W4T Futures Runner
(134947325)
Subscription terms. Subscriptions to this system cost $125.00 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.
Momentum
Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and shortsells a security that has been in a downward trend. While similar to Trendfollowing, tends to be more forwardlooking (predicting oncoming trend), while Momentum is more backwardlooking (observing alreadyestablished price direction).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  (0.4%)  +0.2%  +7.9%  (0.1%)  +7.7%  +2.6%  (5%)  +12.9% 
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  $45,000  
Buy Power  $54,393  
Cash  $54,096  
Equity  $1  
Cumulative $  $9,098  
Total System Equity  $54,098  
Margined  ($295)  
Open P/L  $0 
Trading Record
Statistics

Strategy began3/31/2021

Suggested Minimum Cap$50,000

Strategy Age (days)180.85

Age6 months ago

What it tradesFutures

# Trades1245

# Profitable723

% Profitable58.10%

Avg trade duration3.2 hours

Max peaktovalley drawdown5.24%

drawdown periodSept 06, 2021  Sept 27, 2021

Cumul. Return12.6%

Avg win$48.91

Avg loss$50.32
 Model Account Values (Raw)

Cash$54,096

Margin Used($295)

Buying Power$54,393
 Ratios

W:L ratio1.35:1

Sharpe Ratio2.22

Sortino Ratio3.61

Calmar Ratio8.646
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)0.73%

Correlation to SP5000.06290

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

C2Star1
 Return Statistics

Ann Return (w trading costs)26.5%
 Slump

Current Slump as Pcnt Equity5.50%
 Instruments

Percent Trades Futures1.00%
 Slump

Current Slump, time of slump as pcnt of strategy life0.12%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.126%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocksn/a

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)44.7%
 Risk of Ruin (MonteCarlo)

Chance of 10% account lossn/a

Chance of 20% account lossn/a

Chance of 30% account lossn/a

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 Automated99.48%
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)768

Popularity (Last 6 weeks)965
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score896

Popularity (7 days, Percentile 1000 scale)913
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$50

Avg Win$49

Sum Trade PL (losers)$26,265.000
 AUM

AUM (AutoTrader num accounts)1
 Age

Num Months filled monthly returns table7
 Win / Loss

Sum Trade PL (winners)$35,365.000

# Winners723

Num Months Winners3
 Dividends

Dividends Received in Model Acct0
 AUM

AUM (AutoTrader live capital)51780
 Win / Loss

# Losers521

% Winners58.1%
 Frequency

Avg Position Time (mins)191.17

Avg Position Time (hrs)3.19

Avg Trade Length0.1 days

Last Trade Ago0
 Leverage

Daily leverage (average)1.76

Daily leverage (max)10.26
 Regression

Alpha0.07

Beta0.06

Treynor Index1.26
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.38

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades26.093

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.459

Avg(MAE) / Avg(PL)  Losing trades1.181

HoldandHope Ratio0.038
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.54524

SD0.13920

Sharpe ratio (Glass type estimate)3.91691

Sharpe ratio (Hedges UMVUE)3.12524

df4.00000

t2.52836

p0.03239

Lowerbound of 95% confidence interval for Sharpe Ratio0.21451

Upperbound of 95% confidence interval for Sharpe Ratio7.80092

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60430

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.85479
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean0.54524

Downside part of mean0.00000

Upside SD0.20069

Downside SD0.00000

N nonnegative terms5.00000

N negative terms0.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.28862

Mean of criterion0.54524

SD of predictor0.06063

SD of criterion0.13920

Covariance0.00800

r0.94738

b (slope, estimate of beta)2.17500

a (intercept, estimate of alpha)1.17300

Mean Square Error0.00265

DF error3.00000

t(b)5.12604

p(b)0.99281

t(a)8.02757

p(a)0.00202

Lowerbound of 95% confidence interval for beta3.52533

Upperbound of 95% confidence interval for beta0.82468

Lowerbound of 95% confidence interval for alpha0.70797

Upperbound of 95% confidence interval for alpha1.63802

Treynor index (mean / b)0.25069

Jensen alpha (a)1.17300
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.52500

SD0.13211

Sharpe ratio (Glass type estimate)3.97410

Sharpe ratio (Hedges UMVUE)3.17088

df4.00000

t2.56527

p0.03114

Lowerbound of 95% confidence interval for Sharpe Ratio0.18216

Upperbound of 95% confidence interval for Sharpe Ratio7.88307

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.57712

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.91887
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean0.52500

Downside part of mean0.00000

Upside SD0.19217

Downside SD0.00000

N nonnegative terms5.00000

N negative terms0.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.28316

Mean of criterion0.52500

SD of predictor0.05892

SD of criterion0.13211

Covariance0.00741

r0.95228

b (slope, estimate of beta)2.13520

a (intercept, estimate of alpha)1.12960

Mean Square Error0.00217

DF error3.00000

t(b)5.40406

p(b)0.99379

t(a)8.48598

p(a)0.00172

Lowerbound of 95% confidence interval for beta3.39261

Upperbound of 95% confidence interval for beta0.87778

Lowerbound of 95% confidence interval for alpha0.70597

Upperbound of 95% confidence interval for alpha1.55323

Treynor index (mean / b)0.24588

Jensen alpha (a)1.12960
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01880

Expected Shortfall on VaR0.03421
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00000

Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates

Number of observations5.00000

Minimum1.00238

Quartile 11.02418

Median1.03743

Quartile 31.07021

Maximum1.10462

Mean of quarter 11.01328

Mean of quarter 21.03743

Mean of quarter 31.07021

Mean of quarter 41.10462

Inter Quartile Range0.04603

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 observations0.00000

Minimum0.00000

Quartile 10.00000

Median0.00000

Quartile 30.00000

Maximum0.00000

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

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)0.62178

Compounded annual return (geometric extrapolation)0.73830

Calmar ratio (compounded annual return / max draw down)0.00000

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal21.57890

0.00000

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

Mean0.35370

SD0.10522

Sharpe ratio (Glass type estimate)3.36159

Sharpe ratio (Hedges UMVUE)3.34186

df128.00000

t2.35879

p0.39795

Lowerbound of 95% confidence interval for Sharpe Ratio0.53187

Upperbound of 95% confidence interval for Sharpe Ratio6.17856

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.51881

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.16491
 Statistics related to Sortino ratio

Sortino ratio5.98507

Upside Potential Ratio13.56050

Upside part of mean0.80138

Downside part of mean0.44768

Upside SD0.08927

Downside SD0.05910

N nonnegative terms72.00000

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

N of observations129.00000

Mean of predictor0.20509

Mean of criterion0.35370

SD of predictor0.10727

SD of criterion0.10522

Covariance0.00015

r0.01306

b (slope, estimate of beta)0.01281

a (intercept, estimate of alpha)0.35100

Mean Square Error0.01116

DF error127.00000

t(b)0.14724

p(b)0.49168

t(a)2.31607

p(a)0.37271

Lowerbound of 95% confidence interval for beta0.15940

Upperbound of 95% confidence interval for beta0.18503

Lowerbound of 95% confidence interval for alpha0.05112

Upperbound of 95% confidence interval for alpha0.65102

Treynor index (mean / b)27.60240

Jensen alpha (a)0.35107
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.34795

SD0.10496

Sharpe ratio (Glass type estimate)3.31527

Sharpe ratio (Hedges UMVUE)3.29581

df128.00000

t2.32629

p0.39930

Lowerbound of 95% confidence interval for Sharpe Ratio0.48650

Upperbound of 95% confidence interval for Sharpe Ratio6.13154

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.47357

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.11805
 Statistics related to Sortino ratio

Sortino ratio5.85572

Upside Potential Ratio13.41860

Upside part of mean0.79735

Downside part of mean0.44939

Upside SD0.08866

Downside SD0.05942

N nonnegative terms72.00000

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

N of observations129.00000

Mean of predictor0.19928

Mean of criterion0.34795

SD of predictor0.10729

SD of criterion0.10496

Covariance0.00014

r0.01260

b (slope, estimate of beta)0.01232

a (intercept, estimate of alpha)0.34550

Mean Square Error0.01110

DF error127.00000

t(b)0.14196

p(b)0.49198

t(a)2.28589

p(a)0.37428

Lowerbound of 95% confidence interval for beta0.15944

Upperbound of 95% confidence interval for beta0.18408

Lowerbound of 95% confidence interval for alpha0.04641

Upperbound of 95% confidence interval for alpha0.64458

Treynor index (mean / b)28.23760

Jensen alpha (a)0.34550
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00929

Expected Shortfall on VaR0.01197
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00362

Expected Shortfall on VaR0.00736
 ORDER STATISTICS
 Quartiles of return rates

Number of observations129.00000

Minimum0.98126

Quartile 10.99846

Median1.00075

Quartile 31.00476

Maximum1.02202

Mean of quarter 10.99412

Mean of quarter 20.99950

Mean of quarter 31.00265

Mean of quarter 41.00978

Inter Quartile Range0.00630

Number outliers low4.00000

Percentage of outliers low0.03101

Mean of outliers low0.98603

Number of outliers high7.00000

Percentage of outliers high0.05426

Mean of outliers high1.01744
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.22554

VaR(95%) (moments method)0.00452

Expected Shortfall (moments method)0.00579

Extreme Value Index (regression method)0.14609

VaR(95%) (regression method)0.00616

Expected Shortfall (regression method)0.00836
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations16.00000

Minimum0.00004

Quartile 10.00182

Median0.00350

Quartile 30.01470

Maximum0.05277

Mean of quarter 10.00093

Mean of quarter 20.00256

Mean of quarter 30.00934

Mean of quarter 40.03290

Inter Quartile Range0.01288

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.12500

Mean of outliers high0.04467
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)3.45281

VaR(95%) (moments method)0.03292

Expected Shortfall (moments method)0.03306

Extreme Value Index (regression method)0.61001

VaR(95%) (regression method)0.05127

Expected Shortfall (regression method)0.05986
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.41289

Compounded annual return (geometric extrapolation)0.45624

Calmar ratio (compounded annual return / max draw down)8.64554

Compounded annual return / average of 25% largest draw downs13.86600

Compounded annual return / Expected Shortfall lognormal38.11020
 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)0.00900
 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 Negative0.50%

Strat Max DD how much worse than SP500 max DD during strat life?371270000

Max Equity Drawdown (num days)21
Strategy Description
It is based on the concept of creating a portfolio of diverse automated trading bots for maximum diversification.
At the moment, running 6 bots for MNQ and 3 bots for MES.
Each bot operates with 1 lot, so the maximum lot for MNQ is 6, MES  3, total 9.
But the features of the C2 calculation can display a larger number. This is due to the fact that while more trades are open in one direction, all additional ones are added to this. You can see this in “Show More Details” for each position.
All bots use stop losses.
I rescale strategy to $50,000 after each $5000 profit.
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.
Not available
This feature isn't available under your current Trade Leader Plan.
Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
C2Star strategies cannot be made private.
To make this strategy private, you need to first withdraw from C2Star program.
Strategy is no longer visible
This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
This strategy is no longer visible to the public. No subscribers will be allowed.
You can restore public visibility at any time.
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.