start up nation
(110678331)
Subscription terms. Subscriptions to this system cost $100.00 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  (1.5%)  +18.0%  (4.8%)  +0.8%  +68.2%  (16.8%)  +3.8%  +11.0%  +26.3%  +127.0%  
2018  +31.5%  (9%)  +53.0%  (29.8%)  (24.5%)  +71.4%  +12.6%  +87.4% 
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  $50,000  
Buy Power  $224,371  
Cash  $224,371  
Equity  $0  
Cumulative $  $174,371  
Total System Equity  $224,371  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began4/4/2017

Suggested Minimum Cap$120,000

Strategy Age (days)469.18

Age16 months ago

What it tradesFutures

# Trades195

# Profitable102

% Profitable52.30%

Avg trade duration2.1 days

Max peaktovalley drawdown56.68%

drawdown periodApril 02, 2018  May 23, 2018

Annual Return (Compounded)206.0%

Avg win$6,616

Avg loss$5,381
 Model Account Values (Raw)

Cash$224,371

Margin Used$0

Buying Power$224,371
 Ratios

W:L ratio1.35:1

Sharpe Ratio1.955

Sortino Ratio3.3

Calmar Ratio4.793
 CORRELATION STATISTICS

Correlation to SP5000.09400
 Return Statistics

Ann Return (w trading costs)206.0%

Ann Return (Compnd, No Fees)220.7%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss69.50%

Chance of 20% account loss43.50%

Chance of 30% account loss24.50%

Chance of 40% account loss12.50%

Chance of 50% account loss4.00%
 Popularity

Popularity (Today)678

Popularity (Last 6 weeks)898

C2 Score26.0
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$5,381

Avg Win$6,616

# Winners102

# Losers93

% Winners52.3%
 Frequency

Avg Position Time (mins)2994.22

Avg Position Time (hrs)49.90

Avg Trade Length2.1 days

Last Trade Ago1
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean1.61990

SD1.05727

Sharpe ratio (Glass type estimate)1.53215

Sharpe ratio (Hedges UMVUE)1.44833

df14.00000

t1.71300

p0.29187

Lowerbound of 95% confidence interval for Sharpe Ratio0.33340

Upperbound of 95% confidence interval for Sharpe Ratio3.34857

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.38496

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.28161
 Statistics related to Sortino ratio

Sortino ratio5.98183

Upside Potential Ratio8.03778

Upside part of mean2.17666

Downside part of mean0.55676

Upside SD1.09025

Downside SD0.27080

N nonnegative terms9.00000

N negative terms6.00000
 Statistics related to linear regression on benchmark

N of observations15.00000

Mean of predictor0.10567

Mean of criterion1.61990

SD of predictor0.08849

SD of criterion1.05727

Covariance0.01187

r0.12687

b (slope, estimate of beta)1.51589

a (intercept, estimate of alpha)1.45971

Mean Square Error1.18443

DF error13.00000

t(b)0.46116

p(b)0.41945

t(a)1.41234

p(a)0.27306

Lowerbound of 95% confidence interval for beta5.58554

Upperbound of 95% confidence interval for beta8.61732

Lowerbound of 95% confidence interval for alpha0.77312

Upperbound of 95% confidence interval for alpha3.69254

Treynor index (mean / b)1.06861

Jensen alpha (a)1.45971
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.15211

SD0.86172

Sharpe ratio (Glass type estimate)1.33700

Sharpe ratio (Hedges UMVUE)1.26385

df14.00000

t1.49481

p0.31450

Lowerbound of 95% confidence interval for Sharpe Ratio0.50534

Upperbound of 95% confidence interval for Sharpe Ratio3.13550

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.55063

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.07832
 Statistics related to Sortino ratio

Sortino ratio3.95841

Upside Potential Ratio6.00535

Upside part of mean1.74788

Downside part of mean0.59577

Upside SD0.84791

Downside SD0.29105

N nonnegative terms9.00000

N negative terms6.00000
 Statistics related to linear regression on benchmark

N of observations15.00000

Mean of predictor0.10135

Mean of criterion1.15211

SD of predictor0.08835

SD of criterion0.86172

Covariance0.01131

r0.14853

b (slope, estimate of beta)1.44863

a (intercept, estimate of alpha)1.00530

Mean Square Error0.78203

DF error13.00000

t(b)0.54155

p(b)0.40579

t(a)1.20231

p(a)0.30202

Lowerbound of 95% confidence interval for beta4.33030

Upperbound of 95% confidence interval for beta7.22755

Lowerbound of 95% confidence interval for alpha0.80106

Upperbound of 95% confidence interval for alpha2.81166

Treynor index (mean / b)0.79531

Jensen alpha (a)1.00530
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.26887

Expected Shortfall on VaR0.33835
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.09529

Expected Shortfall on VaR0.16985
 ORDER STATISTICS
 Quartiles of return rates

Number of observations15.00000

Minimum0.83809

Quartile 10.89281

Median1.02715

Quartile 31.33278

Maximum1.77476

Mean of quarter 10.86159

Mean of quarter 20.97559

Mean of quarter 31.14572

Mean of quarter 41.56848

Inter Quartile Range0.43997

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 for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.48882

VaR(95%) (moments method)0.15326

Expected Shortfall (moments method)0.16520

Extreme Value Index (regression method)0.14296

VaR(95%) (regression method)0.14322

Expected Shortfall (regression method)0.15541
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.03197

Quartile 10.12942

Median0.18246

Quartile 30.21607

Maximum0.25526

Mean of quarter 10.03197

Mean of quarter 20.16191

Mean of quarter 30.20301

Mean of quarter 40.25526

Inter Quartile Range0.08665

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)2.69691

Compounded annual return (geometric extrapolation)2.25444

Calmar ratio (compounded annual return / max draw down)8.83197

Compounded annual return / average of 25% largest draw downs8.83197

Compounded annual return / Expected Shortfall lognormal6.66305

0.00000

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

Mean1.41455

SD0.72179

Sharpe ratio (Glass type estimate)1.95977

Sharpe ratio (Hedges UMVUE)1.95533

df331.00000

t2.20609

p0.01403

Lowerbound of 95% confidence interval for Sharpe Ratio0.21083

Upperbound of 95% confidence interval for Sharpe Ratio3.70585

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.20785

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.70281
 Statistics related to Sortino ratio

Sortino ratio3.29958

Upside Potential Ratio11.75310

Upside part of mean5.03860

Downside part of mean3.62405

Upside SD0.58589

Downside SD0.42871

N nonnegative terms177.00000

N negative terms155.00000
 Statistics related to linear regression on benchmark

N of observations332.00000

Mean of predictor0.11329

Mean of criterion1.41455

SD of predictor0.11603

SD of criterion0.72179

Covariance0.00428

r0.05107

b (slope, estimate of beta)0.31767

a (intercept, estimate of alpha)1.45100

Mean Square Error0.52120

DF error330.00000

t(b)0.92892

p(b)0.82320

t(a)2.25764

p(a)0.01231

Lowerbound of 95% confidence interval for beta0.99040

Upperbound of 95% confidence interval for beta0.35506

Lowerbound of 95% confidence interval for alpha0.18662

Upperbound of 95% confidence interval for alpha2.71446

Treynor index (mean / b)4.45287

Jensen alpha (a)1.45054
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.15684

SD0.71163

Sharpe ratio (Glass type estimate)1.62562

Sharpe ratio (Hedges UMVUE)1.62193

df331.00000

t1.82994

p0.03408

Lowerbound of 95% confidence interval for Sharpe Ratio0.12110

Upperbound of 95% confidence interval for Sharpe Ratio3.36995

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.12357

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.36743
 Statistics related to Sortino ratio

Sortino ratio2.60328

Upside Potential Ratio10.97460

Upside part of mean4.87689

Downside part of mean3.72005

Upside SD0.55904

Downside SD0.44438

N nonnegative terms177.00000

N negative terms155.00000
 Statistics related to linear regression on benchmark

N of observations332.00000

Mean of predictor0.10651

Mean of criterion1.15684

SD of predictor0.11653

SD of criterion0.71163

Covariance0.00371

r0.04479

b (slope, estimate of beta)0.27352

a (intercept, estimate of alpha)1.18597

Mean Square Error0.50693

DF error330.00000

t(b)0.81444

p(b)0.79201

t(a)1.87208

p(a)0.03104

Lowerbound of 95% confidence interval for beta0.93417

Upperbound of 95% confidence interval for beta0.38713

Lowerbound of 95% confidence interval for alpha0.06025

Upperbound of 95% confidence interval for alpha2.43219

Treynor index (mean / b)4.22949

Jensen alpha (a)1.18597
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.06565

Expected Shortfall on VaR0.08253
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03074

Expected Shortfall on VaR0.05854
 ORDER STATISTICS
 Quartiles of return rates

Number of observations332.00000

Minimum0.87424

Quartile 10.97919

Median1.00206

Quartile 31.02890

Maximum1.18816

Mean of quarter 10.95374

Mean of quarter 20.99127

Mean of quarter 31.01484

Mean of quarter 41.06217

Inter Quartile Range0.04971

Number outliers low4.00000

Percentage of outliers low0.01205

Mean of outliers low0.88758

Number of outliers high9.00000

Percentage of outliers high0.02711

Mean of outliers high1.13900
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.05028

VaR(95%) (moments method)0.04457

Expected Shortfall (moments method)0.05798

Extreme Value Index (regression method)0.11997

VaR(95%) (regression method)0.04310

Expected Shortfall (regression method)0.05416
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations18.00000

Minimum0.00379

Quartile 10.01732

Median0.09379

Quartile 30.17770

Maximum0.47353

Mean of quarter 10.00910

Mean of quarter 20.05158

Mean of quarter 30.13182

Mean of quarter 40.31991

Inter Quartile Range0.16038

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.05556

Mean of outliers high0.47353
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)4.05269

VaR(95%) (moments method)0.32755

Expected Shortfall (moments method)0.32783

Extreme Value Index (regression method)0.09271

VaR(95%) (regression method)0.31356

Expected Shortfall (regression method)0.40867
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)2.75214

Compounded annual return (geometric extrapolation)2.26986

Calmar ratio (compounded annual return / max draw down)4.79349

Compounded annual return / average of 25% largest draw downs7.09532

Compounded annual return / Expected Shortfall lognormal27.50240

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

Mean1.16046

SD0.78921

Sharpe ratio (Glass type estimate)1.47042

Sharpe ratio (Hedges UMVUE)1.46192

df130.00000

t1.03974

p0.45459

Lowerbound of 95% confidence interval for Sharpe Ratio1.30993

Upperbound of 95% confidence interval for Sharpe Ratio4.24520

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.31558

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.23941
 Statistics related to Sortino ratio

Sortino ratio2.45485

Upside Potential Ratio10.97630

Upside part of mean5.18876

Downside part of mean4.02830

Upside SD0.63227

Downside SD0.47272

N nonnegative terms69.00000

N negative terms62.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00567

Mean of criterion1.16046

SD of predictor0.16441

SD of criterion0.78921

Covariance0.00809

r0.06236

b (slope, estimate of beta)0.29932

a (intercept, estimate of alpha)1.15876

Mean Square Error0.62523

DF error129.00000

t(b)0.70961

p(b)0.53967

t(a)1.03623

p(a)0.44224

Lowerbound of 95% confidence interval for beta1.13386

Upperbound of 95% confidence interval for beta0.53523

Lowerbound of 95% confidence interval for alpha1.05371

Upperbound of 95% confidence interval for alpha3.37124

Treynor index (mean / b)3.87704

Jensen alpha (a)1.15876
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.85647

SD0.77652

Sharpe ratio (Glass type estimate)1.10297

Sharpe ratio (Hedges UMVUE)1.09660

df130.00000

t0.77992

p0.46588

Lowerbound of 95% confidence interval for Sharpe Ratio1.67413

Upperbound of 95% confidence interval for Sharpe Ratio3.87597

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.67841

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.87161
 Statistics related to Sortino ratio

Sortino ratio1.74246

Upside Potential Ratio10.17640

Upside part of mean5.00202

Downside part of mean4.14554

Upside SD0.59964

Downside SD0.49153

N nonnegative terms69.00000

N negative terms62.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.01918

Mean of criterion0.85647

SD of predictor0.16525

SD of criterion0.77652

Covariance0.00655

r0.05102

b (slope, estimate of beta)0.23974

a (intercept, estimate of alpha)0.85188

Mean Square Error0.60607

DF error129.00000

t(b)0.58020

p(b)0.53246

t(a)0.77373

p(a)0.45676

Lowerbound of 95% confidence interval for beta1.05726

Upperbound of 95% confidence interval for beta0.57779

Lowerbound of 95% confidence interval for alpha1.32648

Upperbound of 95% confidence interval for alpha3.03023

Treynor index (mean / b)3.57255

Jensen alpha (a)0.85188
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07285

Expected Shortfall on VaR0.09111
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03448

Expected Shortfall on VaR0.06523
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.87424

Quartile 10.97635

Median1.00182

Quartile 31.02500

Maximum1.18058

Mean of quarter 10.94887

Mean of quarter 20.99041

Mean of quarter 31.01416

Mean of quarter 41.06500

Inter Quartile Range0.04865

Number outliers low3.00000

Percentage of outliers low0.02290

Mean of outliers low0.88794

Number of outliers high5.00000

Percentage of outliers high0.03817

Mean of outliers high1.14657
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.18730

VaR(95%) (moments method)0.05042

Expected Shortfall (moments method)0.06261

Extreme Value Index (regression method)0.02708

VaR(95%) (regression method)0.05216

Expected Shortfall (regression method)0.07073
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00379

Quartile 10.06646

Median0.14712

Quartile 30.26034

Maximum0.47353

Mean of quarter 10.02527

Mean of quarter 20.12561

Mean of quarter 30.16863

Mean of quarter 40.38222

Inter Quartile Range0.19387

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)1.11223

Compounded annual return (geometric extrapolation)1.42149

Calmar ratio (compounded annual return / max draw down)3.00190

Compounded annual return / average of 25% largest draw downs3.71904

Compounded annual return / Expected Shortfall lognormal15.60230
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.