Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

Day Trader Futures
(111488162)

Created by: QFund QFund
Started: 05/2017
Futures
Last trade: 9 days ago
Trading style: Futures Short Term Financials / Indexes

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $99.00 per month.

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
42.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(23.8%)
Max Drawdown
243
Num Trades
46.5%
Win Trades
1.4 : 1
Profit Factor
55.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                            +14.0%+11.2%+1.3%+10.8%(5%)+5.9%+17.9%+3.0%+73.7%
2018+10.1%(6.7%)+8.2%+5.5%(2.9%)(4.7%)(2.2%)(2.6%)(4%)(5%)+13.3%(4.9%)+1.5%

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 168 hours.

Trading Record

This strategy has placed 499 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/3/18 9:40 @ESZ8 E-MINI S&P 500 LONG 1 2797.25 12/3 11:00 2779.50 1.32%
Trade id #121308691
Max drawdown($925)
Time12/3/18 11:00
Quant open1
Worst price2778.75
Drawdown as % of equity-1.32%
($896)
Includes Typical Broker Commissions trade costs of $8.00
12/3/18 9:40 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 3 7073.75 12/3 10:00 7054.58 3.38%
Trade id #121308693
Max drawdown($2,370)
Time12/3/18 9:58
Quant open3
Worst price7034.25
Drawdown as % of equity-3.38%
($1,174)
Includes Typical Broker Commissions trade costs of $24.00
11/30/18 10:40 @ESZ8 E-MINI S&P 500 LONG 1 2747.50 11/30 16:10 2760.50 0.83%
Trade id #121272245
Max drawdown($587)
Time11/30/18 11:31
Quant open1
Worst price2735.75
Drawdown as % of equity-0.83%
$642
Includes Typical Broker Commissions trade costs of $8.00
11/28/18 13:30 @ESZ8 E-MINI S&P 500 LONG 1 2725.75 11/28 16:00 2744.00 0.07%
Trade id #121223539
Max drawdown($50)
Time11/28/18 15:04
Quant open1
Worst price2724.75
Drawdown as % of equity-0.07%
$905
Includes Typical Broker Commissions trade costs of $8.00
11/28/18 12:30 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 6852.00 11/28 13:00 6832.62 1.09%
Trade id #121221775
Max drawdown($775)
Time11/28/18 13:00
Quant open0
Worst price6832.62
Drawdown as % of equity-1.09%
($791)
Includes Typical Broker Commissions trade costs of $16.00
11/26/18 9:40 @ESZ8 E-MINI S&P 500 LONG 1 2660.75 11/26 15:59 2673.00 0.59%
Trade id #121164407
Max drawdown($412)
Time11/26/18 12:36
Quant open1
Worst price2652.50
Drawdown as % of equity-0.59%
$605
Includes Typical Broker Commissions trade costs of $8.00
11/26/18 9:45 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 5 6637.80 11/26 12:30 6617.75 2.85%
Trade id #121164648
Max drawdown($2,005)
Time11/26/18 12:30
Quant open3
Worst price6616.25
Drawdown as % of equity-2.85%
($2,045)
Includes Typical Broker Commissions trade costs of $40.00
11/21/18 11:20 @ESZ8 E-MINI S&P 500 LONG 1 2670.00 11/21 15:30 2655.00 1.03%
Trade id #121102036
Max drawdown($750)
Time11/21/18 15:30
Quant open0
Worst price2655.00
Drawdown as % of equity-1.03%
($758)
Includes Typical Broker Commissions trade costs of $8.00
11/21/18 11:10 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 6628.00 11/21 12:10 6615.50 0.47%
Trade id #121101150
Max drawdown($350)
Time11/21/18 12:05
Quant open1
Worst price6610.50
Drawdown as % of equity-0.47%
($258)
Includes Typical Broker Commissions trade costs of $8.00
11/15/18 13:30 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 6861.75 11/15 14:47 6913.75 0.21%
Trade id #120980245
Max drawdown($150)
Time11/15/18 13:50
Quant open1
Worst price6854.25
Drawdown as % of equity-0.21%
$1,032
Includes Typical Broker Commissions trade costs of $8.00
11/13/18 11:20 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 6957.00 11/13 11:30 6925.75 0.86%
Trade id #120908052
Max drawdown($625)
Time11/13/18 11:30
Quant open0
Worst price6925.75
Drawdown as % of equity-0.86%
($633)
Includes Typical Broker Commissions trade costs of $8.00
11/7/18 9:40 @ESZ8 E-MINI S&P 500 LONG 1 2787.00 11/7 16:00 2814.00 1.01%
Trade id #120792992
Max drawdown($637)
Time11/7/18 10:06
Quant open1
Worst price2774.25
Drawdown as % of equity-1.01%
$1,342
Includes Typical Broker Commissions trade costs of $8.00
11/7/18 9:35 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 5 7093.15 11/7 15:50 7172.35 2.99%
Trade id #120792570
Max drawdown($1,890)
Time11/7/18 9:48
Quant open5
Worst price7074.25
Drawdown as % of equity-2.99%
$7,880
Includes Typical Broker Commissions trade costs of $40.00
11/6/18 10:00 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 7020.75 11/6 10:15 7015.75 1.26%
Trade id #120758688
Max drawdown($800)
Time11/6/18 10:08
Quant open2
Worst price7000.75
Drawdown as % of equity-1.26%
($216)
Includes Typical Broker Commissions trade costs of $16.00
10/16/18 11:20 @ESZ8 E-MINI S&P 500 LONG 1 2792.75 10/16 16:00 2810.17 0.22%
Trade id #120381784
Max drawdown($137)
Time10/16/18 11:52
Quant open1
Worst price2790.00
Drawdown as % of equity-0.22%
$863
Includes Typical Broker Commissions trade costs of $8.00
10/16/18 10:00 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 5 7188.27 10/16 10:20 7176.40 1.95%
Trade id #120378833
Max drawdown($1,246)
Time10/16/18 10:15
Quant open3
Worst price7167.50
Drawdown as % of equity-1.95%
($1,228)
Includes Typical Broker Commissions trade costs of $40.00
10/9/18 10:40 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7439.92 10/9 11:00 7428.50 0.45%
Trade id #120253865
Max drawdown($288)
Time10/9/18 11:00
Quant open1
Worst price7425.50
Drawdown as % of equity-0.45%
($236)
Includes Typical Broker Commissions trade costs of $8.00
10/3/18 9:40 @ESZ8 E-MINI S&P 500 LONG 1 2940.50 10/3 16:00 2929.25 1.16%
Trade id #120158554
Max drawdown($750)
Time10/3/18 15:28
Quant open1
Worst price2925.50
Drawdown as % of equity-1.16%
($571)
Includes Typical Broker Commissions trade costs of $8.00
10/3/18 10:15 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 7699.92 10/3 10:45 7691.25 0.94%
Trade id #120160187
Max drawdown($616)
Time10/3/18 10:41
Quant open2
Worst price7684.50
Drawdown as % of equity-0.94%
($363)
Includes Typical Broker Commissions trade costs of $16.00
10/1/18 9:35 @ESZ8 E-MINI S&P 500 LONG 3 2935.25 10/1 15:59 2931.25 0.98%
Trade id #120115066
Max drawdown($637)
Time10/1/18 15:45
Quant open1
Worst price2922.50
Drawdown as % of equity-0.98%
($624)
Includes Typical Broker Commissions trade costs of $24.00
10/1/18 9:35 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 7712.75 10/1 12:30 7694.57 1.16%
Trade id #120115086
Max drawdown($780)
Time10/1/18 12:23
Quant open2
Worst price7693.25
Drawdown as % of equity-1.16%
($743)
Includes Typical Broker Commissions trade costs of $16.00
9/27/18 10:09 @ESZ8 E-MINI S&P 500 LONG 1 2924.25 9/27 16:00 2919.25 0.54%
Trade id #120064515
Max drawdown($362)
Time9/27/18 15:42
Quant open1
Worst price2917.00
Drawdown as % of equity-0.54%
($258)
Includes Typical Broker Commissions trade costs of $8.00
9/27/18 10:50 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7673.50 9/27 15:40 7655.40 0.55%
Trade id #120065633
Max drawdown($370)
Time9/27/18 15:39
Quant open1
Worst price7655.00
Drawdown as % of equity-0.55%
($370)
Includes Typical Broker Commissions trade costs of $8.00
9/26/18 14:20 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7663.10 9/26 14:50 7647.60 0.79%
Trade id #120050317
Max drawdown($527)
Time9/26/18 14:49
Quant open1
Worst price7636.75
Drawdown as % of equity-0.79%
($318)
Includes Typical Broker Commissions trade costs of $8.00
9/26/18 14:15 @ESZ8 E-MINI S&P 500 LONG 2 2933.00 9/26 14:45 2928.50 0.66%
Trade id #120050089
Max drawdown($450)
Time9/26/18 14:45
Quant open0
Worst price2928.50
Drawdown as % of equity-0.66%
($466)
Includes Typical Broker Commissions trade costs of $16.00
9/26/18 14:05 @ESZ8 E-MINI S&P 500 LONG 2 2932.70 9/26 14:10 2929.50 0.54%
Trade id #120049788
Max drawdown($370)
Time9/26/18 14:10
Quant open2
Worst price2929.00
Drawdown as % of equity-0.54%
($336)
Includes Typical Broker Commissions trade costs of $16.00
9/26/18 9:35 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 7614.05 9/26 9:40 7604.52 1.05%
Trade id #120041051
Max drawdown($722)
Time9/26/18 9:40
Quant open2
Worst price7596.00
Drawdown as % of equity-1.05%
($397)
Includes Typical Broker Commissions trade costs of $16.00
9/20/18 10:10 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7598.25 9/20 16:00 7599.65 0.41%
Trade id #119947019
Max drawdown($280)
Time9/20/18 10:37
Quant open1
Worst price7584.25
Drawdown as % of equity-0.41%
$20
Includes Typical Broker Commissions trade costs of $8.00
9/20/18 9:35 @ESZ8 E-MINI S&P 500 LONG 3 2929.50 9/20 16:00 2936.83 0.72%
Trade id #119945174
Max drawdown($487)
Time9/20/18 9:54
Quant open3
Worst price2926.25
Drawdown as % of equity-0.72%
$1,076
Includes Typical Broker Commissions trade costs of $24.00
9/20/18 9:45 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 7584.20 9/20 9:55 7570.50 1.2%
Trade id #119945756
Max drawdown($808)
Time9/20/18 9:54
Quant open2
Worst price7564.00
Drawdown as % of equity-1.20%
($564)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    5/9/2017
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    582.16
  • Age
    19 months ago
  • What it trades
    Futures
  • # Trades
    243
  • # Profitable
    113
  • % Profitable
    46.50%
  • Avg trade duration
    3.1 hours
  • Max peak-to-valley drawdown
    23.83%
  • drawdown period
    May 14, 2018 - Nov 07, 2018
  • Annual Return (Compounded)
    42.4%
  • Avg win
    $1,039
  • Avg loss
    $643.85
  • Model Account Values (Raw)
  • Cash
    $68,729
  • Margin Used
    $0
  • Buying Power
    $68,729
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    1.902
  • Sortino Ratio
    3.997
  • Calmar Ratio
    2.936
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.22100
  • Return Statistics
  • Ann Return (w trading costs)
    42.4%
  • Ann Return (Compnd, No Fees)
    52.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    18.00%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    353
  • Popularity (Last 6 weeks)
    934
  • C2 Score
    70.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $644
  • Avg Win
    $1,039
  • # Winners
    113
  • # Losers
    130
  • % Winners
    46.5%
  • Frequency
  • Avg Position Time (mins)
    183.48
  • Avg Position Time (hrs)
    3.06
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50753
  • SD
    0.30896
  • Sharpe ratio (Glass type estimate)
    1.64270
  • Sharpe ratio (Hedges UMVUE)
    1.56896
  • df
    17.00000
  • t
    2.01189
  • p
    0.23005
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07027
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31277
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11600
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25392
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.32086
  • Upside Potential Ratio
    7.19627
  • Upside part of mean
    0.68642
  • Downside part of mean
    -0.17889
  • Upside SD
    0.32019
  • Downside SD
    0.09539
  • N nonnegative terms
    12.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.05662
  • Mean of criterion
    0.50753
  • SD of predictor
    0.09743
  • SD of criterion
    0.30896
  • Covariance
    0.01052
  • r
    0.34946
  • b (slope, estimate of beta)
    1.10816
  • a (intercept, estimate of alpha)
    0.44479
  • Mean Square Error
    0.08904
  • DF error
    16.00000
  • t(b)
    1.49189
  • p(b)
    0.32527
  • t(a)
    1.79904
  • p(a)
    0.29491
  • Lowerbound of 95% confidence interval for beta
    -0.46648
  • Upperbound of 95% confidence interval for beta
    2.68279
  • Lowerbound of 95% confidence interval for alpha
    -0.07933
  • Upperbound of 95% confidence interval for alpha
    0.96891
  • Treynor index (mean / b)
    0.45800
  • Jensen alpha (a)
    0.44479
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45594
  • SD
    0.28891
  • Sharpe ratio (Glass type estimate)
    1.57812
  • Sharpe ratio (Hedges UMVUE)
    1.50728
  • df
    17.00000
  • t
    1.93279
  • p
    0.23814
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12731
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24197
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17131
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18587
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.65696
  • Upside Potential Ratio
    6.52790
  • Upside part of mean
    0.63911
  • Downside part of mean
    -0.18317
  • Upside SD
    0.29423
  • Downside SD
    0.09790
  • N nonnegative terms
    12.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.05186
  • Mean of criterion
    0.45594
  • SD of predictor
    0.09791
  • SD of criterion
    0.28891
  • Covariance
    0.01028
  • r
    0.36336
  • b (slope, estimate of beta)
    1.07217
  • a (intercept, estimate of alpha)
    0.40033
  • Mean Square Error
    0.07698
  • DF error
    16.00000
  • t(b)
    1.56006
  • p(b)
    0.31832
  • t(a)
    1.74572
  • p(a)
    0.30000
  • Lowerbound of 95% confidence interval for beta
    -0.38476
  • Upperbound of 95% confidence interval for beta
    2.52910
  • Lowerbound of 95% confidence interval for alpha
    -0.08581
  • Upperbound of 95% confidence interval for alpha
    0.88648
  • Treynor index (mean / b)
    0.42525
  • Jensen alpha (a)
    0.40033
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09443
  • Expected Shortfall on VaR
    0.12503
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02674
  • Expected Shortfall on VaR
    0.05272
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.93256
  • Quartile 1
    0.97527
  • Median
    1.02275
  • Quartile 3
    1.10669
  • Maximum
    1.22651
  • Mean of quarter 1
    0.95264
  • Mean of quarter 2
    1.00395
  • Mean of quarter 3
    1.05247
  • Mean of quarter 4
    1.16286
  • Inter Quartile Range
    0.13143
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.71643
  • VaR(95%) (moments method)
    0.04818
  • Expected Shortfall (moments method)
    0.04819
  • Extreme Value Index (regression method)
    -0.89716
  • VaR(95%) (regression method)
    0.06509
  • Expected Shortfall (regression method)
    0.07032
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02711
  • Quartile 1
    0.04067
  • Median
    0.05422
  • Quartile 3
    0.10846
  • Maximum
    0.16270
  • Mean of quarter 1
    0.02711
  • Mean of quarter 2
    0.05422
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16270
  • Inter Quartile Range
    0.06779
  • 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)
    0.71088
  • Compounded annual return (geometric extrapolation)
    0.62230
  • Calmar ratio (compounded annual return / max draw down)
    3.82493
  • Compounded annual return / average of 25% largest draw downs
    3.82493
  • Compounded annual return / Expected Shortfall lognormal
    4.97719
  • 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
    0.43000
  • SD
    0.22565
  • Sharpe ratio (Glass type estimate)
    1.90565
  • Sharpe ratio (Hedges UMVUE)
    1.90218
  • df
    412.00000
  • t
    2.39258
  • p
    0.00859
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33804
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47098
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33571
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.46864
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.99680
  • Upside Potential Ratio
    10.82220
  • Upside part of mean
    1.16432
  • Downside part of mean
    -0.73432
  • Upside SD
    0.19981
  • Downside SD
    0.10759
  • N nonnegative terms
    116.00000
  • N negative terms
    297.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    413.00000
  • Mean of predictor
    0.04459
  • Mean of criterion
    0.43000
  • SD of predictor
    0.13058
  • SD of criterion
    0.22565
  • Covariance
    0.00658
  • r
    0.22342
  • b (slope, estimate of beta)
    0.38607
  • a (intercept, estimate of alpha)
    0.41300
  • Mean Square Error
    0.04849
  • DF error
    411.00000
  • t(b)
    4.64687
  • p(b)
    0.00000
  • t(a)
    2.35298
  • p(a)
    0.00955
  • Lowerbound of 95% confidence interval for beta
    0.22275
  • Upperbound of 95% confidence interval for beta
    0.54939
  • Lowerbound of 95% confidence interval for alpha
    0.06793
  • Upperbound of 95% confidence interval for alpha
    0.75764
  • Treynor index (mean / b)
    1.11378
  • Jensen alpha (a)
    0.41279
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40479
  • SD
    0.22194
  • Sharpe ratio (Glass type estimate)
    1.82388
  • Sharpe ratio (Hedges UMVUE)
    1.82056
  • df
    412.00000
  • t
    2.28992
  • p
    0.01127
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25677
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38884
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25454
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.38657
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.71947
  • Upside Potential Ratio
    10.52000
  • Upside part of mean
    1.14491
  • Downside part of mean
    -0.74011
  • Upside SD
    0.19473
  • Downside SD
    0.10883
  • N nonnegative terms
    116.00000
  • N negative terms
    297.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    413.00000
  • Mean of predictor
    0.03603
  • Mean of criterion
    0.40479
  • SD of predictor
    0.13117
  • SD of criterion
    0.22194
  • Covariance
    0.00646
  • r
    0.22186
  • b (slope, estimate of beta)
    0.37538
  • a (intercept, estimate of alpha)
    0.39127
  • Mean Square Error
    0.04695
  • DF error
    411.00000
  • t(b)
    4.61270
  • p(b)
    0.00000
  • t(a)
    2.26691
  • p(a)
    0.01196
  • Lowerbound of 95% confidence interval for beta
    0.21541
  • Upperbound of 95% confidence interval for beta
    0.53535
  • Lowerbound of 95% confidence interval for alpha
    0.05198
  • Upperbound of 95% confidence interval for alpha
    0.73056
  • Treynor index (mean / b)
    1.07835
  • Jensen alpha (a)
    0.39127
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02079
  • Expected Shortfall on VaR
    0.02637
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00801
  • Expected Shortfall on VaR
    0.01598
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    413.00000
  • Minimum
    0.95552
  • Quartile 1
    0.99769
  • Median
    1.00000
  • Quartile 3
    1.00185
  • Maximum
    1.09815
  • Mean of quarter 1
    0.98940
  • Mean of quarter 2
    0.99977
  • Mean of quarter 3
    1.00014
  • Mean of quarter 4
    1.01780
  • Inter Quartile Range
    0.00416
  • Number outliers low
    53.00000
  • Percentage of outliers low
    0.12833
  • Mean of outliers low
    0.98398
  • Number of outliers high
    68.00000
  • Percentage of outliers high
    0.16465
  • Mean of outliers high
    1.02452
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00252
  • VaR(95%) (moments method)
    0.00713
  • Expected Shortfall (moments method)
    0.01012
  • Extreme Value Index (regression method)
    -0.04570
  • VaR(95%) (regression method)
    0.00936
  • Expected Shortfall (regression method)
    0.01338
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00030
  • Quartile 1
    0.01563
  • Median
    0.02964
  • Quartile 3
    0.08215
  • Maximum
    0.18442
  • Mean of quarter 1
    0.00850
  • Mean of quarter 2
    0.02068
  • Mean of quarter 3
    0.04639
  • Mean of quarter 4
    0.12765
  • Inter Quartile Range
    0.06653
  • 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
    0.07143
  • Mean of outliers high
    0.18442
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.36846
  • VaR(95%) (moments method)
    0.14692
  • Expected Shortfall (moments method)
    0.15243
  • Extreme Value Index (regression method)
    -0.15231
  • VaR(95%) (regression method)
    0.17561
  • Expected Shortfall (regression method)
    0.21616
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.62042
  • Compounded annual return (geometric extrapolation)
    0.54141
  • Calmar ratio (compounded annual return / max draw down)
    2.93576
  • Compounded annual return / average of 25% largest draw downs
    4.24130
  • Compounded annual return / Expected Shortfall lognormal
    20.53060
  • 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
    -0.23216
  • SD
    0.17748
  • Sharpe ratio (Glass type estimate)
    -1.30804
  • Sharpe ratio (Hedges UMVUE)
    -1.30048
  • df
    130.00000
  • t
    -0.92492
  • p
    0.54043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.08198
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47075
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.07678
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47583
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.53286
  • Upside Potential Ratio
    5.79790
  • Upside part of mean
    0.53142
  • Downside part of mean
    -0.76358
  • Upside SD
    0.15187
  • Downside SD
    0.09166
  • N nonnegative terms
    19.00000
  • N negative terms
    112.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11683
  • Mean of criterion
    -0.23216
  • SD of predictor
    0.14819
  • SD of criterion
    0.17748
  • Covariance
    0.00270
  • r
    0.10250
  • b (slope, estimate of beta)
    0.12276
  • a (intercept, estimate of alpha)
    -0.21781
  • Mean Square Error
    0.03141
  • DF error
    129.00000
  • t(b)
    1.17038
  • p(b)
    0.43486
  • t(a)
    -0.86798
  • p(a)
    0.54846
  • Lowerbound of 95% confidence interval for beta
    -0.08477
  • Upperbound of 95% confidence interval for beta
    0.33029
  • Lowerbound of 95% confidence interval for alpha
    -0.71431
  • Upperbound of 95% confidence interval for alpha
    0.27869
  • Treynor index (mean / b)
    -1.89108
  • Jensen alpha (a)
    -0.21781
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.24742
  • SD
    0.17367
  • Sharpe ratio (Glass type estimate)
    -1.42470
  • Sharpe ratio (Hedges UMVUE)
    -1.41647
  • df
    130.00000
  • t
    -1.00742
  • p
    0.54401
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.19925
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35517
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.19361
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36068
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.68054
  • Upside Potential Ratio
    5.63696
  • Upside part of mean
    0.52031
  • Downside part of mean
    -0.76773
  • Upside SD
    0.14712
  • Downside SD
    0.09230
  • N nonnegative terms
    19.00000
  • N negative terms
    112.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12780
  • Mean of criterion
    -0.24742
  • SD of predictor
    0.14884
  • SD of criterion
    0.17367
  • Covariance
    0.00253
  • r
    0.09788
  • b (slope, estimate of beta)
    0.11421
  • a (intercept, estimate of alpha)
    -0.23283
  • Mean Square Error
    0.03010
  • DF error
    129.00000
  • t(b)
    1.11706
  • p(b)
    0.43779
  • t(a)
    -0.94755
  • p(a)
    0.55287
  • Lowerbound of 95% confidence interval for beta
    -0.08807
  • Upperbound of 95% confidence interval for beta
    0.31649
  • Lowerbound of 95% confidence interval for alpha
    -0.71898
  • Upperbound of 95% confidence interval for alpha
    0.25333
  • Treynor index (mean / b)
    -2.16646
  • Jensen alpha (a)
    -0.23283
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01842
  • Expected Shortfall on VaR
    0.02280
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00917
  • Expected Shortfall on VaR
    0.01639
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97826
  • Quartile 1
    0.99540
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.08033
  • Mean of quarter 1
    0.99008
  • Mean of quarter 2
    0.99871
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00811
  • Inter Quartile Range
    0.00460
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98336
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.02739
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12116
  • VaR(95%) (moments method)
    0.01019
  • Expected Shortfall (moments method)
    0.01440
  • Extreme Value Index (regression method)
    0.10228
  • VaR(95%) (regression method)
    0.00896
  • Expected Shortfall (regression method)
    0.01205
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.17775
  • Quartile 1
    0.17775
  • Median
    0.17775
  • Quartile 3
    0.17775
  • Maximum
    0.17775
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.20790
  • Compounded annual return (geometric extrapolation)
    -0.19709
  • Calmar ratio (compounded annual return / max draw down)
    -1.10883
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -8.64306

Strategy Description

Automated day trading system on ES/NQ future. Algo created with trend following logic that captures breakout on lower time frames. Stop loss which is probably the most important part of a system is quite robust and is built based on 3 types - a) an ATR based exit b) a hard stop c) time based exist.

enjoy the peace of NO OVERNIGHT RISK! System closes all positions at the end of regular market hours

System is running on cloud with monitoring capabilities and with negligible manual interventions.

For the complete list of systems, please visit https://www.quantfundsystems.com/systems

System Update (01/01/2018)
--------------------------
There are couple of changes I will be making going forward. I usually get back to evaluate the systems at the end of every year.
As current subscribers know, there were two subsystems that are running in parallel - one on ES and one on NQ. Both the sub-systems have generated approximately same profits after it went live-but the drawdown caused by NQ has been significantly more.

To improve the performance - I will increase the allocation of ES from 50% to 66.66%. i .e as of today's equity value of model account, expect ~ 4 contracts to be traded on ES and 2 on NQ. NQ subsystem will be into two further subsystems as a result of which you might see we scale in NQ with 1 contract each. Position size will increase as equity grows

The whole purpose of this exercise is to tame our drawdowns without compromising on expected returns.

The system is optimized for higher ratio of annual return to max drawdown. Drawdowns are bound to happen time to time as we have set sight on a high return, so it is even more important to have faith in the system and not to panic at the slightest of drawdowns. At current position sizing, it will not be a surprise to see occasional 25% drawdowns . Average drawdown is expected to be much less. Please treat any performance figure to be hypothetical as past performance does not guarantee future performance

Summary Statistics

Strategy began
2017-05-09
Suggested Minimum Capital
$60,000
# Trades
243
# Profitable
113
% Profitable
46.5%
Correlation S&P500
0.221
Sharpe Ratio
1.902

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.