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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

THE ROLLING STONES SP500
(75421760)

Created by: MarketSignals MarketSignals
Started: 07/2012
Futures
Last trade: 2,086 days ago

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 $99.00 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.

13.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(35.4%)
Max Drawdown
158
Num Trades
77.8%
Win Trades
1.6 : 1
Profit Factor
33.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                          +2.2%+0.2%+0.4%+2.5%+12.3%+7.0%+26.7%
2013+4.9%(1.8%)+1.4%+1.9%(7%)+4.4%(1%)+5.4%(0.6%)+6.8%+4.4%+3.8%+24.3%
2014+5.0%+1.6%+5.1%+9.0%(0.3%)(0.3%)(6%)+3.3%+7.3%(3.1%)(6.8%)(1%)+13.1%
2015+19.9%+4.0%(0.6%)+1.1%+1.7%+3.3%+1.7%(2.8%)(4%)(4.8%)(2.7%)+7.1%+23.9%
2016(18%)+4.6%+9.8%(1.4%)+5.4%+2.5%(1.8%)+0.4%+2.4%(1.6%)+0.5%+0.8%+1.2%
2017+2.3%(5.5%)+2.1%+3.2%+0.3%+3.9%+0.1%(5.3%)+2.1%+1.9%+1.6%+2.2%+8.7%
2018(1.8%)(3.3%)(0.7%)(14.2%)+4.3%(3.4%)+3.2%  -    -    -    -    -  (15.8%)
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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

This strategy has placed 270 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2157 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/10/18 18:30 @ESU8 E-MINI S&P 500 LONG 1 2777.00 7/12 8:01 2789.25 1.08%
Trade id #118854147
Max drawdown($562)
Time7/10/18 21:16
Quant open1
Worst price2765.75
Drawdown as % of equity-1.08%
$605
Includes Typical Broker Commissions trade costs of $8.00
6/25/18 4:09 @ESU8 E-MINI S&P 500 LONG 1 2746.00 7/5 18:00 2736.50 5.2%
Trade id #118616520
Max drawdown($2,637)
Time6/28/18 8:37
Quant open1
Worst price2693.25
Drawdown as % of equity-5.20%
($483)
Includes Typical Broker Commissions trade costs of $8.00
5/29/18 5:08 @ESM8 E-MINI S&P 500 LONG 1 2698.25 5/30 6:18 2703.50 2.25%
Trade id #118140256
Max drawdown($1,162)
Time5/29/18 15:01
Quant open1
Worst price2675.00
Drawdown as % of equity-2.25%
$255
Includes Typical Broker Commissions trade costs of $8.00
5/23/18 3:41 @ESM8 E-MINI S&P 500 LONG 1 2713.25 5/25 6:05 2732.00 0.85%
Trade id #118063014
Max drawdown($437)
Time5/23/18 5:43
Quant open1
Worst price2704.50
Drawdown as % of equity-0.85%
$930
Includes Typical Broker Commissions trade costs of $8.00
5/14/18 9:53 @ESM8 E-MINI S&P 500 SHORT 1 2737.75 5/14 13:13 2730.25 0.34%
Trade id #117917322
Max drawdown($175)
Time5/14/18 10:36
Quant open-1
Worst price2741.25
Drawdown as % of equity-0.34%
$367
Includes Typical Broker Commissions trade costs of $8.00
5/11/18 10:10 @ESM8 E-MINI S&P 500 SHORT 1 2729.75 5/11 16:03 2727.75 0.27%
Trade id #117894788
Max drawdown($137)
Time5/11/18 11:01
Quant open-1
Worst price2732.50
Drawdown as % of equity-0.27%
$92
Includes Typical Broker Commissions trade costs of $8.00
4/30/18 16:11 @ESM8 E-MINI S&P 500 LONG 1 2647.75 5/1 16:30 2652.75 2.45%
Trade id #117724911
Max drawdown($1,225)
Time5/1/18 13:10
Quant open1
Worst price2623.25
Drawdown as % of equity-2.45%
$242
Includes Typical Broker Commissions trade costs of $8.00
4/24/18 10:19 @ESM8 E-MINI S&P 500 LONG 1 2672.50 4/27 9:32 2674.00 6.31%
Trade id #117637971
Max drawdown($3,062)
Time4/25/18 9:46
Quant open1
Worst price2611.25
Drawdown as % of equity-6.31%
$67
Includes Typical Broker Commissions trade costs of $8.00
4/17/18 16:03 @ESM8 E-MINI S&P 500 LONG 1 2706.75 4/18 16:30 2709.25 0.3%
Trade id #117550190
Max drawdown($150)
Time4/17/18 18:03
Quant open1
Worst price2703.75
Drawdown as % of equity-0.30%
$117
Includes Typical Broker Commissions trade costs of $8.00
4/3/18 16:30 @ESM8 E-MINI S&P 500 LONG 1 2613.25 4/4 6:19 2561.00 5.09%
Trade id #117356181
Max drawdown($2,613)
Time4/4/18 6:19
Quant open0
Worst price2561.00
Drawdown as % of equity-5.09%
($2,621)
Includes Typical Broker Commissions trade costs of $8.00
3/28/18 18:00 @ESM8 E-MINI S&P 500 LONG 1 2610.25 4/2 14:00 2558.00 4.59%
Trade id #117288486
Max drawdown($2,613)
Time4/2/18 14:00
Quant open0
Worst price2558.00
Drawdown as % of equity-4.59%
($2,621)
Includes Typical Broker Commissions trade costs of $8.00
3/21/18 11:57 @ESM8 E-MINI S&P 500 LONG 1 2732.00 3/22 10:56 2675.00 5.01%
Trade id #117157160
Max drawdown($2,850)
Time3/22/18 10:56
Quant open0
Worst price2675.00
Drawdown as % of equity-5.01%
($2,858)
Includes Typical Broker Commissions trade costs of $8.00
3/2/18 7:19 @ESH8 E-MINI S&P 500 LONG 1 2666.75 3/2 15:55 2692.75 1.72%
Trade id #116821959
Max drawdown($987)
Time3/2/18 9:46
Quant open1
Worst price2647.00
Drawdown as % of equity-1.72%
$1,292
Includes Typical Broker Commissions trade costs of $8.00
1/29/18 16:12 @ESH8 E-MINI S&P 500 LONG 1 2854.00 2/2 4:44 2804.75 4.24%
Trade id #116160140
Max drawdown($2,463)
Time2/2/18 4:44
Quant open0
Worst price2804.75
Drawdown as % of equity-4.24%
($2,471)
Includes Typical Broker Commissions trade costs of $8.00
1/24/18 11:39 @ESH8 E-MINI S&P 500 LONG 1 2836.00 1/25 5:18 2844.75 0.88%
Trade id #116072758
Max drawdown($525)
Time1/24/18 13:20
Quant open1
Worst price2825.50
Drawdown as % of equity-0.88%
$430
Includes Typical Broker Commissions trade costs of $8.00
1/17/18 6:48 @ESH8 E-MINI S&P 500 SHORT 1 2792.25 1/19 3:19 2796.25 1.47%
Trade id #115923748
Max drawdown($862)
Time1/17/18 15:07
Quant open-1
Worst price2809.50
Drawdown as % of equity-1.47%
($208)
Includes Typical Broker Commissions trade costs of $8.00
1/5/18 4:40 @ESH8 E-MINI S&P 500 SHORT 1 2729.25 1/10 10:03 2740.00 2.61%
Trade id #115711006
Max drawdown($1,537)
Time1/9/18 14:01
Quant open-1
Worst price2760.00
Drawdown as % of equity-2.61%
($546)
Includes Typical Broker Commissions trade costs of $8.00
12/28/17 6:07 @ESH8 E-MINI S&P 500 LONG 1 2688.00 1/2/18 15:17 2691.50 1.7%
Trade id #115559182
Max drawdown($1,012)
Time12/29/17 16:58
Quant open1
Worst price2667.75
Drawdown as % of equity-1.70%
$167
Includes Typical Broker Commissions trade costs of $8.00
12/4/17 18:00 @ESZ7 E-MINI S&P 500 LONG 1 2636.75 12/8 15:53 2649.25 1.43%
Trade id #115183228
Max drawdown($837)
Time12/6/17 2:46
Quant open1
Worst price2620.00
Drawdown as % of equity-1.43%
$617
Includes Typical Broker Commissions trade costs of $8.00
12/1/17 11:33 @ESZ7 E-MINI S&P 500 LONG 1 2608.25 12/1 12:22 2629.50 n/a $1,055
Includes Typical Broker Commissions trade costs of $8.00
11/15/17 4:07 @ESZ7 E-MINI S&P 500 LONG 1 2566.75 11/16 4:38 2573.75 0.97%
Trade id #114862038
Max drawdown($562)
Time11/15/17 9:40
Quant open1
Worst price2555.50
Drawdown as % of equity-0.97%
$342
Includes Typical Broker Commissions trade costs of $8.00
11/13/17 8:08 @ESZ7 E-MINI S&P 500 LONG 1 2574.25 11/13 16:30 2581.50 0.35%
Trade id #114823153
Max drawdown($200)
Time11/13/17 9:03
Quant open1
Worst price2570.25
Drawdown as % of equity-0.35%
$355
Includes Typical Broker Commissions trade costs of $8.00
10/30/17 18:00 @ESZ7 E-MINI S&P 500 LONG 1 2568.25 11/1 5:18 2580.00 0.13%
Trade id #114601844
Max drawdown($75)
Time10/30/17 20:35
Quant open1
Worst price2566.75
Drawdown as % of equity-0.13%
$580
Includes Typical Broker Commissions trade costs of $8.00
10/23/17 19:30 @ESZ7 E-MINI S&P 500 LONG 1 2565.00 10/27 14:37 2578.25 2.09%
Trade id #114432549
Max drawdown($1,175)
Time10/25/17 12:31
Quant open1
Worst price2541.50
Drawdown as % of equity-2.09%
$655
Includes Typical Broker Commissions trade costs of $8.00
10/23/17 5:43 @ESZ7 E-MINI S&P 500 SHORT 1 2575.25 10/23 14:22 2568.25 0.16%
Trade id #114416099
Max drawdown($87)
Time10/23/17 5:50
Quant open-1
Worst price2577.00
Drawdown as % of equity-0.16%
$342
Includes Typical Broker Commissions trade costs of $8.00
10/5/17 9:22 @ESZ7 E-MINI S&P 500 SHORT 1 2538.25 10/13 6:18 2550.25 1.37%
Trade id #114035846
Max drawdown($762)
Time10/11/17 16:02
Quant open-1
Worst price2553.50
Drawdown as % of equity-1.37%
($608)
Includes Typical Broker Commissions trade costs of $8.00
10/3/17 11:21 @ESZ7 E-MINI S&P 500 LONG 1 2527.00 10/3 15:37 2531.75 0.02%
Trade id #113993557
Max drawdown($12)
Time10/3/17 11:23
Quant open1
Worst price2526.75
Drawdown as % of equity-0.02%
$230
Includes Typical Broker Commissions trade costs of $8.00
9/25/17 10:49 @ESZ7 E-MINI S&P 500 LONG 1 2494.50 9/29 15:32 2514.00 0.86%
Trade id #113839433
Max drawdown($475)
Time9/25/17 11:05
Quant open1
Worst price2485.00
Drawdown as % of equity-0.86%
$967
Includes Typical Broker Commissions trade costs of $8.00
9/13/17 9:37 @ESZ7 E-MINI S&P 500 LONG 1 2492.25 9/15 13:15 2495.00 0.48%
Trade id #113658188
Max drawdown($262)
Time9/14/17 18:03
Quant open1
Worst price2487.00
Drawdown as % of equity-0.48%
$130
Includes Typical Broker Commissions trade costs of $8.00
8/9/17 18:00 @ESU7 E-MINI S&P 500 LONG 1 2474.00 8/18 9:38 2423.00 4.59%
Trade id #113069478
Max drawdown($2,550)
Time8/18/17 9:38
Quant open0
Worst price2423.00
Drawdown as % of equity-4.59%
($2,558)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    7/20/2012
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    4268.02
  • Age
    142 months ago
  • What it trades
    Futures
  • # Trades
    158
  • # Profitable
    123
  • % Profitable
    77.80%
  • Avg trade duration
    4.1 days
  • Max peak-to-valley drawdown
    35.39%
  • drawdown period
    Aug 20, 2015 - Feb 11, 2016
  • Annual Return (Compounded)
    13.6%
  • Avg win
    $730.00
  • Avg loss
    $1,627
  • Model Account Values (Raw)
  • Cash
    $52,816
  • Margin Used
    $0
  • Buying Power
    $52,816
  • Ratios
  • W:L ratio
    1.58:1
  • Sharpe Ratio
    0.29
  • Sortino Ratio
    0.45
  • Calmar Ratio
    0.546
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    9.88%
  • Correlation to SP500
    0.13510
  • Return Percent SP500 (cumu) during strategy life
    285.36%
  • Return Statistics
  • Ann Return (w trading costs)
    13.6%
  • Slump
  • Current Slump as Pcnt Equity
    20.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.53%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.136%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    52.00%
  • Chance of 20% account loss
    20.00%
  • Chance of 30% account loss
    6.00%
  • Chance of 40% account loss
    1.00%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    483
  • Popularity (Last 6 weeks)
    739
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    603
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,627
  • Avg Win
    $730
  • Sum Trade PL (losers)
    $56,954.000
  • Age
  • Num Months filled monthly returns table
    141
  • Win / Loss
  • Sum Trade PL (winners)
    $89,790.000
  • # Winners
    123
  • Num Months Winners
    47
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    35
  • % Winners
    77.8%
  • Frequency
  • Avg Position Time (mins)
    5841.23
  • Avg Position Time (hrs)
    97.35
  • Avg Trade Length
    4.1 days
  • Last Trade Ago
    2085
  • Regression
  • Alpha
    0.01
  • Beta
    0.13
  • Treynor Index
    0.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    74.65
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    70.75
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.36
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    6.327
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    1.272
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.466
  • Hold-and-Hope Ratio
    0.158
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15088
  • SD
    0.16613
  • Sharpe ratio (Glass type estimate)
    0.90822
  • Sharpe ratio (Hedges UMVUE)
    0.89846
  • df
    70.00000
  • t
    2.20918
  • p
    0.01522
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08545
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72474
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07906
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71785
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49174
  • Upside Potential Ratio
    2.77635
  • Upside part of mean
    0.28082
  • Downside part of mean
    -0.12993
  • Upside SD
    0.13739
  • Downside SD
    0.10115
  • N nonnegative terms
    46.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.09919
  • Mean of criterion
    0.15088
  • SD of predictor
    0.09402
  • SD of criterion
    0.16613
  • Covariance
    0.00178
  • r
    0.11425
  • b (slope, estimate of beta)
    0.20186
  • a (intercept, estimate of alpha)
    0.13086
  • Mean Square Error
    0.02763
  • DF error
    69.00000
  • t(b)
    0.95525
  • p(b)
    0.17139
  • t(a)
    1.83063
  • p(a)
    0.03574
  • Lowerbound of 95% confidence interval for beta
    -0.21971
  • Upperbound of 95% confidence interval for beta
    0.62344
  • Lowerbound of 95% confidence interval for alpha
    -0.01175
  • Upperbound of 95% confidence interval for alpha
    0.27346
  • Treynor index (mean / b)
    0.74745
  • Jensen alpha (a)
    0.13086
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13622
  • SD
    0.16542
  • Sharpe ratio (Glass type estimate)
    0.82349
  • Sharpe ratio (Hedges UMVUE)
    0.81463
  • df
    70.00000
  • t
    2.00306
  • p
    0.02452
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00345
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63784
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00236
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63162
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.26791
  • Upside Potential Ratio
    2.52601
  • Upside part of mean
    0.27138
  • Downside part of mean
    -0.13517
  • Upside SD
    0.13031
  • Downside SD
    0.10744
  • N nonnegative terms
    46.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.09423
  • Mean of criterion
    0.13622
  • SD of predictor
    0.09395
  • SD of criterion
    0.16542
  • Covariance
    0.00192
  • r
    0.12352
  • b (slope, estimate of beta)
    0.21749
  • a (intercept, estimate of alpha)
    0.11572
  • Mean Square Error
    0.02734
  • DF error
    69.00000
  • t(b)
    1.03399
  • p(b)
    0.15238
  • t(a)
    1.63446
  • p(a)
    0.05336
  • Lowerbound of 95% confidence interval for beta
    -0.20212
  • Upperbound of 95% confidence interval for beta
    0.63709
  • Lowerbound of 95% confidence interval for alpha
    -0.02552
  • Upperbound of 95% confidence interval for alpha
    0.25697
  • Treynor index (mean / b)
    0.62634
  • Jensen alpha (a)
    0.11572
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06499
  • Expected Shortfall on VaR
    0.08331
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01899
  • Expected Shortfall on VaR
    0.04358
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    71.00000
  • Minimum
    0.84636
  • Quartile 1
    0.99221
  • Median
    1.01750
  • Quartile 3
    1.03580
  • Maximum
    1.18447
  • Mean of quarter 1
    0.96151
  • Mean of quarter 2
    1.00675
  • Mean of quarter 3
    1.02605
  • Mean of quarter 4
    1.06592
  • Inter Quartile Range
    0.04359
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02817
  • Mean of outliers low
    0.85851
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02817
  • Mean of outliers high
    1.16406
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.75811
  • VaR(95%) (moments method)
    0.03656
  • Expected Shortfall (moments method)
    0.16589
  • Extreme Value Index (regression method)
    0.58724
  • VaR(95%) (regression method)
    0.04234
  • Expected Shortfall (regression method)
    0.12254
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00151
  • Quartile 1
    0.01029
  • Median
    0.02859
  • Quartile 3
    0.08365
  • Maximum
    0.23054
  • Mean of quarter 1
    0.00424
  • Mean of quarter 2
    0.01815
  • Mean of quarter 3
    0.05270
  • Mean of quarter 4
    0.15797
  • Inter Quartile Range
    0.07336
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.23054
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.66905
  • VaR(95%) (moments method)
    0.16770
  • Expected Shortfall (moments method)
    0.16772
  • Extreme Value Index (regression method)
    -0.76661
  • VaR(95%) (regression method)
    0.25748
  • Expected Shortfall (regression method)
    0.28482
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27732
  • Compounded annual return (geometric extrapolation)
    0.17836
  • Calmar ratio (compounded annual return / max draw down)
    0.77367
  • Compounded annual return / average of 25% largest draw downs
    1.12911
  • Compounded annual return / Expected Shortfall lognormal
    2.14083
  • 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
    0.15594
  • SD
    0.20366
  • Sharpe ratio (Glass type estimate)
    0.76565
  • Sharpe ratio (Hedges UMVUE)
    0.76528
  • df
    1556.00000
  • t
    1.86649
  • p
    0.47637
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03892
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03916
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56973
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25281
  • Upside Potential Ratio
    5.79853
  • Upside part of mean
    0.72174
  • Downside part of mean
    -0.56580
  • Upside SD
    0.16141
  • Downside SD
    0.12447
  • N nonnegative terms
    391.00000
  • N negative terms
    1166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1557.00000
  • Mean of predictor
    0.10180
  • Mean of criterion
    0.15594
  • SD of predictor
    0.12396
  • SD of criterion
    0.20366
  • Covariance
    0.00627
  • r
    0.24827
  • b (slope, estimate of beta)
    0.40789
  • a (intercept, estimate of alpha)
    0.10900
  • Mean Square Error
    0.03895
  • DF error
    1555.00000
  • t(b)
    10.10660
  • p(b)
    0.34359
  • t(a)
    1.41147
  • p(a)
    0.47723
  • Lowerbound of 95% confidence interval for beta
    0.32872
  • Upperbound of 95% confidence interval for beta
    0.48705
  • Lowerbound of 95% confidence interval for alpha
    -0.04458
  • Upperbound of 95% confidence interval for alpha
    0.27341
  • Treynor index (mean / b)
    0.38230
  • Jensen alpha (a)
    0.11441
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13550
  • SD
    0.20127
  • Sharpe ratio (Glass type estimate)
    0.67321
  • Sharpe ratio (Hedges UMVUE)
    0.67288
  • df
    1556.00000
  • t
    1.64113
  • p
    0.47922
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13122
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47747
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13146
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47723
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05264
  • Upside Potential Ratio
    5.51058
  • Upside part of mean
    0.70934
  • Downside part of mean
    -0.57384
  • Upside SD
    0.15487
  • Downside SD
    0.12872
  • N nonnegative terms
    391.00000
  • N negative terms
    1166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1557.00000
  • Mean of predictor
    0.09408
  • Mean of criterion
    0.13550
  • SD of predictor
    0.12413
  • SD of criterion
    0.20127
  • Covariance
    0.00623
  • r
    0.24917
  • b (slope, estimate of beta)
    0.40404
  • a (intercept, estimate of alpha)
    0.09749
  • Mean Square Error
    0.03802
  • DF error
    1555.00000
  • t(b)
    10.14580
  • p(b)
    0.34303
  • t(a)
    1.21746
  • p(a)
    0.48036
  • Lowerbound of 95% confidence interval for beta
    0.32593
  • Upperbound of 95% confidence interval for beta
    0.48216
  • Lowerbound of 95% confidence interval for alpha
    -0.05958
  • Upperbound of 95% confidence interval for alpha
    0.25455
  • Treynor index (mean / b)
    0.33536
  • Jensen alpha (a)
    0.09749
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01974
  • Expected Shortfall on VaR
    0.02481
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00627
  • Expected Shortfall on VaR
    0.01372
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1557.00000
  • Minimum
    0.85081
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00016
  • Maximum
    1.17564
  • Mean of quarter 1
    0.99170
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01113
  • Inter Quartile Range
    0.00016
  • Number outliers low
    313.00000
  • Percentage of outliers low
    0.20103
  • Mean of outliers low
    0.98966
  • Number of outliers high
    379.00000
  • Percentage of outliers high
    0.24342
  • Mean of outliers high
    1.01142
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41069
  • VaR(95%) (moments method)
    0.00428
  • Expected Shortfall (moments method)
    0.00993
  • Extreme Value Index (regression method)
    0.24637
  • VaR(95%) (regression method)
    0.00849
  • Expected Shortfall (regression method)
    0.01765
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    45.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00607
  • Median
    0.01331
  • Quartile 3
    0.03999
  • Maximum
    0.28523
  • Mean of quarter 1
    0.00230
  • Mean of quarter 2
    0.00967
  • Mean of quarter 3
    0.02793
  • Mean of quarter 4
    0.13335
  • Inter Quartile Range
    0.03392
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    0.19216
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.26112
  • VaR(95%) (moments method)
    0.11904
  • Expected Shortfall (moments method)
    0.20138
  • Extreme Value Index (regression method)
    -0.27511
  • VaR(95%) (regression method)
    0.15245
  • Expected Shortfall (regression method)
    0.19462
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27610
  • Compounded annual return (geometric extrapolation)
    0.17752
  • Calmar ratio (compounded annual return / max draw down)
    0.62236
  • Compounded annual return / average of 25% largest draw downs
    1.33119
  • Compounded annual return / Expected Shortfall lognormal
    7.15537
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.26103
  • SD
    0.14160
  • Sharpe ratio (Glass type estimate)
    -1.84343
  • Sharpe ratio (Hedges UMVUE)
    -1.83278
  • df
    130.00000
  • t
    -1.30350
  • p
    0.55679
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.62077
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.94081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.61352
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94797
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.10530
  • Upside Potential Ratio
    3.21045
  • Upside part of mean
    0.39805
  • Downside part of mean
    -0.65907
  • Upside SD
    0.06917
  • Downside SD
    0.12398
  • N nonnegative terms
    25.00000
  • N negative terms
    106.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04271
  • Mean of criterion
    -0.26103
  • SD of predictor
    0.16475
  • SD of criterion
    0.14160
  • Covariance
    0.00394
  • r
    0.16892
  • b (slope, estimate of beta)
    0.14519
  • a (intercept, estimate of alpha)
    -0.25483
  • Mean Square Error
    0.01963
  • DF error
    129.00000
  • t(b)
    1.94654
  • p(b)
    0.39298
  • t(a)
    -1.28595
  • p(a)
    0.57147
  • Lowerbound of 95% confidence interval for beta
    -0.00239
  • Upperbound of 95% confidence interval for beta
    0.29276
  • Lowerbound of 95% confidence interval for alpha
    -0.64689
  • Upperbound of 95% confidence interval for alpha
    0.13724
  • Treynor index (mean / b)
    -1.79788
  • Jensen alpha (a)
    -0.25483
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.27125
  • SD
    0.14340
  • Sharpe ratio (Glass type estimate)
    -1.89161
  • Sharpe ratio (Hedges UMVUE)
    -1.88068
  • df
    130.00000
  • t
    -1.33757
  • p
    0.55826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.66943
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89323
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.66190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90054
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.14617
  • Upside Potential Ratio
    3.13033
  • Upside part of mean
    0.39564
  • Downside part of mean
    -0.66689
  • Upside SD
    0.06865
  • Downside SD
    0.12639
  • N nonnegative terms
    25.00000
  • N negative terms
    106.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05626
  • Mean of criterion
    -0.27125
  • SD of predictor
    0.16555
  • SD of criterion
    0.14340
  • Covariance
    0.00396
  • r
    0.16683
  • b (slope, estimate of beta)
    0.14450
  • a (intercept, estimate of alpha)
    -0.26312
  • Mean Square Error
    0.02015
  • DF error
    129.00000
  • t(b)
    1.92174
  • p(b)
    0.39429
  • t(a)
    -1.31056
  • p(a)
    0.57281
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    -0.00427
  • Upperbound of 95% confidence interval for beta
    0.29328
  • Lowerbound of 95% confidence interval for alpha
    -0.66035
  • Upperbound of 95% confidence interval for alpha
    0.13411
  • Treynor index (mean / b)
    -1.87709
  • Jensen alpha (a)
    -0.26312
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01549
  • Expected Shortfall on VaR
    0.01912
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00770
  • Expected Shortfall on VaR
    0.01625
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94083
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02138
  • Mean of quarter 1
    0.99036
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00611
  • Inter Quartile Range
    0.00000
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.19847
  • Mean of outliers low
    0.98776
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.19084
  • Mean of outliers high
    1.00807
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.69458
  • VaR(95%) (moments method)
    0.00290
  • Expected Shortfall (moments method)
    0.00295
  • Extreme Value Index (regression method)
    0.01658
  • VaR(95%) (regression method)
    0.01055
  • Expected Shortfall (regression method)
    0.01821
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.18274
  • Quartile 1
    0.18274
  • Median
    0.18274
  • Quartile 3
    0.18274
  • Maximum
    0.18274
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    175
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.22912
  • Compounded annual return (geometric extrapolation)
    -0.21600
  • Calmar ratio (compounded annual return / max draw down)
    -1.18197
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -11.29790

Strategy Description

The system trades up to a maximum of 3 S&P e-mini futures (Normally no more than 2 at a time). A stop loss is given with every trade. Trades are occasionally opened / closed intra-day.

We provide several systems on collective2.com

Other systems:

BOB DYLAN collective2.com/cgi-perl/system46106678
U 2 SP500 collective2.com/details/98753698






Summary Statistics

Strategy began
2012-07-20
Suggested Minimum Capital
$45,000
# Trades
158
# Profitable
123
% Profitable
77.8%
Correlation S&P500
0.135
Sharpe Ratio
0.29
Sortino Ratio
0.45
Beta
0.13
Alpha
0.01

Latest Activity

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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.