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ANTARES SP500
(98858556)

Created by: TradingFlow99 TradingFlow99
Started: 02/2016
Futures
Last trade: 164 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. Subscriptions to this system cost $109.00 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.

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.
26.5%
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.

(62.6%)
Max Drawdown
129
Num Trades
66.7%
Win Trades
1.4 : 1
Profit Factor
63.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +8.0%+6.4%+2.7%+0.4%+36.0%+0.5%+2.2%+3.9%+0.7%+24.0%(0.3%)+113.8%
2017+7.9%(2.4%)+0.8%+3.4%+2.4%+9.0%+3.8%+5.8%+1.4%+1.8%  -  +1.9%+41.4%
2018(7.7%)(13.3%)(12.7%)+14.5%(1.8%)+6.9%+4.1%+1.5%+3.2%(9.2%)(0.8%)(18.9%)(33.2%)
2019+3.5%(3.8%)+22.4%+1.7%(13.7%)+11.4%  -    -    -    -    -        +19.3%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 376 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/29/19 7:09 @ESM9 E-MINI S&P 500 LONG 2 2791.75 6/5 12:06 2815.50 10.51%
Trade id #123856708
Max drawdown($6,300)
Time6/3/19 15:33
Quant open2
Worst price2728.75
Drawdown as % of equity-10.51%
$2,359
Includes Typical Broker Commissions trade costs of $16.00
5/22/19 18:51 @ESM9 E-MINI S&P 500 LONG 1 2857.50 5/23 3:10 2837.00 1.57%
Trade id #123786432
Max drawdown($1,025)
Time5/23/19 3:10
Quant open0
Worst price2837.00
Drawdown as % of equity-1.57%
($1,033)
Includes Typical Broker Commissions trade costs of $8.00
5/5/19 18:01 @ESM9 E-MINI S&P 500 LONG 7 2863.18 5/17 13:34 2853.43 25.87%
Trade id #123533606
Max drawdown($14,480)
Time5/13/19 12:59
Quant open4
Worst price2805.75
Drawdown as % of equity-25.87%
($3,469)
Includes Typical Broker Commissions trade costs of $56.00
5/14/19 6:36 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 2 7382.75 5/14 6:37 7382.75 0.14%
Trade id #123658559
Max drawdown($70)
Time5/14/19 6:36
Quant open2
Worst price7381.00
Drawdown as % of equity-0.14%
($16)
Includes Typical Broker Commissions trade costs of $16.00
3/25/19 7:25 @ESM9 E-MINI S&P 500 LONG 2 2804.75 4/2 8:06 2870.38 1.2%
Trade id #123054553
Max drawdown($750)
Time3/25/19 14:28
Quant open1
Worst price2789.50
Drawdown as % of equity-1.20%
$6,547
Includes Typical Broker Commissions trade costs of $16.00
3/5/19 6:26 @ESH9 E-MINI S&P 500 LONG 3 2753.25 3/13 18:43 2793.58 8.93%
Trade id #122785709
Max drawdown($4,687)
Time3/8/19 10:07
Quant open3
Worst price2722.00
Drawdown as % of equity-8.93%
$6,026
Includes Typical Broker Commissions trade costs of $24.00
2/15/19 9:28 @ESH9 E-MINI S&P 500 SHORT 1 2764.25 2/22 1:59 2776.75 2.99%
Trade id #122541388
Max drawdown($1,687)
Time2/20/19 22:41
Quant open-1
Worst price2798.00
Drawdown as % of equity-2.99%
($633)
Includes Typical Broker Commissions trade costs of $8.00
1/31/19 10:19 @ESH9 E-MINI S&P 500 SHORT 1 2692.25 2/6 18:00 2727.50 3.96%
Trade id #122291031
Max drawdown($2,275)
Time2/5/19 15:41
Quant open-1
Worst price2737.75
Drawdown as % of equity-3.96%
($1,771)
Includes Typical Broker Commissions trade costs of $8.00
12/25/18 19:18 @ESH9 E-MINI S&P 500 LONG 4 2365.44 1/4/19 11:10 2480.50 11.61%
Trade id #121656207
Max drawdown($4,200)
Time12/25/18 21:41
Quant open3
Worst price2325.00
Drawdown as % of equity-11.61%
$22,981
Includes Typical Broker Commissions trade costs of $32.00
12/17/18 18:01 @ESH9 E-MINI S&P 500 LONG 6 2507.25 12/24 12:56 2426.46 65.69%
Trade id #121537911
Max drawdown($24,238)
Time12/24/18 12:56
Quant open5
Worst price2356.75
Drawdown as % of equity-65.69%
($24,286)
Includes Typical Broker Commissions trade costs of $48.00
12/9/18 18:00 @ESZ8 E-MINI S&P 500 LONG 4 2612.91 12/19 14:57 2580.06 11.75%
Trade id #121414136
Max drawdown($7,440)
Time12/17/18 15:31
Quant open2
Worst price2538.50
Drawdown as % of equity-11.75%
($6,601)
Includes Typical Broker Commissions trade costs of $32.00
12/17/18 18:01 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 2 6496.06 12/18 10:39 6517.12 0.35%
Trade id #121537902
Max drawdown($211)
Time12/18/18 0:57
Quant open1
Worst price6485.50
Drawdown as % of equity-0.35%
$827
Includes Typical Broker Commissions trade costs of $16.00
12/6/18 11:27 @ESZ8 E-MINI S&P 500 LONG 1 2622.50 12/6 16:41 2695.25 0.1%
Trade id #121378895
Max drawdown($62)
Time12/6/18 11:29
Quant open1
Worst price2621.25
Drawdown as % of equity-0.10%
$3,630
Includes Typical Broker Commissions trade costs of $8.00
12/4/18 12:31 @ESZ8 E-MINI S&P 500 LONG 2 2711.62 12/6 9:54 2653.75 9.18%
Trade id #121337047
Max drawdown($5,788)
Time12/6/18 9:54
Quant open1
Worst price2646.50
Drawdown as % of equity-9.18%
($5,804)
Includes Typical Broker Commissions trade costs of $16.00
11/12/18 18:08 @ESZ8 E-MINI S&P 500 LONG 10 2686.48 11/28 7:00 2681.49 14.82%
Trade id #120893146
Max drawdown($9,436)
Time11/23/18 8:44
Quant open3
Worst price2626.00
Drawdown as % of equity-14.82%
($2,577)
Includes Typical Broker Commissions trade costs of $80.00
11/6/18 18:33 @ESZ8 E-MINI S&P 500 SHORT 1 2754.10 11/12 18:00 2731.94 4.8%
Trade id #120777658
Max drawdown($3,195)
Time11/7/18 20:27
Quant open-1
Worst price2818.00
Drawdown as % of equity-4.80%
$1,100
Includes Typical Broker Commissions trade costs of $8.00
10/31/18 13:15 @ESZ8 E-MINI S&P 500 LONG 1 2729.75 11/1 20:16 2739.50 1.88%
Trade id #120645955
Max drawdown($1,287)
Time10/31/18 16:38
Quant open1
Worst price2704.00
Drawdown as % of equity-1.88%
$480
Includes Typical Broker Commissions trade costs of $8.00
10/31/18 10:19 @ESZ8 E-MINI S&P 500 LONG 1 2721.80 10/31 11:05 2716.25 0.53%
Trade id #120641371
Max drawdown($365)
Time10/31/18 11:05
Quant open1
Worst price2714.50
Drawdown as % of equity-0.53%
($286)
Includes Typical Broker Commissions trade costs of $8.00
10/29/18 15:32 @ESZ8 E-MINI S&P 500 LONG 2 2631.38 10/31 10:14 2681.18 1.51%
Trade id #120606629
Max drawdown($975)
Time10/29/18 15:46
Quant open1
Worst price2603.00
Drawdown as % of equity-1.51%
$4,964
Includes Typical Broker Commissions trade costs of $16.00
10/29/18 18:16 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 6718.88 10/29 18:19 6718.92 0.03%
Trade id #120608545
Max drawdown($17)
Time10/29/18 18:18
Quant open1
Worst price6718.00
Drawdown as % of equity-0.03%
($7)
Includes Typical Broker Commissions trade costs of $8.00
10/26/18 5:31 @ESZ8 E-MINI S&P 500 LONG 1 2648.25 10/28 18:14 2670.50 1.67%
Trade id #120557105
Max drawdown($1,050)
Time10/26/18 11:00
Quant open1
Worst price2627.25
Drawdown as % of equity-1.67%
$1,105
Includes Typical Broker Commissions trade costs of $8.00
10/24/18 15:02 @ESZ8 E-MINI S&P 500 LONG 1 2689.75 10/25 14:28 2711.75 3.07%
Trade id #120519807
Max drawdown($1,875)
Time10/24/18 16:00
Quant open1
Worst price2652.25
Drawdown as % of equity-3.07%
$1,092
Includes Typical Broker Commissions trade costs of $8.00
10/23/18 18:00 @ESZ8 E-MINI S&P 500 LONG 1 2746.25 10/24 3:00 2726.39 1.59%
Trade id #120499790
Max drawdown($993)
Time10/24/18 3:00
Quant open0
Worst price2726.39
Drawdown as % of equity-1.59%
($1,001)
Includes Typical Broker Commissions trade costs of $8.00
10/22/18 18:32 @ESZ8 E-MINI S&P 500 LONG 2 2732.96 10/23 18:00 2720.88 5.32%
Trade id #120475592
Max drawdown($3,371)
Time10/23/18 10:08
Quant open2
Worst price2699.25
Drawdown as % of equity-5.32%
($1,225)
Includes Typical Broker Commissions trade costs of $16.00
10/18/18 11:46 @ESZ8 E-MINI S&P 500 LONG 1 2772.00 10/19 9:50 2793.25 1.24%
Trade id #120421699
Max drawdown($775)
Time10/18/18 13:44
Quant open1
Worst price2756.50
Drawdown as % of equity-1.24%
$1,055
Includes Typical Broker Commissions trade costs of $8.00
10/12/18 2:42 @ESZ8 E-MINI S&P 500 LONG 4 2765.32 10/16 16:43 2801.70 10.12%
Trade id #120315744
Max drawdown($5,188)
Time10/12/18 12:51
Quant open3
Worst price2732.25
Drawdown as % of equity-10.12%
$7,244
Includes Typical Broker Commissions trade costs of $32.00
10/11/18 9:33 @ESZ8 E-MINI S&P 500 LONG 2 2784.68 10/11 14:41 2738.00 8.25%
Trade id #120296717
Max drawdown($4,668)
Time10/11/18 14:41
Quant open0
Worst price2738.00
Drawdown as % of equity-8.25%
($4,684)
Includes Typical Broker Commissions trade costs of $16.00
9/26/18 18:00 @ESZ8 E-MINI S&P 500 LONG 6 2879.37 10/10 15:41 2836.83 20.75%
Trade id #120054335
Max drawdown($12,763)
Time10/10/18 15:41
Quant open4
Worst price2803.82
Drawdown as % of equity-20.75%
($12,811)
Includes Typical Broker Commissions trade costs of $48.00
9/4/18 18:00 @ESU8 E-MINI S&P 500 LONG 2 2883.28 9/13 18:04 2894.75 2.57%
Trade id #119722192
Max drawdown($1,827)
Time9/7/18 9:33
Quant open2
Worst price2865.00
Drawdown as % of equity-2.57%
$1,131
Includes Typical Broker Commissions trade costs of $16.00
8/15/18 18:00 @ESU8 E-MINI S&P 500 LONG 1 2821.98 8/21 12:01 2871.50 0.32%
Trade id #119460410
Max drawdown($224)
Time8/15/18 20:09
Quant open1
Worst price2817.50
Drawdown as % of equity-0.32%
$2,468
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    2/20/2016
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    1363.01
  • Age
    46 months ago
  • What it trades
    Futures
  • # Trades
    129
  • # Profitable
    86
  • % Profitable
    66.70%
  • Avg trade duration
    4.2 days
  • Max peak-to-valley drawdown
    62.6%
  • drawdown period
    Nov 27, 2017 - Dec 26, 2018
  • Annual Return (Compounded)
    26.5%
  • Avg win
    $1,789
  • Avg loss
    $2,594
  • Model Account Values (Raw)
  • Cash
    $67,356
  • Margin Used
    $0
  • Buying Power
    $67,356
  • Ratios
  • W:L ratio
    1.38:1
  • Sharpe Ratio
    0.64
  • Sortino Ratio
    1.09
  • Calmar Ratio
    0.611
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    80.16%
  • Correlation to SP500
    0.22150
  • Return Percent SP500 (cumu) during strategy life
    62.71%
  • Return Statistics
  • Ann Return (w trading costs)
    26.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.29%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.53%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.265%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    30.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    68.00%
  • Chance of 20% account loss
    41.50%
  • Chance of 30% account loss
    18.00%
  • Chance of 40% account loss
    8.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    749
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    524
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,594
  • Avg Win
    $1,790
  • Sum Trade PL (losers)
    $111,560.000
  • Age
  • Num Months (Age strategy)
    46
  • Win / Loss
  • Sum Trade PL (winners)
    $153,916.000
  • # Winners
    86
  • Num Months Winners
    29
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    43
  • % Winners
    66.7%
  • Frequency
  • Avg Position Time (mins)
    6034.85
  • Avg Position Time (hrs)
    100.58
  • Avg Trade Length
    4.2 days
  • Last Trade Ago
    162
  • Leverage
  • Daily leverage (average)
    5.16
  • Daily leverage (max)
    15.28
  • Regression
  • Alpha
    0.06
  • Beta
    0.64
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    22.72
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    75.18
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.14
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    6.013
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.673
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.344
  • Hold-and-Hope Ratio
    0.166
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31764
  • SD
    0.28939
  • Sharpe ratio (Glass type estimate)
    1.09761
  • Sharpe ratio (Hedges UMVUE)
    1.07788
  • df
    42.00000
  • t
    2.07775
  • p
    0.02194
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02990
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15295
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01714
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13862
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.59468
  • Upside Potential Ratio
    4.22539
  • Upside part of mean
    0.51727
  • Downside part of mean
    -0.19963
  • Upside SD
    0.27427
  • Downside SD
    0.12242
  • N nonnegative terms
    30.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.11849
  • Mean of criterion
    0.31764
  • SD of predictor
    0.09833
  • SD of criterion
    0.28939
  • Covariance
    0.01110
  • r
    0.39003
  • b (slope, estimate of beta)
    1.14791
  • a (intercept, estimate of alpha)
    0.18162
  • Mean Square Error
    0.07274
  • DF error
    41.00000
  • t(b)
    2.71221
  • p(b)
    0.00486
  • t(a)
    1.20242
  • p(a)
    0.11805
  • Lowerbound of 95% confidence interval for beta
    0.29316
  • Upperbound of 95% confidence interval for beta
    2.00266
  • Lowerbound of 95% confidence interval for alpha
    -0.12342
  • Upperbound of 95% confidence interval for alpha
    0.48666
  • Treynor index (mean / b)
    0.27671
  • Jensen alpha (a)
    0.18162
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27654
  • SD
    0.27206
  • Sharpe ratio (Glass type estimate)
    1.01647
  • Sharpe ratio (Hedges UMVUE)
    0.99819
  • df
    42.00000
  • t
    1.92415
  • p
    0.03056
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04712
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06853
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05897
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05536
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.15867
  • Upside Potential Ratio
    3.77910
  • Upside part of mean
    0.48414
  • Downside part of mean
    -0.20759
  • Upside SD
    0.24952
  • Downside SD
    0.12811
  • N nonnegative terms
    30.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.11326
  • Mean of criterion
    0.27654
  • SD of predictor
    0.09770
  • SD of criterion
    0.27206
  • Covariance
    0.01082
  • r
    0.40698
  • b (slope, estimate of beta)
    1.13335
  • a (intercept, estimate of alpha)
    0.14818
  • Mean Square Error
    0.06327
  • DF error
    41.00000
  • t(b)
    2.85289
  • p(b)
    0.00338
  • t(a)
    1.05627
  • p(a)
    0.14852
  • Lowerbound of 95% confidence interval for beta
    0.33106
  • Upperbound of 95% confidence interval for beta
    1.93563
  • Lowerbound of 95% confidence interval for alpha
    -0.13513
  • Upperbound of 95% confidence interval for alpha
    0.43149
  • Treynor index (mean / b)
    0.24401
  • Jensen alpha (a)
    0.14818
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10070
  • Expected Shortfall on VaR
    0.12937
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02699
  • Expected Shortfall on VaR
    0.05865
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    43.00000
  • Minimum
    0.88340
  • Quartile 1
    0.98682
  • Median
    1.02291
  • Quartile 3
    1.05385
  • Maximum
    1.28680
  • Mean of quarter 1
    0.93678
  • Mean of quarter 2
    1.00568
  • Mean of quarter 3
    1.03394
  • Mean of quarter 4
    1.13016
  • Inter Quartile Range
    0.06703
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02326
  • Mean of outliers low
    0.88340
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.09302
  • Mean of outliers high
    1.22714
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.46916
  • VaR(95%) (moments method)
    0.04439
  • Expected Shortfall (moments method)
    0.04450
  • Extreme Value Index (regression method)
    -0.70753
  • VaR(95%) (regression method)
    0.07646
  • Expected Shortfall (regression method)
    0.08820
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00981
  • Quartile 1
    0.01466
  • Median
    0.02563
  • Quartile 3
    0.10973
  • Maximum
    0.33400
  • Mean of quarter 1
    0.00981
  • Mean of quarter 2
    0.01628
  • Mean of quarter 3
    0.03497
  • Mean of quarter 4
    0.33400
  • Inter Quartile Range
    0.09507
  • 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
    0.25000
  • Mean of outliers high
    0.33400
  • 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)
    0.47269
  • Compounded annual return (geometric extrapolation)
    0.31857
  • Calmar ratio (compounded annual return / max draw down)
    0.95378
  • Compounded annual return / average of 25% largest draw downs
    0.95378
  • Compounded annual return / Expected Shortfall lognormal
    2.46248
  • 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
    0.32590
  • SD
    0.33663
  • Sharpe ratio (Glass type estimate)
    0.96812
  • Sharpe ratio (Hedges UMVUE)
    0.96736
  • df
    956.00000
  • t
    1.85027
  • p
    0.03229
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05854
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99433
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05907
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99380
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61829
  • Upside Potential Ratio
    6.02536
  • Upside part of mean
    1.21342
  • Downside part of mean
    -0.88752
  • Upside SD
    0.27028
  • Downside SD
    0.20139
  • N nonnegative terms
    720.00000
  • N negative terms
    237.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    957.00000
  • Mean of predictor
    0.13451
  • Mean of criterion
    0.32590
  • SD of predictor
    0.12739
  • SD of criterion
    0.33663
  • Covariance
    0.01103
  • r
    0.25716
  • b (slope, estimate of beta)
    0.67956
  • a (intercept, estimate of alpha)
    0.23400
  • Mean Square Error
    0.10594
  • DF error
    955.00000
  • t(b)
    8.22362
  • p(b)
    -0.00000
  • t(a)
    1.37402
  • p(a)
    0.08488
  • Lowerbound of 95% confidence interval for beta
    0.51739
  • Upperbound of 95% confidence interval for beta
    0.84172
  • Lowerbound of 95% confidence interval for alpha
    -0.10042
  • Upperbound of 95% confidence interval for alpha
    0.56941
  • Treynor index (mean / b)
    0.47958
  • Jensen alpha (a)
    0.23450
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27130
  • SD
    0.32753
  • Sharpe ratio (Glass type estimate)
    0.82831
  • Sharpe ratio (Hedges UMVUE)
    0.82766
  • df
    956.00000
  • t
    1.58306
  • p
    0.05687
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19808
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85430
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19853
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85385
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28992
  • Upside Potential Ratio
    5.61193
  • Upside part of mean
    1.18030
  • Downside part of mean
    -0.90900
  • Upside SD
    0.25141
  • Downside SD
    0.21032
  • N nonnegative terms
    720.00000
  • N negative terms
    237.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    957.00000
  • Mean of predictor
    0.12635
  • Mean of criterion
    0.27130
  • SD of predictor
    0.12764
  • SD of criterion
    0.32753
  • Covariance
    0.01117
  • r
    0.26710
  • b (slope, estimate of beta)
    0.68541
  • a (intercept, estimate of alpha)
    0.18469
  • Mean Square Error
    0.09973
  • DF error
    955.00000
  • t(b)
    8.56549
  • p(b)
    -0.00000
  • t(a)
    1.11569
  • p(a)
    0.13242
  • Lowerbound of 95% confidence interval for beta
    0.52838
  • Upperbound of 95% confidence interval for beta
    0.84245
  • Lowerbound of 95% confidence interval for alpha
    -0.14017
  • Upperbound of 95% confidence interval for alpha
    0.50956
  • Treynor index (mean / b)
    0.39581
  • Jensen alpha (a)
    0.18469
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03173
  • Expected Shortfall on VaR
    0.03986
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00432
  • Expected Shortfall on VaR
    0.01140
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    957.00000
  • Minimum
    0.85949
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00236
  • Maximum
    1.32271
  • Mean of quarter 1
    0.98649
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00041
  • Mean of quarter 4
    1.01813
  • Inter Quartile Range
    0.00236
  • Number outliers low
    159.00000
  • Percentage of outliers low
    0.16614
  • Mean of outliers low
    0.98027
  • Number of outliers high
    163.00000
  • Percentage of outliers high
    0.17032
  • Mean of outliers high
    1.02475
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78279
  • VaR(95%) (moments method)
    0.00661
  • Expected Shortfall (moments method)
    0.03664
  • Extreme Value Index (regression method)
    0.33679
  • VaR(95%) (regression method)
    0.01084
  • Expected Shortfall (regression method)
    0.02381
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    34.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00254
  • Median
    0.00828
  • Quartile 3
    0.02307
  • Maximum
    0.50980
  • Mean of quarter 1
    0.00096
  • Mean of quarter 2
    0.00638
  • Mean of quarter 3
    0.01543
  • Mean of quarter 4
    0.11315
  • Inter Quartile Range
    0.02053
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.14706
  • Mean of outliers high
    0.17843
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.85686
  • VaR(95%) (moments method)
    0.11464
  • Expected Shortfall (moments method)
    0.85138
  • Extreme Value Index (regression method)
    1.57203
  • VaR(95%) (regression method)
    0.07991
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46371
  • Compounded annual return (geometric extrapolation)
    0.31166
  • Calmar ratio (compounded annual return / max draw down)
    0.61134
  • Compounded annual return / average of 25% largest draw downs
    2.75450
  • Compounded annual return / Expected Shortfall lognormal
    7.81917
  • 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
    -0.02594
  • SD
    0.26085
  • Sharpe ratio (Glass type estimate)
    -0.09944
  • Sharpe ratio (Hedges UMVUE)
    -0.09887
  • df
    130.00000
  • t
    -0.07032
  • p
    0.50308
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.87116
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67251
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.87070
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67296
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.13413
  • Upside Potential Ratio
    2.88323
  • Upside part of mean
    0.55760
  • Downside part of mean
    -0.58354
  • Upside SD
    0.17357
  • Downside SD
    0.19339
  • N nonnegative terms
    119.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10372
  • Mean of criterion
    -0.02594
  • SD of predictor
    0.14377
  • SD of criterion
    0.26085
  • Covariance
    0.01422
  • r
    0.37921
  • b (slope, estimate of beta)
    0.68801
  • a (intercept, estimate of alpha)
    -0.09730
  • Mean Square Error
    0.05871
  • DF error
    129.00000
  • t(b)
    4.65471
  • p(b)
    0.26450
  • t(a)
    -0.28366
  • p(a)
    0.51589
  • Lowerbound of 95% confidence interval for beta
    0.39557
  • Upperbound of 95% confidence interval for beta
    0.98046
  • Lowerbound of 95% confidence interval for alpha
    -0.77595
  • Upperbound of 95% confidence interval for alpha
    0.58135
  • Treynor index (mean / b)
    -0.03770
  • Jensen alpha (a)
    -0.09730
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06035
  • SD
    0.26472
  • Sharpe ratio (Glass type estimate)
    -0.22796
  • Sharpe ratio (Hedges UMVUE)
    -0.22665
  • df
    130.00000
  • t
    -0.16119
  • p
    0.50707
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.99955
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54435
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.99859
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54530
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.29677
  • Upside Potential Ratio
    2.67120
  • Upside part of mean
    0.54318
  • Downside part of mean
    -0.60353
  • Upside SD
    0.16795
  • Downside SD
    0.20335
  • N nonnegative terms
    119.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09340
  • Mean of criterion
    -0.06035
  • SD of predictor
    0.14417
  • SD of criterion
    0.26472
  • Covariance
    0.01447
  • r
    0.37925
  • b (slope, estimate of beta)
    0.69637
  • a (intercept, estimate of alpha)
    -0.12539
  • Mean Square Error
    0.06046
  • DF error
    129.00000
  • t(b)
    4.65522
  • p(b)
    0.26448
  • t(a)
    -0.36029
  • p(a)
    0.52018
  • VAR (95 Confidence Intrvl)
    0.03200
  • Lowerbound of 95% confidence interval for beta
    0.40041
  • Upperbound of 95% confidence interval for beta
    0.99234
  • Lowerbound of 95% confidence interval for alpha
    -0.81397
  • Upperbound of 95% confidence interval for alpha
    0.56319
  • Treynor index (mean / b)
    -0.08666
  • Jensen alpha (a)
    -0.12539
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02677
  • Expected Shortfall on VaR
    0.03338
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00081
  • Expected Shortfall on VaR
    0.00379
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88306
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.08050
  • Mean of quarter 1
    0.99116
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00845
  • Inter Quartile Range
    0.00000
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.97569
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.03098
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.97291
  • VaR(95%) (moments method)
    0.00265
  • Expected Shortfall (moments method)
    0.15665
  • Extreme Value Index (regression method)
    0.63260
  • VaR(95%) (regression method)
    0.00705
  • Expected Shortfall (regression method)
    0.04039
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.17211
  • Quartile 1
    0.17211
  • Median
    0.17211
  • Quartile 3
    0.17211
  • Maximum
    0.17211
  • 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
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -291534000
  • Max Equity Drawdown (num days)
    394
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05945
  • Compounded annual return (geometric extrapolation)
    -0.05856
  • Calmar ratio (compounded annual return / max draw down)
    -0.34025
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.75456

Strategy Description

ANTARES SP500 is a fully mechanical strategy operating End-Of-Day on Mini-SP500 Futures.
It is composed of five different long/short strategies:

- 1 Countertrend
- 3 Pattern
- 2 Intermarket

Please download strategy description and 17 years backtest: http://bit.ly/ANTARES_SP500_backtest_09_2001_to_05_2018

Strategy operates long/short with limit and market orders;
Orders for next trading day (if generated) are sent to subscribers around 17:30 ET (23:30 CET).
Orders are valid from next day Globex Future market open (18:00ET/00:00 CET) until the end of next day trading session (17:00 ET, 23:00 CET). Stops and price targets are always given the day after the trade is initiated.

ANTARES SP500 opens up to 5 long positions (usually 1-2) or 1 to 3 short positions in the same direction (long/short) and manages independent adaptive stops and targets for each positions. A global pre-defined maximum daily loss check is coded into the strategy and will exit all positions when hit. In case of high price volatility, all positions will be closed at market open by an automatic protective exit. Profit target and stop loss are self-adapting using custom functions.

Actual subscriber feedback about their experience trading ANTARES SP500: https://forums.collective2.com/t/antares-sp500-subscribers-feedback-and-reviews-request/11093/21

I am always available for question or additional information, please email me at tradingflow@gmail.com

Thank you,
P.G.

Backtesting data is hypothetical and it has not been verified by C2.

Summary Statistics

Strategy began
2016-02-20
Suggested Minimum Capital
$60,000
# Trades
129
# Profitable
86
% Profitable
66.7%
Correlation S&P500
0.222
Sharpe Ratio
0.64
Sortino Ratio
1.09
Beta
0.64
Alpha
0.06
Leverage
5.16 Average
15.28 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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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.