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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/21/2017
Most recent certification approved 12/26/18 6:11 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 150%
# trading signals issued by system since certification 293
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 258
Percent signals followed since 04/21/2017 88.0%
This information was last updated 3/26/19 6:59 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/21/2017, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Algo for ES and YM
(121344019)

Created by: MARKET-TREND-SIGNALS MARKET-TREND-SIGNALS
Started: 12/2018
Futures
Last trade: Today
Trading style: Futures Short Term

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 $218.00 per month.

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
96.2%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(18.0%)
Max Drawdown
53
Num Trades
90.6%
Win Trades
3.0 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             +21.1%+21.1%
2019+44.5%+26.2%(11.1%)                                                      +62.1%

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.

System developer has asked us to delay this information by 3 hours.

Trading Record

This strategy has placed 291 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/19/19 2:46 @YMM9 MINI DOW LONG 11 25835 3/21 14:57 25889 10.11%
Trade id #122965025
Max drawdown($10,088)
Time3/21/19 7:28
Quant open7
Worst price25612
Drawdown as % of equity-10.11%
$2,853
Includes Typical Broker Commissions trade costs of $88.00
3/18/19 2:25 @YMM9 MINI DOW LONG 4 25892 3/18 15:06 25902 1.1%
Trade id #122944231
Max drawdown($1,186)
Time3/18/19 6:38
Quant open2
Worst price25810
Drawdown as % of equity-1.10%
$164
Includes Typical Broker Commissions trade costs of $32.00
1/30/19 1:58 @ESH9 E-MINI S&P 500 SHORT 37 2714.64 3/18 3:15 2723.47 15.02%
Trade id #122260050
Max drawdown($16,335)
Time3/18/19 3:15
Quant open36
Worst price2813.25
Drawdown as % of equity-15.02%
($16,631)
Includes Typical Broker Commissions trade costs of $296.00
3/15/19 2:11 @YMM9 MINI DOW LONG 5 25822 3/15 14:26 25880 3.46%
Trade id #122920726
Max drawdown($3,606)
Time3/15/19 10:40
Quant open5
Worst price25678
Drawdown as % of equity-3.46%
$1,400
Includes Typical Broker Commissions trade costs of $40.00
2/25/19 13:44 @YMH9 MINI DOW LONG 28 25806 3/15 10:15 25754 18.56%
Trade id #122671800
Max drawdown($18,844)
Time3/8/19 9:09
Quant open6
Worst price25213
Drawdown as % of equity-18.56%
($7,390)
Includes Typical Broker Commissions trade costs of $224.00
3/14/19 10:58 @YMM9 MINI DOW LONG 4 25725 3/14 15:35 25747 0.37%
Trade id #122911771
Max drawdown($400)
Time3/14/19 11:04
Quant open4
Worst price25705
Drawdown as % of equity-0.37%
$415
Includes Typical Broker Commissions trade costs of $32.00
3/12/19 8:29 @YMM9 MINI DOW LONG 5 25620 3/14 10:08 25668 3.05%
Trade id #122876019
Max drawdown($3,130)
Time3/12/19 22:35
Quant open5
Worst price25495
Drawdown as % of equity-3.05%
$1,163
Includes Typical Broker Commissions trade costs of $40.00
3/11/19 5:16 @YMM9 MINI DOW SHORT 5 25431 3/12 8:28 25523 2.17%
Trade id #122859359
Max drawdown($2,390)
Time3/11/19 22:34
Quant open-1
Worst price25794
Drawdown as % of equity-2.17%
($2,340)
Includes Typical Broker Commissions trade costs of $40.00
3/7/19 14:51 @YMM9 MINI DOW SHORT 1 25454 3/8 3:26 25423 0.32%
Trade id #122825346
Max drawdown($335)
Time3/7/19 19:01
Quant open-1
Worst price25521
Drawdown as % of equity-0.32%
$147
Includes Typical Broker Commissions trade costs of $8.00
2/22/19 15:07 @YMH9 MINI DOW LONG 6 26081 2/25 12:58 26150 0%
Trade id #122650546
Max drawdown($5)
Time2/22/19 15:09
Quant open1
Worst price25936
Drawdown as % of equity-0.00%
$2,017
Includes Typical Broker Commissions trade costs of $48.00
2/19/19 7:58 @YMH9 MINI DOW LONG 21 25895 2/22 14:34 25902 1.4%
Trade id #122582188
Max drawdown($1,515)
Time2/21/19 14:53
Quant open2
Worst price25753
Drawdown as % of equity-1.40%
$583
Includes Typical Broker Commissions trade costs of $168.00
2/13/19 6:22 @YMH9 MINI DOW LONG 8 25424 2/19 6:45 25685 3.97%
Trade id #122495856
Max drawdown($4,075)
Time2/14/19 9:47
Quant open5
Worst price25304
Drawdown as % of equity-3.97%
$10,376
Includes Typical Broker Commissions trade costs of $64.00
2/6/19 21:34 @YMH9 MINI DOW LONG 11 25151 2/13 3:02 25298 8.02%
Trade id #122407179
Max drawdown($7,441)
Time2/7/19 12:56
Quant open5
Worst price24965
Drawdown as % of equity-8.02%
$8,011
Includes Typical Broker Commissions trade costs of $88.00
2/6/19 5:34 @YMH9 MINI DOW LONG 6 25312 2/6 14:17 25321 0.51%
Trade id #122386444
Max drawdown($480)
Time2/6/19 10:15
Quant open3
Worst price25257
Drawdown as % of equity-0.51%
$217
Includes Typical Broker Commissions trade costs of $48.00
1/31/19 3:21 @YMH9 MINI DOW LONG 19 24991 2/6 2:08 25082 3.77%
Trade id #122285337
Max drawdown($3,400)
Time1/31/19 8:51
Quant open5
Worst price24868
Drawdown as % of equity-3.77%
$8,481
Includes Typical Broker Commissions trade costs of $152.00
1/30/19 9:09 @YMH9 MINI DOW LONG 7 24879 1/31 0:09 24970 1.03%
Trade id #122264437
Max drawdown($982)
Time1/30/19 10:04
Quant open3
Worst price24745
Drawdown as % of equity-1.03%
$3,116
Includes Typical Broker Commissions trade costs of $56.00
1/30/19 6:26 @YMH9 MINI DOW LONG 2 24641 1/30 8:28 24753 0.16%
Trade id #122262055
Max drawdown($149)
Time1/30/19 6:43
Quant open2
Worst price24626
Drawdown as % of equity-0.16%
$1,100
Includes Typical Broker Commissions trade costs of $16.00
1/29/19 23:13 @YMH9 MINI DOW LONG 5 24603 1/30 5:42 24614 0.78%
Trade id #122258685
Max drawdown($752)
Time1/30/19 2:03
Quant open2
Worst price24540
Drawdown as % of equity-0.78%
$231
Includes Typical Broker Commissions trade costs of $40.00
1/28/19 6:10 @YMH9 MINI DOW LONG 7 24460 1/29 14:16 24517 3.36%
Trade id #122209041
Max drawdown($3,116)
Time1/28/19 12:04
Quant open2
Worst price24284
Drawdown as % of equity-3.36%
$1,934
Includes Typical Broker Commissions trade costs of $56.00
1/28/19 8:35 @ESH9 E-MINI S&P 500 SHORT 3 2647.00 1/28 13:36 2635.50 0.24%
Trade id #122211189
Max drawdown($225)
Time1/28/19 8:59
Quant open-3
Worst price2648.50
Drawdown as % of equity-0.24%
$1,701
Includes Typical Broker Commissions trade costs of $24.00
1/22/19 10:35 @ESH9 E-MINI S&P 500 LONG 11 2642.24 1/25 12:53 2645.49 5.41%
Trade id #122107622
Max drawdown($4,811)
Time1/23/19 12:20
Quant open3
Worst price2612.50
Drawdown as % of equity-5.41%
$1,702
Includes Typical Broker Commissions trade costs of $88.00
1/25/19 1:49 @YMH9 MINI DOW SHORT 1 24574 1/25 3:03 24573 0.14%
Trade id #122171347
Max drawdown($125)
Time1/25/19 2:20
Quant open-1
Worst price24599
Drawdown as % of equity-0.14%
($5)
Includes Typical Broker Commissions trade costs of $8.00
1/22/19 12:53 @YMH9 MINI DOW LONG 3 24340 1/22 16:04 24344 1.46%
Trade id #122113014
Max drawdown($1,300)
Time1/22/19 14:48
Quant open2
Worst price24233
Drawdown as % of equity-1.46%
$36
Includes Typical Broker Commissions trade costs of $24.00
1/22/19 0:47 @YMH9 MINI DOW SHORT 2 24519 1/22 12:52 24472 0.43%
Trade id #122091986
Max drawdown($391)
Time1/22/19 4:41
Quant open-1
Worst price24575
Drawdown as % of equity-0.43%
$453
Includes Typical Broker Commissions trade costs of $16.00
1/22/19 7:10 @ESH9 E-MINI S&P 500 LONG 3 2653.42 1/22 8:30 2654.50 0.03%
Trade id #122103034
Max drawdown($25)
Time1/22/19 7:12
Quant open2
Worst price2653.00
Drawdown as % of equity-0.03%
$139
Includes Typical Broker Commissions trade costs of $24.00
1/22/19 2:05 @ESH9 E-MINI S&P 500 LONG 2 2651.25 1/22 5:31 2653.50 0.19%
Trade id #122092611
Max drawdown($175)
Time1/22/19 2:12
Quant open2
Worst price2649.50
Drawdown as % of equity-0.19%
$209
Includes Typical Broker Commissions trade costs of $16.00
1/18/19 0:59 @YMH9 MINI DOW LONG 6 24512 1/22 0:45 24521 0.34%
Trade id #122045192
Max drawdown($303)
Time1/18/19 2:37
Quant open2
Worst price24375
Drawdown as % of equity-0.34%
$230
Includes Typical Broker Commissions trade costs of $48.00
1/18/19 1:00 @ESH9 E-MINI S&P 500 LONG 1 2642.08 1/21 4:18 2658.25 0.19%
Trade id #122045199
Max drawdown($166)
Time1/18/19 2:37
Quant open1
Worst price2638.75
Drawdown as % of equity-0.19%
$801
Includes Typical Broker Commissions trade costs of $8.00
1/17/19 22:54 @ESH9 E-MINI S&P 500 SHORT 1 2642.35 1/18 0:03 2641.50 0.04%
Trade id #122044385
Max drawdown($32)
Time1/17/19 22:57
Quant open-1
Worst price2643.00
Drawdown as % of equity-0.04%
$34
Includes Typical Broker Commissions trade costs of $8.00
1/17/19 22:54 @YMH9 MINI DOW SHORT 1 24406 1/18 0:03 24402 0.03%
Trade id #122044380
Max drawdown($30)
Time1/17/19 22:57
Quant open-1
Worst price24412
Drawdown as % of equity-0.03%
$12
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    12/4/2018
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    112.22
  • Age
    112 days ago
  • What it trades
    Futures
  • # Trades
    53
  • # Profitable
    48
  • % Profitable
    90.60%
  • Avg trade duration
    2.6 days
  • Max peak-to-valley drawdown
    17.98%
  • drawdown period
    Jan 02, 2019 - Jan 03, 2019
  • Cumul. Return
    96.2%
  • Avg win
    $1,829
  • Avg loss
    $5,882
  • Model Account Values (Raw)
  • Cash
    $112,029
  • Margin Used
    $54,733
  • Buying Power
    $54,025
  • Ratios
  • W:L ratio
    2.99:1
  • Sharpe Ratio
    4.678
  • Sortino Ratio
    12.836
  • Calmar Ratio
    95.92
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.27000
  • Return Statistics
  • Ann Return (w trading costs)
    739.4%
  • Ann Return (Compnd, No Fees)
    877.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.00%
  • Chance of 20% account loss
    6.50%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    918
  • Popularity (Last 6 weeks)
    989
  • C2 Score
    60.8
  • Trades-Own-System Certification
  • Trades Own System?
    184792
  • TOS percent
    150%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $7,286
  • Avg Win
    $1,830
  • # Winners
    48
  • # Losers
    5
  • % Winners
    90.6%
  • Frequency
  • Avg Position Time (mins)
    3717.38
  • Avg Position Time (hrs)
    61.96
  • Avg Trade Length
    2.6 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.49183
  • SD
    0.72896
  • Sharpe ratio (Glass type estimate)
    4.79015
  • Sharpe ratio (Hedges UMVUE)
    2.70255
  • df
    2.00000
  • t
    2.39508
  • p
    0.06945
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21934
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.46560
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.02821
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.43332
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    3.49183
  • Downside part of mean
    0.00000
  • Upside SD
    1.17061
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.05148
  • Mean of criterion
    3.49183
  • SD of predictor
    0.22016
  • SD of criterion
    0.72896
  • Covariance
    -0.09831
  • r
    -0.61256
  • b (slope, estimate of beta)
    -2.02821
  • a (intercept, estimate of alpha)
    3.59623
  • Mean Square Error
    0.66398
  • DF error
    1.00000
  • t(b)
    -0.77498
  • p(b)
    0.70986
  • t(a)
    2.19918
  • p(a)
    0.13584
  • Lowerbound of 95% confidence interval for beta
    -35.28160
  • Upperbound of 95% confidence interval for beta
    31.22520
  • Lowerbound of 95% confidence interval for alpha
    -17.18170
  • Upperbound of 95% confidence interval for alpha
    24.37410
  • Treynor index (mean / b)
    -1.72163
  • Jensen alpha (a)
    3.59623
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.95456
  • SD
    0.55607
  • Sharpe ratio (Glass type estimate)
    5.31334
  • Sharpe ratio (Hedges UMVUE)
    2.99773
  • df
    2.00000
  • t
    2.65667
  • p
    0.05864
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02703
  • Upperbound of 95% confidence interval for Sharpe Ratio
    11.36380
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.90084
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.89631
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    2.95456
  • Downside part of mean
    0.00000
  • Upside SD
    0.96623
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.03531
  • Mean of criterion
    2.95456
  • SD of predictor
    0.21865
  • SD of criterion
    0.55607
  • Covariance
    -0.07215
  • r
    -0.59340
  • b (slope, estimate of beta)
    -1.50915
  • a (intercept, estimate of alpha)
    3.00785
  • Mean Square Error
    0.40066
  • DF error
    1.00000
  • t(b)
    -0.73723
  • p(b)
    0.70222
  • t(a)
    2.37210
  • p(a)
    0.12699
  • Lowerbound of 95% confidence interval for beta
    -27.51940
  • Upperbound of 95% confidence interval for beta
    24.50110
  • Lowerbound of 95% confidence interval for alpha
    -13.10370
  • Upperbound of 95% confidence interval for alpha
    19.11940
  • Treynor index (mean / b)
    -1.95777
  • Jensen alpha (a)
    3.00785
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01766
  • Expected Shortfall on VaR
    0.07980
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.10627
  • Quartile 1
    1.17939
  • Median
    1.25251
  • Quartile 3
    1.38684
  • Maximum
    1.52116
  • Mean of quarter 1
    1.10627
  • Mean of quarter 2
    1.25251
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.52116
  • Inter Quartile Range
    0.20744
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.43097
  • Compounded annual return (geometric extrapolation)
    18.73650
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    234.78100
  • 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
    2.53447
  • SD
    0.53646
  • Sharpe ratio (Glass type estimate)
    4.72445
  • Sharpe ratio (Hedges UMVUE)
    4.67829
  • df
    77.00000
  • t
    2.57779
  • p
    0.00593
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.04126
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.37836
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01096
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.34561
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.83560
  • Upside Potential Ratio
    19.46130
  • Upside part of mean
    3.84275
  • Downside part of mean
    -1.30828
  • Upside SD
    0.51925
  • Downside SD
    0.19746
  • N nonnegative terms
    40.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.13328
  • Mean of criterion
    2.53447
  • SD of predictor
    0.18600
  • SD of criterion
    0.53646
  • Covariance
    0.02848
  • r
    0.28541
  • b (slope, estimate of beta)
    0.82320
  • a (intercept, estimate of alpha)
    2.42500
  • Mean Square Error
    0.26782
  • DF error
    76.00000
  • t(b)
    2.59618
  • p(b)
    0.00566
  • t(a)
    2.55394
  • p(a)
    0.00633
  • Lowerbound of 95% confidence interval for beta
    0.19168
  • Upperbound of 95% confidence interval for beta
    1.45472
  • Lowerbound of 95% confidence interval for alpha
    0.53383
  • Upperbound of 95% confidence interval for alpha
    4.31568
  • Treynor index (mean / b)
    3.07880
  • Jensen alpha (a)
    2.42475
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.38786
  • SD
    0.51660
  • Sharpe ratio (Glass type estimate)
    4.62228
  • Sharpe ratio (Hedges UMVUE)
    4.57712
  • df
    77.00000
  • t
    2.52205
  • p
    0.00687
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.94256
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.27326
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91297
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.24126
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.85260
  • Upside Potential Ratio
    18.44520
  • Upside part of mean
    3.71603
  • Downside part of mean
    -1.32817
  • Upside SD
    0.49460
  • Downside SD
    0.20146
  • N nonnegative terms
    40.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.11625
  • Mean of criterion
    2.38786
  • SD of predictor
    0.18529
  • SD of criterion
    0.51660
  • Covariance
    0.02699
  • r
    0.28193
  • b (slope, estimate of beta)
    0.78603
  • a (intercept, estimate of alpha)
    2.29648
  • Mean Square Error
    0.24889
  • DF error
    76.00000
  • t(b)
    2.56169
  • p(b)
    0.00620
  • t(a)
    2.50971
  • p(a)
    0.00711
  • Lowerbound of 95% confidence interval for beta
    0.17491
  • Upperbound of 95% confidence interval for beta
    1.39716
  • Lowerbound of 95% confidence interval for alpha
    0.47402
  • Upperbound of 95% confidence interval for alpha
    4.11895
  • Treynor index (mean / b)
    3.03786
  • Jensen alpha (a)
    2.29648
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04245
  • Expected Shortfall on VaR
    0.05507
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01113
  • Expected Shortfall on VaR
    0.02353
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    78.00000
  • Minimum
    0.94484
  • Quartile 1
    0.99682
  • Median
    1.00115
  • Quartile 3
    1.01529
  • Maximum
    1.14882
  • Mean of quarter 1
    0.98089
  • Mean of quarter 2
    0.99987
  • Mean of quarter 3
    1.00706
  • Mean of quarter 4
    1.05067
  • Inter Quartile Range
    0.01848
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03846
  • Mean of outliers low
    0.95059
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.10256
  • Mean of outliers high
    1.08638
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02839
  • VaR(95%) (moments method)
    0.01217
  • Expected Shortfall (moments method)
    0.01724
  • Extreme Value Index (regression method)
    -0.13852
  • VaR(95%) (regression method)
    0.02437
  • Expected Shortfall (regression method)
    0.03434
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00372
  • Quartile 1
    0.00808
  • Median
    0.02637
  • Quartile 3
    0.07286
  • Maximum
    0.10632
  • Mean of quarter 1
    0.00451
  • Mean of quarter 2
    0.01645
  • Mean of quarter 3
    0.03628
  • Mean of quarter 4
    0.09569
  • Inter Quartile Range
    0.06478
  • 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)
    3.53628
  • Compounded annual return (geometric extrapolation)
    10.19840
  • Calmar ratio (compounded annual return / max draw down)
    95.91970
  • Compounded annual return / average of 25% largest draw downs
    106.58000
  • Compounded annual return / Expected Shortfall lognormal
    185.17600

Strategy Description

With over a decade of trading experience, we developed an algorithm many years ago which can accurately prompt buy and sell signals for trading stock and futures markets. We use signals generated from this system for predicting major markets such as Dow Jones e-mini futures market (YM), e-mini S&P futures (ES) and Hang Seng futures (HSI) for the Hong Kong market. Another strategy was set up for DJIA UDOW Trend Signals for trading Dow Jones ETFs. Concepts of Nobel Prize winners have been incorporated in our algorithm.

Besides issuing trading signals to our subscribers, we also trade our own account according to these signals.

The trades can be reversed when an opposite signal is given, so the trade is almost always on.

Normally the average no. of contracts traded is 1 to 2 for each trade transaction and there could be 4 transactions in a day with a total of 4 to 5 contracts traded. Positions could be lessened in the afternoon session, closer to the end of trading days. To cater to volatile market conditions, please reserve funding for 6 to 7 contracts on average. The margin required for each contract is around $8,000 for ES and YM. Please set your scaling factor as 50% or 100%, according to your funding position.

Summary Statistics

Strategy began
2018-12-04
Suggested Minimum Capital
$100,000
# Trades
53
# Profitable
48
% Profitable
90.6%
Correlation S&P500
0.270
Sharpe Ratio
4.678

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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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.