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These are hypothetical performance results that have certain inherent limitations. Learn more

ANTARES SP500 (98858556)

Created by: PaoloGeronazzo PaoloGeronazzo
Started: 02/2016
Futures
Last trade: 2 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.

86.9%
Annual Return (Compounded)
20.3%
Max Drawdown
70
Num Trades
71.4%
Win Trades
4.5 : 1
Profit Factor
85.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +7.8%+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%+1.3%(0.9%)            +34.8%

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 170 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/13/17 8:34 @ESZ7 E-MINI S&P 500 SHORT 3 2555.83 10/19 3:50 2556.67 1.17%
Trade id #114237472
Max drawdown($887)
Time10/18/17 8:21
Quant open-3
Worst price2561.75
Drawdown as % of equity-1.17%
($149)
Includes Typical Broker Commissions trade costs of $24.00
10/11/17 16:01 @ESZ7 E-MINI S&P 500 SHORT 1 2553.50 10/12 4:51 2548.75 n/a $230
Includes Typical Broker Commissions trade costs of $8.00
10/10/17 9:39 @ESZ7 E-MINI S&P 500 SHORT 1 2551.00 10/11 3:23 2546.25 0.15%
Trade id #114129382
Max drawdown($112)
Time10/10/17 9:43
Quant open-1
Worst price2553.25
Drawdown as % of equity-0.15%
$230
Includes Typical Broker Commissions trade costs of $8.00
10/4/17 10:39 @ESZ7 E-MINI S&P 500 SHORT 1 2530.90 10/5 15:01 2549.75 1.23%
Trade id #114013054
Max drawdown($943)
Time10/5/17 15:01
Quant open0
Worst price2549.75
Drawdown as % of equity-1.23%
($951)
Includes Typical Broker Commissions trade costs of $8.00
9/25/17 18:00 @ESZ7 E-MINI S&P 500 LONG 1 2498.00 10/4 10:00 2531.50 0.38%
Trade id #113850407
Max drawdown($287)
Time9/26/17 11:28
Quant open1
Worst price2492.25
Drawdown as % of equity-0.38%
$1,667
Includes Typical Broker Commissions trade costs of $8.00
9/20/17 9:30 @ESZ7 E-MINI S&P 500 SHORT 1 2506.25 9/21 3:00 2502.00 0.07%
Trade id #113761815
Max drawdown($50)
Time9/20/17 9:48
Quant open-1
Worst price2507.25
Drawdown as % of equity-0.07%
$205
Includes Typical Broker Commissions trade costs of $8.00
9/5/17 18:00 @ESU7 E-MINI S&P 500 LONG 1 2459.76 9/6 18:01 2458.06 0.22%
Trade id #113548885
Max drawdown($162)
Time9/5/17 20:30
Quant open1
Worst price2456.50
Drawdown as % of equity-0.22%
($93)
Includes Typical Broker Commissions trade costs of $8.00
8/17/17 15:50 @ESU7 E-MINI S&P 500 LONG 3 2427.57 8/22 18:00 2442.83 1.55%
Trade id #113208943
Max drawdown($1,123)
Time8/21/17 10:24
Quant open2
Worst price2415.75
Drawdown as % of equity-1.55%
$2,265
Includes Typical Broker Commissions trade costs of $24.00
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

Statistics

  • Strategy began
    2/20/2016
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    609.17
  • Age
    20 months ago
  • What it trades
    Futures
  • # Trades
    70
  • # Profitable
    50
  • % Profitable
    71.40%
  • Avg trade duration
    4.1 days
  • Max peak-to-valley drawdown
    20.29%
  • drawdown period
    May 17, 2016 - June 16, 2016
  • Annual Return (Compounded)
    86.9%
  • Avg win
    $1,318
  • Avg loss
    $737.60
  • Model Account Values (Raw)
  • Cash
    $76,700
  • Margin Used
    $6,178
  • Buying Power
    $69,972
  • Ratios
  • W:L ratio
    4.47:1
  • Sharpe Ratio
    2.731
  • Sortino Ratio
    6.457
  • Calmar Ratio
    8.261
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.10200
  • Return Statistics
  • Ann Return (w trading costs)
    86.9%
  • Ann Return (Compnd, No Fees)
    94.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    25.50%
  • 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)
    949
  • Popularity (Last 6 weeks)
    995
  • C2 Score
    95.6
  • 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
    $738
  • Avg Win
    $1,318
  • # Winners
    50
  • # Losers
    20
  • % Winners
    71.4%
  • Frequency
  • Avg Position Time (mins)
    5884.65
  • Avg Position Time (hrs)
    98.08
  • Avg Trade Length
    4.1 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72561
  • SD
    0.25753
  • Sharpe ratio (Glass type estimate)
    2.81754
  • Sharpe ratio (Hedges UMVUE)
    2.69821
  • df
    18.00000
  • t
    3.54533
  • p
    0.17938
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.98267
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.59429
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90850
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.48791
  • Statistics related to Sortino ratio
  • Sortino ratio
    21.02920
  • Upside Potential Ratio
    22.27480
  • Upside part of mean
    0.76859
  • Downside part of mean
    -0.04298
  • Upside SD
    0.32483
  • Downside SD
    0.03450
  • N nonnegative terms
    16.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.13916
  • Mean of criterion
    0.72561
  • SD of predictor
    0.07667
  • SD of criterion
    0.25753
  • Covariance
    0.00377
  • r
    0.19103
  • b (slope, estimate of beta)
    0.64168
  • a (intercept, estimate of alpha)
    0.63631
  • Mean Square Error
    0.06766
  • DF error
    17.00000
  • t(b)
    0.80242
  • p(b)
    0.37913
  • t(a)
    2.71035
  • p(a)
    0.16879
  • Lowerbound of 95% confidence interval for beta
    -1.04550
  • Upperbound of 95% confidence interval for beta
    2.32886
  • Lowerbound of 95% confidence interval for alpha
    0.14099
  • Upperbound of 95% confidence interval for alpha
    1.13164
  • Treynor index (mean / b)
    1.13080
  • Jensen alpha (a)
    0.63631
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67641
  • SD
    0.23386
  • Sharpe ratio (Glass type estimate)
    2.89239
  • Sharpe ratio (Hedges UMVUE)
    2.76989
  • df
    18.00000
  • t
    3.63951
  • p
    0.17445
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.04474
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.68117
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96854
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.57124
  • Statistics related to Sortino ratio
  • Sortino ratio
    19.33390
  • Upside Potential Ratio
    20.57680
  • Upside part of mean
    0.71989
  • Downside part of mean
    -0.04348
  • Upside SD
    0.29785
  • Downside SD
    0.03499
  • N nonnegative terms
    16.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.13535
  • Mean of criterion
    0.67641
  • SD of predictor
    0.07527
  • SD of criterion
    0.23386
  • Covariance
    0.00349
  • r
    0.19854
  • b (slope, estimate of beta)
    0.61686
  • a (intercept, estimate of alpha)
    0.59292
  • Mean Square Error
    0.05562
  • DF error
    17.00000
  • t(b)
    0.83523
  • p(b)
    0.37444
  • t(a)
    2.79123
  • p(a)
    0.16281
  • Lowerbound of 95% confidence interval for beta
    -0.94135
  • Upperbound of 95% confidence interval for beta
    2.17508
  • Lowerbound of 95% confidence interval for alpha
    0.14475
  • Upperbound of 95% confidence interval for alpha
    1.04109
  • Treynor index (mean / b)
    1.09653
  • Jensen alpha (a)
    0.59292
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05321
  • Expected Shortfall on VaR
    0.07926
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00305
  • Expected Shortfall on VaR
    0.00889
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.96503
  • Quartile 1
    1.01972
  • Median
    1.04291
  • Quartile 3
    1.07671
  • Maximum
    1.24348
  • Mean of quarter 1
    0.99282
  • Mean of quarter 2
    1.03373
  • Mean of quarter 3
    1.06403
  • Mean of quarter 4
    1.16085
  • Inter Quartile Range
    0.05699
  • 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
    0.10526
  • 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)
    -0.88576
  • VaR(95%) (regression method)
    0.02902
  • Expected Shortfall (regression method)
    0.03663
  • 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)
    1.29479
  • Compounded annual return (geometric extrapolation)
    1.02247
  • Calmar ratio (compounded annual return / max draw down)
    29.23510
  • Compounded annual return / average of 25% largest draw downs
    29.23510
  • Compounded annual return / Expected Shortfall lognormal
    12.90080
  • 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
    0.68371
  • SD
    0.24987
  • Sharpe ratio (Glass type estimate)
    2.73628
  • Sharpe ratio (Hedges UMVUE)
    2.73149
  • df
    429.00000
  • t
    3.50545
  • p
    0.00025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.19390
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19071
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.27227
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.45750
  • Upside Potential Ratio
    12.18490
  • Upside part of mean
    1.29013
  • Downside part of mean
    -0.60642
  • Upside SD
    0.22992
  • Downside SD
    0.10588
  • N nonnegative terms
    181.00000
  • N negative terms
    249.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    430.00000
  • Mean of predictor
    0.14735
  • Mean of criterion
    0.68371
  • SD of predictor
    0.09328
  • SD of criterion
    0.24987
  • Covariance
    0.00315
  • r
    0.13509
  • b (slope, estimate of beta)
    0.36188
  • a (intercept, estimate of alpha)
    0.63000
  • Mean Square Error
    0.06144
  • DF error
    428.00000
  • t(b)
    2.82062
  • p(b)
    0.00251
  • t(a)
    3.24272
  • p(a)
    0.00064
  • Lowerbound of 95% confidence interval for beta
    0.10970
  • Upperbound of 95% confidence interval for beta
    0.61404
  • Lowerbound of 95% confidence interval for alpha
    0.24829
  • Upperbound of 95% confidence interval for alpha
    1.01249
  • Treynor index (mean / b)
    1.88936
  • Jensen alpha (a)
    0.63039
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65271
  • SD
    0.24354
  • Sharpe ratio (Glass type estimate)
    2.68016
  • Sharpe ratio (Hedges UMVUE)
    2.67547
  • df
    429.00000
  • t
    3.43356
  • p
    0.00033
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.13830
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21903
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13513
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.21582
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.08076
  • Upside Potential Ratio
    11.78280
  • Upside part of mean
    1.26477
  • Downside part of mean
    -0.61206
  • Upside SD
    0.22198
  • Downside SD
    0.10734
  • N nonnegative terms
    181.00000
  • N negative terms
    249.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    430.00000
  • Mean of predictor
    0.14295
  • Mean of criterion
    0.65271
  • SD of predictor
    0.09337
  • SD of criterion
    0.24354
  • Covariance
    0.00301
  • r
    0.13248
  • b (slope, estimate of beta)
    0.34554
  • a (intercept, estimate of alpha)
    0.60332
  • Mean Square Error
    0.05840
  • DF error
    428.00000
  • t(b)
    2.76517
  • p(b)
    0.00297
  • t(a)
    3.18397
  • p(a)
    0.00078
  • Lowerbound of 95% confidence interval for beta
    0.09993
  • Upperbound of 95% confidence interval for beta
    0.59116
  • Lowerbound of 95% confidence interval for alpha
    0.23088
  • Upperbound of 95% confidence interval for alpha
    0.97576
  • Treynor index (mean / b)
    1.88895
  • Jensen alpha (a)
    0.60332
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02201
  • Expected Shortfall on VaR
    0.02812
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00573
  • Expected Shortfall on VaR
    0.01234
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    430.00000
  • Minimum
    0.95688
  • Quartile 1
    0.99940
  • Median
    1.00000
  • Quartile 3
    1.00390
  • Maximum
    1.12023
  • Mean of quarter 1
    0.99105
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00128
  • Mean of quarter 4
    1.01852
  • Inter Quartile Range
    0.00450
  • Number outliers low
    46.00000
  • Percentage of outliers low
    0.10698
  • Mean of outliers low
    0.98332
  • Number of outliers high
    54.00000
  • Percentage of outliers high
    0.12558
  • Mean of outliers high
    1.03039
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40994
  • VaR(95%) (moments method)
    0.00481
  • Expected Shortfall (moments method)
    0.01059
  • Extreme Value Index (regression method)
    0.11309
  • VaR(95%) (regression method)
    0.00845
  • Expected Shortfall (regression method)
    0.01451
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00384
  • Median
    0.00850
  • Quartile 3
    0.02193
  • Maximum
    0.11803
  • Mean of quarter 1
    0.00130
  • Mean of quarter 2
    0.00710
  • Mean of quarter 3
    0.01642
  • Mean of quarter 4
    0.06356
  • Inter Quartile Range
    0.01809
  • 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
    0.16129
  • Mean of outliers high
    0.08705
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.32909
  • VaR(95%) (moments method)
    0.06604
  • Expected Shortfall (moments method)
    0.11850
  • Extreme Value Index (regression method)
    0.26148
  • VaR(95%) (regression method)
    0.04741
  • Expected Shortfall (regression method)
    0.07132
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.25262
  • Compounded annual return (geometric extrapolation)
    0.97510
  • Calmar ratio (compounded annual return / max draw down)
    8.26136
  • Compounded annual return / average of 25% largest draw downs
    15.34030
  • Compounded annual return / Expected Shortfall lognormal
    34.67050
  • 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
    0.48686
  • SD
    0.11084
  • Sharpe ratio (Glass type estimate)
    4.39225
  • Sharpe ratio (Hedges UMVUE)
    4.36686
  • df
    130.00000
  • t
    3.10579
  • p
    0.36859
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.56151
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.20678
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54469
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.18904
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.32970
  • Upside Potential Ratio
    18.60120
  • Upside part of mean
    0.73450
  • Downside part of mean
    -0.24764
  • Upside SD
    0.10742
  • Downside SD
    0.03949
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15265
  • Mean of criterion
    0.48686
  • SD of predictor
    0.06992
  • SD of criterion
    0.11084
  • Covariance
    0.00273
  • r
    0.35221
  • b (slope, estimate of beta)
    0.55834
  • a (intercept, estimate of alpha)
    0.40163
  • Mean Square Error
    0.01085
  • DF error
    129.00000
  • t(b)
    4.27422
  • p(b)
    0.28050
  • t(a)
    2.70229
  • p(a)
    0.35397
  • Lowerbound of 95% confidence interval for beta
    0.29989
  • Upperbound of 95% confidence interval for beta
    0.81679
  • Lowerbound of 95% confidence interval for alpha
    0.10757
  • Upperbound of 95% confidence interval for alpha
    0.69569
  • Treynor index (mean / b)
    0.87198
  • Jensen alpha (a)
    0.40163
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48035
  • SD
    0.10975
  • Sharpe ratio (Glass type estimate)
    4.37681
  • Sharpe ratio (Hedges UMVUE)
    4.35151
  • df
    130.00000
  • t
    3.09487
  • p
    0.36902
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.54642
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.19110
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52969
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.17333
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.11780
  • Upside Potential Ratio
    18.38430
  • Upside part of mean
    0.72875
  • Downside part of mean
    -0.24840
  • Upside SD
    0.10612
  • Downside SD
    0.03964
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15016
  • Mean of criterion
    0.48035
  • SD of predictor
    0.07004
  • SD of criterion
    0.10975
  • Covariance
    0.00272
  • r
    0.35321
  • b (slope, estimate of beta)
    0.55343
  • a (intercept, estimate of alpha)
    0.39725
  • Mean Square Error
    0.01062
  • DF error
    129.00000
  • t(b)
    4.28804
  • p(b)
    0.27991
  • t(a)
    2.70146
  • p(a)
    0.35402
  • Lowerbound of 95% confidence interval for beta
    0.29807
  • Upperbound of 95% confidence interval for beta
    0.80878
  • Lowerbound of 95% confidence interval for alpha
    0.10631
  • Upperbound of 95% confidence interval for alpha
    0.68819
  • Treynor index (mean / b)
    0.86795
  • Jensen alpha (a)
    0.39725
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00928
  • Expected Shortfall on VaR
    0.01208
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00219
  • Expected Shortfall on VaR
    0.00467
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98954
  • Quartile 1
    0.99983
  • Median
    1.00000
  • Quartile 3
    1.00285
  • Maximum
    1.03535
  • Mean of quarter 1
    0.99647
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00140
  • Mean of quarter 4
    1.00998
  • Inter Quartile Range
    0.00302
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.99231
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.01738
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.36060
  • VaR(95%) (moments method)
    0.00282
  • Expected Shortfall (moments method)
    0.00376
  • Extreme Value Index (regression method)
    -0.88750
  • VaR(95%) (regression method)
    0.00484
  • Expected Shortfall (regression method)
    0.00580
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00140
  • Median
    0.00302
  • Quartile 3
    0.01233
  • Maximum
    0.01966
  • Mean of quarter 1
    0.00069
  • Mean of quarter 2
    0.00222
  • Mean of quarter 3
    0.00597
  • Mean of quarter 4
    0.01674
  • Inter Quartile Range
    0.01093
  • 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)
    -0.61381
  • VaR(95%) (moments method)
    0.01895
  • Expected Shortfall (moments method)
    0.02032
  • Extreme Value Index (regression method)
    -1.60005
  • VaR(95%) (regression method)
    0.01741
  • Expected Shortfall (regression method)
    0.01758
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.57867
  • Compounded annual return (geometric extrapolation)
    0.66239
  • Calmar ratio (compounded annual return / max draw down)
    33.68850
  • Compounded annual return / average of 25% largest draw downs
    39.57010
  • Compounded annual return / Expected Shortfall lognormal
    54.85290

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
70
# Profitable
50
% Profitable
71.4%
Correlation S&P500
0.102
Sharpe Ratio
2.731

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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