EF Futures
(107362324)
Subscription terms. Subscriptions to this system cost $99.00 per month.
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 shortsells a security that has been in a downward trend. While similar to Trendfollowing, tends to be more forwardlooking (predicting oncoming trend), while Momentum is more backwardlooking (observing alreadyestablished price direction).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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2016  +0.6%  +1.9%  +2.5%  
2017  +9.5%  +10.8%  +3.0%  +6.7%  +4.4%  +2.4%  +3.1%  +9.5%  (3.8%)  +2.7%  +4.6%  (0.9%)  +65.0% 
2018  (5.2%)  +17.9%  (4.4%)  +4.6%  (5.4%)  (8.2%)  +11.2%  +7.8% 
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.
Started  $10,000  
Buy Power  $24,666  
Cash  $1  
Equity  $1  
Cumulative $  $14,666  
Total System Equity  $24,666  
Margined  $1  
Open P/L  $0  
Data has been delayed by 24 hours for nonsubscribers 
System developer has asked us to delay this information by 24 hours.
Trading Record
Statistics

Strategy began11/21/2016

Suggested Minimum Cap$25,000

Strategy Age (days)602.94

Age20 months ago

What it tradesFutures

# Trades413

# Profitable210

% Profitable50.80%

Avg trade duration3.8 hours

Max peaktovalley drawdown20.95%

drawdown periodFeb 24, 2017  March 21, 2017

Annual Return (Compounded)43.6%

Avg win$237.53

Avg loss$173.47
 Model Account Values (Raw)

Cash$24,666

Margin Used$0

Buying Power$24,666
 Ratios

W:L ratio1.42:1

Sharpe Ratio2.472

Sortino Ratio4.402

Calmar Ratio6.719
 CORRELATION STATISTICS

Correlation to SP5000.07500
 Return Statistics

Ann Return (w trading costs)43.6%

Ann Return (Compnd, No Fees)72.6%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss27.50%

Chance of 20% account loss7.00%

Chance of 30% account loss0.50%

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)896

C2 Score80.3
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$173

Avg Win$238

# Winners210

# Losers203

% Winners50.9%
 Frequency

Avg Position Time (mins)226.42

Avg Position Time (hrs)3.77

Avg Trade Length0.2 days

Last Trade Ago4
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.55854

SD0.28229

Sharpe ratio (Glass type estimate)1.97863

Sharpe ratio (Hedges UMVUE)1.89483

df18.00000

t2.48972

p0.24694

Lowerbound of 95% confidence interval for Sharpe Ratio0.27064

Upperbound of 95% confidence interval for Sharpe Ratio3.63987

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.21873

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.57093
 Statistics related to Sortino ratio

Sortino ratio10.15470

Upside Potential Ratio11.84060

Upside part of mean0.65127

Downside part of mean0.09273

Upside SD0.31379

Downside SD0.05500

N nonnegative terms12.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations19.00000

Mean of predictor0.10639

Mean of criterion0.55854

SD of predictor0.08987

SD of criterion0.28229

Covariance0.00003

r0.00099

b (slope, estimate of beta)0.00312

a (intercept, estimate of alpha)0.55821

Mean Square Error0.08437

DF error17.00000

t(b)0.00409

p(b)0.49937

t(a)2.28159

p(a)0.20427

Lowerbound of 95% confidence interval for beta1.60423

Upperbound of 95% confidence interval for beta1.61046

Lowerbound of 95% confidence interval for alpha0.04203

Upperbound of 95% confidence interval for alpha1.07439

Treynor index (mean / b)179.30100

Jensen alpha (a)0.55821
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.51236

SD0.25754

Sharpe ratio (Glass type estimate)1.98947

Sharpe ratio (Hedges UMVUE)1.90521

df18.00000

t2.50336

p0.24591

Lowerbound of 95% confidence interval for Sharpe Ratio0.28005

Upperbound of 95% confidence interval for Sharpe Ratio3.65195

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.22786

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.58256
 Statistics related to Sortino ratio

Sortino ratio9.14787

Upside Potential Ratio10.82720

Upside part of mean0.60642

Downside part of mean0.09406

Upside SD0.28561

Downside SD0.05601

N nonnegative terms12.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations19.00000

Mean of predictor0.10187

Mean of criterion0.51236

SD of predictor0.08993

SD of criterion0.25754

Covariance0.00024

r0.01042

b (slope, estimate of beta)0.02984

a (intercept, estimate of alpha)0.50932

Mean Square Error0.07022

DF error17.00000

t(b)0.04297

p(b)0.49336

t(a)2.29260

p(a)0.20328

Lowerbound of 95% confidence interval for beta1.43540

Upperbound of 95% confidence interval for beta1.49509

Lowerbound of 95% confidence interval for alpha0.04061

Upperbound of 95% confidence interval for alpha0.97803

Treynor index (mean / b)17.16780

Jensen alpha (a)0.50932
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07650

Expected Shortfall on VaR0.10441
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01455

Expected Shortfall on VaR0.02994
 ORDER STATISTICS
 Quartiles of return rates

Number of observations19.00000

Minimum0.95147

Quartile 10.99367

Median1.04171

Quartile 31.06704

Maximum1.27266

Mean of quarter 10.97502

Mean of quarter 21.01445

Mean of quarter 31.05088

Mean of quarter 41.15555

Inter Quartile Range0.07337

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.10526

Mean of outliers high1.23609
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.83940

VaR(95%) (moments method)0.02208

Expected Shortfall (moments method)0.02276

Extreme Value Index (regression method)0.24636

VaR(95%) (regression method)0.04093

Expected Shortfall (regression method)0.05419
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00438

Quartile 10.01096

Median0.01785

Quartile 30.02938

Maximum0.04853

Mean of quarter 10.00693

Mean of quarter 20.01540

Mean of quarter 30.02029

Mean of quarter 40.04047

Inter Quartile Range0.01842

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.85412

Compounded annual return (geometric extrapolation)0.71646

Calmar ratio (compounded annual return / max draw down)14.76190

Compounded annual return / average of 25% largest draw downs17.70190

Compounded annual return / Expected Shortfall lognormal6.86172

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.54572

SD0.22034

Sharpe ratio (Glass type estimate)2.47676

Sharpe ratio (Hedges UMVUE)2.47242

df428.00000

t3.16929

p0.00082

Lowerbound of 95% confidence interval for Sharpe Ratio0.93471

Upperbound of 95% confidence interval for Sharpe Ratio4.01600

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.93180

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.01304
 Statistics related to Sortino ratio

Sortino ratio4.40159

Upside Potential Ratio10.29850

Upside part of mean1.27685

Downside part of mean0.73112

Upside SD0.18493

Downside SD0.12398

N nonnegative terms192.00000

N negative terms237.00000
 Statistics related to linear regression on benchmark

N of observations429.00000

Mean of predictor0.12532

Mean of criterion0.54572

SD of predictor0.10696

SD of criterion0.22034

Covariance0.00144

r0.06091

b (slope, estimate of beta)0.12548

a (intercept, estimate of alpha)0.53000

Mean Square Error0.04848

DF error427.00000

t(b)1.26103

p(b)0.10399

t(a)3.07204

p(a)0.00113

Lowerbound of 95% confidence interval for beta0.07010

Upperbound of 95% confidence interval for beta0.32107

Lowerbound of 95% confidence interval for alpha0.19090

Upperbound of 95% confidence interval for alpha0.86910

Treynor index (mean / b)4.34894

Jensen alpha (a)0.53000
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.52130

SD0.21778

Sharpe ratio (Glass type estimate)2.39364

Sharpe ratio (Hedges UMVUE)2.38944

df428.00000

t3.06293

p0.00117

Lowerbound of 95% confidence interval for Sharpe Ratio0.85225

Upperbound of 95% confidence interval for Sharpe Ratio3.93236

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.84941

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.92947
 Statistics related to Sortino ratio

Sortino ratio4.12779

Upside Potential Ratio9.97880

Upside part of mean1.26022

Downside part of mean0.73892

Upside SD0.18002

Downside SD0.12629

N nonnegative terms192.00000

N negative terms237.00000
 Statistics related to linear regression on benchmark

N of observations429.00000

Mean of predictor0.11954

Mean of criterion0.52130

SD of predictor0.10736

SD of criterion0.21778

Covariance0.00146

r0.06235

b (slope, estimate of beta)0.12648

a (intercept, estimate of alpha)0.50618

Mean Square Error0.04736

DF error427.00000

t(b)1.29095

p(b)0.09871

t(a)2.96937

p(a)0.00158

Lowerbound of 95% confidence interval for beta0.06609

Upperbound of 95% confidence interval for beta0.31906

Lowerbound of 95% confidence interval for alpha0.17112

Upperbound of 95% confidence interval for alpha0.84123

Treynor index (mean / b)4.12145

Jensen alpha (a)0.50618
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01994

Expected Shortfall on VaR0.02542
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00671

Expected Shortfall on VaR0.01443
 ORDER STATISTICS
 Quartiles of return rates

Number of observations429.00000

Minimum0.92560

Quartile 10.99854

Median1.00000

Quartile 31.00622

Maximum1.12133

Mean of quarter 10.98927

Mean of quarter 20.99988

Mean of quarter 31.00244

Mean of quarter 41.01729

Inter Quartile Range0.00768

Number outliers low31.00000

Percentage of outliers low0.07226

Mean of outliers low0.97622

Number of outliers high36.00000

Percentage of outliers high0.08392

Mean of outliers high1.03038
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.33700

VaR(95%) (moments method)0.00652

Expected Shortfall (moments method)0.01268

Extreme Value Index (regression method)0.25029

VaR(95%) (regression method)0.00948

Expected Shortfall (regression method)0.01755
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations25.00000

Minimum0.00009

Quartile 10.00466

Median0.02121

Quartile 30.03684

Maximum0.10893

Mean of quarter 10.00289

Mean of quarter 20.01366

Mean of quarter 30.03039

Mean of quarter 40.07288

Inter Quartile Range0.03218

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.08000

Mean of outliers high0.09729
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.84864

VaR(95%) (moments method)0.07428

Expected Shortfall (moments method)0.08045

Extreme Value Index (regression method)0.28512

VaR(95%) (regression method)0.08251

Expected Shortfall (regression method)0.09896
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.89031

Compounded annual return (geometric extrapolation)0.73187

Calmar ratio (compounded annual return / max draw down)6.71897

Compounded annual return / average of 25% largest draw downs10.04250

Compounded annual return / Expected Shortfall lognormal28.78850

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

Mean0.26341

SD0.19698

Sharpe ratio (Glass type estimate)1.33725

Sharpe ratio (Hedges UMVUE)1.32952

df130.00000

t0.94558

p0.45867

Lowerbound of 95% confidence interval for Sharpe Ratio1.44186

Upperbound of 95% confidence interval for Sharpe Ratio4.11128

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.44699

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.10603
 Statistics related to Sortino ratio

Sortino ratio2.02528

Upside Potential Ratio9.00961

Upside part of mean1.17180

Downside part of mean0.90839

Upside SD0.14783

Downside SD0.13006

N nonnegative terms58.00000

N negative terms73.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00567

Mean of criterion0.26341

SD of predictor0.16441

SD of criterion0.19698

Covariance0.00028

r0.00852

b (slope, estimate of beta)0.01021

a (intercept, estimate of alpha)0.26335

Mean Square Error0.03910

DF error129.00000

t(b)0.09680

p(b)0.50543

t(a)0.94176

p(a)0.44745

Lowerbound of 95% confidence interval for beta0.21890

Upperbound of 95% confidence interval for beta0.19848

Lowerbound of 95% confidence interval for alpha0.28992

Upperbound of 95% confidence interval for alpha0.81662

Treynor index (mean / b)25.79790

Jensen alpha (a)0.26335
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.24400

SD0.19705

Sharpe ratio (Glass type estimate)1.23829

Sharpe ratio (Hedges UMVUE)1.23114

df130.00000

t0.87561

p0.46171

Lowerbound of 95% confidence interval for Sharpe Ratio1.53989

Upperbound of 95% confidence interval for Sharpe Ratio4.01189

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.54471

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.00698
 Statistics related to Sortino ratio

Sortino ratio1.84842

Upside Potential Ratio8.79445

Upside part of mean1.16093

Downside part of mean0.91692

Upside SD0.14606

Downside SD0.13201

N nonnegative terms58.00000

N negative terms73.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.01918

Mean of criterion0.24400

SD of predictor0.16525

SD of criterion0.19705

Covariance0.00031

r0.00944

b (slope, estimate of beta)0.01126

a (intercept, estimate of alpha)0.24379

Mean Square Error0.03913

DF error129.00000

t(b)0.10723

p(b)0.50601

t(a)0.87148

p(a)0.45134

Lowerbound of 95% confidence interval for beta0.21897

Upperbound of 95% confidence interval for beta0.19646

Lowerbound of 95% confidence interval for alpha0.30969

Upperbound of 95% confidence interval for alpha0.79726

Treynor index (mean / b)21.67540

Jensen alpha (a)0.24379
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01891

Expected Shortfall on VaR0.02388
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00847

Expected Shortfall on VaR0.01726
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95570

Quartile 10.99649

Median1.00000

Quartile 31.00563

Maximum1.04185

Mean of quarter 10.98763

Mean of quarter 20.99884

Mean of quarter 31.00192

Mean of quarter 41.01608

Inter Quartile Range0.00914

Number outliers low6.00000

Percentage of outliers low0.04580

Mean of outliers low0.97072

Number of outliers high10.00000

Percentage of outliers high0.07634

Mean of outliers high1.02636
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.11098

VaR(95%) (moments method)0.00999

Expected Shortfall (moments method)0.01500

Extreme Value Index (regression method)0.18134

VaR(95%) (regression method)0.01143

Expected Shortfall (regression method)0.01836
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00466

Quartile 10.01322

Median0.04064

Quartile 30.07319

Maximum0.08565

Mean of quarter 10.00761

Mean of quarter 20.02121

Mean of quarter 30.06007

Mean of quarter 40.08160

Inter Quartile Range0.05997

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.29126

Compounded annual return (geometric extrapolation)0.31247

Calmar ratio (compounded annual return / max draw down)3.64837

Compounded annual return / average of 25% largest draw downs3.82910

Compounded annual return / Expected Shortfall lognormal13.08530
Strategy Description
Looking for the highest return with a reasonable DD
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.