RB_Portfolio
Started: 09/2016
Futures
Last trade: 2,038 days ago
Trading style: Futures Momentum Commodities
Subscriptions not currently available.

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 $366.00 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
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).
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
14.2%
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.

(58.3%)
Max Drawdown
123
Num Trades
82.9%
Win Trades
4.7 : 1
Profit Factor
25.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                        +0.6%+21.3%+17.7%(6.3%)+34.5%
2017+10.3%+3.7%(27.9%)  -  (1.4%)+35.7%+33.8%+11.1%(8.9%)+6.5%(0.2%)(0.2%)+58.7%
2018(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(39.3%)(14.8%)(37.3%)(142.4%)(113.5%)
2019(2570.9%)  -    -    -    -  +0.1%  -    -    -    -  (2570.9%)
2020  -  (0.1%)  -    -  +0.1%  -    -    -    -    -    -    -  0.0
2021(0.1%)+0.1%  -    -    -    -  (0.1%)  -    -  +0.1%  -  (0.1%)(0.1%)
2022+0.1%  -  (0.1%)+0.1%(0.1%)  -  +0.1%  -  (0.1%)+0.1%  -    -  +0.1%
2023  -  (0.1%)+0.1%  -  (0.1%)+0.1%(0.1%)+0.1%  -  (0.1%)+0.1%(0.1%)(0.1%)
2024+0.1%  -  (0.1%)+0.1%                                                +0.1%

Model Account Details

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

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

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 120 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2584 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/21/18 11:25 @QMX8 MINY CRUDE OIL LONG 10 70.450 9/21 11:57 70.575 1.17%
Trade id #119973488
Max drawdown($1,875)
Time9/21/18 11:46
Quant open10
Worst price70.075
Drawdown as % of equity-1.17%
 $545
Includes Typical Broker Commissions trade costs of $80.00
9/14/18 11:01 @SX8 SOYBEANS LONG 20 831 4/4 9/20 11:51 825 4/4 7.85%
Trade id #119862929
Max drawdown($16,687)
Time9/18/18 10:03
Quant open20
Worst price815 1/4
Drawdown as % of equity-7.85%
 ($6,185)
Includes Typical Broker Commissions trade costs of $160.00
9/19/18 12:15 @QMX8 MINY CRUDE OIL LONG 2 70.300 9/19 15:57 70.775 0.07%
Trade id #119932953
Max drawdown($125)
Time9/19/18 12:23
Quant open2
Worst price70.175
Drawdown as % of equity-0.07%
 $459
Includes Typical Broker Commissions trade costs of $16.00
9/19/18 10:03 @QMX8 MINY CRUDE OIL LONG 5 70.070 9/19 10:37 70.325 0.1%
Trade id #119928460
Max drawdown($187)
Time9/19/18 10:05
Quant open3
Worst price69.925
Drawdown as % of equity-0.10%
 $598
Includes Typical Broker Commissions trade costs of $40.00
9/18/18 8:31 QPLF9 PLATINUM SHORT 8 811.1 9/18 10:49 818.3 1.81%
Trade id #119904098
Max drawdown($3,840)
Time9/18/18 9:35
Quant open-8
Worst price820.7
Drawdown as % of equity-1.81%
 ($2,944)
Includes Typical Broker Commissions trade costs of $64.00
9/17/18 9:25 QPLF9 PLATINUM SHORT 30 806.8 9/17 13:05 803.4 2.37%
Trade id #119883713
Max drawdown($5,280)
Time9/17/18 10:45
Quant open-30
Worst price810.3
Drawdown as % of equity-2.37%
 $4,830
Includes Typical Broker Commissions trade costs of $240.00
9/14/18 12:22 @QMX8 MINY CRUDE OIL SHORT 10 68.925 9/14 13:00 68.825 0.28%
Trade id #119866970
Max drawdown($625)
Time9/14/18 12:42
Quant open-10
Worst price69.050
Drawdown as % of equity-0.28%
 $420
Includes Typical Broker Commissions trade costs of $80.00
9/14/18 11:16 @QMX8 MINY CRUDE OIL LONG 3 68.500 9/14 11:39 69.175 0.05%
Trade id #119863698
Max drawdown($112)
Time9/14/18 11:20
Quant open3
Worst price68.425
Drawdown as % of equity-0.05%
 $989
Includes Typical Broker Commissions trade costs of $24.00
8/7/17 12:37 @SX7 SOYBEANS SHORT 20 971 1/4 10/4 9:50 954 1/4 7.96%
Trade id #113020261
Max drawdown($15,875)
Time9/22/17 13:49
Quant open-20
Worst price987
Drawdown as % of equity-7.96%
 $16,715
Includes Typical Broker Commissions trade costs of $160.00
7/24/17 20:22 @SX7 SOYBEANS SHORT 5 1026 1/4 7/25 7:20 1017 2/4 0.03%
Trade id #112757212
Max drawdown($62)
Time7/24/17 20:24
Quant open-5
Worst price1026 2/4
Drawdown as % of equity-0.03%
 $2,148
Includes Typical Broker Commissions trade costs of $40.00
3/23/17 9:34 @SU7 SOYBEANS LONG 15 982 1/4 7/20 10:18 1017 2/4 58.23%
Trade id #110398714
Max drawdown($57,812)
Time6/23/17 9:47
Quant open15
Worst price905 1/4
Drawdown as % of equity-58.23%
 $26,255
Includes Typical Broker Commissions trade costs of $120.00
6/13/17 8:55 QCLU7 CRUDE OIL LONG 10 46.39 7/12 9:56 46.21 39.44%
Trade id #112028808
Max drawdown($41,200)
Time6/21/17 13:53
Quant open10
Worst price42.27
Drawdown as % of equity-39.44%
 ($1,880)
Includes Typical Broker Commissions trade costs of $80.00
4/20/17 10:15 QGCQ7 Gold 100 oz LONG 10 1284.1 6/5 23:34 1287.1 71.66%
Trade id #111154245
Max drawdown($66,300)
Time5/9/17 14:27
Quant open10
Worst price1217.8
Drawdown as % of equity-71.66%
 $2,920
Includes Typical Broker Commissions trade costs of $80.00
5/18/17 13:48 QCLU7 CRUDE OIL SHORT 10 50.10 5/25 18:15 49.29 21.48%
Trade id #111670510
Max drawdown($22,800)
Time5/25/17 4:15
Quant open-10
Worst price52.38
Drawdown as % of equity-21.48%
 $8,020
Includes Typical Broker Commissions trade costs of $80.00
5/17/17 12:36 QCLQ7 CRUDE OIL SHORT 10 49.76 5/17 21:45 49.53 1.28%
Trade id #111645923
Max drawdown($1,800)
Time5/17/17 14:14
Quant open-10
Worst price49.94
Drawdown as % of equity-1.28%
 $2,220
Includes Typical Broker Commissions trade costs of $80.00
5/10/17 11:16 QCLQ7 CRUDE OIL LONG 10 47.91 5/10 14:43 47.93 1.15%
Trade id #111523197
Max drawdown($1,200)
Time5/10/17 11:19
Quant open10
Worst price47.79
Drawdown as % of equity-1.15%
 $120
Includes Typical Broker Commissions trade costs of $80.00
3/9/17 9:36 @SK7 SOYBEANS LONG 10 1014 3/4 5/10 10:29 968 41.64%
Trade id #110133862
Max drawdown($42,513)
Time4/11/17 12:05
Quant open10
Worst price929 3/4
Drawdown as % of equity-41.64%
 ($23,469)
Includes Typical Broker Commissions trade costs of $80.00
5/9/17 13:56 QCLQ7 CRUDE OIL LONG 10 46.70 5/10 9:44 47.08 1.06%
Trade id #111482326
Max drawdown($980)
Time5/9/17 16:07
Quant open7
Worst price46.56
Drawdown as % of equity-1.06%
 $3,680
Includes Typical Broker Commissions trade costs of $80.00
5/8/17 9:56 QCLU7 CRUDE OIL LONG 8 47.53 5/8 21:38 47.63 6.48%
Trade id #111456930
Max drawdown($6,400)
Time5/8/17 11:52
Quant open8
Worst price46.73
Drawdown as % of equity-6.48%
 $736
Includes Typical Broker Commissions trade costs of $64.00
5/5/17 10:19 QCLQ7 CRUDE OIL LONG 10 46.88 5/5 11:51 47.04 1.32%
Trade id #111430009
Max drawdown($1,400)
Time5/5/17 10:27
Quant open10
Worst price46.74
Drawdown as % of equity-1.32%
 $1,520
Includes Typical Broker Commissions trade costs of $80.00
3/24/17 0:31 @BOQ7 SOYBEAN OIL LONG 10 33.35 5/5 10:57 33.41 12.46%
Trade id #110413848
Max drawdown($12,720)
Time4/11/17 12:12
Quant open10
Worst price31.23
Drawdown as % of equity-12.46%
 $280
Includes Typical Broker Commissions trade costs of $80.00
5/3/17 10:30 QCLU7 CRUDE OIL SHORT 10 48.29 5/4 7:49 48.27 5.29%
Trade id #111384112
Max drawdown($6,100)
Time5/3/17 14:24
Quant open-10
Worst price48.90
Drawdown as % of equity-5.29%
 $120
Includes Typical Broker Commissions trade costs of $80.00
5/2/17 16:34 QCLU7 CRUDE OIL LONG 10 48.79 5/2 19:33 48.89 0.82%
Trade id #111372724
Max drawdown($1,000)
Time5/2/17 16:37
Quant open10
Worst price48.69
Drawdown as % of equity-0.82%
 $920
Includes Typical Broker Commissions trade costs of $80.00
4/26/17 16:33 QCLQ7 CRUDE OIL LONG 10 49.81 4/28 8:22 50.16 4.63%
Trade id #111282072
Max drawdown($5,300)
Time4/27/17 10:50
Quant open5
Worst price48.80
Drawdown as % of equity-4.63%
 $3,420
Includes Typical Broker Commissions trade costs of $80.00
3/29/17 13:40 QCLQ7 CRUDE OIL SHORT 8 51.78 4/20 10:08 51.52 22.62%
Trade id #110522303
Max drawdown($22,830)
Time4/12/17 6:28
Quant open-8
Worst price54.63
Drawdown as % of equity-22.62%
 $1,986
Includes Typical Broker Commissions trade costs of $64.00
3/28/17 11:50 QCLQ7 CRUDE OIL SHORT 5 49.83 3/28 12:19 49.78 0.13%
Trade id #110482960
Max drawdown($200)
Time3/28/17 11:56
Quant open-5
Worst price49.87
Drawdown as % of equity-0.13%
 $210
Includes Typical Broker Commissions trade costs of $40.00
3/24/17 10:20 QCLQ7 CRUDE OIL SHORT 10 48.92 3/24 12:13 48.89 0.76%
Trade id #110421323
Max drawdown($1,188)
Time3/24/17 11:45
Quant open-10
Worst price49.04
Drawdown as % of equity-0.76%
 $231
Includes Typical Broker Commissions trade costs of $80.00
3/22/17 13:02 QCLM7 CRUDE OIL SHORT 10 48.34 3/23 9:04 48.42 3.93%
Trade id #110383107
Max drawdown($6,600)
Time3/23/17 5:54
Quant open-10
Worst price49.00
Drawdown as % of equity-3.93%
 ($858)
Includes Typical Broker Commissions trade costs of $80.00
3/22/17 11:42 @SU7 SOYBEANS LONG 5 1002 1/4 3/22 12:53 1004 0.43%
Trade id #110380983
Max drawdown($741)
Time3/22/17 12:08
Quant open5
Worst price999 1/4
Drawdown as % of equity-0.43%
 $406
Includes Typical Broker Commissions trade costs of $40.00
3/21/17 10:58 @SU7 SOYBEANS LONG 5 1001 4/4 3/21 13:22 1003 3/4 0.47%
Trade id #110354388
Max drawdown($808)
Time3/21/17 11:22
Quant open5
Worst price998 3/4
Drawdown as % of equity-0.47%
 $402
Includes Typical Broker Commissions trade costs of $40.00
Next

Statistics

  • Strategy began
    9/27/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2767.68
  • Age
    92 months ago
  • What it trades
    Futures
  • # Trades
    123
  • # Profitable
    102
  • % Profitable
    82.90%
  • Avg trade duration
    37.7 days
  • Max peak-to-valley drawdown
    58.35%
  • drawdown period
    Aug 15, 2017 - Sept 28, 2018
  • Annual Return (Compounded)
    14.2%
  • Avg win
    $7,873
  • Avg loss
    $8,083
  • Model Account Values (Raw)
  • Cash
    $227,917
  • Margin Used
    $185,331
  • Buying Power
    $423,632
  • Ratios
  • W:L ratio
    4.73:1
  • Sharpe Ratio
    -0.44
  • Sortino Ratio
    -0.46
  • Calmar Ratio
    1.658
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4.50%
  • Correlation to SP500
    0.16560
  • Return Percent SP500 (cumu) during strategy life
    133.73%
  • Return Statistics
  • Ann Return (w trading costs)
    14.2%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.99%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.142%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    30.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    79.00%
  • Chance of 20% account loss
    62.00%
  • Chance of 30% account loss
    41.50%
  • Chance of 40% account loss
    25.50%
  • Chance of 60% account loss (Monte Carlo)
    1.50%
  • 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
    14.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    636
  • 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
    $8,084
  • Avg Win
    $7,873
  • Sum Trade PL (losers)
    $169,759.000
  • Age
  • Num Months filled monthly returns table
    28
  • Win / Loss
  • Sum Trade PL (winners)
    $803,056.000
  • # Winners
    102
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    21
  • % Winners
    82.9%
  • Frequency
  • Avg Position Time (mins)
    54223.20
  • Avg Position Time (hrs)
    903.72
  • Avg Trade Length
    37.7 days
  • Last Trade Ago
    2038
  • Regression
  • Alpha
    0.00
  • Beta
    2.45
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    71.64
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    87.29
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.37
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    -6.526
  • 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
    2.002
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.469
  • Hold-and-Hope Ratio
    0.220
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76195
  • SD
    0.62960
  • Sharpe ratio (Glass type estimate)
    1.21022
  • Sharpe ratio (Hedges UMVUE)
    1.14851
  • df
    15.00000
  • t
    1.39745
  • p
    0.28815
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55937
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94228
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59791
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.89494
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.65730
  • Upside Potential Ratio
    5.12055
  • Upside part of mean
    1.06681
  • Downside part of mean
    -0.30485
  • Upside SD
    0.61367
  • Downside SD
    0.20834
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.20010
  • Mean of criterion
    0.76195
  • SD of predictor
    0.09045
  • SD of criterion
    0.62960
  • Covariance
    -0.00511
  • r
    -0.08980
  • b (slope, estimate of beta)
    -0.62505
  • a (intercept, estimate of alpha)
    0.88703
  • Mean Square Error
    0.42128
  • DF error
    14.00000
  • t(b)
    -0.33735
  • p(b)
    0.54490
  • t(a)
    1.31730
  • p(a)
    0.33396
  • Lowerbound of 95% confidence interval for beta
    -4.59900
  • Upperbound of 95% confidence interval for beta
    3.34890
  • Lowerbound of 95% confidence interval for alpha
    -0.55720
  • Upperbound of 95% confidence interval for alpha
    2.33125
  • Treynor index (mean / b)
    -1.21903
  • Jensen alpha (a)
    0.88703
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59301
  • SD
    0.53943
  • Sharpe ratio (Glass type estimate)
    1.09932
  • Sharpe ratio (Hedges UMVUE)
    1.04327
  • df
    15.00000
  • t
    1.26939
  • p
    0.30498
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82368
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69468
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78121
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.59222
  • Upside Potential Ratio
    4.02899
  • Upside part of mean
    0.92168
  • Downside part of mean
    -0.32868
  • Upside SD
    0.49977
  • Downside SD
    0.22876
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.19436
  • Mean of criterion
    0.59301
  • SD of predictor
    0.08776
  • SD of criterion
    0.53943
  • Covariance
    -0.00412
  • r
    -0.08710
  • b (slope, estimate of beta)
    -0.53540
  • a (intercept, estimate of alpha)
    0.69706
  • Mean Square Error
    0.30940
  • DF error
    14.00000
  • t(b)
    -0.32715
  • p(b)
    0.54355
  • t(a)
    1.20755
  • p(a)
    0.34643
  • Lowerbound of 95% confidence interval for beta
    -4.04548
  • Upperbound of 95% confidence interval for beta
    2.97468
  • Lowerbound of 95% confidence interval for alpha
    -0.54103
  • Upperbound of 95% confidence interval for alpha
    1.93515
  • Treynor index (mean / b)
    -1.10759
  • Jensen alpha (a)
    0.69706
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18675
  • Expected Shortfall on VaR
    0.23674
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05282
  • Expected Shortfall on VaR
    0.11220
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.79585
  • Quartile 1
    0.99420
  • Median
    1.02931
  • Quartile 3
    1.12595
  • Maximum
    1.61648
  • Mean of quarter 1
    0.90301
  • Mean of quarter 2
    1.00627
  • Mean of quarter 3
    1.06500
  • Mean of quarter 4
    1.28901
  • Inter Quartile Range
    0.13176
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06250
  • Mean of outliers low
    0.79585
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    1.61648
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.66412
  • VaR(95%) (moments method)
    0.05243
  • Expected Shortfall (moments method)
    0.05243
  • Extreme Value Index (regression method)
    -0.14234
  • VaR(95%) (regression method)
    0.14137
  • Expected Shortfall (regression method)
    0.20442
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.08981
  • Quartile 1
    0.13684
  • Median
    0.18387
  • Quartile 3
    0.23091
  • Maximum
    0.27794
  • Mean of quarter 1
    0.08981
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.27794
  • Inter Quartile Range
    0.09407
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.96635
  • Compounded annual return (geometric extrapolation)
    0.86062
  • Calmar ratio (compounded annual return / max draw down)
    3.09644
  • Compounded annual return / average of 25% largest draw downs
    3.09644
  • Compounded annual return / Expected Shortfall lognormal
    3.63528
  • 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
    0.49643
  • SD
    0.62630
  • Sharpe ratio (Glass type estimate)
    0.79264
  • Sharpe ratio (Hedges UMVUE)
    0.79099
  • df
    360.00000
  • t
    0.93042
  • p
    0.17639
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87862
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46284
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87974
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46171
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.21844
  • Upside Potential Ratio
    7.50090
  • Upside part of mean
    3.05611
  • Downside part of mean
    -2.55967
  • Upside SD
    0.47551
  • Downside SD
    0.40743
  • N nonnegative terms
    153.00000
  • N negative terms
    208.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    361.00000
  • Mean of predictor
    0.19787
  • Mean of criterion
    0.49643
  • SD of predictor
    0.10666
  • SD of criterion
    0.62630
  • Covariance
    -0.00087
  • r
    -0.01306
  • b (slope, estimate of beta)
    -0.07670
  • a (intercept, estimate of alpha)
    286693.00000
  • Mean Square Error
    0.39328
  • DF error
    359.00000
  • t(b)
    -0.24751
  • p(b)
    0.59767
  • t(a)
    0.95137
  • p(a)
    0.17103
  • Lowerbound of 95% confidence interval for beta
    -0.68612
  • Upperbound of 95% confidence interval for beta
    0.53272
  • Lowerbound of 95% confidence interval for alpha
    -0.54595
  • Upperbound of 95% confidence interval for alpha
    1.56917
  • Treynor index (mean / b)
    -6.47229
  • Jensen alpha (a)
    0.51161
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30323
  • SD
    0.62050
  • Sharpe ratio (Glass type estimate)
    0.48869
  • Sharpe ratio (Hedges UMVUE)
    0.48767
  • df
    360.00000
  • t
    0.57363
  • p
    0.28329
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18173
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15849
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18244
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15777
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71013
  • Upside Potential Ratio
    6.91083
  • Upside part of mean
    2.95097
  • Downside part of mean
    -2.64774
  • Upside SD
    0.44941
  • Downside SD
    0.42701
  • N nonnegative terms
    153.00000
  • N negative terms
    208.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    361.00000
  • Mean of predictor
    0.19206
  • Mean of criterion
    0.30323
  • SD of predictor
    0.10731
  • SD of criterion
    0.62050
  • Covariance
    -0.00067
  • r
    -0.01011
  • b (slope, estimate of beta)
    -0.05844
  • a (intercept, estimate of alpha)
    0.31445
  • Mean Square Error
    0.38605
  • DF error
    359.00000
  • t(b)
    -0.19151
  • p(b)
    0.57588
  • t(a)
    0.59046
  • p(a)
    0.27763
  • Lowerbound of 95% confidence interval for beta
    -0.65860
  • Upperbound of 95% confidence interval for beta
    0.54171
  • Lowerbound of 95% confidence interval for alpha
    -0.73287
  • Upperbound of 95% confidence interval for alpha
    1.36178
  • Treynor index (mean / b)
    -5.18829
  • Jensen alpha (a)
    0.31445
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06002
  • Expected Shortfall on VaR
    0.07486
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02423
  • Expected Shortfall on VaR
    0.05093
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    361.00000
  • Minimum
    0.86484
  • Quartile 1
    0.99396
  • Median
    1.00000
  • Quartile 3
    1.01083
  • Maximum
    1.20937
  • Mean of quarter 1
    0.96204
  • Mean of quarter 2
    0.99944
  • Mean of quarter 3
    1.00345
  • Mean of quarter 4
    1.04352
  • Inter Quartile Range
    0.01688
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.10249
  • Mean of outliers low
    0.93094
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.09141
  • Mean of outliers high
    1.08139
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31820
  • VaR(95%) (moments method)
    0.02522
  • Expected Shortfall (moments method)
    0.04758
  • Extreme Value Index (regression method)
    -0.13305
  • VaR(95%) (regression method)
    0.03837
  • Expected Shortfall (regression method)
    0.05421
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00651
  • Median
    0.03072
  • Quartile 3
    0.08870
  • Maximum
    0.48491
  • Mean of quarter 1
    0.00320
  • Mean of quarter 2
    0.01535
  • Mean of quarter 3
    0.04573
  • Mean of quarter 4
    0.24662
  • Inter Quartile Range
    0.08219
  • 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
    0.11111
  • Mean of outliers high
    0.46544
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.70914
  • VaR(95%) (moments method)
    0.30564
  • Expected Shortfall (moments method)
    1.09684
  • Extreme Value Index (regression method)
    0.87010
  • VaR(95%) (regression method)
    0.20579
  • Expected Shortfall (regression method)
    1.18727
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41961
  • Compounded annual return (geometric extrapolation)
    0.39255
  • Calmar ratio (compounded annual return / max draw down)
    0.80954
  • Compounded annual return / average of 25% largest draw downs
    1.59169
  • Compounded annual return / Expected Shortfall lognormal
    5.24348
  • 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
    -0.88455
  • SD
    0.44438
  • Sharpe ratio (Glass type estimate)
    -1.99053
  • Sharpe ratio (Hedges UMVUE)
    -1.97902
  • df
    130.00000
  • t
    -1.40752
  • p
    0.56126
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.76912
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79558
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.76125
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80320
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.53415
  • Upside Potential Ratio
    2.80011
  • Upside part of mean
    0.97738
  • Downside part of mean
    -1.86193
  • Upside SD
    0.27770
  • Downside SD
    0.34905
  • N nonnegative terms
    22.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32527
  • Mean of criterion
    -0.88455
  • SD of predictor
    0.14601
  • SD of criterion
    0.44438
  • Covariance
    0.00190
  • r
    0.02923
  • b (slope, estimate of beta)
    0.08896
  • a (intercept, estimate of alpha)
    -0.91349
  • Mean Square Error
    0.19883
  • DF error
    129.00000
  • t(b)
    0.33212
  • p(b)
    0.48140
  • t(a)
    -1.43495
  • p(a)
    0.57959
  • Lowerbound of 95% confidence interval for beta
    -0.44099
  • Upperbound of 95% confidence interval for beta
    0.61891
  • Lowerbound of 95% confidence interval for alpha
    -2.17301
  • Upperbound of 95% confidence interval for alpha
    0.34604
  • Treynor index (mean / b)
    -9.94329
  • Jensen alpha (a)
    -0.91349
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.98447
  • SD
    0.44598
  • Sharpe ratio (Glass type estimate)
    -2.20744
  • Sharpe ratio (Hedges UMVUE)
    -2.19468
  • df
    130.00000
  • t
    -1.56089
  • p
    0.56782
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.98808
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.58145
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.97929
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58994
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.68912
  • Upside Potential Ratio
    2.57357
  • Upside part of mean
    0.94217
  • Downside part of mean
    -1.92664
  • Upside SD
    0.25894
  • Downside SD
    0.36609
  • N nonnegative terms
    22.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31433
  • Mean of criterion
    -0.98447
  • SD of predictor
    0.14740
  • SD of criterion
    0.44598
  • Covariance
    0.00175
  • r
    0.02655
  • b (slope, estimate of beta)
    0.08033
  • a (intercept, estimate of alpha)
    -1.00972
  • Mean Square Error
    0.20030
  • DF error
    129.00000
  • t(b)
    0.30164
  • p(b)
    0.48310
  • t(a)
    -1.58155
  • p(a)
    0.58752
  • VAR (95 Confidence Intrvl)
    0.69300
  • Lowerbound of 95% confidence interval for beta
    -0.44656
  • Upperbound of 95% confidence interval for beta
    0.60721
  • Lowerbound of 95% confidence interval for alpha
    -2.27288
  • Upperbound of 95% confidence interval for alpha
    0.25344
  • Treynor index (mean / b)
    -12.25570
  • Jensen alpha (a)
    -1.00972
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04789
  • Expected Shortfall on VaR
    0.05874
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02213
  • Expected Shortfall on VaR
    0.04655
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87874
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.17809
  • Mean of quarter 1
    0.97214
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01488
  • Inter Quartile Range
    0.00000
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.21374
  • Mean of outliers low
    0.96717
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.16794
  • Mean of outliers high
    1.02232
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.25913
  • VaR(95%) (moments method)
    0.00290
  • Expected Shortfall (moments method)
    0.00292
  • Extreme Value Index (regression method)
    -0.09993
  • VaR(95%) (regression method)
    0.03120
  • Expected Shortfall (regression method)
    0.04916
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.48491
  • Quartile 1
    0.48491
  • Median
    0.48491
  • Quartile 3
    0.48491
  • Maximum
    0.48491
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -55
  • Max Equity Drawdown (num days)
    409
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.76030
  • Compounded annual return (geometric extrapolation)
    -0.61579
  • Calmar ratio (compounded annual return / max draw down)
    -1.26991
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -10.48280

Strategy Description

Trades Futures only, focusing on commodity, big data machine learning combined with economic interpretation of the signals.

Summary Statistics

Strategy began
2016-09-27
Suggested Minimum Capital
$140,000
# Trades
123
# Profitable
102
% Profitable
82.9%
Correlation S&P500
0.166
Sharpe Ratio
-0.44
Sortino Ratio
-0.46
Beta
2.45
Alpha
0.00

Latest Activity

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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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