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This is an archived track record. This track record was archived on 3/22/20 8:55 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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CURATUS SP500 FUTURES
(127886362)

Created by: TENEDOS76 TENEDOS76
Started: 03/2020
Futures
Last trade: 1,497 days ago
Trading style: Futures Short Term Financials / Indexes

Subscriptions not available

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

Subscription terms. 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.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
-
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.

(100.0%)
Max Drawdown
47
Num Trades
72.3%
Win Trades
0.7 : 1
Profit Factor
0.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              (115.2%)  -    -    -    -    -    -    -    -    -  (115.2%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/18/20 11:21 @ESM0 E-MINI S&P 500 LONG 5 2374.25 3/19 0:06 2278.75 20.58%
Trade id #128113908
Max drawdown($28,062)
Time3/18/20 14:26
Quant open5
Worst price2262.00
Drawdown as % of equity-20.58%
 ($23,915)
Includes Typical Broker Commissions trade costs of $40.00
3/16/20 10:34 @YMZ0 MINI DOW LONG 4 26102 3/18 21:49 19421 100.83%
Trade id #128064258
Max drawdown($110,420)
Time3/17/20 0:00
Quant open4
Worst price20581
Drawdown as % of equity-100.83%
 ($133,652)
Includes Typical Broker Commissions trade costs of $32.00
3/18/20 9:42 @ESM0 E-MINI S&P 500 LONG 8 2393.25 3/18 10:02 2419.38 2.58%
Trade id #128110962
Max drawdown($3,600)
Time3/18/20 9:46
Quant open4
Worst price2370.00
Drawdown as % of equity-2.58%
 $10,386
Includes Typical Broker Commissions trade costs of $64.00
3/16/20 11:35 @ESM0 E-MINI S&P 500 LONG 8 2471.12 3/17 14:21 2492.38 56.8%
Trade id #128065912
Max drawdown($47,650)
Time3/17/20 10:01
Quant open8
Worst price2352.00
Drawdown as % of equity-56.80%
 $8,436
Includes Typical Broker Commissions trade costs of $64.00
3/16/20 12:42 QGCM0 Gold 100 oz LONG 4 1510.9 3/17 11:29 1534.2 15.45%
Trade id #128068123
Max drawdown($16,920)
Time3/17/20 0:00
Quant open4
Worst price1468.6
Drawdown as % of equity-15.45%
 $9,288
Includes Typical Broker Commissions trade costs of $32.00
3/16/20 11:06 @NQM0 E-MINI NASDAQ 100 STK IDX LONG 4 7378.50 3/16 11:11 7464.00 n/a $6,808
Includes Typical Broker Commissions trade costs of $32.00
3/16/20 10:59 @YMM0 MINI DOW LONG 4 21098 3/16 11:10 21322 1.25%
Trade id #128064913
Max drawdown($1,380)
Time3/16/20 11:02
Quant open4
Worst price21029
Drawdown as % of equity-1.25%
 $4,448
Includes Typical Broker Commissions trade costs of $32.00
3/16/20 10:31 @ESM0 E-MINI S&P 500 LONG 8 2448.12 3/16 10:43 2490.50 n/a $16,886
Includes Typical Broker Commissions trade costs of $64.00
3/12/20 13:36 @ESM0 E-MINI S&P 500 LONG 6 2534.50 3/13 15:58 2583.42 111.37%
Trade id #128010773
Max drawdown($46,350)
Time3/12/20 23:29
Quant open6
Worst price2380.00
Drawdown as % of equity-111.37%
 $14,627
Includes Typical Broker Commissions trade costs of $48.00
3/10/20 8:39 QGCM0 Gold 100 oz LONG 4 1640.7 3/12 16:44 1574.2 38.71%
Trade id #127940108
Max drawdown($30,920)
Time3/12/20 11:56
Quant open4
Worst price1563.4
Drawdown as % of equity-38.71%
 ($26,632)
Includes Typical Broker Commissions trade costs of $32.00
3/12/20 9:58 QCLM0 CRUDE OIL LONG 2 32.07 3/12 16:44 31.96 0.98%
Trade id #128002491
Max drawdown($780)
Time3/12/20 12:35
Quant open2
Worst price31.68
Drawdown as % of equity-0.98%
 ($236)
Includes Typical Broker Commissions trade costs of $16.00
3/12/20 11:28 @ESM0 E-MINI S&P 500 SHORT 2 2523.75 3/12 12:06 2498.75 1.6%
Trade id #128005779
Max drawdown($1,275)
Time3/12/20 11:34
Quant open2
Worst price2536.50
Drawdown as % of equity-1.60%
 $2,484
Includes Typical Broker Commissions trade costs of $16.00
3/12/20 10:52 @ESM0 E-MINI S&P 500 SHORT 3 2556.75 3/12 11:13 2526.75 2.75%
Trade id #128004666
Max drawdown($2,175)
Time3/12/20 10:55
Quant open3
Worst price2571.25
Drawdown as % of equity-2.75%
 $4,476
Includes Typical Broker Commissions trade costs of $24.00
3/12/20 9:57 @NQM0 E-MINI NASDAQ 100 STK IDX LONG 3 7468.00 3/12 10:01 7536.25 n/a $4,071
Includes Typical Broker Commissions trade costs of $24.00
3/12/20 9:54 @ESM0 E-MINI S&P 500 LONG 3 2499.75 3/12 9:58 2549.50 n/a $7,439
Includes Typical Broker Commissions trade costs of $24.00
3/12/20 5:15 @ESM0 E-MINI S&P 500 LONG 2 2590.00 3/12 8:49 2589.00 0.06%
Trade id #127989637
Max drawdown($50)
Time3/12/20 5:18
Quant open2
Worst price2589.50
Drawdown as % of equity-0.06%
 ($116)
Includes Typical Broker Commissions trade costs of $16.00
3/11/20 15:30 @NQM0 E-MINI NASDAQ 100 STK IDX SHORT 1 7933.00 3/12 5:13 7593.50 6.12%
Trade id #127980771
Max drawdown($3,230)
Time3/11/20 18:42
Quant open1
Worst price8094.50
Drawdown as % of equity-6.12%
 $6,782
Includes Typical Broker Commissions trade costs of $8.00
3/11/20 14:08 @ESM0 E-MINI S&P 500 SHORT 5 2726.75 3/11 21:13 2680.00 16.7%
Trade id #127979195
Max drawdown($8,812)
Time3/11/20 18:42
Quant open5
Worst price2762.00
Drawdown as % of equity-16.70%
 $11,648
Includes Typical Broker Commissions trade costs of $40.00
3/11/20 15:04 @YMM0 MINI DOW SHORT 1 23317 3/11 15:25 23209 n/a $532
Includes Typical Broker Commissions trade costs of $8.00
3/11/20 14:09 @NQM0 E-MINI NASDAQ 100 STK IDX SHORT 3 7980.50 3/11 15:24 7889.25 3.57%
Trade id #127979207
Max drawdown($2,130)
Time3/11/20 14:41
Quant open3
Worst price8016.00
Drawdown as % of equity-3.57%
 $5,451
Includes Typical Broker Commissions trade costs of $24.00
3/10/20 16:11 @NQM0 E-MINI NASDAQ 100 STK IDX LONG 3 8151.83 3/11 14:08 7992.25 14.49%
Trade id #127958447
Max drawdown($9,395)
Time3/11/20 14:08
Quant open3
Worst price7995.25
Drawdown as % of equity-14.49%
 ($9,599)
Includes Typical Broker Commissions trade costs of $24.00
3/11/20 5:50 @ESM0 E-MINI S&P 500 LONG 5 2761.00 3/11 14:08 2731.00 12.24%
Trade id #127967971
Max drawdown($7,937)
Time3/11/20 13:46
Quant open5
Worst price2729.25
Drawdown as % of equity-12.24%
 ($7,540)
Includes Typical Broker Commissions trade costs of $40.00
3/11/20 13:04 @YMM0 MINI DOW SHORT 4 23600 3/11 13:21 23714 3.2%
Trade id #127977865
Max drawdown($2,080)
Time3/11/20 13:21
Quant open4
Worst price23704
Drawdown as % of equity-3.20%
 ($2,312)
Includes Typical Broker Commissions trade costs of $32.00
3/11/20 10:54 @YMM0 MINI DOW LONG 2 23916 3/11 12:13 23980 2.98%
Trade id #127974581
Max drawdown($2,055)
Time3/11/20 11:26
Quant open2
Worst price23711
Drawdown as % of equity-2.98%
 $619
Includes Typical Broker Commissions trade costs of $16.00
3/10/20 15:09 QCLM0 CRUDE OIL LONG 1 35.34 3/10 21:00 36.00 1.16%
Trade id #127956431
Max drawdown($890)
Time3/10/20 19:46
Quant open1
Worst price34.45
Drawdown as % of equity-1.16%
 $652
Includes Typical Broker Commissions trade costs of $8.00
3/10/20 15:11 @ESM0 E-MINI S&P 500 LONG 1 2825.75 3/10 15:56 2865.00 0.63%
Trade id #127956560
Max drawdown($487)
Time3/10/20 15:32
Quant open1
Worst price2816.00
Drawdown as % of equity-0.63%
 $1,955
Includes Typical Broker Commissions trade costs of $8.00
3/10/20 14:37 @ESM0 E-MINI S&P 500 LONG 2 2792.75 3/10 15:04 2822.00 0.29%
Trade id #127955133
Max drawdown($212)
Time3/10/20 14:40
Quant open1
Worst price2781.00
Drawdown as % of equity-0.29%
 $2,909
Includes Typical Broker Commissions trade costs of $16.00
3/10/20 10:22 @NQM0 E-MINI NASDAQ 100 STK IDX LONG 2 8105.25 3/10 14:41 8160.00 9.34%
Trade id #127943933
Max drawdown($6,085)
Time3/10/20 11:39
Quant open1
Worst price7922.75
Drawdown as % of equity-9.34%
 $2,174
Includes Typical Broker Commissions trade costs of $16.00
3/10/20 6:29 @ESM0 E-MINI S&P 500 LONG 4 2774.25 3/10 14:36 2785.25 15.74%
Trade id #127938692
Max drawdown($10,250)
Time3/10/20 11:39
Quant open2
Worst price2717.75
Drawdown as % of equity-15.74%
 $2,168
Includes Typical Broker Commissions trade costs of $32.00
3/9/20 16:53 QCLM0 CRUDE OIL LONG 1 31.34 3/9 19:01 32.81 0.45%
Trade id #127932692
Max drawdown($320)
Time3/9/20 17:00
Quant open1
Worst price31.02
Drawdown as % of equity-0.45%
 $1,462
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    3/6/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1507.2
  • Age
    50 months ago
  • What it trades
    Futures
  • # Trades
    47
  • # Profitable
    34
  • % Profitable
    72.30%
  • Avg trade duration
    7.7 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    March 18, 2020 - March 19, 2020
  • Cumul. Return
    -115.1%
  • Avg win
    $4,506
  • Avg loss
    $16,133
  • Model Account Values (Raw)
  • Cash
    ($6,507)
  • Margin Used
    $0
  • Buying Power
    ($6,507)
  • Ratios
  • W:L ratio
    0.73:1
  • Sharpe Ratio
    -1.27
  • Sortino Ratio
    -1.34
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.03850
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -92.64%
  • Return Percent SP500 (cumu) during strategy life
    70.16%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    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)
    -1.151%
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    859
  • Popularity (7 days, Percentile 1000 scale)
    750
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $4,507
  • Avg Loss
    $16,134
  • Sum Trade PL (losers)
    $209,738.000
  • Sum Trade PL (winners)
    $153,235.000
  • # Winners
    34
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    0
  • Age
  • Num Months filled monthly returns table
    1
  • Win / Loss
  • # Losers
    13
  • % Winners
    72.3%
  • Frequency
  • Avg Position Time (mins)
    463.15
  • Avg Position Time (hrs)
    7.72
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    1495
  • Leverage
  • Daily leverage (average)
    14.55
  • Daily leverage (max)
    29.59
  • Regression
  • Alpha
    0.00
  • Beta
    0.25
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    0.40
  • MAE:Equity, average, all trades
    0.12
  • Avg(MAE) / Avg(PL) - All trades
    -3.839
  • 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
    1.01
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.10
  • MAE:Equity, average, losing trades
    0.16
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    1.443
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.938
  • Hold-and-Hope Ratio
    -0.260
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.01000
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.80400
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    1
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -289265000

Strategy Description

Summary Statistics

Strategy began
2020-03-06
Suggested Minimum Capital
$25,000
# Trades
47
# Profitable
34
% Profitable
72.3%
Correlation S&P500
0.038
Sharpe Ratio
-1.27
Sortino Ratio
-1.34
Beta
0.25
Alpha
0.00
Leverage
14.55 Average
29.59 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.