Apparatus 1.0
(110286218)
Subscription terms. Subscriptions to this system cost $120.00 per month.
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  

2017  (0.1%)  +5.8%  (5.3%)  +2.4%  +5.0%  +1.0%  +4.1%  (4.5%)  +0.2%  +1.1%  +9.4%  
2018  +24.1%  (33%)  (3.3%)  +12.3%  +7.4%  (6.7%)  +21.3%  +9.7% 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $100,000  
Buy Power  $138,361  
Cash  $144,089  
Equity  ($100)  
Cumulative $  $43,989  
Total System Equity  $143,989  
Margined  $5,628  
Open P/L  ($100) 
Trading Record
Statistics

Strategy began3/16/2017

Suggested Minimum Cap$25,000

Strategy Age (days)487.71

Age16 months ago

What it tradesFutures

# Trades692

# Profitable336

% Profitable48.60%

Avg trade duration12.0 hours

Max peaktovalley drawdown49.07%

drawdown periodJan 28, 2018  March 23, 2018

Annual Return (Compounded)14.6%

Avg win$822.65

Avg loss$652.87
 Model Account Values (Raw)

Cash$144,089

Margin Used$5,628

Buying Power$138,361
 Ratios

W:L ratio1.19:1

Sharpe Ratio0.927

Sortino Ratio1.262

Calmar Ratio0.842
 CORRELATION STATISTICS

Correlation to SP5000.55100
 Return Statistics

Ann Return (w trading costs)14.6%

Ann Return (Compnd, No Fees)31.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss68.50%

Chance of 20% account loss39.50%

Chance of 30% account loss17.00%

Chance of 40% account loss6.50%

Chance of 50% account loss0.50%
 Popularity

Popularity (Today)315

Popularity (Last 6 weeks)552

C2 Score54.1
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$654

Avg Win$820

# Winners337

# Losers355

% Winners48.7%
 Frequency

Avg Position Time (mins)721.52

Avg Position Time (hrs)12.03

Avg Trade Length0.5 days

Last Trade Ago0
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.22993

SD0.23211

Sharpe ratio (Glass type estimate)0.99061

Sharpe ratio (Hedges UMVUE)0.93641

df14.00000

t1.10754

p0.35808

Lowerbound of 95% confidence interval for Sharpe Ratio0.81649

Upperbound of 95% confidence interval for Sharpe Ratio2.76419

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85061

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.72344
 Statistics related to Sortino ratio

Sortino ratio1.61040

Upside Potential Ratio2.94574

Upside part of mean0.42058

Downside part of mean0.19065

Upside SD0.18521

Downside SD0.14278

N nonnegative terms12.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations15.00000

Mean of predictor0.11722

Mean of criterion0.22993

SD of predictor0.05898

SD of criterion0.23211

Covariance0.00848

r0.61971

b (slope, estimate of beta)2.43894

a (intercept, estimate of alpha)0.05598

Mean Square Error0.03574

DF error13.00000

t(b)2.84697

p(b)0.13243

t(a)0.28463

p(a)0.55005

Lowerbound of 95% confidence interval for beta0.58820

Upperbound of 95% confidence interval for beta4.28968

Lowerbound of 95% confidence interval for alpha0.48083

Upperbound of 95% confidence interval for alpha0.36888

Treynor index (mean / b)0.09427

Jensen alpha (a)0.05598
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.20285

SD0.23282

Sharpe ratio (Glass type estimate)0.87127

Sharpe ratio (Hedges UMVUE)0.82360

df14.00000

t0.97411

p0.37403

Lowerbound of 95% confidence interval for Sharpe Ratio0.92556

Upperbound of 95% confidence interval for Sharpe Ratio2.63835

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.95579

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.60299
 Statistics related to Sortino ratio

Sortino ratio1.33804

Upside Potential Ratio2.66849

Upside part of mean0.40454

Downside part of mean0.20170

Upside SD0.17617

Downside SD0.15160

N nonnegative terms12.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations15.00000

Mean of predictor0.11507

Mean of criterion0.20285

SD of predictor0.05832

SD of criterion0.23282

Covariance0.00840

r0.61878

b (slope, estimate of beta)2.47008

a (intercept, estimate of alpha)0.08138

Mean Square Error0.03602

DF error13.00000

t(b)2.84005

p(b)0.13290

t(a)0.41296

p(a)0.57228

Lowerbound of 95% confidence interval for beta0.59114

Upperbound of 95% confidence interval for beta4.34902

Lowerbound of 95% confidence interval for alpha0.50710

Upperbound of 95% confidence interval for alpha0.34435

Treynor index (mean / b)0.08212

Jensen alpha (a)0.08138
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08939

Expected Shortfall on VaR0.11434
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01745

Expected Shortfall on VaR0.04561
 ORDER STATISTICS
 Quartiles of return rates

Number of observations15.00000

Minimum0.87503

Quartile 11.00423

Median1.02099

Quartile 31.06521

Maximum1.14649

Mean of quarter 10.94146

Mean of quarter 21.01074

Mean of quarter 31.03951

Mean of quarter 41.09001

Inter Quartile Range0.06098

Number outliers low2.00000

Percentage of outliers low0.13333

Mean of outliers low0.88844

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod 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)0.91160

VaR(95%) (regression method)0.10622

Expected Shortfall (regression method)0.12200
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.01520

Quartile 10.06411

Median0.11303

Quartile 30.16194

Maximum0.21085

Mean of quarter 10.01520

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.21085

Inter Quartile Range0.09783

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)0.23088

Compounded annual return (geometric extrapolation)0.22488

Calmar ratio (compounded annual return / max draw down)1.06654

Compounded annual return / average of 25% largest draw downs1.06654

Compounded annual return / Expected Shortfall lognormal1.96684

0.00000

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

Mean0.34588

SD0.37222

Sharpe ratio (Glass type estimate)0.92924

Sharpe ratio (Hedges UMVUE)0.92722

df344.00000

t1.06632

p0.14351

Lowerbound of 95% confidence interval for Sharpe Ratio0.78082

Upperbound of 95% confidence interval for Sharpe Ratio2.63802

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.78219

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.63662
 Statistics related to Sortino ratio

Sortino ratio1.26241

Upside Potential Ratio7.76077

Upside part of mean2.12635

Downside part of mean1.78047

Upside SD0.25206

Downside SD0.27399

N nonnegative terms195.00000

N negative terms150.00000
 Statistics related to linear regression on benchmark

N of observations345.00000

Mean of predictor0.13045

Mean of criterion0.34588

SD of predictor0.11477

SD of criterion0.37222

Covariance0.02730

r0.63897

b (slope, estimate of beta)2.07225

a (intercept, estimate of alpha)0.07600

Mean Square Error0.08222

DF error343.00000

t(b)15.38420

p(b)0.00000

t(a)0.30163

p(a)0.38156

Lowerbound of 95% confidence interval for beta1.80731

Upperbound of 95% confidence interval for beta2.33719

Lowerbound of 95% confidence interval for alpha0.41714

Upperbound of 95% confidence interval for alpha0.56826

Treynor index (mean / b)0.16691

Jensen alpha (a)0.07556
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.27557

SD0.37665

Sharpe ratio (Glass type estimate)0.73163

Sharpe ratio (Hedges UMVUE)0.73004

df344.00000

t0.83956

p0.20087

Lowerbound of 95% confidence interval for Sharpe Ratio0.97775

Upperbound of 95% confidence interval for Sharpe Ratio2.44001

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.97884

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.43891
 Statistics related to Sortino ratio

Sortino ratio0.96985

Upside Potential Ratio7.37465

Upside part of mean2.09543

Downside part of mean1.81986

Upside SD0.24700

Downside SD0.28414

N nonnegative terms195.00000

N negative terms150.00000
 Statistics related to linear regression on benchmark

N of observations345.00000

Mean of predictor0.12382

Mean of criterion0.27557

SD of predictor0.11524

SD of criterion0.37665

Covariance0.02750

r0.63352

b (slope, estimate of beta)2.07060

a (intercept, estimate of alpha)0.01920

Mean Square Error0.08518

DF error343.00000

t(b)15.16410

p(b)0.00000

t(a)0.07531

p(a)0.47001

Lowerbound of 95% confidence interval for beta1.80202

Upperbound of 95% confidence interval for beta2.33917

Lowerbound of 95% confidence interval for alpha0.48216

Upperbound of 95% confidence interval for alpha0.52055

Treynor index (mean / b)0.13309

Jensen alpha (a)0.01920
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03654

Expected Shortfall on VaR0.04583
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01400

Expected Shortfall on VaR0.03027
 ORDER STATISTICS
 Quartiles of return rates

Number of observations345.00000

Minimum0.86406

Quartile 10.99348

Median1.00065

Quartile 31.01093

Maximum1.08572

Mean of quarter 10.97489

Mean of quarter 20.99818

Mean of quarter 31.00534

Mean of quarter 41.02717

Inter Quartile Range0.01744

Number outliers low24.00000

Percentage of outliers low0.06957

Mean of outliers low0.94624

Number of outliers high20.00000

Percentage of outliers high0.05797

Mean of outliers high1.04756
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.45543

VaR(95%) (moments method)0.02308

Expected Shortfall (moments method)0.04977

Extreme Value Index (regression method)0.28527

VaR(95%) (regression method)0.02445

Expected Shortfall (regression method)0.04383
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations28.00000

Minimum0.00043

Quartile 10.00334

Median0.01218

Quartile 30.03165

Maximum0.37683

Mean of quarter 10.00144

Mean of quarter 20.00939

Mean of quarter 30.02084

Mean of quarter 40.09465

Inter Quartile Range0.02831

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.03571

Mean of outliers high0.37683
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.80948

VaR(95%) (moments method)0.10038

Expected Shortfall (moments method)0.49513

Extreme Value Index (regression method)1.78780

VaR(95%) (regression method)0.07940

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.33221

Compounded annual return (geometric extrapolation)0.31728

Calmar ratio (compounded annual return / max draw down)0.84198

Compounded annual return / average of 25% largest draw downs3.35224

Compounded annual return / Expected Shortfall lognormal6.92361

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

Mean0.19997

SD0.53547

Sharpe ratio (Glass type estimate)0.37344

Sharpe ratio (Hedges UMVUE)0.37128

df130.00000

t0.26406

p0.48842

Lowerbound of 95% confidence interval for Sharpe Ratio2.39934

Upperbound of 95% confidence interval for Sharpe Ratio3.14502

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.40089

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.14346
 Statistics related to Sortino ratio

Sortino ratio0.48963

Upside Potential Ratio8.03675

Upside part of mean3.28229

Downside part of mean3.08232

Upside SD0.34336

Downside SD0.40841

N nonnegative terms75.00000

N negative terms56.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.05315

Mean of criterion0.19997

SD of predictor0.16515

SD of criterion0.53547

Covariance0.05465

r0.61800

b (slope, estimate of beta)2.00378

a (intercept, estimate of alpha)0.09346

Mean Square Error0.17860

DF error129.00000

t(b)8.92813

p(b)0.13329

t(a)0.15634

p(a)0.49124

Lowerbound of 95% confidence interval for beta1.55973

Upperbound of 95% confidence interval for beta2.44783

Lowerbound of 95% confidence interval for alpha1.08925

Upperbound of 95% confidence interval for alpha1.27617

Treynor index (mean / b)0.09980

Jensen alpha (a)0.09346
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05480

SD0.54377

Sharpe ratio (Glass type estimate)0.10078

Sharpe ratio (Hedges UMVUE)0.10019

df130.00000

t0.07126

p0.49688

Lowerbound of 95% confidence interval for Sharpe Ratio2.67118

Upperbound of 95% confidence interval for Sharpe Ratio2.87249

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.67164

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.87203
 Statistics related to Sortino ratio

Sortino ratio0.12887

Upside Potential Ratio7.58465

Upside part of mean3.22511

Downside part of mean3.17031

Upside SD0.33561

Downside SD0.42522

N nonnegative terms75.00000

N negative terms56.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.03953

Mean of criterion0.05480

SD of predictor0.16595

SD of criterion0.54377

Covariance0.05514

r0.61098

b (slope, estimate of beta)2.00202

a (intercept, estimate of alpha)0.02434

Mean Square Error0.18675

DF error129.00000

t(b)8.76586

p(b)0.13681

t(a)0.03983

p(a)0.50223

Lowerbound of 95% confidence interval for beta1.55015

Upperbound of 95% confidence interval for beta2.45389

Lowerbound of 95% confidence interval for alpha1.23363

Upperbound of 95% confidence interval for alpha1.18494

Treynor index (mean / b)0.02737

Jensen alpha (a)0.02434
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05356

Expected Shortfall on VaR0.06668
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02436

Expected Shortfall on VaR0.04989
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.86406

Quartile 10.98564

Median1.00577

Quartile 31.02113

Maximum1.08572

Mean of quarter 10.95775

Mean of quarter 20.99631

Mean of quarter 31.01151

Mean of quarter 41.03780

Inter Quartile Range0.03550

Number outliers low4.00000

Percentage of outliers low0.03053

Mean of outliers low0.90260

Number of outliers high2.00000

Percentage of outliers high0.01527

Mean of outliers high1.08012
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.02378

VaR(95%) (moments method)0.03629

Expected Shortfall (moments method)0.05063

Extreme Value Index (regression method)0.02701

VaR(95%) (regression method)0.04443

Expected Shortfall (regression method)0.06215
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.01248

Quartile 10.10357

Median0.19466

Quartile 30.28574

Maximum0.37683

Mean of quarter 10.01248

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.37683

Inter Quartile Range0.18218

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)0.05556

Compounded annual return (geometric extrapolation)0.05633

Calmar ratio (compounded annual return / max draw down)0.14948

Compounded annual return / average of 25% largest draw downs0.14948

Compounded annual return / Expected Shortfall lognormal0.84474
Strategy Description
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.