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C2Star Strategy Momentum Mastery RTS C2Star: in evaluation Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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ES swing trader
(119243052)

Created by: smart_trader smart_trader
Started: 08/2018
Futures
Last trade: 2,742 days ago
Trading style: Futures Short Term
Subscriptions not currently available.

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
49.7%
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.

(100.0%)
Max Drawdown
52
Num Trades
36.5%
Win Trades
16.2 : 1
Profit Factor
34.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                 +8.9%+6.7%(21.4%)(13.7%)+0.9%(20.6%)
2019+117.8%+19.7%+5.0%(517.6%)  -    -    -    -  
2020  -    -    -    -    -    -    -  
2021  -    -    -    -    -    -    -    -  
2022  -    -    -    -    -    -    -    -    -  (1243.5%)
2023  -    -    -    -    -    -    -    -  (240.3%)(240.3%)
2024+1.1%+14.3%+4.3%(0.7%)+5.2%+3.7%  -  (0.3%)+1.9%+5.5%+6.5%+1.5%+51.3%
2025(1.5%)(4.6%)(8.4%)(7%)+13.8%+5.6%+0.8%+5.5%+3.2%+4.3%(6.7%)+8.1%+11.1%
2026+0.3%(1.1%)(7.6%)+13.5%+8.6%+0.1%                                    +13.1%

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 6 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2875 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
12/18/18 12:30 @ESH9 E-MINI S&P 500 LONG 2 2571.75 12/18 13:50 2563.50 7.69%
Trade id #121555623
Max drawdown($1,175)
Time12/18/18 13:40
Quant open2
Worst price2560.00
Drawdown as % of equity-7.69%
 ($841)
Includes Typical Broker Commissions trade costs of $16.00
12/18/18 10:05 @ESH9 E-MINI S&P 500 LONG 2 2570.75 12/18 11:35 2564.25 9.9%
Trade id #121550137
Max drawdown($1,600)
Time12/18/18 11:28
Quant open2
Worst price2554.75
Drawdown as % of equity-9.90%
 ($666)
Includes Typical Broker Commissions trade costs of $16.00
12/13/18 8:26 @ESH9 E-MINI S&P 500 LONG 2 2664.50 12/17 13:10 2578.00 49.9%
Trade id #121476377
Max drawdown($9,350)
Time12/17/18 9:54
Quant open2
Worst price2571.00
Drawdown as % of equity-49.90%
 ($8,666)
Includes Typical Broker Commissions trade costs of $16.00
12/11/18 15:30 @ESZ8 E-MINI S&P 500 LONG 2 2651.25 12/13 8:25 2660.00 10.63%
Trade id #121450816
Max drawdown($2,300)
Time12/11/18 16:55
Quant open2
Worst price2628.25
Drawdown as % of equity-10.63%
 $859
Includes Typical Broker Commissions trade costs of $16.00
12/10/18 13:00 @ESZ8 E-MINI S&P 500 LONG 2 2620.50 12/11 11:55 2652.25 2.54%
Trade id #121427448
Max drawdown($525)
Time12/10/18 13:30
Quant open2
Worst price2615.25
Drawdown as % of equity-2.54%
 $3,159
Includes Typical Broker Commissions trade costs of $16.00
12/6/18 14:10 @ESZ8 E-MINI S&P 500 LONG 2 2662.50 12/7 11:00 2678.75 7.28%
Trade id #121383064
Max drawdown($1,375)
Time12/6/18 14:49
Quant open2
Worst price2648.75
Drawdown as % of equity-7.28%
 $1,609
Includes Typical Broker Commissions trade costs of $16.00
12/3/18 9:50 @ESZ8 E-MINI S&P 500 LONG 2 2792.75 12/3 12:05 2777.50 9.9%
Trade id #121309121
Max drawdown($1,925)
Time12/3/18 11:46
Quant open2
Worst price2773.50
Drawdown as % of equity-9.90%
 ($1,541)
Includes Typical Broker Commissions trade costs of $16.00
11/29/18 13:10 @ESZ8 E-MINI S&P 500 LONG 2 2739.00 11/30 10:00 2740.25 5.1%
Trade id #121252726
Max drawdown($1,000)
Time11/30/18 7:03
Quant open2
Worst price2729.00
Drawdown as % of equity-5.10%
 $109
Includes Typical Broker Commissions trade costs of $16.00
11/27/18 14:40 @ESZ8 E-MINI S&P 500 LONG 2 2678.75 11/29 11:05 2728.25 2.75%
Trade id #121199583
Max drawdown($425)
Time11/27/18 15:23
Quant open2
Worst price2674.50
Drawdown as % of equity-2.75%
 $4,934
Includes Typical Broker Commissions trade costs of $16.00
11/27/18 11:15 @ESZ8 E-MINI S&P 500 LONG 2 2674.75 11/27 13:30 2671.25 6.82%
Trade id #121192693
Max drawdown($1,075)
Time11/27/18 12:34
Quant open2
Worst price2664.00
Drawdown as % of equity-6.82%
 ($366)
Includes Typical Broker Commissions trade costs of $16.00
11/26/18 15:25 @ESZ8 E-MINI S&P 500 LONG 2 2669.50 11/27 9:50 2661.75 9.07%
Trade id #121173190
Max drawdown($1,425)
Time11/26/18 20:01
Quant open2
Worst price2655.25
Drawdown as % of equity-9.07%
 ($791)
Includes Typical Broker Commissions trade costs of $16.00
11/26/18 10:20 @ESZ8 E-MINI S&P 500 LONG 2 2667.50 11/26 13:00 2657.75 8.92%
Trade id #121165750
Max drawdown($1,500)
Time11/26/18 12:36
Quant open2
Worst price2652.50
Drawdown as % of equity-8.92%
 ($991)
Includes Typical Broker Commissions trade costs of $16.00
11/21/18 9:55 @ESZ8 E-MINI S&P 500 LONG 2 2655.75 11/22 9:55 2643.00 10.94%
Trade id #121096075
Max drawdown($2,025)
Time11/22/18 4:31
Quant open2
Worst price2635.50
Drawdown as % of equity-10.94%
 ($1,291)
Includes Typical Broker Commissions trade costs of $16.00
11/19/18 15:30 @ESZ8 E-MINI S&P 500 LONG 2 2697.50 11/19 16:00 2694.25 7.17%
Trade id #121057456
Max drawdown($1,350)
Time11/19/18 15:54
Quant open2
Worst price2684.00
Drawdown as % of equity-7.17%
 ($341)
Includes Typical Broker Commissions trade costs of $16.00
11/14/18 15:35 @ESZ8 E-MINI S&P 500 LONG 2 2712.75 11/15 9:45 2693.50 17.91%
Trade id #120948273
Max drawdown($3,500)
Time11/15/18 9:33
Quant open2
Worst price2677.75
Drawdown as % of equity-17.91%
 ($1,941)
Includes Typical Broker Commissions trade costs of $16.00
11/14/18 10:15 @ESZ8 E-MINI S&P 500 LONG 2 2732.75 11/14 11:55 2711.50 11.75%
Trade id #120932082
Max drawdown($2,725)
Time11/14/18 11:43
Quant open2
Worst price2705.50
Drawdown as % of equity-11.75%
 ($2,141)
Includes Typical Broker Commissions trade costs of $16.00
11/13/18 11:40 @ESZ8 E-MINI S&P 500 LONG 2 2743.50 11/13 13:05 2736.25 4.92%
Trade id #120908786
Max drawdown($1,175)
Time11/13/18 12:42
Quant open2
Worst price2731.75
Drawdown as % of equity-4.92%
 ($741)
Includes Typical Broker Commissions trade costs of $16.00
11/7/18 10:50 @ESZ8 E-MINI S&P 500 LONG 2 2789.75 11/8 13:40 2805.50 1.23%
Trade id #120796354
Max drawdown($275)
Time11/7/18 11:03
Quant open2
Worst price2787.00
Drawdown as % of equity-1.23%
 $1,559
Includes Typical Broker Commissions trade costs of $16.00
11/5/18 11:25 @ESZ8 E-MINI S&P 500 LONG 2 2728.75 11/5 13:00 2726.00 2%
Trade id #120732122
Max drawdown($450)
Time11/5/18 11:45
Quant open2
Worst price2724.25
Drawdown as % of equity-2.00%
 ($291)
Includes Typical Broker Commissions trade costs of $16.00
10/31/18 16:36 @ESZ8 E-MINI S&P 500 SHORT 2 2705.00 11/1 6:33 2725.00 8.64%
Trade id #120650350
Max drawdown($2,000)
Time11/1/18 6:33
Quant open0
Worst price2725.00
Drawdown as % of equity-8.64%
 ($2,016)
Includes Typical Broker Commissions trade costs of $16.00
10/24/18 12:10 @ESZ8 E-MINI S&P 500 LONG 2 2722.75 10/24 12:55 2716.25 5.55%
Trade id #120513934
Max drawdown($1,400)
Time10/24/18 12:51
Quant open2
Worst price2708.75
Drawdown as % of equity-5.55%
 ($666)
Includes Typical Broker Commissions trade costs of $16.00
10/22/18 11:05 @ESZ8 E-MINI S&P 500 LONG 2 2769.75 10/22 11:50 2763.50 4.16%
Trade id #120469128
Max drawdown($1,075)
Time10/22/18 11:43
Quant open2
Worst price2759.00
Drawdown as % of equity-4.16%
 ($641)
Includes Typical Broker Commissions trade costs of $16.00
10/17/18 12:30 @ESZ8 E-MINI S&P 500 LONG 2 2812.75 10/18 13:05 2776.50 17.06%
Trade id #120405766
Max drawdown($4,475)
Time10/18/18 11:52
Quant open2
Worst price2768.00
Drawdown as % of equity-17.06%
 ($3,641)
Includes Typical Broker Commissions trade costs of $16.00
10/16/18 10:15 @ESZ8 E-MINI S&P 500 LONG 2 2778.50 10/17 10:10 2801.75 1.47%
Trade id #120379510
Max drawdown($400)
Time10/16/18 10:34
Quant open2
Worst price2774.50
Drawdown as % of equity-1.47%
 $2,309
Includes Typical Broker Commissions trade costs of $16.00
10/15/18 12:45 @ESZ8 E-MINI S&P 500 LONG 2 2765.75 10/15 14:25 2766.75 0.92%
Trade id #120357565
Max drawdown($250)
Time10/15/18 12:47
Quant open2
Worst price2763.25
Drawdown as % of equity-0.92%
 $84
Includes Typical Broker Commissions trade costs of $16.00
10/15/18 9:35 @ESZ8 E-MINI S&P 500 LONG 2 2762.25 10/15 10:25 2757.75 3.97%
Trade id #120349777
Max drawdown($1,100)
Time10/15/18 10:20
Quant open2
Worst price2751.25
Drawdown as % of equity-3.97%
 ($466)
Includes Typical Broker Commissions trade costs of $16.00
10/12/18 10:18 @ESZ8 E-MINI S&P 500 SHORT 2 2768.00 10/12 14:34 2740.38 2.93%
Trade id #120322362
Max drawdown($725)
Time10/12/18 10:55
Quant open-2
Worst price2775.25
Drawdown as % of equity-2.93%
 $2,747
Includes Typical Broker Commissions trade costs of $16.00
10/9/18 15:05 @ESZ8 E-MINI S&P 500 LONG 2 2891.75 10/10 10:25 2860.25 15.31%
Trade id #120260773
Max drawdown($4,075)
Time10/10/18 10:05
Quant open2
Worst price2851.00
Drawdown as % of equity-15.31%
 ($3,166)
Includes Typical Broker Commissions trade costs of $16.00
10/8/18 14:00 @ESZ8 E-MINI S&P 500 LONG 2 2875.00 10/9 12:40 2891.75 0.19%
Trade id #120238793
Max drawdown($50)
Time10/9/18 7:56
Quant open2
Worst price2874.50
Drawdown as % of equity-0.19%
 $1,659
Includes Typical Broker Commissions trade costs of $16.00
10/4/18 15:25 @ESZ8 E-MINI S&P 500 LONG 2 2901.75 10/5 12:05 2885.00 7.81%
Trade id #120189812
Max drawdown($2,125)
Time10/5/18 12:01
Quant open2
Worst price2880.50
Drawdown as % of equity-7.81%
 ($1,691)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    8/2/2018
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2880.37
  • Age
    96 months ago
  • What it trades
    Futures
  • # Trades
    52
  • # Profitable
    19
  • % Profitable
    36.50%
  • Avg trade duration
    53.3 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Nov 07, 2018 - Feb 02, 2019
  • Annual Return (Compounded)
    49.7%
  • Avg win
    $32,591
  • Avg loss
    $1,155
  • Model Account Values (Raw)
  • Cash
    $14,537
  • Margin Used
    $50,052
  • Buying Power
    $556,060
  • Ratios
  • W:L ratio
    16.24:1
  • Sharpe Ratio
    -0.45
  • Sortino Ratio
    -0.46
  • Calmar Ratio
    33.1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    2155.19%
  • Correlation to SP500
    0.00070
  • Return Percent SP500 (cumu) during strategy life
    162.30%
  • Return Statistics
  • Ann Return (w trading costs)
    49.7%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • 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)
    0.497%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    49.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    79.00%
  • Chance of 20% account loss
    60.50%
  • Chance of 30% account loss
    45.50%
  • Chance of 40% account loss
    24.00%
  • Chance of 60% account loss (Monte Carlo)
    2.50%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    93.27%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    9.50%
  • 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
    $1,155
  • Avg Win
    $32,592
  • Sum Trade PL (losers)
    $38,125.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $619,238.000
  • # Winners
    19
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    33
  • % Winners
    36.5%
  • Frequency
  • Avg Position Time (mins)
    76756.10
  • Avg Position Time (hrs)
    1279.27
  • Avg Trade Length
    53.3 days
  • Last Trade Ago
    2734
  • Regression
  • Alpha
    0.00
  • Beta
    0.01
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    26.96
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    30.54
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.89
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    2.249
  • 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
    0.53
  • Avg(MAE) / Avg(PL) - Winning trades
    0.150
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.438
  • Hold-and-Hope Ratio
    -0.178
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    428895.00000
  • SD
    391525.00000
  • Sharpe ratio (Glass type estimate)
    1.09545
  • Sharpe ratio (Hedges UMVUE)
    1.00110
  • df
    9.00000
  • t
    1.00000
  • p
    0.17172
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.27125
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19518
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19738
  • Statistics related to Sortino ratio
  • Sortino ratio
    379317.00000
  • Upside Potential Ratio
    379319.00000
  • Upside part of mean
    428896.00000
  • Downside part of mean
    -1.61127
  • Upside SD
    391525.00000
  • Downside SD
    1.13070
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    1.24903
  • Mean of criterion
    428895.00000
  • SD of predictor
    0.80816
  • SD of criterion
    391525.00000
  • Covariance
    296195.00000
  • r
    0.93609
  • b (slope, estimate of beta)
    453503.00000
  • a (intercept, estimate of alpha)
    -137543.00000
  • Mean Square Error
    21337200000.00000
  • DF error
    8.00000
  • t(b)
    7.52718
  • p(b)
    0.00003
  • t(a)
    -0.77785
  • p(a)
    0.77048
  • Lowerbound of 95% confidence interval for beta
    314569.00000
  • Upperbound of 95% confidence interval for beta
    592438.00000
  • Lowerbound of 95% confidence interval for alpha
    -545306.00000
  • Upperbound of 95% confidence interval for alpha
    270220.00000
  • Treynor index (mean / b)
    0.94574
  • Jensen alpha (a)
    -137543.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.58953
  • SD
    19.28420
  • Sharpe ratio (Glass type estimate)
    0.18614
  • Sharpe ratio (Hedges UMVUE)
    0.17011
  • df
    9.00000
  • t
    0.16992
  • p
    0.43441
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.96761
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.97836
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31858
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.30450
  • Upside Potential Ratio
    1.43770
  • Upside part of mean
    16.94780
  • Downside part of mean
    -13.35830
  • Upside SD
    14.02870
  • Downside SD
    11.78820
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.99065
  • Mean of criterion
    3.58953
  • SD of predictor
    0.62578
  • SD of criterion
    19.28420
  • Covariance
    8.39712
  • r
    0.69584
  • b (slope, estimate of beta)
    21.44320
  • a (intercept, estimate of alpha)
    -17.65320
  • Mean Square Error
    215.79400
  • DF error
    8.00000
  • t(b)
    2.74038
  • p(b)
    0.01272
  • t(a)
    -0.98832
  • p(a)
    0.82403
  • Lowerbound of 95% confidence interval for beta
    3.39893
  • Upperbound of 95% confidence interval for beta
    39.48750
  • Lowerbound of 95% confidence interval for alpha
    -58.84260
  • Upperbound of 95% confidence interval for alpha
    23.53620
  • Treynor index (mean / b)
    0.16740
  • Jensen alpha (a)
    -17.65320
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99986
  • Expected Shortfall on VaR
    1.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.21127
  • Expected Shortfall on VaR
    0.48531
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.00002
  • Quartile 1
    0.91185
  • Median
    1.08828
  • Quartile 3
    1.29903
  • Maximum
    357413.00000
  • Mean of quarter 1
    0.55475
  • Mean of quarter 2
    1.05874
  • Mean of quarter 3
    1.16591
  • Mean of quarter 4
    119139.00000
  • Inter Quartile Range
    0.38718
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.00002
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    178707.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50326
  • VaR(95%) (moments method)
    0.45590
  • Expected Shortfall (moments method)
    1.11293
  • Extreme Value Index (regression method)
    2.39710
  • VaR(95%) (regression method)
    1.49545
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.30900
  • Quartile 1
    0.48175
  • Median
    0.65449
  • Quartile 3
    0.82724
  • Maximum
    0.99998
  • Mean of quarter 1
    0.30900
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99998
  • Inter Quartile Range
    0.34549
  • 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)
    23.25540
  • Compounded annual return (geometric extrapolation)
    36.24200
  • Calmar ratio (compounded annual return / max draw down)
    36.24280
  • Compounded annual return / average of 25% largest draw downs
    36.24280
  • Compounded annual return / Expected Shortfall lognormal
    36.24200
  • 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
    356780.00000
  • SD
    337896.00000
  • Sharpe ratio (Glass type estimate)
    1.05589
  • Sharpe ratio (Hedges UMVUE)
    1.05250
  • df
    234.00000
  • t
    1.00000
  • p
    0.15917
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01690
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12652
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01919
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12419
  • Statistics related to Sortino ratio
  • Sortino ratio
    310373.00000
  • Upside Potential Ratio
    310377.00000
  • Upside part of mean
    356784.00000
  • Downside part of mean
    -4.13984
  • Upside SD
    337896.00000
  • Downside SD
    1.14952
  • N nonnegative terms
    101.00000
  • N negative terms
    134.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    1.10784
  • Mean of criterion
    356780.00000
  • SD of predictor
    0.41035
  • SD of criterion
    337896.00000
  • Covariance
    18226.60000
  • r
    0.13145
  • b (slope, estimate of beta)
    108242.00000
  • a (intercept, estimate of alpha)
    236866.00000
  • Mean Square Error
    112682000000.00000
  • DF error
    233.00000
  • t(b)
    2.02409
  • p(b)
    0.02205
  • t(a)
    0.65913
  • p(a)
    0.25523
  • Lowerbound of 95% confidence interval for beta
    2881.97000
  • Upperbound of 95% confidence interval for beta
    213601.00000
  • Lowerbound of 95% confidence interval for alpha
    -471142.00000
  • Upperbound of 95% confidence interval for alpha
    944873.00000
  • Treynor index (mean / b)
    3.29615
  • Jensen alpha (a)
    236866.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.50138
  • SD
    17.72160
  • Sharpe ratio (Glass type estimate)
    0.19758
  • Sharpe ratio (Hedges UMVUE)
    0.19694
  • df
    234.00000
  • t
    0.18712
  • p
    0.42586
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.87220
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26695
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87263
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26652
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.30337
  • Upside Potential Ratio
    1.63001
  • Upside part of mean
    18.81310
  • Downside part of mean
    -15.31170
  • Upside SD
    13.39990
  • Downside SD
    11.54170
  • N nonnegative terms
    101.00000
  • N negative terms
    134.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    1.02461
  • Mean of criterion
    3.50138
  • SD of predictor
    0.40015
  • SD of criterion
    17.72160
  • Covariance
    0.32944
  • r
    0.04646
  • b (slope, estimate of beta)
    2.05750
  • a (intercept, estimate of alpha)
    1.39325
  • Mean Square Error
    314.72300
  • DF error
    233.00000
  • t(b)
    0.70991
  • p(b)
    0.23923
  • t(a)
    0.07346
  • p(a)
    0.47075
  • Lowerbound of 95% confidence interval for beta
    -3.65261
  • Upperbound of 95% confidence interval for beta
    7.76762
  • Lowerbound of 95% confidence interval for alpha
    -35.97310
  • Upperbound of 95% confidence interval for alpha
    38.75960
  • Treynor index (mean / b)
    1.70176
  • Jensen alpha (a)
    1.39325
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.83262
  • Expected Shortfall on VaR
    0.88652
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03805
  • Expected Shortfall on VaR
    0.08813
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    235.00000
  • Minimum
    0.00002
  • Quartile 1
    0.98906
  • Median
    1.00000
  • Quartile 3
    1.02401
  • Maximum
    320013.00000
  • Mean of quarter 1
    0.94036
  • Mean of quarter 2
    0.99694
  • Mean of quarter 3
    1.00867
  • Mean of quarter 4
    5425.00000
  • Inter Quartile Range
    0.03495
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.05532
  • Mean of outliers low
    0.82930
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.06809
  • Mean of outliers high
    20001.90000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60077
  • VaR(95%) (moments method)
    0.04606
  • Expected Shortfall (moments method)
    0.13162
  • Extreme Value Index (regression method)
    0.42064
  • VaR(95%) (regression method)
    0.04235
  • Expected Shortfall (regression method)
    0.08864
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    26.00000
  • Minimum
    0.00134
  • Quartile 1
    0.00512
  • Median
    0.02133
  • Quartile 3
    0.07097
  • Maximum
    0.99998
  • Mean of quarter 1
    0.00299
  • Mean of quarter 2
    0.01495
  • Mean of quarter 3
    0.04240
  • Mean of quarter 4
    0.31150
  • Inter Quartile Range
    0.06586
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11539
  • Mean of outliers high
    0.57750
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.70143
  • VaR(95%) (moments method)
    0.31063
  • Expected Shortfall (moments method)
    1.16207
  • Extreme Value Index (regression method)
    1.15388
  • VaR(95%) (regression method)
    0.43818
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    25.31090
  • Compounded annual return (geometric extrapolation)
    33.09960
  • Calmar ratio (compounded annual return / max draw down)
    33.10020
  • Compounded annual return / average of 25% largest draw downs
    106.25900
  • Compounded annual return / Expected Shortfall lognormal
    37.33680
  • 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
    640026.00000
  • SD
    452565.00000
  • Sharpe ratio (Glass type estimate)
    1.41422
  • Sharpe ratio (Hedges UMVUE)
    1.40604
  • df
    130.00000
  • t
    1.00000
  • p
    0.45632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36558
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18869
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18311
  • Statistics related to Sortino ratio
  • Sortino ratio
    438435.00000
  • Upside Potential Ratio
    438437.00000
  • Upside part of mean
    640030.00000
  • Downside part of mean
    -4.18230
  • Upside SD
    452565.00000
  • Downside SD
    1.45980
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    2.24964
  • Mean of criterion
    640026.00000
  • SD of predictor
    0.51206
  • SD of criterion
    452565.00000
  • Covariance
    29997.10000
  • r
    0.12944
  • b (slope, estimate of beta)
    114404.00000
  • a (intercept, estimate of alpha)
    382657.00000
  • Mean Square Error
    202945000000.00000
  • DF error
    129.00000
  • t(b)
    1.48267
  • p(b)
    0.41783
  • t(a)
    0.57950
  • p(a)
    0.46757
  • Lowerbound of 95% confidence interval for beta
    -38260.90000
  • Upperbound of 95% confidence interval for beta
    267069.00000
  • Lowerbound of 95% confidence interval for alpha
    -923800.00000
  • Upperbound of 95% confidence interval for alpha
    1689110.00000
  • Treynor index (mean / b)
    5.59442
  • Jensen alpha (a)
    382657.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    6.82291
  • SD
    23.76240
  • Sharpe ratio (Glass type estimate)
    0.28713
  • Sharpe ratio (Hedges UMVUE)
    0.28547
  • df
    130.00000
  • t
    0.20303
  • p
    0.49110
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.48538
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05868
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.48655
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05749
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.44162
  • Upside Potential Ratio
    2.00111
  • Upside part of mean
    30.91650
  • Downside part of mean
    -24.09360
  • Upside SD
    17.93950
  • Downside SD
    15.44970
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    2.11515
  • Mean of criterion
    6.82291
  • SD of predictor
    0.49828
  • SD of criterion
    23.76240
  • Covariance
    0.50174
  • r
    0.04238
  • b (slope, estimate of beta)
    2.02089
  • a (intercept, estimate of alpha)
    2.54841
  • Mean Square Error
    568.00700
  • DF error
    129.00000
  • t(b)
    0.48173
  • p(b)
    0.47303
  • t(a)
    0.07312
  • p(a)
    0.49590
  • VAR (95 Confidence Intrvl)
    0.83300
  • Lowerbound of 95% confidence interval for beta
    -6.27909
  • Upperbound of 95% confidence interval for beta
    10.32090
  • Lowerbound of 95% confidence interval for alpha
    -66.40950
  • Upperbound of 95% confidence interval for alpha
    71.50640
  • Treynor index (mean / b)
    3.37618
  • Jensen alpha (a)
    2.54841
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.90825
  • Expected Shortfall on VaR
    0.94414
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03466
  • Expected Shortfall on VaR
    0.08312
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00002
  • Quartile 1
    0.99720
  • Median
    1.00279
  • Quartile 3
    1.03062
  • Maximum
    320013.00000
  • Mean of quarter 1
    0.93705
  • Mean of quarter 2
    0.99987
  • Mean of quarter 3
    1.01792
  • Mean of quarter 4
    9698.40000
  • Inter Quartile Range
    0.03341
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.80230
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    32002.30000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.74357
  • VaR(95%) (moments method)
    0.02398
  • Expected Shortfall (moments method)
    0.11085
  • Extreme Value Index (regression method)
    0.65254
  • VaR(95%) (regression method)
    0.03285
  • Expected Shortfall (regression method)
    0.11841
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00137
  • Quartile 1
    0.00552
  • Median
    0.02133
  • Quartile 3
    0.06723
  • Maximum
    0.99998
  • Mean of quarter 1
    0.00334
  • Mean of quarter 2
    0.01691
  • Mean of quarter 3
    0.03741
  • Mean of quarter 4
    0.27723
  • Inter Quartile Range
    0.06171
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.13636
  • Mean of outliers high
    0.46288
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.80241
  • VaR(95%) (moments method)
    0.28875
  • Expected Shortfall (moments method)
    1.56716
  • Extreme Value Index (regression method)
    1.55757
  • VaR(95%) (regression method)
    0.35870
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -374088000
  • Max Equity Drawdown (num days)
    87
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    59.47030
  • Compounded annual return (geometric extrapolation)
    943.64800
  • Calmar ratio (compounded annual return / max draw down)
    943.66500
  • Compounded annual return / average of 25% largest draw downs
    3403.87000
  • Compounded annual return / Expected Shortfall lognormal
    999.47500

Strategy Description

trades 2 ES contract. A mean reversion strategy that tries to trade market turnarounds.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2018-08-02
Suggested Minimum Capital
$25,000
# Trades
52
# Profitable
19
% Profitable
36.5%
Correlation S&P500
0.001
Sharpe Ratio
-0.45
Sortino Ratio
-0.46
Beta
0.01
Alpha
0.00

Latest Activity

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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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