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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 11/16/2016
Most recent certification approved 11/16/16 11:29 ET
Trades at broker NinjaTrader Broker (CQG/Dorman)
Scaling percentage used 100%
# trading signals issued by system since certification 313
# trading signals executed in manager's NinjaTrader Broker (CQG/Dorman) account 312
Percent signals followed since 11/16/2016 99.7%
This information was last updated 7/22/17 18:44 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 11/16/2016, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

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

TTT Futures Swing (106147995)

Created by: michael_rochel2 michael_rochel2
Started: 09/2016
Futures
Last trade: 25 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. There is a free trial period of 14 days. After that, subscriptions cost $200.00 per month.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade TTT Futures Swing.

Free AutoTrade

-25.1%
Cumul. Return
29.2%
Max Drawdown
140
Num Trades
37.1%
Win Trades
0.9 : 1
Profit Factor
18.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                          -  (1.1%)(0.2%)(2.2%)(3.4%)
2017+5.8%(9.2%)(3.7%)+6.0%(9.2%)(11.9%)(1.1%)                              (22.5%)

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 312 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/26/17 18:00 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5780.50 6/27 7:25 5752.25 3.11%
Trade id #112221359
Max drawdown($735)
Time6/27/17 4:26
Quant open1
Worst price5743.75
Drawdown as % of equity-3.11%
($573)
Includes Typical Broker Commissions trade costs of $8.00
6/26/17 10:00 @ESU7 E-MINI S&P 500 LONG 1 2447.25 6/26 18:18 2435.00 2.73%
Trade id #112212535
Max drawdown($662)
Time6/26/17 11:06
Quant open1
Worst price2434.00
Drawdown as % of equity-2.73%
($621)
Includes Typical Broker Commissions trade costs of $8.00
6/22/17 11:55 QCLQ7 CRUDE OIL SHORT 2 43.05 6/22 12:35 43.20 1.22%
Trade id #112173684
Max drawdown($300)
Time6/22/17 12:35
Quant open1
Worst price43.20
Drawdown as % of equity-1.22%
($316)
Includes Typical Broker Commissions trade costs of $16.00
6/22/17 11:03 QCLQ7 CRUDE OIL SHORT 2 43.10 6/22 11:12 43.20 0.8%
Trade id #112172238
Max drawdown($200)
Time6/22/17 11:12
Quant open0
Worst price43.20
Drawdown as % of equity-0.80%
($216)
Includes Typical Broker Commissions trade costs of $16.00
6/12/17 8:03 QCLN7 CRUDE OIL SHORT 1 46.53 6/12 8:24 46.61 0.32%
Trade id #112010987
Max drawdown($80)
Time6/12/17 8:24
Quant open0
Worst price46.61
Drawdown as % of equity-0.32%
($88)
Includes Typical Broker Commissions trade costs of $8.00
6/7/17 12:03 QGCQ7 Gold 100 oz SHORT 1 1291.5 6/7 12:13 1292.7 0.48%
Trade id #111953144
Max drawdown($120)
Time6/7/17 12:13
Quant open0
Worst price1292.7
Drawdown as % of equity-0.48%
($128)
Includes Typical Broker Commissions trade costs of $8.00
6/7/17 6:48 QGCM7 Gold 100 oz SHORT 1 1289.0 6/7 7:02 1288.8 n/a $12
Includes Typical Broker Commissions trade costs of $8.00
6/6/17 16:32 QCLN7 CRUDE OIL SHORT 2 48.02 6/6 16:34 48.01 0.16%
Trade id #111941054
Max drawdown($40)
Time6/6/17 16:34
Quant open-2
Worst price48.04
Drawdown as % of equity-0.16%
$4
Includes Typical Broker Commissions trade costs of $16.00
6/6/17 10:13 QCLN7 CRUDE OIL LONG 1 47.27 6/6 10:34 47.20 0.28%
Trade id #111930397
Max drawdown($70)
Time6/6/17 10:34
Quant open0
Worst price47.20
Drawdown as % of equity-0.28%
($78)
Includes Typical Broker Commissions trade costs of $8.00
6/6/17 9:42 QCLN7 CRUDE OIL LONG 2 47.23 6/6 9:53 47.27 0.4%
Trade id #111929159
Max drawdown($100)
Time6/6/17 9:47
Quant open2
Worst price47.18
Drawdown as % of equity-0.40%
$54
Includes Typical Broker Commissions trade costs of $16.00
6/6/17 9:09 QCLN7 CRUDE OIL SHORT 2 47.26 6/6 9:24 47.21 0.24%
Trade id #111928111
Max drawdown($60)
Time6/6/17 9:11
Quant open-2
Worst price47.29
Drawdown as % of equity-0.24%
$84
Includes Typical Broker Commissions trade costs of $16.00
6/5/17 11:47 @ESM7 E-MINI S&P 500 SHORT 2 2435.00 6/5 16:45 2435.25 1.51%
Trade id #111916279
Max drawdown($375)
Time6/5/17 13:18
Quant open-2
Worst price2438.75
Drawdown as % of equity-1.51%
($41)
Includes Typical Broker Commissions trade costs of $16.00
5/29/17 20:55 @JYM7 JAPANESE YEN LONG 1 0.009007 6/1 9:10 0.008975 1.58%
Trade id #111822339
Max drawdown($400)
Time6/1/17 9:10
Quant open0
Worst price0.008975
Drawdown as % of equity-1.58%
($408)
Includes Typical Broker Commissions trade costs of $8.00
5/30/17 9:34 @ESM7 E-MINI S&P 500 SHORT 2 2408.75 5/30 9:45 2412.50 1.47%
Trade id #111829134
Max drawdown($375)
Time5/30/17 9:45
Quant open1
Worst price2412.50
Drawdown as % of equity-1.47%
($391)
Includes Typical Broker Commissions trade costs of $16.00
5/26/17 9:38 @ESM7 E-MINI S&P 500 SHORT 2 2411.25 5/26 9:46 2413.00 0.68%
Trade id #111788953
Max drawdown($175)
Time5/26/17 9:46
Quant open-2
Worst price2413.00
Drawdown as % of equity-0.68%
($191)
Includes Typical Broker Commissions trade costs of $16.00
4/21/17 8:32 @SMN7 SOYBEAN MEAL LONG 1 313.2 5/18 12:21 308.4 1.85%
Trade id #111184946
Max drawdown($480)
Time5/18/17 12:21
Quant open0
Worst price308.4
Drawdown as % of equity-1.85%
($488)
Includes Typical Broker Commissions trade costs of $8.00
5/11/17 10:39 @ESM7 E-MINI S&P 500 SHORT 2 2380.75 5/11 10:43 2383.00 0.84%
Trade id #111545509
Max drawdown($225)
Time5/11/17 10:43
Quant open1
Worst price2383.00
Drawdown as % of equity-0.84%
($241)
Includes Typical Broker Commissions trade costs of $16.00
5/10/17 10:38 QCLN7 CRUDE OIL LONG 1 47.42 5/10 10:40 47.40 0.15%
Trade id #111521817
Max drawdown($40)
Time5/10/17 10:40
Quant open1
Worst price47.38
Drawdown as % of equity-0.15%
($28)
Includes Typical Broker Commissions trade costs of $8.00
5/10/17 10:35 QCLN7 CRUDE OIL SHORT 1 47.28 5/10 10:38 47.41 0.48%
Trade id #111521524
Max drawdown($130)
Time5/10/17 10:38
Quant open0
Worst price47.41
Drawdown as % of equity-0.48%
($138)
Includes Typical Broker Commissions trade costs of $8.00
4/21/17 8:02 @SMN7 SOYBEAN MEAL LONG 2 313.8 4/21 8:32 313.1 0.52%
Trade id #111184383
Max drawdown($140)
Time4/21/17 8:32
Quant open0
Worst price313.1
Drawdown as % of equity-0.52%
($156)
Includes Typical Broker Commissions trade costs of $16.00
4/19/17 15:20 QCLM7 CRUDE OIL SHORT 1 50.94 4/19 18:10 51.01 0.6%
Trade id #111132317
Max drawdown($160)
Time4/19/17 18:07
Quant open-1
Worst price51.10
Drawdown as % of equity-0.60%
($78)
Includes Typical Broker Commissions trade costs of $8.00
4/19/17 10:31 QCLM7 CRUDE OIL SHORT 1 52.86 4/19 12:09 51.85 0%
Trade id #111121632
Max drawdown$0
Time4/19/17 10:35
Quant open-1
Worst price52.86
Drawdown as % of equity0.00%
$1,002
Includes Typical Broker Commissions trade costs of $8.00
4/18/17 9:34 @ESM7 E-MINI S&P 500 LONG 2 2338.50 4/18 10:00 2342.25 0.69%
Trade id #111084008
Max drawdown($175)
Time4/18/17 9:36
Quant open2
Worst price2336.75
Drawdown as % of equity-0.69%
$359
Includes Typical Broker Commissions trade costs of $16.00
4/17/17 15:48 @YMM7 MINI DOW LONG 4 20574 4/17 21:04 20564 0.78%
Trade id #111064495
Max drawdown($200)
Time4/17/17 15:59
Quant open4
Worst price20564
Drawdown as % of equity-0.78%
($222)
Includes Typical Broker Commissions trade costs of $32.00
4/17/17 15:02 @ESM7 E-MINI S&P 500 SHORT 1 2339.00 4/17 15:17 2341.00 0.39%
Trade id #111062536
Max drawdown($100)
Time4/17/17 15:17
Quant open0
Worst price2341.00
Drawdown as % of equity-0.39%
($108)
Includes Typical Broker Commissions trade costs of $8.00
4/10/17 9:32 @ESM7 E-MINI S&P 500 SHORT 1 2355.50 4/10 9:34 2356.25 0.15%
Trade id #110875603
Max drawdown($38)
Time4/10/17 9:34
Quant open0
Worst price2356.25
Drawdown as % of equity-0.15%
($46)
Includes Typical Broker Commissions trade costs of $8.00
4/10/17 8:27 @ESM7 E-MINI S&P 500 SHORT 2 2354.50 4/10 8:42 2354.25 0.1%
Trade id #110873913
Max drawdown($25)
Time4/10/17 8:29
Quant open-2
Worst price2354.75
Drawdown as % of equity-0.10%
$9
Includes Typical Broker Commissions trade costs of $16.00
4/7/17 10:47 @ESM7 E-MINI S&P 500 SHORT 1 2354.00 4/7 12:59 2356.25 0.43%
Trade id #110815237
Max drawdown($113)
Time4/7/17 12:59
Quant open0
Worst price2356.25
Drawdown as % of equity-0.43%
($121)
Includes Typical Broker Commissions trade costs of $8.00
4/5/17 10:01 @ESM7 E-MINI S&P 500 LONG 2 2369.50 4/5 10:21 2372.88 0.1%
Trade id #110722851
Max drawdown($25)
Time4/5/17 10:03
Quant open2
Worst price2369.25
Drawdown as % of equity-0.10%
$322
Includes Typical Broker Commissions trade costs of $16.00
4/5/17 9:47 @ESM7 E-MINI S&P 500 LONG 2 2366.50 4/5 9:50 2368.62 n/a $197
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    9/29/2016
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    294.54
  • Age
    10 months ago
  • What it trades
    Futures
  • # Trades
    140
  • # Profitable
    52
  • % Profitable
    37.10%
  • Avg trade duration
    14.5 hours
  • Max peak-to-valley drawdown
    29.16%
  • drawdown period
    Feb 06, 2017 - July 15, 2017
  • Cumul. Return
    -25.1%
  • Avg win
    $226.54
  • Avg loss
    $154.94
  • Model Account Values (Raw)
  • Cash
    $23,149
  • Margin Used
    $0
  • Buying Power
    $23,149
  • Ratios
  • W:L ratio
    0.86:1
  • Sharpe Ratio
    -1.088
  • Sortino Ratio
    -1.454
  • Calmar Ratio
    -0.656
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.00500
  • Return Statistics
  • Ann Return (w trading costs)
    -29.8%
  • Ann Return (Compnd, No Fees)
    -9.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    183810
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    14
  • Win / Loss
  • Avg Loss
    $155
  • Avg Win
    $227
  • # Winners
    52
  • # Losers
    88
  • % Winners
    37.1%
  • Frequency
  • Avg Position Time (mins)
    868.75
  • Avg Position Time (hrs)
    14.48
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    24
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13266
  • SD
    0.24316
  • Sharpe ratio (Glass type estimate)
    -0.54557
  • Sharpe ratio (Hedges UMVUE)
    -0.47390
  • df
    6.00000
  • t
    -0.41669
  • p
    0.65430
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.10763
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06006
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.05406
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10627
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.67703
  • Upside Potential Ratio
    1.11387
  • Upside part of mean
    0.21826
  • Downside part of mean
    -0.35092
  • Upside SD
    0.11727
  • Downside SD
    0.19595
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.17940
  • Mean of criterion
    -0.13266
  • SD of predictor
    0.05497
  • SD of criterion
    0.24316
  • Covariance
    -0.00093
  • r
    -0.06971
  • b (slope, estimate of beta)
    -0.30837
  • a (intercept, estimate of alpha)
    -0.07734
  • Mean Square Error
    0.07061
  • DF error
    5.00000
  • t(b)
    -0.15625
  • p(b)
    0.55903
  • t(a)
    -0.15580
  • p(a)
    0.55886
  • Lowerbound of 95% confidence interval for beta
    -5.38178
  • Upperbound of 95% confidence interval for beta
    4.76504
  • Lowerbound of 95% confidence interval for alpha
    -1.35340
  • Upperbound of 95% confidence interval for alpha
    1.19873
  • Treynor index (mean / b)
    0.43020
  • Jensen alpha (a)
    -0.07734
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15970
  • SD
    0.25123
  • Sharpe ratio (Glass type estimate)
    -0.63569
  • Sharpe ratio (Hedges UMVUE)
    -0.55218
  • df
    6.00000
  • t
    -0.48552
  • p
    0.67773
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.20062
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97974
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.13732
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03296
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.76645
  • Upside Potential Ratio
    1.01361
  • Upside part of mean
    0.21120
  • Downside part of mean
    -0.37091
  • Upside SD
    0.11317
  • Downside SD
    0.20837
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.17641
  • Mean of criterion
    -0.15970
  • SD of predictor
    0.05428
  • SD of criterion
    0.25123
  • Covariance
    -0.00089
  • r
    -0.06520
  • b (slope, estimate of beta)
    -0.30178
  • a (intercept, estimate of alpha)
    -0.10647
  • Mean Square Error
    0.07542
  • DF error
    5.00000
  • t(b)
    -0.14610
  • p(b)
    0.55522
  • t(a)
    -0.20797
  • p(a)
    0.57827
  • Lowerbound of 95% confidence interval for beta
    -5.61189
  • Upperbound of 95% confidence interval for beta
    5.00833
  • Lowerbound of 95% confidence interval for alpha
    -1.42246
  • Upperbound of 95% confidence interval for alpha
    1.20953
  • Treynor index (mean / b)
    0.52920
  • Jensen alpha (a)
    -0.10647
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12418
  • Expected Shortfall on VaR
    0.15002
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06148
  • Expected Shortfall on VaR
    0.11934
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.86833
  • Quartile 1
    0.96698
  • Median
    1.00291
  • Quartile 3
    1.02714
  • Maximum
    1.07945
  • Mean of quarter 1
    0.90207
  • Mean of quarter 2
    1.00052
  • Mean of quarter 3
    1.00659
  • Mean of quarter 4
    1.06356
  • Inter Quartile Range
    0.06016
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.86833
  • 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
    2.00000
  • Minimum
    0.00186
  • Quartile 1
    0.03856
  • Median
    0.07526
  • Quartile 3
    0.11196
  • Maximum
    0.14866
  • Mean of quarter 1
    0.00186
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14866
  • Inter Quartile Range
    0.07340
  • 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)
    -0.12686
  • Compounded annual return (geometric extrapolation)
    -0.12348
  • Calmar ratio (compounded annual return / max draw down)
    -0.83064
  • Compounded annual return / average of 25% largest draw downs
    -0.83064
  • Compounded annual return / Expected Shortfall lognormal
    -0.82308
  • 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
    -0.14501
  • SD
    0.13268
  • Sharpe ratio (Glass type estimate)
    -1.09294
  • Sharpe ratio (Hedges UMVUE)
    -1.08778
  • df
    159.00000
  • t
    -0.85410
  • p
    0.54299
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.60220
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41968
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.59869
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42313
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.45406
  • Upside Potential Ratio
    5.83800
  • Upside part of mean
    0.58221
  • Downside part of mean
    -0.72721
  • Upside SD
    0.08734
  • Downside SD
    0.09973
  • N nonnegative terms
    56.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    160.00000
  • Mean of predictor
    0.17352
  • Mean of criterion
    -0.14501
  • SD of predictor
    0.08365
  • SD of criterion
    0.13268
  • Covariance
    -0.00018
  • r
    -0.01611
  • b (slope, estimate of beta)
    -0.02555
  • a (intercept, estimate of alpha)
    -0.14100
  • Mean Square Error
    0.01771
  • DF error
    158.00000
  • t(b)
    -0.20253
  • p(b)
    0.50806
  • t(a)
    -0.81875
  • p(a)
    0.53250
  • Lowerbound of 95% confidence interval for beta
    -0.27473
  • Upperbound of 95% confidence interval for beta
    0.22363
  • Lowerbound of 95% confidence interval for alpha
    -0.47969
  • Upperbound of 95% confidence interval for alpha
    0.19854
  • Treynor index (mean / b)
    5.67524
  • Jensen alpha (a)
    -0.14058
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15380
  • SD
    0.13287
  • Sharpe ratio (Glass type estimate)
    -1.15752
  • Sharpe ratio (Hedges UMVUE)
    -1.15205
  • df
    159.00000
  • t
    -0.90456
  • p
    0.54551
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.66703
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35555
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.66331
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35921
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.52704
  • Upside Potential Ratio
    5.74255
  • Upside part of mean
    0.57838
  • Downside part of mean
    -0.73218
  • Upside SD
    0.08655
  • Downside SD
    0.10072
  • N nonnegative terms
    56.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    160.00000
  • Mean of predictor
    0.16997
  • Mean of criterion
    -0.15380
  • SD of predictor
    0.08362
  • SD of criterion
    0.13287
  • Covariance
    -0.00018
  • r
    -0.01606
  • b (slope, estimate of beta)
    -0.02552
  • a (intercept, estimate of alpha)
    -0.14946
  • Mean Square Error
    0.01776
  • DF error
    158.00000
  • t(b)
    -0.20188
  • p(b)
    0.50803
  • t(a)
    -0.86952
  • p(a)
    0.53451
  • Lowerbound of 95% confidence interval for beta
    -0.27516
  • Upperbound of 95% confidence interval for beta
    0.22412
  • Lowerbound of 95% confidence interval for alpha
    -0.48896
  • Upperbound of 95% confidence interval for alpha
    0.19004
  • Treynor index (mean / b)
    6.02734
  • Jensen alpha (a)
    -0.14946
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01399
  • Expected Shortfall on VaR
    0.01736
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00748
  • Expected Shortfall on VaR
    0.01470
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    160.00000
  • Minimum
    0.96901
  • Quartile 1
    0.99706
  • Median
    1.00000
  • Quartile 3
    1.00109
  • Maximum
    1.03151
  • Mean of quarter 1
    0.99008
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00021
  • Mean of quarter 4
    1.00883
  • Inter Quartile Range
    0.00404
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.09375
  • Mean of outliers low
    0.98284
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.01316
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22501
  • VaR(95%) (moments method)
    0.00891
  • Expected Shortfall (moments method)
    0.01450
  • Extreme Value Index (regression method)
    0.07970
  • VaR(95%) (regression method)
    0.00935
  • Expected Shortfall (regression method)
    0.01383
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00140
  • Quartile 1
    0.00415
  • Median
    0.00697
  • Quartile 3
    0.02282
  • Maximum
    0.18041
  • Mean of quarter 1
    0.00185
  • Mean of quarter 2
    0.00522
  • Mean of quarter 3
    0.01323
  • Mean of quarter 4
    0.10856
  • Inter Quartile Range
    0.01867
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.18041
  • 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)
    -0.12118
  • Compounded annual return (geometric extrapolation)
    -0.11829
  • Calmar ratio (compounded annual return / max draw down)
    -0.65566
  • Compounded annual return / average of 25% largest draw downs
    -1.08961
  • Compounded annual return / Expected Shortfall lognormal
    -6.81313
  • 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
    -0.16487
  • SD
    0.14665
  • Sharpe ratio (Glass type estimate)
    -1.12426
  • Sharpe ratio (Hedges UMVUE)
    -1.11776
  • df
    130.00000
  • t
    -0.79497
  • p
    0.53478
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.89738
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65297
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.89289
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65737
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.49673
  • Upside Potential Ratio
    6.38444
  • Upside part of mean
    0.70327
  • Downside part of mean
    -0.86813
  • Upside SD
    0.09649
  • Downside SD
    0.11015
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20570
  • Mean of criterion
    -0.16487
  • SD of predictor
    0.07863
  • SD of criterion
    0.14665
  • Covariance
    -0.00027
  • r
    -0.02314
  • b (slope, estimate of beta)
    -0.04315
  • a (intercept, estimate of alpha)
    -0.15599
  • Mean Square Error
    0.02166
  • DF error
    129.00000
  • t(b)
    -0.26284
  • p(b)
    0.51473
  • t(a)
    -0.73980
  • p(a)
    0.54135
  • Lowerbound of 95% confidence interval for beta
    -0.36795
  • Upperbound of 95% confidence interval for beta
    0.28165
  • Lowerbound of 95% confidence interval for alpha
    -0.57318
  • Upperbound of 95% confidence interval for alpha
    0.26119
  • Treynor index (mean / b)
    3.82096
  • Jensen alpha (a)
    -0.15599
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17560
  • SD
    0.14685
  • Sharpe ratio (Glass type estimate)
    -1.19573
  • Sharpe ratio (Hedges UMVUE)
    -1.18882
  • df
    130.00000
  • t
    -0.84551
  • p
    0.53698
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.96905
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58206
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.96439
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58675
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.57843
  • Upside Potential Ratio
    6.27957
  • Upside part of mean
    0.69859
  • Downside part of mean
    -0.87419
  • Upside SD
    0.09562
  • Downside SD
    0.11125
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20253
  • Mean of criterion
    -0.17560
  • SD of predictor
    0.07871
  • SD of criterion
    0.14685
  • Covariance
    -0.00026
  • r
    -0.02290
  • b (slope, estimate of beta)
    -0.04273
  • a (intercept, estimate of alpha)
    -0.16694
  • Mean Square Error
    0.02172
  • DF error
    129.00000
  • t(b)
    -0.26019
  • p(b)
    0.51458
  • t(a)
    -0.79094
  • p(a)
    0.54419
  • Lowerbound of 95% confidence interval for beta
    -0.36766
  • Upperbound of 95% confidence interval for beta
    0.28219
  • Lowerbound of 95% confidence interval for alpha
    -0.58455
  • Upperbound of 95% confidence interval for alpha
    0.25066
  • Treynor index (mean / b)
    4.10944
  • Jensen alpha (a)
    -0.16694
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01547
  • Expected Shortfall on VaR
    0.01919
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00888
  • Expected Shortfall on VaR
    0.01686
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96901
  • Quartile 1
    0.99532
  • Median
    1.00000
  • Quartile 3
    1.00353
  • Maximum
    1.03151
  • Mean of quarter 1
    0.98876
  • Mean of quarter 2
    0.99836
  • Mean of quarter 3
    1.00067
  • Mean of quarter 4
    1.01016
  • Inter Quartile Range
    0.00820
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97779
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.02051
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36651
  • VaR(95%) (moments method)
    0.01207
  • Expected Shortfall (moments method)
    0.02169
  • Extreme Value Index (regression method)
    0.16575
  • VaR(95%) (regression method)
    0.01064
  • Expected Shortfall (regression method)
    0.01564
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00140
  • Quartile 1
    0.00415
  • Median
    0.00665
  • Quartile 3
    0.02282
  • Maximum
    0.18041
  • Mean of quarter 1
    0.00185
  • Mean of quarter 2
    0.00489
  • Mean of quarter 3
    0.01323
  • Mean of quarter 4
    0.10856
  • Inter Quartile Range
    0.01867
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.18041
  • 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)
    -0.14237
  • Compounded annual return (geometric extrapolation)
    -0.13730
  • Calmar ratio (compounded annual return / max draw down)
    -0.76103
  • Compounded annual return / average of 25% largest draw downs
    -1.26473
  • Compounded annual return / Expected Shortfall lognormal
    -7.15400

Strategy Description

These are mechanical systems that trade either intraday or swing trading holding overnight. They are proprietary trading systems with a preset maximum stop loss per trade. It also has an equity trail as to not give back all profits once a certain profit level is attained. Profit targets and stops may be adjusted based upon market conditions. I try to reduce risk as quick as possible on each trade to a level of less than 5% of equity. The systems does not hold overnight or over the weekend to reduce the possibility of a market shock risk.

The core of each system is the risk and money management portion as to try to avoid the large losses and be able to play another day.

Summary Statistics

Strategy began
2016-09-29
Minimum Capital Required
$25,000
# Trades
140
# Profitable
52
% Profitable
37.1%
Net Dividends
Correlation S&P500
0.005
Sharpe Ratio
-1.088

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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