ANTARES SP500 (98858556)
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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.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

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.
Started  $25,000  
Buy Power  $75,490  
Cash  $1  
Equity  $1  
Cumulative $  $50,490  
Total System Equity  $75,490  
Margined  $1  
Open P/L  $914  
Data has been delayed by 48 hours for nonsubscribers 
System developer has asked us to delay this information by 48 hours.
Trading Record
Statistics

Strategy began2/20/2016

Starting Unit Size$25,000

Strategy Age (days)550.47

Age18 months ago

What it tradesFutures

# Trades62

# Profitable46

% Profitable74.20%

Avg trade duration4.3 days

Max peaktovalley drawdown20.29%

drawdown periodMay 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 ratio4.87:1

Sharpe Ratio2.858

Sortino Ratio6.767

Calmar Ratio9.362
 CORRELATION STATISTICS

Correlation to SP5000.10500
 Return Statistics

Ann Return (w trading costs)99.3%

Ann Return (Compnd, No Fees)107.8%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss29.00%

Chance of 20% account loss4.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)983

Popularity (Last 6 weeks)994

C2 Score96.0
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$816

Avg Win$1,381

# Winners46

# Losers16

% Winners74.2%
 Frequency

Avg Position Time (mins)6168.78

Avg Position Time (hrs)102.81

Avg Trade Length4.3 days

Last Trade Ago0
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.76364

SD0.26907

Sharpe ratio (Glass type estimate)2.83805

Sharpe ratio (Hedges UMVUE)2.70254

df16.00000

t3.37796

p0.17740

Lowerbound of 95% confidence interval for Sharpe Ratio0.89153

Upperbound of 95% confidence interval for Sharpe Ratio4.71921

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.80824

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.59685
 Statistics related to Sortino ratio

Sortino ratio20.93430

Upside Potential Ratio22.25110

Upside part of mean0.81168

Downside part of mean0.04803

Upside SD0.33971

Downside SD0.03648

N nonnegative terms14.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations17.00000

Mean of predictor0.14471

Mean of criterion0.76364

SD of predictor0.07901

SD of criterion0.26907

Covariance0.00465

r0.21877

b (slope, estimate of beta)0.74499

a (intercept, estimate of alpha)0.65584

Mean Square Error0.07353

DF error15.00000

t(b)0.86831

p(b)0.36185

t(a)2.52771

p(a)0.17025

Lowerbound of 95% confidence interval for beta1.08374

Upperbound of 95% confidence interval for beta2.57372

Lowerbound of 95% confidence interval for alpha0.10281

Upperbound of 95% confidence interval for alpha1.20886

Treynor index (mean / b)1.02504

Jensen alpha (a)0.65584
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.70998

SD0.24423

Sharpe ratio (Glass type estimate)2.90697

Sharpe ratio (Hedges UMVUE)2.76818

df16.00000

t3.45999

p0.17289

Lowerbound of 95% confidence interval for Sharpe Ratio0.94792

Upperbound of 95% confidence interval for Sharpe Ratio4.79989

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.86253

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.67383
 Statistics related to Sortino ratio

Sortino ratio19.19560

Upside Potential Ratio20.50960

Upside part of mean0.75858

Downside part of mean0.04860

Upside SD0.31109

Downside SD0.03699

N nonnegative terms14.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations17.00000

Mean of predictor0.14067

Mean of criterion0.70998

SD of predictor0.07754

SD of criterion0.24423

Covariance0.00434

r0.22921

b (slope, estimate of beta)0.72196

a (intercept, estimate of alpha)0.60842

Mean Square Error0.06028

DF error15.00000

t(b)0.91202

p(b)0.35537

t(a)2.59541

p(a)0.16487

Lowerbound of 95% confidence interval for beta0.96531

Upperbound of 95% confidence interval for beta2.40922

Lowerbound of 95% confidence interval for alpha0.10876

Upperbound of 95% confidence interval for alpha1.10808

Treynor index (mean / b)0.98341

Jensen alpha (a)0.60842
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05522

Expected Shortfall on VaR0.08234
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00388

Expected Shortfall on VaR0.01064
 ORDER STATISTICS
 Quartiles of return rates

Number of observations17.00000

Minimum0.96503

Quartile 11.02439

Median1.04291

Quartile 31.08066

Maximum1.24348

Mean of quarter 10.99568

Mean of quarter 21.03607

Mean of quarter 31.06879

Mean of quarter 41.18090

Inter Quartile Range0.05627

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.11765

Mean of outliers high1.23332
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)1.06703

VaR(95%) (regression method)0.03039

Expected Shortfall (regression method)0.03638
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.00981

Quartile 10.01304

Median0.01628

Quartile 30.02563

Maximum0.03497

Mean of quarter 10.00981

Mean of quarter 20.01628

Mean of quarter 30.00000

Mean of quarter 40.03497

Inter Quartile Range0.01258

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)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 downs31.20910

Compounded annual return / Expected Shortfall lognormal13.25650

0.00000

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

Mean0.75062

SD0.26212

Sharpe ratio (Glass type estimate)2.86367

Sharpe ratio (Hedges UMVUE)2.85813

df388.00000

t3.48937

p0.00027

Lowerbound of 95% confidence interval for Sharpe Ratio1.24079

Upperbound of 95% confidence interval for Sharpe Ratio4.48295

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.23710

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.47916
 Statistics related to Sortino ratio

Sortino ratio6.76659

Upside Potential Ratio12.63630

Upside part of mean1.40175

Downside part of mean0.65113

Upside SD0.24161

Downside SD0.11093

N nonnegative terms166.00000

N negative terms223.00000
 Statistics related to linear regression on benchmark

N of observations389.00000

Mean of predictor0.13047

Mean of criterion0.75062

SD of predictor0.09680

SD of criterion0.26212

Covariance0.00352

r0.13856

b (slope, estimate of beta)0.37519

a (intercept, estimate of alpha)0.70200

Mean Square Error0.06756

DF error387.00000

t(b)2.75239

p(b)0.00310

t(a)3.27796

p(a)0.00057

Lowerbound of 95% confidence interval for beta0.10718

Upperbound of 95% confidence interval for beta0.64320

Lowerbound of 95% confidence interval for alpha0.28081

Upperbound of 95% confidence interval for alpha1.12252

Treynor index (mean / b)2.00063

Jensen alpha (a)0.70167
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.71643

SD0.25547

Sharpe ratio (Glass type estimate)2.80435

Sharpe ratio (Hedges UMVUE)2.79892

df388.00000

t3.41709

p0.00035

Lowerbound of 95% confidence interval for Sharpe Ratio1.18206

Upperbound of 95% confidence interval for Sharpe Ratio4.42315

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.17840

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.41944
 Statistics related to Sortino ratio

Sortino ratio6.36993

Upside Potential Ratio12.21440

Upside part of mean1.37376

Downside part of mean0.65733

Upside SD0.23325

Downside SD0.11247

N nonnegative terms166.00000

N negative terms223.00000
 Statistics related to linear regression on benchmark

N of observations389.00000

Mean of predictor0.12575

Mean of criterion0.71643

SD of predictor0.09690

SD of criterion0.25547

Covariance0.00336

r0.13587

b (slope, estimate of beta)0.35820

a (intercept, estimate of alpha)0.67139

Mean Square Error0.06423

DF error387.00000

t(b)2.69794

p(b)0.00364

t(a)3.21771

p(a)0.00070

Lowerbound of 95% confidence interval for beta0.09716

Upperbound of 95% confidence interval for beta0.61924

Lowerbound of 95% confidence interval for alpha0.26115

Upperbound of 95% confidence interval for alpha1.08162

Treynor index (mean / b)2.00007

Jensen alpha (a)0.67139
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02296

Expected Shortfall on VaR0.02936
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00612

Expected Shortfall on VaR0.01312
 ORDER STATISTICS
 Quartiles of return rates

Number of observations389.00000

Minimum0.95688

Quartile 10.99934

Median1.00000

Quartile 31.00432

Maximum1.12023

Mean of quarter 10.99041

Mean of quarter 20.99997

Mean of quarter 31.00153

Mean of quarter 41.02011

Inter Quartile Range0.00499

Number outliers low37.00000

Percentage of outliers low0.09512

Mean of outliers low0.98115

Number of outliers high47.00000

Percentage of outliers high0.12082

Mean of outliers high1.03331
 Risk estimates for a oneperiod 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 observations27.00000

Minimum0.00019

Quartile 10.00575

Median0.01357

Quartile 30.02428

Maximum0.11803

Mean of quarter 10.00220

Mean of quarter 20.00864

Mean of quarter 30.01864

Mean of quarter 40.06919

Inter Quartile Range0.01852

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high5.00000

Percentage of outliers high0.18518

Mean of outliers high0.08705
 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 downs15.97160

Compounded annual return / Expected Shortfall lognormal37.63190

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

Mean0.50996

SD0.15931

Sharpe ratio (Glass type estimate)3.20102

Sharpe ratio (Hedges UMVUE)3.18252

df130.00000

t2.26346

p0.40264

Lowerbound of 95% confidence interval for Sharpe Ratio0.39607

Upperbound of 95% confidence interval for Sharpe Ratio5.99404

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.38385

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.98119
 Statistics related to Sortino ratio

Sortino ratio5.63549

Upside Potential Ratio11.54490

Upside part of mean1.04470

Downside part of mean0.53474

Upside SD0.13413

Downside SD0.09049

N nonnegative terms70.00000

N negative terms61.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.04257

Mean of criterion0.50996

SD of predictor0.07602

SD of criterion0.15931

Covariance0.00477

r0.39384

b (slope, estimate of beta)0.82539

a (intercept, estimate of alpha)0.47482

Mean Square Error0.02161

DF error129.00000

t(b)4.86646

p(b)0.25592

t(a)2.28262

p(a)0.37538

Lowerbound of 95% confidence interval for beta0.48982

Upperbound of 95% confidence interval for beta1.16097

Lowerbound of 95% confidence interval for alpha0.06326

Upperbound of 95% confidence interval for alpha0.88639

Treynor index (mean / b)0.61783

Jensen alpha (a)0.47482
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.49689

SD0.15874

Sharpe ratio (Glass type estimate)3.13028

Sharpe ratio (Hedges UMVUE)3.11219

df130.00000

t2.21344

p0.40471

Lowerbound of 95% confidence interval for Sharpe Ratio0.32664

Upperbound of 95% confidence interval for Sharpe Ratio5.92224

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.31469

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.90969
 Statistics related to Sortino ratio

Sortino ratio5.42346

Upside Potential Ratio11.30480

Upside part of mean1.03574

Downside part of mean0.53885

Upside SD0.13249

Downside SD0.09162

N nonnegative terms70.00000

N negative terms61.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.03969

Mean of criterion0.49689

SD of predictor0.07611

SD of criterion0.15874

Covariance0.00475

r0.39276

b (slope, estimate of beta)0.81914

a (intercept, estimate of alpha)0.46438

Mean Square Error0.02148

DF error129.00000

t(b)4.85063

p(b)0.25655

t(a)2.23955

p(a)0.37761

Lowerbound of 95% confidence interval for beta0.48502

Upperbound of 95% confidence interval for beta1.15326

Lowerbound of 95% confidence interval for alpha0.05412

Upperbound of 95% confidence interval for alpha0.87464

Treynor index (mean / b)0.60660

Jensen alpha (a)0.46438
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01413

Expected Shortfall on VaR0.01816
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00437

Expected Shortfall on VaR0.00962
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.96124

Quartile 10.99909

Median1.00046

Quartile 31.00424

Maximum1.03652

Mean of quarter 10.99221

Mean of quarter 20.99993

Mean of quarter 31.00241

Mean of quarter 41.01368

Inter Quartile Range0.00515

Number outliers low9.00000

Percentage of outliers low0.06870

Mean of outliers low0.98281

Number of outliers high15.00000

Percentage of outliers high0.11450

Mean of outliers high1.02140
 Risk estimates for a oneperiod 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 observations13.00000

Minimum0.00019

Quartile 10.00248

Median0.00804

Quartile 30.01966

Maximum0.07052

Mean of quarter 10.00111

Mean of quarter 20.00597

Mean of quarter 30.01773

Mean of quarter 40.04308

Inter Quartile Range0.01719

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.07692

Mean of outliers high0.07052
 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 downs16.01940

Compounded annual return / Expected Shortfall lognormal38.00510
Strategy Description
ANTARES SP500 is a fully mechanical strategy operating EndOfDay on MiniSP500 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 12) or 1 to 3 short positions in the same direction (long/short) and manages independent adaptive stops and targets for each positions. A global predefined 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 selfadapting using custom functions.
recently we have introduced new tested setups, in an effort to introduce diversification through different strategy logic, even though the system operates on a single market. As capital increased, new setups 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
Latest Activity
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
 Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
 Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been rescaled downward to make current goforward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
 All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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