Medallion CME
(134947287)
Subscription terms. Subscriptions to this system cost $250.00 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.
Currencies
Focuses on currency futures.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2021  +0.2%  +6.8%  (5.2%)  +3.2%  +15.4%  (12.4%)  +8.2%  +14.5% 
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.
Started  $125,000  
Buy Power  $151,823  
Cash  $151,823  
Equity  $0  
Cumulative $  $26,822  
Total System Equity  $151,822  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began3/31/2021

Suggested Minimum Cap$125,000

Strategy Age (days)177.09

Age6 months ago

What it tradesFutures

# Trades83

# Profitable68

% Profitable81.90%

Avg trade duration2.3 days

Max peaktovalley drawdown29.62%

drawdown periodAug 05, 2021  Aug 20, 2021

Cumul. Return14.5%

Avg win$902.94

Avg loss$2,304
 Model Account Values (Raw)

Cash$151,823

Margin Used$0

Buying Power$151,823
 Ratios

W:L ratio1.78:1

Sharpe Ratio0.71

Sortino Ratio0.96

Calmar Ratio1.832
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)2.54%

Correlation to SP5000.14390

Return Percent SP500 (cumu) during strategy life11.84%
 Return Statistics

Ann Return (w trading costs)31.7%
 Slump

Current Slump as Pcnt Equity9.00%
 Instruments

Percent Trades Futures0.99%
 Slump

Current Slump, time of slump as pcnt of strategy life0.28%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.145%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocksn/a

Percent Trades Forex0.01%
 Return Statistics

Ann Return (Compnd, No Fees)47.7%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss56.50%

Chance of 20% account loss14.50%

Chance of 30% account loss2.00%

Chance of 40% account lossn/a

Chance of 60% account loss (Monte Carlo)n/a

Chance of 70% account loss (Monte Carlo)n/a

Chance of 80% account loss (Monte Carlo)n/a

Chance of 90% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)491

Popularity (Last 6 weeks)900
 Trading Style

Any stock shorts? 0/10
 Popularity

Popularity (7 days, Percentile 1000 scale)677
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$2,305

Avg Win$903

Sum Trade PL (losers)$34,570.000
 Age

Num Months filled monthly returns table7
 Win / Loss

Sum Trade PL (winners)$61,400.000

# Winners68

Num Months Winners5
 Dividends

Dividends Received in Model Acct0
 Win / Loss

# Losers15

% Winners81.9%
 Frequency

Avg Position Time (mins)3294.90

Avg Position Time (hrs)54.91

Avg Trade Length2.3 days

Last Trade Ago15
 Leverage

Daily leverage (average)6.63

Daily leverage (max)17.38
 Regression

Alpha0.06

Beta0.52

Treynor Index0.18
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)1.13

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.06

Avg(MAE) / Avg(PL)  All trades6.661

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 strat0.01

Avg(MAE) / Avg(PL)  Winning trades1.365

Avg(MAE) / Avg(PL)  Losing trades2.562

HoldandHope Ratio0.150
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.30883

SD0.35360

Sharpe ratio (Glass type estimate)0.87337

Sharpe ratio (Hedges UMVUE)0.69685

df4.00000

t0.56376

p0.30151

Lowerbound of 95% confidence interval for Sharpe Ratio2.26903

Upperbound of 95% confidence interval for Sharpe Ratio3.91504

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.37767

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.77136
 Statistics related to Sortino ratio

Sortino ratio1.78962

Upside Potential Ratio3.81134

Upside part of mean0.65770

Downside part of mean0.34888

Upside SD0.27964

Downside SD0.17256

N nonnegative terms3.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.28862

Mean of criterion0.30883

SD of predictor0.06063

SD of criterion0.35360

Covariance0.00375

r0.17495

b (slope, estimate of beta)1.02031

a (intercept, estimate of alpha)0.01434

Mean Square Error0.16161

DF error3.00000

t(b)0.30778

p(b)0.38919

t(a)0.01256

p(a)0.49538

Lowerbound of 95% confidence interval for beta9.52980

Upperbound of 95% confidence interval for beta11.57040

Lowerbound of 95% confidence interval for alpha3.61887

Upperbound of 95% confidence interval for alpha3.64756

Treynor index (mean / b)0.30268

Jensen alpha (a)0.01434
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.25660

SD0.34564

Sharpe ratio (Glass type estimate)0.74240

Sharpe ratio (Hedges UMVUE)0.59235

df4.00000

t0.47922

p0.32840

Lowerbound of 95% confidence interval for Sharpe Ratio2.37755

Upperbound of 95% confidence interval for Sharpe Ratio3.77589

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.47163

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.65633
 Statistics related to Sortino ratio

Sortino ratio1.41887

Upside Potential Ratio3.43100

Upside part of mean0.62049

Downside part of mean0.36389

Upside SD0.26144

Downside SD0.18085

N nonnegative terms3.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.28316

Mean of criterion0.25660

SD of predictor0.05892

SD of criterion0.34564

Covariance0.00373

r0.18310

b (slope, estimate of beta)1.07412

a (intercept, estimate of alpha)0.04755

Mean Square Error0.15394

DF error3.00000

t(b)0.32259

p(b)0.38409

t(a)0.04239

p(a)0.51557

Lowerbound of 95% confidence interval for beta9.52243

Upperbound of 95% confidence interval for beta11.67070

Lowerbound of 95% confidence interval for alpha3.61757

Upperbound of 95% confidence interval for alpha3.52247

Treynor index (mean / b)0.23889

Jensen alpha (a)0.04755
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.13301

Expected Shortfall on VaR0.16786
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.05956

Expected Shortfall on VaR0.10762
 ORDER STATISTICS
 Quartiles of return rates

Number of observations5.00000

Minimum0.89930

Quartile 10.96000

Median1.04159

Quartile 31.07801

Maximum1.16143

Mean of quarter 10.92965

Mean of quarter 21.04159

Mean of quarter 31.07801

Mean of quarter 41.16143

Inter Quartile Range0.11801

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations2.00000

Minimum0.04000

Quartile 10.05518

Median0.07035

Quartile 30.08553

Maximum0.10070

Mean of quarter 10.04000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.10070

Inter Quartile Range0.03035

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.30206

Compounded annual return (geometric extrapolation)0.32911

Calmar ratio (compounded annual return / max draw down)3.26807

Compounded annual return / average of 25% largest draw downs3.26807

Compounded annual return / Expected Shortfall lognormal1.96064

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.44077

SD0.39021

Sharpe ratio (Glass type estimate)1.12957

Sharpe ratio (Hedges UMVUE)1.12284

df126.00000

t0.78644

p0.46505

Lowerbound of 95% confidence interval for Sharpe Ratio1.69112

Upperbound of 95% confidence interval for Sharpe Ratio3.94597

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.69569

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.94137
 Statistics related to Sortino ratio

Sortino ratio1.56328

Upside Potential Ratio8.17268

Upside part of mean2.30428

Downside part of mean1.86352

Upside SD0.26890

Downside SD0.28195

N nonnegative terms70.00000

N negative terms57.00000
 Statistics related to linear regression on benchmark

N of observations127.00000

Mean of predictor0.21147

Mean of criterion0.44077

SD of predictor0.10798

SD of criterion0.39021

Covariance0.00708

r0.16813

b (slope, estimate of beta)0.60755

a (intercept, estimate of alpha)0.32300

Mean Square Error0.14914

DF error125.00000

t(b)1.90691

p(b)0.39347

t(a)0.55889

p(a)0.46823

Lowerbound of 95% confidence interval for beta0.02301

Upperbound of 95% confidence interval for beta1.23810

Lowerbound of 95% confidence interval for alpha0.79357

Upperbound of 95% confidence interval for alpha1.41814

Treynor index (mean / b)0.72548

Jensen alpha (a)0.31228
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.36432

SD0.39259

Sharpe ratio (Glass type estimate)0.92798

Sharpe ratio (Hedges UMVUE)0.92245

df126.00000

t0.64609

p0.47127

Lowerbound of 95% confidence interval for Sharpe Ratio1.89121

Upperbound of 95% confidence interval for Sharpe Ratio3.74369

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.89497

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.73987
 Statistics related to Sortino ratio

Sortino ratio1.25184

Upside Potential Ratio7.79689

Upside part of mean2.26909

Downside part of mean1.90478

Upside SD0.26215

Downside SD0.29102

N nonnegative terms70.00000

N negative terms57.00000
 Statistics related to linear regression on benchmark

N of observations127.00000

Mean of predictor0.20558

Mean of criterion0.36432

SD of predictor0.10800

SD of criterion0.39259

Covariance0.00716

r0.16895

b (slope, estimate of beta)0.61412

a (intercept, estimate of alpha)0.23806

Mean Square Error0.15093

DF error125.00000

t(b)1.91643

p(b)0.39296

t(a)0.42370

p(a)0.47590

Lowerbound of 95% confidence interval for beta0.02009

Upperbound of 95% confidence interval for beta1.24833

Lowerbound of 95% confidence interval for alpha0.87395

Upperbound of 95% confidence interval for alpha1.35008

Treynor index (mean / b)0.59323

Jensen alpha (a)0.23806
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03777

Expected Shortfall on VaR0.04744
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01500

Expected Shortfall on VaR0.03211
 ORDER STATISTICS
 Quartiles of return rates

Number of observations127.00000

Minimum0.91090

Quartile 10.99342

Median1.00336

Quartile 31.01177

Maximum1.10049

Mean of quarter 10.97331

Mean of quarter 20.99911

Mean of quarter 31.00795

Mean of quarter 41.02699

Inter Quartile Range0.01835

Number outliers low7.00000

Percentage of outliers low0.05512

Mean of outliers low0.93759

Number of outliers high4.00000

Percentage of outliers high0.03150

Mean of outliers high1.06222
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.29335

VaR(95%) (moments method)0.02214

Expected Shortfall (moments method)0.03941

Extreme Value Index (regression method)0.00193

VaR(95%) (regression method)0.02888

Expected Shortfall (regression method)0.04263
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations13.00000

Minimum0.00030

Quartile 10.00691

Median0.01496

Quartile 30.06425

Maximum0.26221

Mean of quarter 10.00252

Mean of quarter 20.01285

Mean of quarter 30.04894

Mean of quarter 40.15570

Inter Quartile Range0.05734

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.07692

Mean of outliers high0.26221
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.25564

VaR(95%) (moments method)0.14383

Expected Shortfall (moments method)0.17769

Extreme Value Index (regression method)0.68677

VaR(95%) (regression method)0.19099

Expected Shortfall (regression method)0.58917
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.43199

Compounded annual return (geometric extrapolation)0.48027

Calmar ratio (compounded annual return / max draw down)1.83164

Compounded annual return / average of 25% largest draw downs3.08456

Compounded annual return / Expected Shortfall lognormal10.12440
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess log return rates
 Statistics related to linear regression on benchmark

VAR (95 Confidence Intrvl)0.03800
 DRAW DOWN STATISTICS
 Risk estimates based on draw downs (based on Extreme Value T
 assuming Pareto losses only (using partial moments from Sortino statistics)

Last 4 Months  Pcnt Negative0.25%

Strat Max DD how much worse than SP500 max DD during strat life?307903000

Max Equity Drawdown (num days)15
Strategy Description
This system Medallion CME (Futures) is identical to the my system Medallion X (Forex)  https://collective2.com/details/132634862
1) Trading experience since 2006. Experience in managing a fund of 20 million USD. The plan and goal for the future is to open a hedge fund.
2) My public verified trading results  2011 + 12.11%  2012 + 105.51%  2013 + 272.49%  2014 + 182.49%  2015 + 121.17%  2016 + 65.57%  2017 + 18.24%  2018 + 88.6%  2019 +16.5%.
3) Manual trading is based on the use of advanced mathematical algorithms that generate accurate entry and exit signals, as well as on the analysis of intraday currency futures of the Chicago Mercantile Exchange (CME Group).
4) Trading is carried out both by trend and reversal, on CME currency futures: British Pound Futures, Euro FX Futures, Australian Dollar Futures, Japanese Yen Futures, Canadian Dollar Futures, Swiss Franc Futures.
5) Each trade is protected by stop loss. Prior to the opening of each trade, a risk calculation is made and only after that a trade is opened. Risk control takes first place in the system.
6) Maximum Position Sizes for Medallion CME  In order to comply with rules imposed by market regulators, including the CME and the CFTC, Collective2 restricts the size of trades that can be placed at exchanges.
7) Maximum drawdown per month 10%. The risk for you may be more than 10% if you connected not from the 1st of the month.
8) Not a martingale.
July 27, 2021
Michael
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.