Collective2 Collective2
Featured Strategy Lazy Trading ES +43.4% Cumul. Return since Sep 25, 2024 Hypothetical

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Asymmetry and Chaos
(119234155)

Created by: TheMonk TheMonk
Started: 08/2018
Futures
Last trade: 2,071 days ago
Trading style: Futures Macro / Fundamental

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 $88.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
-10.5%
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.

(80.4%)
Max Drawdown
70
Num Trades
45.7%
Win Trades
0.9 : 1
Profit Factor
5.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                 +49.7%(8.6%)+54.8%(34.2%)(18.4%)+13.7%
2019(2.6%)(20.6%)(38.5%)  -  +7.4%  -    -    -  
2020  -    -    -    -    -    -  
2021  -    -    -    -    -    -    -  
2022  -    -    -    -    -    -    -    -    -  (56.4%)
2023  -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -              

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

This strategy has placed 124 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2107 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/25/19 15:27 QHGJ9 Copper SHORT 2 295.00 3/20 20:29 293.45 2.28%
Trade id #122674219
Max drawdown($1,100)
Time3/1/19 8:08
Quant open-2
Worst price297.20
Drawdown as % of equity-2.28%
 $759
Includes Typical Broker Commissions trade costs of $16.00
2/12/19 0:31 QNGQ9 Natural Gas LONG 4 2.803 3/4 11:34 2.933 4.66%
Trade id #122469209
Max drawdown($2,400)
Time2/15/19 0:40
Quant open4
Worst price2.743
Drawdown as % of equity-4.66%
 $5,168
Includes Typical Broker Commissions trade costs of $32.00
2/11/19 14:12 QPLJ9 PLATINUM SHORT 1 787.5 2/25 15:27 856.0 7.68%
Trade id #122461824
Max drawdown($3,565)
Time2/25/19 10:24
Quant open-1
Worst price858.8
Drawdown as % of equity-7.68%
 ($3,433)
Includes Typical Broker Commissions trade costs of $8.00
2/7/19 4:23 @CDM9 CANADIAN DOLLAR SHORT 2 0.7577 2/13 12:57 0.7576 0.78%
Trade id #122409970
Max drawdown($400)
Time2/12/19 22:26
Quant open-2
Worst price0.7597
Drawdown as % of equity-0.78%
 $4
Includes Typical Broker Commissions trade costs of $16.00
2/7/19 13:55 QCLZ9 CRUDE OIL SHORT 2 55.10 2/11 22:59 55.58 2.23%
Trade id #122419910
Max drawdown($1,220)
Time2/8/19 9:02
Quant open-2
Worst price55.71
Drawdown as % of equity-2.23%
 ($976)
Includes Typical Broker Commissions trade costs of $16.00
1/3/19 11:57 @WH9 WHEAT LONG 4 515 2/7 13:54 513 1.69%
Trade id #121767236
Max drawdown($1,400)
Time1/15/19 11:13
Quant open4
Worst price508
Drawdown as % of equity-1.69%
 ($432)
Includes Typical Broker Commissions trade costs of $32.00
1/18/19 14:08 @VXG9 CBOE Volatility Index VIX LONG 1 18.05 2/4 15:20 16.50 2.84%
Trade id #122063829
Max drawdown($1,600)
Time2/4/19 15:10
Quant open1
Worst price16.45
Drawdown as % of equity-2.84%
 ($1,558)
Includes Typical Broker Commissions trade costs of $8.00
1/31/19 0:23 QPLJ9 PLATINUM SHORT 2 820.0 2/1 11:26 833.0 2.59%
Trade id #122283975
Max drawdown($1,500)
Time2/1/19 11:15
Quant open-2
Worst price835.0
Drawdown as % of equity-2.59%
 ($1,316)
Includes Typical Broker Commissions trade costs of $16.00
1/3/19 13:08 QNGH9 Natural Gas LONG 4 2.862 1/31 0:04 2.960 0.87%
Trade id #121768897
Max drawdown($640)
Time1/3/19 20:34
Quant open2
Worst price2.778
Drawdown as % of equity-0.87%
 $3,868
Includes Typical Broker Commissions trade costs of $32.00
1/17/19 15:23 @ADH9 AUSTRALIAN DOLLAR SHORT 2 0.7200 1/30 22:52 0.7271 2.52%
Trade id #122040225
Max drawdown($1,580)
Time1/30/19 14:45
Quant open-2
Worst price0.7279
Drawdown as % of equity-2.52%
 ($1,436)
Includes Typical Broker Commissions trade costs of $16.00
1/14/19 12:10 @ESH9 E-MINI S&P 500 SHORT 2 2584.00 1/25 12:13 2666.00 12.35%
Trade id #121957375
Max drawdown($9,375)
Time1/18/19 17:00
Quant open-2
Worst price2677.75
Drawdown as % of equity-12.35%
 ($8,216)
Includes Typical Broker Commissions trade costs of $16.00
1/17/19 15:19 QSIH9 Silver 5000 oz SHORT 2 15.555 1/25 12:04 15.680 2%
Trade id #122040104
Max drawdown($1,450)
Time1/25/19 10:48
Quant open-2
Worst price15.700
Drawdown as % of equity-2.00%
 ($1,266)
Includes Typical Broker Commissions trade costs of $16.00
1/10/19 13:16 QCLH9 CRUDE OIL SHORT 2 52.50 1/18 13:51 53.90 4.4%
Trade id #121903964
Max drawdown($3,280)
Time1/18/19 10:47
Quant open-2
Worst price54.14
Drawdown as % of equity-4.40%
 ($2,816)
Includes Typical Broker Commissions trade costs of $16.00
1/15/19 14:42 @BPH9 BRITISH POUND LONG 2 1.2800 1/17 15:04 1.3028 0.21%
Trade id #121990833
Max drawdown($175)
Time1/15/19 14:45
Quant open2
Worst price1.2786
Drawdown as % of equity-0.21%
 $2,834
Includes Typical Broker Commissions trade costs of $16.00
1/2/19 14:27 QHGH9 Copper SHORT 2 260.65 1/17 13:27 268.30 5.47%
Trade id #121750554
Max drawdown($4,000)
Time1/9/19 4:33
Quant open-2
Worst price268.65
Drawdown as % of equity-5.47%
 ($3,841)
Includes Typical Broker Commissions trade costs of $16.00
12/21/18 11:22 QSIH9 Silver 5000 oz SHORT 2 15.160 1/9/19 15:55 15.785 10.81%
Trade id #121619960
Max drawdown($7,950)
Time1/3/19 20:20
Quant open-2
Worst price15.955
Drawdown as % of equity-10.81%
 ($6,266)
Includes Typical Broker Commissions trade costs of $16.00
1/7/19 14:06 @EUH9 EUROFX SHORT 1 1.15460 1/9 15:50 1.16140 1.4%
Trade id #121827143
Max drawdown($981)
Time1/9/19 14:01
Quant open-1
Worst price1.16245
Drawdown as % of equity-1.40%
 ($858)
Includes Typical Broker Commissions trade costs of $8.00
12/7/18 11:44 @ADH9 AUSTRALIAN DOLLAR SHORT 4 0.7129 1/2/19 18:00 0.6893 0.85%
Trade id #121400976
Max drawdown($520)
Time12/13/18 2:56
Quant open-2
Worst price0.7254
Drawdown as % of equity-0.85%
 $9,408
Includes Typical Broker Commissions trade costs of $32.00
12/27/18 15:46 QCLH9 CRUDE OIL LONG 4 45.50 1/2/19 14:10 47.25 5.39%
Trade id #121687657
Max drawdown($3,320)
Time1/2/19 9:47
Quant open4
Worst price44.67
Drawdown as % of equity-5.39%
 $6,988
Includes Typical Broker Commissions trade costs of $32.00
12/21/18 11:05 @ESH9 E-MINI S&P 500 LONG 1 2473.50 1/2/19 12:36 2499.75 13.35%
Trade id #121619426
Max drawdown($7,837)
Time12/25/18 18:10
Quant open1
Worst price2316.75
Drawdown as % of equity-13.35%
 $1,305
Includes Typical Broker Commissions trade costs of $8.00
12/19/18 12:03 QHGH9 Copper SHORT 2 270.50 12/31 10:24 265.00 1.96%
Trade id #121574456
Max drawdown($1,150)
Time12/26/18 6:10
Quant open-2
Worst price272.80
Drawdown as % of equity-1.96%
 $2,734
Includes Typical Broker Commissions trade costs of $16.00
12/7/18 11:53 @SF9 SOYBEANS LONG 2 914 12/21 11:18 885 2/4 4.88%
Trade id #121401594
Max drawdown($3,050)
Time12/21/18 11:08
Quant open2
Worst price883 2/4
Drawdown as % of equity-4.88%
 ($2,879)
Includes Typical Broker Commissions trade costs of $16.00
12/12/18 5:24 QSIH9 Silver 5000 oz SHORT 2 14.740 12/19 13:24 14.820 2.62%
Trade id #121457923
Max drawdown($1,600)
Time12/13/18 3:04
Quant open-2
Worst price14.900
Drawdown as % of equity-2.62%
 ($816)
Includes Typical Broker Commissions trade costs of $16.00
12/7/18 11:22: Rescaled upward by +-150% of previous Model Account size
11/15/18 14:31 QSIH9 Silver 5000 oz SHORT 5 14.478 12/7 10:25 14.600 11.31%
Trade id #120984577
Max drawdown($6,687)
Time12/4/18 10:16
Quant open-5
Worst price14.745
Drawdown as % of equity-11.31%
 ($3,103)
Includes Typical Broker Commissions trade costs of $40.00
10/24/18 15:58 @EUZ8 EUROFX SHORT 7.500000000 1.14423 12/4 10:34 1.14065 3.84%
Trade id #120521891
Max drawdown($3,078)
Time11/7/18 5:07
Quant open-3
Worst price1.15455
Drawdown as % of equity-3.84%
 $3,292
Includes Typical Broker Commissions trade costs of $60.00
11/6/18 16:30 QCLH9 CRUDE OIL LONG 5 59.50 11/23 9:27 52.73 125.05%
Trade id #120775250
Max drawdown($84,562)
Time11/23/18 9:27
Quant open5
Worst price51.80
Drawdown as % of equity-125.05%
 ($33,865)
Includes Typical Broker Commissions trade costs of $40.00
11/11/18 20:00 @SF9 SOYBEANS LONG 5 885 4/4 11/19 13:07 872 4/4 11.08%
Trade id #120873993
Max drawdown($8,867)
Time11/19/18 12:37
Quant open12
Worst price871 3/4
Drawdown as % of equity-11.08%
 ($3,306)
Includes Typical Broker Commissions trade costs of $40.00
11/5/18 10:52 @ADZ8 AUSTRALIAN DOLLAR SHORT 2.500000000 0.7218 11/15 13:35 0.7286 6.31%
Trade id #120730297
Max drawdown($5,500)
Time11/8/18 9:33
Quant open-5
Worst price0.7306
Drawdown as % of equity-6.31%
 ($1,720)
Includes Typical Broker Commissions trade costs of $20.00
11/6/18 14:08 QPLF9 PLATINUM SHORT 5 871.5 11/15 12:06 842.0 7.79%
Trade id #120770648
Max drawdown($6,250)
Time11/7/18 6:20
Quant open-12
Worst price881.5
Drawdown as % of equity-7.79%
 $7,335
Includes Typical Broker Commissions trade costs of $40.00
11/2/18 11:36 QHGZ8 Copper SHORT 5 280.30 11/14 14:23 271.20 7.61%
Trade id #120698606
Max drawdown($6,406)
Time11/4/18 18:52
Quant open-12
Worst price282.35
Drawdown as % of equity-7.61%
 $11,335
Includes Typical Broker Commissions trade costs of $40.00
Next

Statistics

  • Strategy began
    8/1/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2297.65
  • Age
    77 months ago
  • What it trades
    Futures
  • # Trades
    70
  • # Profitable
    32
  • % Profitable
    45.70%
  • Avg trade duration
    70.7 days
  • Max peak-to-valley drawdown
    80.38%
  • drawdown period
    Oct 17, 2018 - April 04, 2019
  • Annual Return (Compounded)
    -10.5%
  • Avg win
    $5,923
  • Avg loss
    $5,555
  • Model Account Values (Raw)
  • Cash
    $59,623
  • Margin Used
    $57,540
  • Buying Power
    ($29,099)
  • Ratios
  • W:L ratio
    0.90:1
  • Sharpe Ratio
    -0.29
  • Sortino Ratio
    -0.41
  • Calmar Ratio
    -0.695
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -161.86%
  • Correlation to SP500
    -0.04470
  • Return Percent SP500 (cumu) during strategy life
    109.49%
  • Return Statistics
  • Ann Return (w trading costs)
    -10.5%
  • Slump
  • Current Slump as Pcnt Equity
    374.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.105%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -8.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    95.00%
  • Chance of 20% account loss
    81.50%
  • Chance of 30% account loss
    65.00%
  • Chance of 40% account loss
    46.00%
  • Chance of 60% account loss (Monte Carlo)
    9.50%
  • Chance of 70% account loss (Monte Carlo)
    2.50%
  • Chance of 80% account loss (Monte Carlo)
    0.50%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    31.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $5,556
  • Avg Win
    $5,923
  • Sum Trade PL (losers)
    $211,111.000
  • Age
  • Num Months filled monthly returns table
    66
  • Win / Loss
  • Sum Trade PL (winners)
    $189,550.000
  • # Winners
    32
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    38
  • % Winners
    45.7%
  • Frequency
  • Avg Position Time (mins)
    101880.00
  • Avg Position Time (hrs)
    1698.00
  • Avg Trade Length
    70.8 days
  • Last Trade Ago
    2066
  • Regression
  • Alpha
    -0.03
  • Beta
    -0.07
  • Treynor Index
    0.42
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.12
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    90.14
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    51.73
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.01
  • MAE:Equity, average, winning trades
    0.06
  • MAE:Equity, average, losing trades
    0.17
  • Avg(MAE) / Avg(PL) - All trades
    -14.040
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.08
  • Avg(MAE) / Avg(PL) - Winning trades
    0.920
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.971
  • Hold-and-Hope Ratio
    0.019
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.40299
  • SD
    1.00579
  • Sharpe ratio (Glass type estimate)
    -0.40067
  • Sharpe ratio (Hedges UMVUE)
    -0.35588
  • df
    7.00000
  • t
    -0.32715
  • p
    0.62344
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.79606
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02242
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.76356
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05181
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.59356
  • Upside Potential Ratio
    1.70314
  • Upside part of mean
    1.15631
  • Downside part of mean
    -1.55930
  • Upside SD
    0.66162
  • Downside SD
    0.67893
  • N nonnegative terms
    3.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.05263
  • Mean of criterion
    -0.40299
  • SD of predictor
    0.23917
  • SD of criterion
    1.00579
  • Covariance
    -0.09897
  • r
    -0.41142
  • b (slope, estimate of beta)
    -1.73017
  • a (intercept, estimate of alpha)
    -0.31193
  • Mean Square Error
    0.98044
  • DF error
    6.00000
  • t(b)
    -1.10568
  • p(b)
    0.84439
  • t(a)
    -0.25662
  • p(a)
    0.59698
  • Lowerbound of 95% confidence interval for beta
    -5.55915
  • Upperbound of 95% confidence interval for beta
    2.09880
  • Lowerbound of 95% confidence interval for alpha
    -3.28618
  • Upperbound of 95% confidence interval for alpha
    2.66233
  • Treynor index (mean / b)
    0.23292
  • Jensen alpha (a)
    -0.31193
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.87940
  • SD
    1.04165
  • Sharpe ratio (Glass type estimate)
    -0.84423
  • Sharpe ratio (Hedges UMVUE)
    -0.74985
  • df
    7.00000
  • t
    -0.68931
  • p
    0.74359
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.25509
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62360
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.18223
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68253
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.04374
  • Upside Potential Ratio
    1.16596
  • Upside part of mean
    0.98237
  • Downside part of mean
    -1.86177
  • Upside SD
    0.55134
  • Downside SD
    0.84255
  • N nonnegative terms
    3.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.02721
  • Mean of criterion
    -0.87940
  • SD of predictor
    0.24123
  • SD of criterion
    1.04165
  • Covariance
    -0.11582
  • r
    -0.46095
  • b (slope, estimate of beta)
    -1.99046
  • a (intercept, estimate of alpha)
    -0.82525
  • Mean Square Error
    0.99691
  • DF error
    6.00000
  • t(b)
    -1.27233
  • p(b)
    0.87483
  • t(a)
    -0.67445
  • p(a)
    0.73743
  • Lowerbound of 95% confidence interval for beta
    -5.81851
  • Upperbound of 95% confidence interval for beta
    1.83760
  • Lowerbound of 95% confidence interval for alpha
    -3.81930
  • Upperbound of 95% confidence interval for alpha
    2.16881
  • Treynor index (mean / b)
    0.44181
  • Jensen alpha (a)
    -0.82525
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.43328
  • Expected Shortfall on VaR
    0.49723
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.33656
  • Expected Shortfall on VaR
    0.50718
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.56685
  • Quartile 1
    0.78144
  • Median
    0.92707
  • Quartile 3
    1.09841
  • Maximum
    1.48096
  • Mean of quarter 1
    0.66533
  • Mean of quarter 2
    0.83718
  • Mean of quarter 3
    1.00773
  • Mean of quarter 4
    1.36475
  • Inter Quartile Range
    0.31697
  • 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)
    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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03291
  • Quartile 1
    0.19543
  • Median
    0.35796
  • Quartile 3
    0.52048
  • Maximum
    0.68300
  • Mean of quarter 1
    0.03291
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.68300
  • Inter Quartile Range
    0.32505
  • 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)
    -0.64972
  • Compounded annual return (geometric extrapolation)
    -0.57322
  • Calmar ratio (compounded annual return / max draw down)
    -0.83927
  • Compounded annual return / average of 25% largest draw downs
    -0.83927
  • Compounded annual return / Expected Shortfall lognormal
    -1.15283
  • 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
    -0.45266
  • SD
    0.83220
  • Sharpe ratio (Glass type estimate)
    -0.54392
  • Sharpe ratio (Hedges UMVUE)
    -0.54181
  • df
    193.00000
  • t
    -0.46805
  • p
    0.52143
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.82163
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73508
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.82016
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73654
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.80249
  • Upside Potential Ratio
    7.82751
  • Upside part of mean
    4.41522
  • Downside part of mean
    -4.86788
  • Upside SD
    0.60960
  • Downside SD
    0.56406
  • N nonnegative terms
    77.00000
  • N negative terms
    117.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    194.00000
  • Mean of predictor
    1.11100
  • Mean of criterion
    -0.45266
  • SD of predictor
    0.59101
  • SD of criterion
    0.83220
  • Covariance
    -0.02385
  • r
    -0.04849
  • b (slope, estimate of beta)
    -0.06828
  • a (intercept, estimate of alpha)
    -0.37700
  • Mean Square Error
    0.69454
  • DF error
    192.00000
  • t(b)
    -0.67274
  • p(b)
    0.52425
  • t(a)
    -0.38644
  • p(a)
    0.51394
  • Lowerbound of 95% confidence interval for beta
    -0.26848
  • Upperbound of 95% confidence interval for beta
    0.13192
  • Lowerbound of 95% confidence interval for alpha
    -2.29995
  • Upperbound of 95% confidence interval for alpha
    1.54637
  • Treynor index (mean / b)
    6.62901
  • Jensen alpha (a)
    -0.37679
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.79454
  • SD
    0.82680
  • Sharpe ratio (Glass type estimate)
    -0.96098
  • Sharpe ratio (Hedges UMVUE)
    -0.95724
  • df
    193.00000
  • t
    -0.82693
  • p
    0.53780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.23948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.31996
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.23695
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32246
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.34371
  • Upside Potential Ratio
    7.17425
  • Upside part of mean
    4.24217
  • Downside part of mean
    -5.03671
  • Upside SD
    0.57693
  • Downside SD
    0.59131
  • N nonnegative terms
    77.00000
  • N negative terms
    117.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    194.00000
  • Mean of predictor
    0.95266
  • Mean of criterion
    -0.79454
  • SD of predictor
    0.54707
  • SD of criterion
    0.82680
  • Covariance
    -0.02254
  • r
    -0.04983
  • b (slope, estimate of beta)
    -0.07530
  • a (intercept, estimate of alpha)
    -0.72280
  • Mean Square Error
    0.68545
  • DF error
    192.00000
  • t(b)
    -0.69126
  • p(b)
    0.52491
  • t(a)
    -0.74691
  • p(a)
    0.52691
  • Lowerbound of 95% confidence interval for beta
    -0.29017
  • Upperbound of 95% confidence interval for beta
    0.13956
  • Lowerbound of 95% confidence interval for alpha
    -2.63153
  • Upperbound of 95% confidence interval for alpha
    1.18593
  • Treynor index (mean / b)
    10.55130
  • Jensen alpha (a)
    -0.72280
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08337
  • Expected Shortfall on VaR
    0.10257
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04815
  • Expected Shortfall on VaR
    0.08750
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    194.00000
  • Minimum
    0.82266
  • Quartile 1
    0.97371
  • Median
    0.99988
  • Quartile 3
    1.01569
  • Maximum
    1.22847
  • Mean of quarter 1
    0.93886
  • Mean of quarter 2
    0.98759
  • Mean of quarter 3
    1.00442
  • Mean of quarter 4
    1.06256
  • Inter Quartile Range
    0.04198
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.04639
  • Mean of outliers low
    0.89036
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.06701
  • Mean of outliers high
    1.11538
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.31524
  • VaR(95%) (moments method)
    0.05943
  • Expected Shortfall (moments method)
    0.07150
  • Extreme Value Index (regression method)
    -0.21991
  • VaR(95%) (regression method)
    0.06263
  • Expected Shortfall (regression method)
    0.07794
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.01196
  • Quartile 1
    0.02101
  • Median
    0.03406
  • Quartile 3
    0.16513
  • Maximum
    0.77048
  • Mean of quarter 1
    0.01675
  • Mean of quarter 2
    0.03314
  • Mean of quarter 3
    0.11133
  • Mean of quarter 4
    0.46924
  • Inter Quartile Range
    0.14412
  • 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
    0.11111
  • Mean of outliers high
    0.77048
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.75582
  • VaR(95%) (moments method)
    0.52035
  • Expected Shortfall (moments method)
    2.14652
  • Extreme Value Index (regression method)
    6.70950
  • VaR(95%) (regression method)
    9.56238
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.58498
  • Compounded annual return (geometric extrapolation)
    -0.53543
  • Calmar ratio (compounded annual return / max draw down)
    -0.69493
  • Compounded annual return / average of 25% largest draw downs
    -1.14104
  • Compounded annual return / Expected Shortfall lognormal
    -5.22023
  • 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
    -2.04619
  • SD
    0.82091
  • Sharpe ratio (Glass type estimate)
    -2.49258
  • Sharpe ratio (Hedges UMVUE)
    -2.47817
  • df
    130.00000
  • t
    -1.76252
  • p
    0.57638
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.27616
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.30035
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.26630
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30995
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.30911
  • Upside Potential Ratio
    5.53646
  • Upside part of mean
    3.42347
  • Downside part of mean
    -5.46965
  • Upside SD
    0.54989
  • Downside SD
    0.61835
  • N nonnegative terms
    43.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.78002
  • Mean of criterion
    -2.04619
  • SD of predictor
    0.70957
  • SD of criterion
    0.82091
  • Covariance
    -0.00974
  • r
    -0.01672
  • b (slope, estimate of beta)
    -0.01935
  • a (intercept, estimate of alpha)
    -2.01175
  • Mean Square Error
    0.67893
  • DF error
    129.00000
  • t(b)
    -0.18996
  • p(b)
    0.51065
  • t(a)
    -1.70590
  • p(a)
    0.59421
  • Lowerbound of 95% confidence interval for beta
    -0.22085
  • Upperbound of 95% confidence interval for beta
    0.18216
  • Lowerbound of 95% confidence interval for alpha
    -4.34500
  • Upperbound of 95% confidence interval for alpha
    0.32151
  • Treynor index (mean / b)
    105.76100
  • Jensen alpha (a)
    -2.01175
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.38940
  • SD
    0.82044
  • Sharpe ratio (Glass type estimate)
    -2.91236
  • Sharpe ratio (Hedges UMVUE)
    -2.89553
  • df
    130.00000
  • t
    -2.05935
  • p
    0.58887
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.70121
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.11269
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.68959
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10146
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.67630
  • Upside Potential Ratio
    5.05257
  • Upside part of mean
    3.28391
  • Downside part of mean
    -5.67331
  • Upside SD
    0.51704
  • Downside SD
    0.64995
  • N nonnegative terms
    43.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.55048
  • Mean of criterion
    -2.38940
  • SD of predictor
    0.65588
  • SD of criterion
    0.82044
  • Covariance
    -0.00982
  • r
    -0.01826
  • b (slope, estimate of beta)
    -0.02284
  • a (intercept, estimate of alpha)
    -2.35400
  • Mean Square Error
    0.67811
  • DF error
    129.00000
  • t(b)
    -0.20739
  • p(b)
    0.51162
  • t(a)
    -1.99997
  • p(a)
    0.60985
  • VAR (95 Confidence Intrvl)
    0.08300
  • Lowerbound of 95% confidence interval for beta
    -0.24071
  • Upperbound of 95% confidence interval for beta
    0.19503
  • Lowerbound of 95% confidence interval for alpha
    -4.68275
  • Upperbound of 95% confidence interval for alpha
    -0.02524
  • Treynor index (mean / b)
    104.62700
  • Jensen alpha (a)
    -2.35400
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08834
  • Expected Shortfall on VaR
    0.10729
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05745
  • Expected Shortfall on VaR
    0.10146
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.82266
  • Quartile 1
    0.97012
  • Median
    0.99732
  • Quartile 3
    1.00754
  • Maximum
    1.22847
  • Mean of quarter 1
    0.93195
  • Mean of quarter 2
    0.98554
  • Mean of quarter 3
    1.00103
  • Mean of quarter 4
    1.05093
  • Inter Quartile Range
    0.03742
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.88647
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.10075
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.95985
  • VaR(95%) (moments method)
    0.06672
  • Expected Shortfall (moments method)
    0.07172
  • Extreme Value Index (regression method)
    -0.12309
  • VaR(95%) (regression method)
    0.06998
  • Expected Shortfall (regression method)
    0.08993
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.75483
  • Quartile 1
    0.75483
  • Median
    0.75483
  • Quartile 3
    0.75483
  • Maximum
    0.75483
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -328548000
  • Max Equity Drawdown (num days)
    169
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.38590
  • Compounded annual return (geometric extrapolation)
    -0.90572
  • Calmar ratio (compounded annual return / max draw down)
    -1.19989
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -8.44162

Strategy Description

Program seeks to profit from pricing dislocation due to supply/demand imbalance, macro-economic or geopolitical events.
Interest rate movements, political upsets, weather events, volatility spikes, trade wars, regional conflicts, mine strikes are prime examples.
Fundamental research complemented by technical analysis provides the basis for trades. Trades are direction-agnostic.
Program algorithm evaluates risk/reward profile of trade ideas based on fundamental head/tailwinds, market sentiment, and technical setup.
Risk management is based on return per unit of risk, not per unit of equity.
This program is designed to be a standalone, highly scalable portfolio utilizing only futures and options. No individual stocks. No martingale.

Summary Statistics

Strategy began
2018-08-01
Suggested Minimum Capital
$25,000
# Trades
70
# Profitable
32
% Profitable
45.7%
Correlation S&P500
-0.045
Sharpe Ratio
-0.29
Sortino Ratio
-0.41
Beta
-0.07
Alpha
-0.03

Latest Activity

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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.