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Algo Commodities ABC
(114545350)

Created by: Algo16 Algo16
Started: 10/2017
Futures
Last trade: 84 days ago
Trading style: Futures Short Term Commodities

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 $49.00 per month.

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
17.1%
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
47
Num Trades
70.2%
Win Trades
1.9 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                               +0.7%+10.0%+0.3%+11.1%
2018(4.5%)+5.3%(1.3%)+1.3%(0.2%)(13.4%)+18.9%+3.3%(0.1%)(0.1%)  -        +6.6%

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.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/9/18 1:53 @KCZ8 COFFEE LONG 6 104.86 8/27 7:30 105.50 38.28%
Trade id #119353418
Max drawdown($12,393)
Time8/22/18 8:47
Quant open6
Worst price99.35
Drawdown as % of equity-38.28%
$1,396
Includes Typical Broker Commissions trade costs of $48.00
7/6/18 14:55 @YKU8 Mini Soybeans Globex LONG 3 884.750 8/9 1:50 883.417 3.37%
Trade id #118808883
Max drawdown($1,350)
Time7/13/18 9:56
Quant open2
Worst price817.250
Drawdown as % of equity-3.37%
($64)
Includes Typical Broker Commissions trade costs of $24.00
7/9/18 9:23 @KCU8 COFFEE LONG 1 114.00 7/9 13:14 115.10 0.51%
Trade id #118821620
Max drawdown($206)
Time7/9/18 10:22
Quant open1
Worst price113.45
Drawdown as % of equity-0.51%
$405
Includes Typical Broker Commissions trade costs of $8.00
7/6/18 14:54 @KCU8 COFFEE LONG 2 109.15 7/9 9:23 114.00 n/a $3,622
Includes Typical Broker Commissions trade costs of $16.00
7/6/18 11:44 @YKU8 Mini Soybeans Globex LONG 4 867.250 7/6 14:55 884.750 n/a $668
Includes Typical Broker Commissions trade costs of $32.00
6/13/18 1:13 @KCN8 COFFEE LONG 4 112.48 7/6 14:54 110.69 13.75%
Trade id #118403788
Max drawdown($4,706)
Time7/6/18 4:24
Quant open2
Worst price106.20
Drawdown as % of equity-13.75%
($2,713)
Includes Typical Broker Commissions trade costs of $32.00
7/5/18 16:41 @YKU8 Mini Soybeans Globex LONG 4 842.625 7/6 11:44 867.250 n/a $953
Includes Typical Broker Commissions trade costs of $32.00
5/1/18 9:39 @YKN8 Mini Soybeans Globex LONG 5 959.725 7/5 16:40 911.950 14.54%
Trade id #117734911
Max drawdown($4,789)
Time7/5/18 9:40
Quant open4
Worst price840.000
Drawdown as % of equity-14.54%
($2,429)
Includes Typical Broker Commissions trade costs of $40.00
6/8/18 4:16 @KCU8 COFFEE LONG 1 118.35 6/8 9:21 119.45 0.34%
Trade id #118326874
Max drawdown($131)
Time6/8/18 4:35
Quant open1
Worst price118.00
Drawdown as % of equity-0.34%
$405
Includes Typical Broker Commissions trade costs of $8.00
5/30/18 12:27 @YWN8 Mini Wheat Globex LONG 1 519 1/4 6/7 8:18 535 0.4%
Trade id #118172026
Max drawdown($160)
Time6/4/18 13:56
Quant open1
Worst price503 1/4
Drawdown as % of equity-0.40%
$150
Includes Typical Broker Commissions trade costs of $8.00
5/2/18 20:04 @YWN8 Mini Wheat Globex LONG 2 511 1/4 5/20 22:29 523 1.26%
Trade id #117764898
Max drawdown($495)
Time5/15/18 10:22
Quant open2
Worst price486 2/4
Drawdown as % of equity-1.26%
$219
Includes Typical Broker Commissions trade costs of $16.00
4/3/18 9:29 @YCK8 Mini Corn Globex LONG 1 388 4/4 4/24 11:15 378 2/4 0.43%
Trade id #117343579
Max drawdown($167)
Time4/4/18 4:58
Quant open1
Worst price372 1/4
Drawdown as % of equity-0.43%
($113)
Includes Typical Broker Commissions trade costs of $8.00
3/27/18 9:36 @KCK8 COFFEE LONG 2 117.03 4/23 9:47 117.10 8.01%
Trade id #117251748
Max drawdown($2,981)
Time4/17/18 11:18
Quant open2
Worst price113.05
Drawdown as % of equity-8.01%
$40
Includes Typical Broker Commissions trade costs of $16.00
3/15/18 10:45 @YWK8 Mini Wheat Globex LONG 2 467 2/4 4/9 9:45 467 1/4 1.09%
Trade id #117062418
Max drawdown($423)
Time3/23/18 6:47
Quant open2
Worst price446 2/4
Drawdown as % of equity-1.09%
($24)
Includes Typical Broker Commissions trade costs of $16.00
3/26/18 10:22 @KCK8 COFFEE LONG 1 118.35 3/27 9:35 118.95 0.86%
Trade id #117230128
Max drawdown($337)
Time3/26/18 11:16
Quant open1
Worst price117.45
Drawdown as % of equity-0.86%
$217
Includes Typical Broker Commissions trade costs of $8.00
3/13/18 10:59 @KCK8 COFFEE LONG 4 119.08 3/26 10:22 118.83 5.02%
Trade id #117017771
Max drawdown($1,931)
Time3/23/18 12:28
Quant open2
Worst price116.50
Drawdown as % of equity-5.02%
($407)
Includes Typical Broker Commissions trade costs of $32.00
3/16/18 8:21 @YCK8 Mini Corn Globex LONG 1 385 3/4 3/19 10:39 376 2/4 0.25%
Trade id #117088839
Max drawdown($96)
Time3/19/18 10:23
Quant open1
Worst price376 1/4
Drawdown as % of equity-0.25%
($101)
Includes Typical Broker Commissions trade costs of $8.00
3/13/18 10:34 @KCK8 COFFEE LONG 1 121.45 3/13 10:58 121.90 0.05%
Trade id #117016152
Max drawdown($18)
Time3/13/18 10:36
Quant open1
Worst price121.40
Drawdown as % of equity-0.05%
$161
Includes Typical Broker Commissions trade costs of $8.00
3/13/18 10:34 @YWK8 Mini Wheat Globex LONG 1 496 4/4 3/13 10:58 497 0.02%
Trade id #117016191
Max drawdown($6)
Time3/13/18 10:44
Quant open1
Worst price496 1/4
Drawdown as % of equity-0.02%
($7)
Includes Typical Broker Commissions trade costs of $8.00
3/9/18 11:31 @YWK8 Mini Wheat Globex LONG 1 488 4/4 3/13 10:34 496 4/4 0.14%
Trade id #116962780
Max drawdown($55)
Time3/12/18 6:33
Quant open1
Worst price483 2/4
Drawdown as % of equity-0.14%
$72
Includes Typical Broker Commissions trade costs of $8.00
3/1/18 15:47 @KCK8 COFFEE LONG 3 121.25 3/13 10:33 121.10 4.64%
Trade id #116812341
Max drawdown($1,800)
Time3/5/18 10:41
Quant open2
Worst price119.95
Drawdown as % of equity-4.64%
($193)
Includes Typical Broker Commissions trade costs of $24.00
3/5/18 12:54 @YCK8 Mini Corn Globex LONG 1 385 3/4 3/8 12:00 389 0.01%
Trade id #116866122
Max drawdown($3)
Time3/5/18 12:57
Quant open1
Worst price385 2/4
Drawdown as % of equity-0.01%
$25
Includes Typical Broker Commissions trade costs of $8.00
3/7/18 20:27 @YKK8 Mini Soybeans Globex LONG 1 1063.500 3/7 20:28 1062.880 0.02%
Trade id #116917823
Max drawdown($6)
Time3/7/18 20:28
Quant open0
Worst price1062.880
Drawdown as % of equity-0.02%
($14)
Includes Typical Broker Commissions trade costs of $8.00
3/1/18 9:17 @KCK8 COFFEE LONG 1 122.85 3/1 10:40 123.40 0.33%
Trade id #116796813
Max drawdown($131)
Time3/1/18 9:49
Quant open1
Worst price122.50
Drawdown as % of equity-0.33%
$198
Includes Typical Broker Commissions trade costs of $8.00
2/23/18 9:05 @KCK8 COFFEE LONG 1 122.25 3/1 9:17 122.80 1.86%
Trade id #116686873
Max drawdown($731)
Time2/27/18 10:55
Quant open1
Worst price120.30
Drawdown as % of equity-1.86%
$198
Includes Typical Broker Commissions trade costs of $8.00
2/16/18 13:23 @YCK8 Mini Corn Globex LONG 1 375 4/4 2/28 13:56 382 2/4 0.1%
Trade id #116564525
Max drawdown($36)
Time2/20/18 22:19
Quant open1
Worst price372 1/4
Drawdown as % of equity-0.10%
$58
Includes Typical Broker Commissions trade costs of $8.00
1/3/18 14:02 @KCH8 COFFEE LONG 4 122.50 2/23 9:02 121.24 12.3%
Trade id #115675944
Max drawdown($4,500)
Time2/21/18 12:33
Quant open2
Worst price116.50
Drawdown as % of equity-12.30%
($1,926)
Includes Typical Broker Commissions trade costs of $32.00
2/16/18 13:17 @BOK8 SOYBEAN OIL LONG 2 31.78 2/21 0:55 31.85 0.27%
Trade id #116564289
Max drawdown($102)
Time2/20/18 9:32
Quant open1
Worst price31.61
Drawdown as % of equity-0.27%
$68
Includes Typical Broker Commissions trade costs of $16.00
1/30/18 12:26 @YWK8 Mini Wheat Globex LONG 1 468 1/4 2/8 20:31 467 1/4 0.5%
Trade id #116180260
Max drawdown($182)
Time2/4/18 20:01
Quant open1
Worst price450
Drawdown as % of equity-0.50%
($18)
Includes Typical Broker Commissions trade costs of $8.00
2/5/18 15:11 @ESH8 E-MINI S&P 500 LONG 1 2646.00 2/5 15:13 2666.00 3.04%
Trade id #116310184
Max drawdown($1,100)
Time2/5/18 15:13
Quant open1
Worst price2644.00
Drawdown as % of equity-3.04%
$992
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    10/26/2017
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    385.23
  • Age
    13 months ago
  • What it trades
    Futures
  • # Trades
    47
  • # Profitable
    33
  • % Profitable
    70.20%
  • Avg trade duration
    10.0 days
  • Max peak-to-valley drawdown
    23.82%
  • drawdown period
    Jan 04, 2018 - Aug 23, 2018
  • Annual Return (Compounded)
    17.1%
  • Avg win
    $498.55
  • Avg loss
    $623.07
  • Model Account Values (Raw)
  • Cash
    $42,729
  • Margin Used
    $0
  • Buying Power
    $42,729
  • Ratios
  • W:L ratio
    1.89:1
  • Sharpe Ratio
    0.699
  • Sortino Ratio
    1.328
  • Calmar Ratio
    1.13
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.07500
  • Return Statistics
  • Ann Return (w trading costs)
    17.1%
  • Ann Return (Compnd, No Fees)
    20.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    61.50%
  • Chance of 20% account loss
    26.50%
  • Chance of 30% account loss
    12.00%
  • Chance of 40% account loss
    2.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • 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
    $623
  • Avg Win
    $499
  • # Winners
    33
  • # Losers
    14
  • % Winners
    70.2%
  • Frequency
  • Avg Position Time (mins)
    14419.10
  • Avg Position Time (hrs)
    240.32
  • Avg Trade Length
    10.0 days
  • Last Trade Ago
    86
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24080
  • SD
    0.34225
  • Sharpe ratio (Glass type estimate)
    0.70357
  • Sharpe ratio (Hedges UMVUE)
    0.64921
  • df
    10.00000
  • t
    0.67361
  • p
    0.25791
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38297
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75628
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41758
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71601
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.35300
  • Upside Potential Ratio
    2.71931
  • Upside part of mean
    0.48396
  • Downside part of mean
    -0.24316
  • Upside SD
    0.28221
  • Downside SD
    0.17797
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.03942
  • Mean of criterion
    0.24080
  • SD of predictor
    0.12361
  • SD of criterion
    0.34225
  • Covariance
    0.00770
  • r
    0.18209
  • b (slope, estimate of beta)
    0.50416
  • a (intercept, estimate of alpha)
    0.22092
  • Mean Square Error
    0.12583
  • DF error
    9.00000
  • t(b)
    0.55555
  • p(b)
    0.29603
  • t(a)
    0.59351
  • p(a)
    0.28373
  • Lowerbound of 95% confidence interval for beta
    -1.54873
  • Upperbound of 95% confidence interval for beta
    2.55705
  • Lowerbound of 95% confidence interval for alpha
    -0.62112
  • Upperbound of 95% confidence interval for alpha
    1.06296
  • Treynor index (mean / b)
    0.47762
  • Jensen alpha (a)
    0.22092
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18762
  • SD
    0.33187
  • Sharpe ratio (Glass type estimate)
    0.56532
  • Sharpe ratio (Hedges UMVUE)
    0.52165
  • df
    10.00000
  • t
    0.54125
  • p
    0.30009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51006
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61328
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53819
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58149
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97267
  • Upside Potential Ratio
    2.32165
  • Upside part of mean
    0.44782
  • Downside part of mean
    -0.26020
  • Upside SD
    0.25662
  • Downside SD
    0.19289
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.03226
  • Mean of criterion
    0.18762
  • SD of predictor
    0.12481
  • SD of criterion
    0.33187
  • Covariance
    0.00675
  • r
    0.16289
  • b (slope, estimate of beta)
    0.43312
  • a (intercept, estimate of alpha)
    0.17364
  • Mean Square Error
    0.11913
  • DF error
    9.00000
  • t(b)
    0.49529
  • p(b)
    0.31613
  • t(a)
    0.48021
  • p(a)
    0.32127
  • Lowerbound of 95% confidence interval for beta
    -1.54511
  • Upperbound of 95% confidence interval for beta
    2.41136
  • Lowerbound of 95% confidence interval for alpha
    -0.64436
  • Upperbound of 95% confidence interval for alpha
    0.99165
  • Treynor index (mean / b)
    0.43317
  • Jensen alpha (a)
    0.17364
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13233
  • Expected Shortfall on VaR
    0.16586
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04296
  • Expected Shortfall on VaR
    0.09281
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.83893
  • Quartile 1
    0.99760
  • Median
    1.01195
  • Quartile 3
    1.02971
  • Maximum
    1.23460
  • Mean of quarter 1
    0.92967
  • Mean of quarter 2
    1.00389
  • Mean of quarter 3
    1.02124
  • Mean of quarter 4
    1.13439
  • Inter Quartile Range
    0.03211
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.83893
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    1.18394
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.32559
  • VaR(95%) (moments method)
    0.01965
  • Expected Shortfall (moments method)
    0.01965
  • Extreme Value Index (regression method)
    0.50126
  • VaR(95%) (regression method)
    0.16959
  • Expected Shortfall (regression method)
    0.46922
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04539
  • Quartile 1
    0.07437
  • Median
    0.10334
  • Quartile 3
    0.13232
  • Maximum
    0.16129
  • Mean of quarter 1
    0.04539
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16129
  • Inter Quartile Range
    0.05795
  • 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)
    0.23829
  • Compounded annual return (geometric extrapolation)
    0.24051
  • Calmar ratio (compounded annual return / max draw down)
    1.49111
  • Compounded annual return / average of 25% largest draw downs
    1.49111
  • Compounded annual return / Expected Shortfall lognormal
    1.45004
  • 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
    0.24257
  • SD
    0.34598
  • Sharpe ratio (Glass type estimate)
    0.70112
  • Sharpe ratio (Hedges UMVUE)
    0.69895
  • df
    242.00000
  • t
    0.67522
  • p
    0.25009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33570
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73651
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33715
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73504
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32790
  • Upside Potential Ratio
    8.66645
  • Upside part of mean
    1.58313
  • Downside part of mean
    -1.34056
  • Upside SD
    0.29336
  • Downside SD
    0.18267
  • N nonnegative terms
    107.00000
  • N negative terms
    136.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    243.00000
  • Mean of predictor
    0.07251
  • Mean of criterion
    0.24257
  • SD of predictor
    0.15050
  • SD of criterion
    0.34598
  • Covariance
    0.00705
  • r
    0.13549
  • b (slope, estimate of beta)
    0.31148
  • a (intercept, estimate of alpha)
    0.22000
  • Mean Square Error
    0.11799
  • DF error
    241.00000
  • t(b)
    2.12300
  • p(b)
    0.01739
  • t(a)
    0.61650
  • p(a)
    0.26908
  • Lowerbound of 95% confidence interval for beta
    0.02247
  • Upperbound of 95% confidence interval for beta
    0.60050
  • Lowerbound of 95% confidence interval for alpha
    -0.48292
  • Upperbound of 95% confidence interval for alpha
    0.92289
  • Treynor index (mean / b)
    0.77876
  • Jensen alpha (a)
    0.21998
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18510
  • SD
    0.33635
  • Sharpe ratio (Glass type estimate)
    0.55032
  • Sharpe ratio (Hedges UMVUE)
    0.54862
  • df
    242.00000
  • t
    0.52999
  • p
    0.29830
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48593
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48712
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58435
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99382
  • Upside Potential Ratio
    8.28251
  • Upside part of mean
    1.54264
  • Downside part of mean
    -1.35754
  • Upside SD
    0.27948
  • Downside SD
    0.18625
  • N nonnegative terms
    107.00000
  • N negative terms
    136.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    243.00000
  • Mean of predictor
    0.06121
  • Mean of criterion
    0.18510
  • SD of predictor
    0.15066
  • SD of criterion
    0.33635
  • Covariance
    0.00683
  • r
    0.13468
  • b (slope, estimate of beta)
    0.30068
  • a (intercept, estimate of alpha)
    0.16670
  • Mean Square Error
    0.11154
  • DF error
    241.00000
  • t(b)
    2.11010
  • p(b)
    0.01794
  • t(a)
    0.48054
  • p(a)
    0.31564
  • Lowerbound of 95% confidence interval for beta
    0.01998
  • Upperbound of 95% confidence interval for beta
    0.58138
  • Lowerbound of 95% confidence interval for alpha
    -0.51664
  • Upperbound of 95% confidence interval for alpha
    0.85004
  • Treynor index (mean / b)
    0.61561
  • Jensen alpha (a)
    0.16670
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03292
  • Expected Shortfall on VaR
    0.04125
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01258
  • Expected Shortfall on VaR
    0.02510
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    243.00000
  • Minimum
    0.92369
  • Quartile 1
    0.99461
  • Median
    1.00000
  • Quartile 3
    1.00512
  • Maximum
    1.15700
  • Mean of quarter 1
    0.98144
  • Mean of quarter 2
    0.99841
  • Mean of quarter 3
    1.00150
  • Mean of quarter 4
    1.02279
  • Inter Quartile Range
    0.01051
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.08230
  • Mean of outliers low
    0.96818
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.08642
  • Mean of outliers high
    1.04737
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.12981
  • VaR(95%) (moments method)
    0.01499
  • Expected Shortfall (moments method)
    0.01972
  • Extreme Value Index (regression method)
    0.03711
  • VaR(95%) (regression method)
    0.01628
  • Expected Shortfall (regression method)
    0.02343
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00078
  • Quartile 1
    0.00421
  • Median
    0.01580
  • Quartile 3
    0.16079
  • Maximum
    0.21002
  • Mean of quarter 1
    0.00227
  • Mean of quarter 2
    0.01166
  • Mean of quarter 3
    0.09396
  • Mean of quarter 4
    0.20000
  • Inter Quartile Range
    0.15658
  • 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)
    -8.62761
  • VaR(95%) (moments method)
    0.19972
  • Expected Shortfall (moments method)
    0.19972
  • Extreme Value Index (regression method)
    -1.54090
  • VaR(95%) (regression method)
    0.22706
  • Expected Shortfall (regression method)
    0.22977
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23551
  • Compounded annual return (geometric extrapolation)
    0.23740
  • Calmar ratio (compounded annual return / max draw down)
    1.13033
  • Compounded annual return / average of 25% largest draw downs
    1.18700
  • Compounded annual return / Expected Shortfall lognormal
    5.75481
  • 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
    0.24516
  • SD
    0.39405
  • Sharpe ratio (Glass type estimate)
    0.62216
  • Sharpe ratio (Hedges UMVUE)
    0.61856
  • df
    130.00000
  • t
    0.43993
  • p
    0.48072
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15177
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39391
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15427
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.39138
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.33066
  • Upside Potential Ratio
    7.49431
  • Upside part of mean
    1.38075
  • Downside part of mean
    -1.13559
  • Upside SD
    0.34695
  • Downside SD
    0.18424
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08266
  • Mean of criterion
    0.24516
  • SD of predictor
    0.14255
  • SD of criterion
    0.39405
  • Covariance
    0.00645
  • r
    0.11490
  • b (slope, estimate of beta)
    0.31761
  • a (intercept, estimate of alpha)
    0.21891
  • Mean Square Error
    0.15441
  • DF error
    129.00000
  • t(b)
    1.31369
  • p(b)
    0.42701
  • t(a)
    0.39366
  • p(a)
    0.47795
  • Lowerbound of 95% confidence interval for beta
    -0.16074
  • Upperbound of 95% confidence interval for beta
    0.79597
  • Lowerbound of 95% confidence interval for alpha
    -0.88131
  • Upperbound of 95% confidence interval for alpha
    1.31913
  • Treynor index (mean / b)
    0.77188
  • Jensen alpha (a)
    0.21891
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17200
  • SD
    0.37888
  • Sharpe ratio (Glass type estimate)
    0.45397
  • Sharpe ratio (Hedges UMVUE)
    0.45134
  • df
    130.00000
  • t
    0.32100
  • p
    0.48593
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.31924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22548
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.32101
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22369
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91100
  • Upside Potential Ratio
    7.01794
  • Upside part of mean
    1.32500
  • Downside part of mean
    -1.15300
  • Upside SD
    0.32699
  • Downside SD
    0.18880
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07261
  • Mean of criterion
    0.17200
  • SD of predictor
    0.14194
  • SD of criterion
    0.37888
  • Covariance
    0.00605
  • r
    0.11248
  • b (slope, estimate of beta)
    0.30023
  • a (intercept, estimate of alpha)
    0.15020
  • Mean Square Error
    0.14283
  • DF error
    129.00000
  • t(b)
    1.28567
  • p(b)
    0.42855
  • t(a)
    0.28088
  • p(a)
    0.48426
  • Lowerbound of 95% confidence interval for beta
    -0.16180
  • Upperbound of 95% confidence interval for beta
    0.76226
  • Lowerbound of 95% confidence interval for alpha
    -0.90781
  • Upperbound of 95% confidence interval for alpha
    1.20820
  • Treynor index (mean / b)
    0.57289
  • Jensen alpha (a)
    0.15020
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03714
  • Expected Shortfall on VaR
    0.04647
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01124
  • Expected Shortfall on VaR
    0.02355
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92369
  • Quartile 1
    0.99770
  • Median
    1.00000
  • Quartile 3
    1.00191
  • Maximum
    1.15700
  • Mean of quarter 1
    0.98362
  • Mean of quarter 2
    0.99943
  • Mean of quarter 3
    1.00040
  • Mean of quarter 4
    1.02069
  • Inter Quartile Range
    0.00421
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.16031
  • Mean of outliers low
    0.97683
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.05815
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43912
  • VaR(95%) (moments method)
    0.01108
  • Expected Shortfall (moments method)
    0.02463
  • Extreme Value Index (regression method)
    0.38462
  • VaR(95%) (regression method)
    0.01159
  • Expected Shortfall (regression method)
    0.02404
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00020
  • Quartile 1
    0.01680
  • Median
    0.03679
  • Quartile 3
    0.14883
  • Maximum
    0.21002
  • Mean of quarter 1
    0.00800
  • Mean of quarter 2
    0.01980
  • Mean of quarter 3
    0.05378
  • Mean of quarter 4
    0.19527
  • Inter Quartile Range
    0.13204
  • 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)
    0.21024
  • Compounded annual return (geometric extrapolation)
    0.22129
  • Calmar ratio (compounded annual return / max draw down)
    1.05363
  • Compounded annual return / average of 25% largest draw downs
    1.13323
  • Compounded annual return / Expected Shortfall lognormal
    4.76154

Strategy Description

There are some trades that show a position of 4 contracts in history. That is incorrect. If the starting position is 1 contract, and 1 more is added, then if one of these two contracts is closed and later one is re-purchased, C2 counts the number of contracts as 4 instead of 2 or 3 that were open at any given time. C2 basically adds all contracts until the entire position is closed out even though at any given time only few of these positions were open.

Summary Statistics

Strategy began
2017-10-26
Suggested Minimum Capital
$40,000
# Trades
47
# Profitable
33
% Profitable
70.2%
Correlation S&P500
0.075
Sharpe Ratio
0.699

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.