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ANTARES SP500 (98858556)

Created by: PaoloGeronazzo PaoloGeronazzo
Started: 02/2016
Futures
Last trade: 3 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 $150.00 per month.

99.3%
Annual Return (Compounded)
20.3%
Max Drawdown
62
Num Trades
74.2%
Win Trades
4.9 : 1
Profit Factor
89.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +8.5%+6.3%+2.6%+0.2%+36.0%+0.4%+2.1%+3.8%+0.6%+24.2%(0.4%)+112.0%
2017+7.9%(2.5%)+0.8%+3.4%+2.3%+9.1%+3.7%+5.9%                        +34.3%

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 48 hours.

Trading Record

This strategy has placed 151 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/10/17 9:40 @ESU7 E-MINI S&P 500 LONG 3 2442.25 8/15 18:01 2459.17 2.6%
Trade id #113078605
Max drawdown($1,800)
Time8/11/17 7:51
Quant open3
Worst price2430.25
Drawdown as % of equity-2.60%
$2,514
Includes Typical Broker Commissions trade costs of $24.00
7/31/17 18:37 @ESU7 E-MINI S&P 500 LONG 2 2467.75 8/10 9:40 2466.12 0.63%
Trade id #112905954
Max drawdown($450)
Time8/2/17 11:00
Quant open2
Worst price2463.25
Drawdown as % of equity-0.63%
($179)
Includes Typical Broker Commissions trade costs of $16.00
7/27/17 3:28 @ESU7 E-MINI S&P 500 SHORT 1 2479.57 7/27 18:00 2472.00 0.07%
Trade id #112813032
Max drawdown($46)
Time7/27/17 9:31
Quant open-1
Worst price2480.50
Drawdown as % of equity-0.07%
$370
Includes Typical Broker Commissions trade costs of $8.00
7/24/17 18:15 @ESU7 E-MINI S&P 500 LONG 1 2467.61 7/27 3:28 2480.00 0.06%
Trade id #112756228
Max drawdown($42)
Time7/25/17 2:29
Quant open1
Worst price2466.75
Drawdown as % of equity-0.06%
$612
Includes Typical Broker Commissions trade costs of $8.00
7/20/17 3:31 @ESU7 E-MINI S&P 500 SHORT 1 2472.50 7/21 9:27 2466.75 0.27%
Trade id #112693133
Max drawdown($187)
Time7/20/17 8:35
Quant open-1
Worst price2476.25
Drawdown as % of equity-0.27%
$280
Includes Typical Broker Commissions trade costs of $8.00
7/12/17 9:34 @ESU7 E-MINI S&P 500 LONG 1 2438.00 7/13 14:05 2443.48 0.07%
Trade id #112547714
Max drawdown($50)
Time7/12/17 12:16
Quant open1
Worst price2437.00
Drawdown as % of equity-0.07%
$266
Includes Typical Broker Commissions trade costs of $8.00
7/2/17 18:02 @ESU7 E-MINI S&P 500 LONG 2 2417.21 7/7 14:47 2422.71 1.39%
Trade id #112355515
Max drawdown($946)
Time7/6/17 15:45
Quant open1
Worst price2405.25
Drawdown as % of equity-1.39%
$534
Includes Typical Broker Commissions trade costs of $16.00
6/29/17 12:57 @ESU7 E-MINI S&P 500 LONG 2 2411.73 6/30 6:04 2423.12 1.41%
Trade id #112286989
Max drawdown($948)
Time6/29/17 13:30
Quant open2
Worst price2402.25
Drawdown as % of equity-1.41%
$1,123
Includes Typical Broker Commissions trade costs of $16.00
6/26/17 18:32 @ESU7 E-MINI S&P 500 LONG 3 2430.75 6/28 10:43 2434.50 3.93%
Trade id #112221592
Max drawdown($2,550)
Time6/28/17 4:24
Quant open3
Worst price2413.75
Drawdown as % of equity-3.93%
$539
Includes Typical Broker Commissions trade costs of $24.00
6/15/17 11:17 @ESU7 E-MINI S&P 500 LONG 2 2427.75 6/23 11:46 2435.75 0.34%
Trade id #112077167
Max drawdown($225)
Time6/16/17 10:56
Quant open1
Worst price2420.25
Drawdown as % of equity-0.34%
$784
Includes Typical Broker Commissions trade costs of $16.00
6/12/17 18:02 @ESU7 E-MINI S&P 500 LONG 1 2425.91 6/15 6:01 2419.25 0.5%
Trade id #112022311
Max drawdown($333)
Time6/15/17 6:01
Quant open0
Worst price2419.25
Drawdown as % of equity-0.50%
($341)
Includes Typical Broker Commissions trade costs of $8.00
6/9/17 9:54 @ESU7 E-MINI S&P 500 SHORT 1 2437.08 6/11 19:10 2426.25 0.49%
Trade id #111987511
Max drawdown($321)
Time6/9/17 10:32
Quant open-1
Worst price2443.50
Drawdown as % of equity-0.49%
$533
Includes Typical Broker Commissions trade costs of $8.00
6/4/17 18:18 @ESM7 E-MINI S&P 500 SHORT 1 2436.00 6/7 12:47 2425.75 0.23%
Trade id #111906430
Max drawdown($150)
Time6/5/17 10:04
Quant open-1
Worst price2439.00
Drawdown as % of equity-0.23%
$505
Includes Typical Broker Commissions trade costs of $8.00
5/31/17 18:33 @ESM7 E-MINI S&P 500 LONG 2 2414.11 6/2 13:48 2437.75 0.22%
Trade id #111860427
Max drawdown($137)
Time5/31/17 22:03
Quant open1
Worst price2410.50
Drawdown as % of equity-0.22%
$2,348
Includes Typical Broker Commissions trade costs of $16.00
5/17/17 18:58 @ESM7 E-MINI S&P 500 LONG 4 2367.13 5/19 13:43 2377.88 2.1%
Trade id #111654543
Max drawdown($1,275)
Time5/18/17 5:58
Quant open2
Worst price2344.50
Drawdown as % of equity-2.10%
$2,117
Includes Typical Broker Commissions trade costs of $32.00
5/11/17 18:06 @ESM7 E-MINI S&P 500 LONG 1 2390.75 5/16 19:44 2385.38 0.53%
Trade id #111559281
Max drawdown($325)
Time5/12/17 5:51
Quant open1
Worst price2384.25
Drawdown as % of equity-0.53%
($276)
Includes Typical Broker Commissions trade costs of $8.00
5/1/17 18:00 @ESM7 E-MINI S&P 500 LONG 1 2386.25 5/11 9:56 2380.75 0.88%
Trade id #111352848
Max drawdown($537)
Time5/3/17 10:53
Quant open1
Worst price2375.50
Drawdown as % of equity-0.88%
($283)
Includes Typical Broker Commissions trade costs of $8.00
4/12/17 18:31 @ESM7 E-MINI S&P 500 LONG 3 2339.50 4/23 18:01 2360.58 2.44%
Trade id #110954138
Max drawdown($1,400)
Time4/16/17 18:01
Quant open2
Worst price2322.75
Drawdown as % of equity-2.44%
$3,139
Includes Typical Broker Commissions trade costs of $24.00
4/11/17 10:34 @ESM7 E-MINI S&P 500 LONG 1 2336.72 4/11 18:00 2351.75 0.3%
Trade id #110911756
Max drawdown($173)
Time4/11/17 10:58
Quant open1
Worst price2333.25
Drawdown as % of equity-0.30%
$744
Includes Typical Broker Commissions trade costs of $8.00
4/3/17 18:02 @ESM7 E-MINI S&P 500 LONG 2 2355.00 4/5 20:00 2343.25 2.03%
Trade id #110663999
Max drawdown($1,175)
Time4/5/17 20:00
Quant open0
Worst price2343.25
Drawdown as % of equity-2.03%
($1,191)
Includes Typical Broker Commissions trade costs of $16.00
3/20/17 18:33 @ESM7 E-MINI S&P 500 LONG 5 2348.77 4/3 11:06 2346.98 6.47%
Trade id #110339861
Max drawdown($3,574)
Time3/26/17 20:55
Quant open3
Worst price2327.25
Drawdown as % of equity-6.47%
($487)
Includes Typical Broker Commissions trade costs of $40.00
3/10/17 11:12 @ESM7 E-MINI S&P 500 LONG 2 2367.91 3/17 15:44 2382.24 2.31%
Trade id #110175512
Max drawdown($1,315)
Time3/14/17 10:46
Quant open2
Worst price2354.75
Drawdown as % of equity-2.31%
$1,417
Includes Typical Broker Commissions trade costs of $16.00
3/10/17 11:09 @ESH7 E-MINI S&P 500 LONG 1 2369.00 3/10 15:49 2372.00 0.59%
Trade id #110175411
Max drawdown($337)
Time3/10/17 13:09
Quant open1
Worst price2362.25
Drawdown as % of equity-0.59%
$142
Includes Typical Broker Commissions trade costs of $8.00
3/3/17 10:33 @ESH7 E-MINI S&P 500 LONG 2 2373.28 3/10 10:46 2362.99 3.07%
Trade id #110019807
Max drawdown($1,753)
Time3/9/17 14:16
Quant open2
Worst price2355.75
Drawdown as % of equity-3.07%
($1,045)
Includes Typical Broker Commissions trade costs of $16.00
2/26/17 18:03 @ESH7 E-MINI S&P 500 SHORT 1 2367.75 2/28 12:21 2361.77 0.26%
Trade id #109850399
Max drawdown($150)
Time2/27/17 15:31
Quant open-1
Worst price2370.75
Drawdown as % of equity-0.26%
$291
Includes Typical Broker Commissions trade costs of $8.00
2/23/17 9:02 @ESH7 E-MINI S&P 500 SHORT 1 2365.50 2/24 2:00 2359.27 0.17%
Trade id #109780813
Max drawdown($100)
Time2/23/17 9:27
Quant open-1
Worst price2367.50
Drawdown as % of equity-0.17%
$304
Includes Typical Broker Commissions trade costs of $8.00
2/13/17 18:10 @ESH7 E-MINI S&P 500 SHORT 3 2331.57 2/21 10:43 2362.33 7.93%
Trade id #109508642
Max drawdown($4,615)
Time2/21/17 10:43
Quant open1
Worst price2364.25
Drawdown as % of equity-7.93%
($4,639)
Includes Typical Broker Commissions trade costs of $24.00
1/30/17 18:16 @ESH7 E-MINI S&P 500 LONG 2 2274.12 2/13 14:42 2305.12 2.02%
Trade id #109150140
Max drawdown($1,187)
Time1/31/17 11:36
Quant open2
Worst price2262.25
Drawdown as % of equity-2.02%
$3,084
Includes Typical Broker Commissions trade costs of $16.00
1/23/17 18:56 @ESH7 E-MINI S&P 500 LONG 1 2262.00 1/30 9:47 2271.50 0.21%
Trade id #108956644
Max drawdown($125)
Time1/24/17 0:17
Quant open1
Worst price2259.50
Drawdown as % of equity-0.21%
$467
Includes Typical Broker Commissions trade costs of $8.00
1/12/17 18:00 @ESH7 E-MINI S&P 500 LONG 4 2266.00 1/20 10:31 2268.33 1.8%
Trade id #108609880
Max drawdown($1,050)
Time1/19/17 14:21
Quant open2
Worst price2253.00
Drawdown as % of equity-1.80%
$433
Includes Typical Broker Commissions trade costs of $32.00

Statistics

  • Strategy began
    2/20/2016
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    550.47
  • Age
    18 months ago
  • What it trades
    Futures
  • # Trades
    62
  • # Profitable
    46
  • % Profitable
    74.20%
  • Avg trade duration
    4.3 days
  • Max peak-to-valley drawdown
    20.29%
  • drawdown period
    May 17, 2016 - June 16, 2016
  • Annual Return (Compounded)
    99.3%
  • Avg win
    $1,381
  • Avg loss
    $815.56
  • Model Account Values (Raw)
  • Cash
    $75,490
  • Margin Used
    $0
  • Buying Power
    $75,490
  • Ratios
  • W:L ratio
    4.87:1
  • Sharpe Ratio
    2.858
  • Sortino Ratio
    6.767
  • Calmar Ratio
    9.362
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.10500
  • Return Statistics
  • Ann Return (w trading costs)
    99.3%
  • Ann Return (Compnd, No Fees)
    107.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.00%
  • Chance of 20% account loss
    4.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    983
  • Popularity (Last 6 weeks)
    994
  • C2 Score
    96.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $816
  • Avg Win
    $1,381
  • # Winners
    46
  • # Losers
    16
  • % Winners
    74.2%
  • Frequency
  • Avg Position Time (mins)
    6168.78
  • Avg Position Time (hrs)
    102.81
  • Avg Trade Length
    4.3 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76364
  • SD
    0.26907
  • Sharpe ratio (Glass type estimate)
    2.83805
  • Sharpe ratio (Hedges UMVUE)
    2.70254
  • df
    16.00000
  • t
    3.37796
  • p
    0.17740
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.89153
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.71921
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80824
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59685
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.93430
  • Upside Potential Ratio
    22.25110
  • Upside part of mean
    0.81168
  • Downside part of mean
    -0.04803
  • Upside SD
    0.33971
  • Downside SD
    0.03648
  • N nonnegative terms
    14.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.14471
  • Mean of criterion
    0.76364
  • SD of predictor
    0.07901
  • SD of criterion
    0.26907
  • Covariance
    0.00465
  • r
    0.21877
  • b (slope, estimate of beta)
    0.74499
  • a (intercept, estimate of alpha)
    0.65584
  • Mean Square Error
    0.07353
  • DF error
    15.00000
  • t(b)
    0.86831
  • p(b)
    0.36185
  • t(a)
    2.52771
  • p(a)
    0.17025
  • Lowerbound of 95% confidence interval for beta
    -1.08374
  • Upperbound of 95% confidence interval for beta
    2.57372
  • Lowerbound of 95% confidence interval for alpha
    0.10281
  • Upperbound of 95% confidence interval for alpha
    1.20886
  • Treynor index (mean / b)
    1.02504
  • Jensen alpha (a)
    0.65584
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70998
  • SD
    0.24423
  • Sharpe ratio (Glass type estimate)
    2.90697
  • Sharpe ratio (Hedges UMVUE)
    2.76818
  • df
    16.00000
  • t
    3.45999
  • p
    0.17289
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.94792
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.79989
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.86253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.67383
  • Statistics related to Sortino ratio
  • Sortino ratio
    19.19560
  • Upside Potential Ratio
    20.50960
  • Upside part of mean
    0.75858
  • Downside part of mean
    -0.04860
  • Upside SD
    0.31109
  • Downside SD
    0.03699
  • N nonnegative terms
    14.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.14067
  • Mean of criterion
    0.70998
  • SD of predictor
    0.07754
  • SD of criterion
    0.24423
  • Covariance
    0.00434
  • r
    0.22921
  • b (slope, estimate of beta)
    0.72196
  • a (intercept, estimate of alpha)
    0.60842
  • Mean Square Error
    0.06028
  • DF error
    15.00000
  • t(b)
    0.91202
  • p(b)
    0.35537
  • t(a)
    2.59541
  • p(a)
    0.16487
  • Lowerbound of 95% confidence interval for beta
    -0.96531
  • Upperbound of 95% confidence interval for beta
    2.40922
  • Lowerbound of 95% confidence interval for alpha
    0.10876
  • Upperbound of 95% confidence interval for alpha
    1.10808
  • Treynor index (mean / b)
    0.98341
  • Jensen alpha (a)
    0.60842
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05522
  • Expected Shortfall on VaR
    0.08234
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00388
  • Expected Shortfall on VaR
    0.01064
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.96503
  • Quartile 1
    1.02439
  • Median
    1.04291
  • Quartile 3
    1.08066
  • Maximum
    1.24348
  • Mean of quarter 1
    0.99568
  • Mean of quarter 2
    1.03607
  • Mean of quarter 3
    1.06879
  • Mean of quarter 4
    1.18090
  • Inter Quartile Range
    0.05627
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    1.23332
  • Risk estimates for a one-period 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)
    -1.06703
  • VaR(95%) (regression method)
    0.03039
  • Expected Shortfall (regression method)
    0.03638
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00981
  • Quartile 1
    0.01304
  • Median
    0.01628
  • Quartile 3
    0.02563
  • Maximum
    0.03497
  • Mean of quarter 1
    0.00981
  • Mean of quarter 2
    0.01628
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03497
  • Inter Quartile Range
    0.01258
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.30190
  • Compounded annual return (geometric extrapolation)
    1.09151
  • Calmar ratio (compounded annual return / max draw down)
    31.20910
  • Compounded annual return / average of 25% largest draw downs
    31.20910
  • Compounded annual return / Expected Shortfall lognormal
    13.25650
  • 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
    0.75062
  • SD
    0.26212
  • Sharpe ratio (Glass type estimate)
    2.86367
  • Sharpe ratio (Hedges UMVUE)
    2.85813
  • df
    388.00000
  • t
    3.48937
  • p
    0.00027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.24079
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.48295
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23710
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.47916
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.76659
  • Upside Potential Ratio
    12.63630
  • Upside part of mean
    1.40175
  • Downside part of mean
    -0.65113
  • Upside SD
    0.24161
  • Downside SD
    0.11093
  • N nonnegative terms
    166.00000
  • N negative terms
    223.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    389.00000
  • Mean of predictor
    0.13047
  • Mean of criterion
    0.75062
  • SD of predictor
    0.09680
  • SD of criterion
    0.26212
  • Covariance
    0.00352
  • r
    0.13856
  • b (slope, estimate of beta)
    0.37519
  • a (intercept, estimate of alpha)
    0.70200
  • Mean Square Error
    0.06756
  • DF error
    387.00000
  • t(b)
    2.75239
  • p(b)
    0.00310
  • t(a)
    3.27796
  • p(a)
    0.00057
  • Lowerbound of 95% confidence interval for beta
    0.10718
  • Upperbound of 95% confidence interval for beta
    0.64320
  • Lowerbound of 95% confidence interval for alpha
    0.28081
  • Upperbound of 95% confidence interval for alpha
    1.12252
  • Treynor index (mean / b)
    2.00063
  • Jensen alpha (a)
    0.70167
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.71643
  • SD
    0.25547
  • Sharpe ratio (Glass type estimate)
    2.80435
  • Sharpe ratio (Hedges UMVUE)
    2.79892
  • df
    388.00000
  • t
    3.41709
  • p
    0.00035
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.18206
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.42315
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17840
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.41944
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.36993
  • Upside Potential Ratio
    12.21440
  • Upside part of mean
    1.37376
  • Downside part of mean
    -0.65733
  • Upside SD
    0.23325
  • Downside SD
    0.11247
  • N nonnegative terms
    166.00000
  • N negative terms
    223.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    389.00000
  • Mean of predictor
    0.12575
  • Mean of criterion
    0.71643
  • SD of predictor
    0.09690
  • SD of criterion
    0.25547
  • Covariance
    0.00336
  • r
    0.13587
  • b (slope, estimate of beta)
    0.35820
  • a (intercept, estimate of alpha)
    0.67139
  • Mean Square Error
    0.06423
  • DF error
    387.00000
  • t(b)
    2.69794
  • p(b)
    0.00364
  • t(a)
    3.21771
  • p(a)
    0.00070
  • Lowerbound of 95% confidence interval for beta
    0.09716
  • Upperbound of 95% confidence interval for beta
    0.61924
  • Lowerbound of 95% confidence interval for alpha
    0.26115
  • Upperbound of 95% confidence interval for alpha
    1.08162
  • Treynor index (mean / b)
    2.00007
  • Jensen alpha (a)
    0.67139
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02296
  • Expected Shortfall on VaR
    0.02936
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00612
  • Expected Shortfall on VaR
    0.01312
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    389.00000
  • Minimum
    0.95688
  • Quartile 1
    0.99934
  • Median
    1.00000
  • Quartile 3
    1.00432
  • Maximum
    1.12023
  • Mean of quarter 1
    0.99041
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00153
  • Mean of quarter 4
    1.02011
  • Inter Quartile Range
    0.00499
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.09512
  • Mean of outliers low
    0.98115
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.12082
  • Mean of outliers high
    1.03331
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35745
  • VaR(95%) (moments method)
    0.00485
  • Expected Shortfall (moments method)
    0.00994
  • Extreme Value Index (regression method)
    0.09374
  • VaR(95%) (regression method)
    0.00892
  • Expected Shortfall (regression method)
    0.01499
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00575
  • Median
    0.01357
  • Quartile 3
    0.02428
  • Maximum
    0.11803
  • Mean of quarter 1
    0.00220
  • Mean of quarter 2
    0.00864
  • Mean of quarter 3
    0.01864
  • Mean of quarter 4
    0.06919
  • Inter Quartile Range
    0.01852
  • 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
    0.18518
  • Mean of outliers high
    0.08705
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.33688
  • VaR(95%) (moments method)
    0.06351
  • Expected Shortfall (moments method)
    0.07862
  • Extreme Value Index (regression method)
    -0.69274
  • VaR(95%) (regression method)
    0.06387
  • Expected Shortfall (regression method)
    0.07176
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.36027
  • Compounded annual return (geometric extrapolation)
    1.10504
  • Calmar ratio (compounded annual return / max draw down)
    9.36222
  • Compounded annual return / average of 25% largest draw downs
    15.97160
  • Compounded annual return / Expected Shortfall lognormal
    37.63190
  • 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
    0.50996
  • SD
    0.15931
  • Sharpe ratio (Glass type estimate)
    3.20102
  • Sharpe ratio (Hedges UMVUE)
    3.18252
  • df
    130.00000
  • t
    2.26346
  • p
    0.40264
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39607
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.99404
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38385
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.98119
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.63549
  • Upside Potential Ratio
    11.54490
  • Upside part of mean
    1.04470
  • Downside part of mean
    -0.53474
  • Upside SD
    0.13413
  • Downside SD
    0.09049
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04257
  • Mean of criterion
    0.50996
  • SD of predictor
    0.07602
  • SD of criterion
    0.15931
  • Covariance
    0.00477
  • r
    0.39384
  • b (slope, estimate of beta)
    0.82539
  • a (intercept, estimate of alpha)
    0.47482
  • Mean Square Error
    0.02161
  • DF error
    129.00000
  • t(b)
    4.86646
  • p(b)
    0.25592
  • t(a)
    2.28262
  • p(a)
    0.37538
  • Lowerbound of 95% confidence interval for beta
    0.48982
  • Upperbound of 95% confidence interval for beta
    1.16097
  • Lowerbound of 95% confidence interval for alpha
    0.06326
  • Upperbound of 95% confidence interval for alpha
    0.88639
  • Treynor index (mean / b)
    0.61783
  • Jensen alpha (a)
    0.47482
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49689
  • SD
    0.15874
  • Sharpe ratio (Glass type estimate)
    3.13028
  • Sharpe ratio (Hedges UMVUE)
    3.11219
  • df
    130.00000
  • t
    2.21344
  • p
    0.40471
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32664
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.92224
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31469
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.90969
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.42346
  • Upside Potential Ratio
    11.30480
  • Upside part of mean
    1.03574
  • Downside part of mean
    -0.53885
  • Upside SD
    0.13249
  • Downside SD
    0.09162
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03969
  • Mean of criterion
    0.49689
  • SD of predictor
    0.07611
  • SD of criterion
    0.15874
  • Covariance
    0.00475
  • r
    0.39276
  • b (slope, estimate of beta)
    0.81914
  • a (intercept, estimate of alpha)
    0.46438
  • Mean Square Error
    0.02148
  • DF error
    129.00000
  • t(b)
    4.85063
  • p(b)
    0.25655
  • t(a)
    2.23955
  • p(a)
    0.37761
  • Lowerbound of 95% confidence interval for beta
    0.48502
  • Upperbound of 95% confidence interval for beta
    1.15326
  • Lowerbound of 95% confidence interval for alpha
    0.05412
  • Upperbound of 95% confidence interval for alpha
    0.87464
  • Treynor index (mean / b)
    0.60660
  • Jensen alpha (a)
    0.46438
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01413
  • Expected Shortfall on VaR
    0.01816
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00437
  • Expected Shortfall on VaR
    0.00962
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96124
  • Quartile 1
    0.99909
  • Median
    1.00046
  • Quartile 3
    1.00424
  • Maximum
    1.03652
  • Mean of quarter 1
    0.99221
  • Mean of quarter 2
    0.99993
  • Mean of quarter 3
    1.00241
  • Mean of quarter 4
    1.01368
  • Inter Quartile Range
    0.00515
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98281
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.02140
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.16494
  • VaR(95%) (moments method)
    0.00376
  • Expected Shortfall (moments method)
    0.00514
  • Extreme Value Index (regression method)
    0.30461
  • VaR(95%) (regression method)
    0.00653
  • Expected Shortfall (regression method)
    0.01301
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00248
  • Median
    0.00804
  • Quartile 3
    0.01966
  • Maximum
    0.07052
  • Mean of quarter 1
    0.00111
  • Mean of quarter 2
    0.00597
  • Mean of quarter 3
    0.01773
  • Mean of quarter 4
    0.04308
  • Inter Quartile Range
    0.01719
  • 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
    0.07692
  • Mean of outliers high
    0.07052
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.06277
  • VaR(95%) (moments method)
    0.04110
  • Expected Shortfall (moments method)
    0.05678
  • Extreme Value Index (regression method)
    0.98225
  • VaR(95%) (regression method)
    0.06471
  • Expected Shortfall (regression method)
    3.10579
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60009
  • Compounded annual return (geometric extrapolation)
    0.69012
  • Calmar ratio (compounded annual return / max draw down)
    9.78574
  • Compounded annual return / average of 25% largest draw downs
    16.01940
  • Compounded annual return / Expected Shortfall lognormal
    38.00510

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 (MonTueEffect, EndOfMonth, BlackBollinger)
- 1 Intermarket

Please download strategy description and 16 years backtest: http://bit.ly/ANTARES_SP500_Backtest

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 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.

recently we have introduced new tested set-ups, in an effort to introduce diversification through different strategy logic, even though the system operates on a single market. As capital increased, new set-ups aim also at maintaining past and actual “percent” profitability, without increasing number of contracts per signal that otherwise will create issues for actual and new subscribers.

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

I am always available for additional information.

Thank you,
Paolo Geronazzo

Summary Statistics

Strategy began
2016-02-20
Minimum Capital Required
$25,000
# Trades
62
# Profitable
46
% Profitable
74.2%
Correlation S&P500
0.105
Sharpe Ratio
2.858

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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