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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 06/21/2017
Most recent certification approved 10/5/17 13:46 ET
Trades at broker Interactive Brokers (Stocks / Options)
Scaling percentage used 500%
# trading signals issued by system since certification 618
# trading signals executed in manager's Interactive Brokers (Stocks / Options) account 568
Percent signals followed since 06/21/2017 91.9%
This information was last updated 12/12/18 4:27 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 06/21/2017, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

A Strategy for YM
(111178031)

Created by: MARKET-TREND-SIGNALS MARKET-TREND-SIGNALS
Started: 04/2017
Futures
Last trade: 2 days ago
Trading style: Futures Trend-following

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 $198.00 per month.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
-16.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(91.2%)
Max Drawdown
116
Num Trades
77.6%
Win Trades
1.8 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                     +17.3%+7.0%+11.2%+39.5%(5.3%)+11.3%+43.7%+24.4%+16.0%+325.6%
2018+43.6%+0.5%(12.2%)+2.6%(3.2%)(6.3%)+20.7%+14.9%+6.5%(36%)+42.1%(89.1%)(82.7%)

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 5 hours.

Trading Record

This strategy has placed 693 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/11/18 12:11 @YMH9 MINI DOW SHORT 8 24355 12/12 4:26 24615 18.46%
Trade id #121446380
Max drawdown($11,126)
Time12/11/18 15:15
Quant open-8
Worst price24633
Drawdown as % of equity-18.46%
($10,478)
Includes Typical Broker Commissions trade costs of $64.00
12/10/18 1:10 @YMH9 MINI DOW LONG 6 24307 12/11 12:08 24405 29.21%
Trade id #121417286
Max drawdown($11,598)
Time12/10/18 11:21
Quant open6
Worst price23920
Drawdown as % of equity-29.21%
$2,904
Includes Typical Broker Commissions trade costs of $48.00
12/9/18 18:25 @YMH9 MINI DOW SHORT 6 24232 12/10 1:10 24303 3.86%
Trade id #121414699
Max drawdown($2,122)
Time12/10/18 1:10
Quant open0
Worst price24303
Drawdown as % of equity-3.86%
($2,170)
Includes Typical Broker Commissions trade costs of $48.00
10/3/18 7:20 @YMZ8 MINI DOW LONG 3 26879 10/3 14:33 26903 0.03%
Trade id #120155676
Max drawdown($48)
Time10/3/18 7:39
Quant open3
Worst price26876
Drawdown as % of equity-0.03%
$329
Includes Typical Broker Commissions trade costs of $24.00
9/24/18 4:20 @YMZ8 MINI DOW LONG 6 26659 10/2 15:06 26777 6.26%
Trade id #119997157
Max drawdown($9,354)
Time9/28/18 8:18
Quant open6
Worst price26347
Drawdown as % of equity-6.26%
$3,496
Includes Typical Broker Commissions trade costs of $48.00
9/20/18 6:43 @YMZ8 MINI DOW LONG 3 26507 9/21 14:12 26757 0.03%
Trade id #119942569
Max drawdown($45)
Time9/20/18 6:45
Quant open3
Worst price26504
Drawdown as % of equity-0.03%
$3,731
Includes Typical Broker Commissions trade costs of $24.00
9/19/18 14:12 @YMZ8 MINI DOW SHORT 2 26479 9/19 16:30 26465 0.09%
Trade id #119935422
Max drawdown($134)
Time9/19/18 14:17
Quant open-2
Worst price26492
Drawdown as % of equity-0.09%
$119
Includes Typical Broker Commissions trade costs of $16.00
9/17/18 7:23 @YMZ8 MINI DOW LONG 9 26144 9/19 8:15 26217 1.75%
Trade id #119882890
Max drawdown($2,599)
Time9/17/18 20:01
Quant open3
Worst price25991
Drawdown as % of equity-1.75%
$3,239
Includes Typical Broker Commissions trade costs of $72.00
8/30/18 8:19 @YMU8 MINI DOW LONG 7 26048 9/14 16:04 26081 5.4%
Trade id #119659818
Max drawdown($7,791)
Time9/4/18 9:51
Quant open6
Worst price25817
Drawdown as % of equity-5.40%
$1,108
Includes Typical Broker Commissions trade costs of $56.00
8/27/18 8:00 @YMU8 MINI DOW LONG 10 26045 8/30 5:03 26055 0.01%
Trade id #119601043
Max drawdown($13)
Time8/27/18 8:02
Quant open3
Worst price25894
Drawdown as % of equity-0.01%
$441
Includes Typical Broker Commissions trade costs of $80.00
8/23/18 1:45 @YMU8 MINI DOW LONG 6 25697 8/24 15:03 25786 1.49%
Trade id #119561747
Max drawdown($2,161)
Time8/23/18 11:40
Quant open4
Worst price25607
Drawdown as % of equity-1.49%
$2,610
Includes Typical Broker Commissions trade costs of $48.00
8/22/18 2:52 @YMU8 MINI DOW LONG 4 25757 8/22 13:10 25770 0.34%
Trade id #119544582
Max drawdown($492)
Time8/22/18 4:33
Quant open4
Worst price25732
Drawdown as % of equity-0.34%
$241
Includes Typical Broker Commissions trade costs of $32.00
8/20/18 23:18 @YMU8 MINI DOW LONG 3 25775 8/21 14:38 25861 0.1%
Trade id #119524240
Max drawdown($147)
Time8/21/18 2:58
Quant open3
Worst price25765
Drawdown as % of equity-0.10%
$1,274
Includes Typical Broker Commissions trade costs of $24.00
8/20/18 2:33 @YMU8 MINI DOW LONG 3 25713 8/20 14:54 25760 0.05%
Trade id #119506378
Max drawdown($77)
Time8/20/18 7:39
Quant open3
Worst price25708
Drawdown as % of equity-0.05%
$674
Includes Typical Broker Commissions trade costs of $24.00
8/17/18 10:57 @YMU8 MINI DOW LONG 4 25577 8/17 15:57 25677 0.21%
Trade id #119488498
Max drawdown($303)
Time8/17/18 11:02
Quant open4
Worst price25562
Drawdown as % of equity-0.21%
$1,956
Includes Typical Broker Commissions trade costs of $32.00
8/8/18 7:35 @YMU8 MINI DOW LONG 6 25487 8/17 4:05 25609 12.84%
Trade id #119335140
Max drawdown($15,948)
Time8/15/18 10:57
Quant open6
Worst price24955
Drawdown as % of equity-12.84%
$3,625
Includes Typical Broker Commissions trade costs of $48.00
6/12/18 2:29 @YMU8 MINI DOW LONG 93 24772 8/7 14:35 24773 26.62%
Trade id #118382342
Max drawdown($28,317)
Time6/25/18 14:52
Quant open7
Worst price24091
Drawdown as % of equity-26.62%
($420)
Includes Typical Broker Commissions trade costs of $744.00
6/8/18 5:44 @YMU8 MINI DOW LONG 4 25160 6/11 14:32 25380 0.68%
Trade id #118327651
Max drawdown($910)
Time6/8/18 6:04
Quant open4
Worst price25114
Drawdown as % of equity-0.68%
$4,380
Includes Typical Broker Commissions trade costs of $32.00
5/22/18 2:59 @YMM8 MINI DOW LONG 15 24697 6/8 1:21 24730 15.4%
Trade id #118035577
Max drawdown($17,903)
Time5/29/18 11:42
Quant open7
Worst price24394
Drawdown as % of equity-15.40%
$2,302
Includes Typical Broker Commissions trade costs of $120.00
4/17/18 23:56 @YMM8 MINI DOW LONG 77 24304 5/21 15:29 24308 25.87%
Trade id #117553877
Max drawdown($27,518)
Time5/3/18 10:28
Quant open8
Worst price23572
Drawdown as % of equity-25.87%
$1,027
Includes Typical Broker Commissions trade costs of $616.00
4/5/18 14:48 @YMM8 MINI DOW LONG 30 24353 4/17 13:52 24359 2.45%
Trade id #117391233
Max drawdown($2,987)
Time4/6/18 15:07
Quant open1
Worst price23700
Drawdown as % of equity-2.45%
$678
Includes Typical Broker Commissions trade costs of $240.00
4/5/18 8:35 @YMM8 MINI DOW LONG 3 24361 4/5 13:15 24475 0.17%
Trade id #117380780
Max drawdown($216)
Time4/5/18 8:38
Quant open2
Worst price24335
Drawdown as % of equity-0.17%
$1,680
Includes Typical Broker Commissions trade costs of $24.00
4/5/18 4:22 @YMM8 MINI DOW SHORT 2 24350 4/5 8:35 24348 0.27%
Trade id #117379244
Max drawdown($347)
Time4/5/18 8:19
Quant open-2
Worst price24385
Drawdown as % of equity-0.27%
$2
Includes Typical Broker Commissions trade costs of $16.00
4/4/18 9:59 @YMM8 MINI DOW LONG 2 23646 4/5 4:22 24357 0.53%
Trade id #117364672
Max drawdown($635)
Time4/4/18 10:03
Quant open2
Worst price23582
Drawdown as % of equity-0.53%
$7,104
Includes Typical Broker Commissions trade costs of $16.00
4/4/18 2:39 @YMM8 MINI DOW SHORT 2 23872 4/4 9:32 23538 0.13%
Trade id #117360008
Max drawdown($146)
Time4/4/18 3:04
Quant open-2
Worst price23887
Drawdown as % of equity-0.13%
$3,332
Includes Typical Broker Commissions trade costs of $16.00
4/3/18 2:39 @YMM8 MINI DOW LONG 3 23590 4/3 14:31 23710 0.09%
Trade id #117339796
Max drawdown($103)
Time4/3/18 4:07
Quant open3
Worst price23583
Drawdown as % of equity-0.09%
$1,778
Includes Typical Broker Commissions trade costs of $24.00
4/2/18 10:37 @YMM8 MINI DOW SHORT 2 23872 4/2 14:52 23434 0.52%
Trade id #117326153
Max drawdown($568)
Time4/2/18 10:43
Quant open-2
Worst price23929
Drawdown as % of equity-0.52%
$4,361
Includes Typical Broker Commissions trade costs of $16.00
4/2/18 9:37 @YMM8 MINI DOW LONG 2 24070 4/2 10:37 23874 1.75%
Trade id #117323579
Max drawdown($1,962)
Time4/2/18 10:37
Quant open0
Worst price23874
Drawdown as % of equity-1.75%
($1,978)
Includes Typical Broker Commissions trade costs of $16.00
4/2/18 7:34 @YMM8 MINI DOW SHORT 2 23992 4/2 9:37 24066 0.65%
Trade id #117322141
Max drawdown($736)
Time4/2/18 9:37
Quant open0
Worst price24066
Drawdown as % of equity-0.65%
($752)
Includes Typical Broker Commissions trade costs of $16.00
4/2/18 6:12 @YMM8 MINI DOW LONG 2 24089 4/2 7:34 24002 0.76%
Trade id #117321684
Max drawdown($864)
Time4/2/18 7:34
Quant open0
Worst price24002
Drawdown as % of equity-0.76%
($880)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    4/21/2017
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    604.21
  • Age
    20 months ago
  • What it trades
    Futures
  • # Trades
    116
  • # Profitable
    90
  • % Profitable
    77.60%
  • Avg trade duration
    4.9 days
  • Max peak-to-valley drawdown
    91.19%
  • drawdown period
    Dec 03, 2018 - Dec 14, 2018
  • Annual Return (Compounded)
    -16.9%
  • Avg win
    $2,286
  • Avg loss
    $4,431
  • Model Account Values (Raw)
  • Cash
    $152,266
  • Margin Used
    $80,925
  • Buying Power
    $29,487
  • Ratios
  • W:L ratio
    1.79:1
  • Sharpe Ratio
    0.917
  • Sortino Ratio
    1.306
  • Calmar Ratio
    0.73
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.47000
  • Return Statistics
  • Ann Return (w trading costs)
    -16.9%
  • Ann Return (Compnd, No Fees)
    18.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    96.50%
  • Chance of 20% account loss
    89.00%
  • Chance of 30% account loss
    85.00%
  • Chance of 40% account loss
    67.50%
  • Chance of 50% account loss
    59.50%
  • Popularity
  • Popularity (Today)
    981
  • Popularity (Last 6 weeks)
    996
  • C2 Score
    5.0
  • Trades-Own-System Certification
  • Trades Own System?
    184175
  • TOS percent
    500%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $7,664
  • Avg Win
    $2,287
  • # Winners
    90
  • # Losers
    26
  • % Winners
    77.6%
  • Frequency
  • Avg Position Time (mins)
    6997.30
  • Avg Position Time (hrs)
    116.62
  • Avg Trade Length
    4.9 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
    1.18847
  • SD
    0.71332
  • Sharpe ratio (Glass type estimate)
    1.66612
  • Sharpe ratio (Hedges UMVUE)
    1.59556
  • df
    18.00000
  • t
    2.09649
  • p
    0.27849
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00308
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.29431
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04695
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23807
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91448
  • Upside Potential Ratio
    4.11889
  • Upside part of mean
    1.67961
  • Downside part of mean
    -0.49114
  • Upside SD
    0.65838
  • Downside SD
    0.40778
  • 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
    0.06265
  • Mean of criterion
    1.18847
  • SD of predictor
    0.11530
  • SD of criterion
    0.71332
  • Covariance
    0.07312
  • r
    0.88899
  • b (slope, estimate of beta)
    5.49963
  • a (intercept, estimate of alpha)
    0.84391
  • Mean Square Error
    0.11298
  • DF error
    17.00000
  • t(b)
    8.00428
  • p(b)
    0.02183
  • t(a)
    3.11907
  • p(a)
    0.14070
  • Lowerbound of 95% confidence interval for beta
    4.05000
  • Upperbound of 95% confidence interval for beta
    6.94925
  • Lowerbound of 95% confidence interval for alpha
    0.27307
  • Upperbound of 95% confidence interval for alpha
    1.41476
  • Treynor index (mean / b)
    0.21610
  • Jensen alpha (a)
    0.84391
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.88834
  • SD
    0.75744
  • Sharpe ratio (Glass type estimate)
    1.17282
  • Sharpe ratio (Hedges UMVUE)
    1.12315
  • df
    18.00000
  • t
    1.47577
  • p
    0.33573
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44584
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76096
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47710
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72340
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.68418
  • Upside Potential Ratio
    2.83435
  • Upside part of mean
    1.49501
  • Downside part of mean
    -0.60667
  • Upside SD
    0.57538
  • Downside SD
    0.52746
  • 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
    0.05595
  • Mean of criterion
    0.88834
  • SD of predictor
    0.11702
  • SD of criterion
    0.75744
  • Covariance
    0.07984
  • r
    0.90072
  • b (slope, estimate of beta)
    5.83015
  • a (intercept, estimate of alpha)
    0.56212
  • Mean Square Error
    0.11463
  • DF error
    17.00000
  • t(b)
    8.54933
  • p(b)
    0.01849
  • t(a)
    2.06847
  • p(a)
    0.22441
  • Lowerbound of 95% confidence interval for beta
    4.39138
  • Upperbound of 95% confidence interval for beta
    7.26892
  • Lowerbound of 95% confidence interval for alpha
    -0.01124
  • Upperbound of 95% confidence interval for alpha
    1.13548
  • Treynor index (mean / b)
    0.15237
  • Jensen alpha (a)
    0.56212
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24846
  • Expected Shortfall on VaR
    0.31190
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03465
  • Expected Shortfall on VaR
    0.10185
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.54039
  • Quartile 1
    1.01997
  • Median
    1.10073
  • Quartile 3
    1.26212
  • Maximum
    1.41296
  • Mean of quarter 1
    0.85041
  • Mean of quarter 2
    1.07021
  • Mean of quarter 3
    1.17884
  • Mean of quarter 4
    1.32151
  • Inter Quartile Range
    0.24215
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05263
  • Mean of outliers low
    0.54039
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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)
    0.04264
  • VaR(95%) (regression method)
    0.19923
  • Expected Shortfall (regression method)
    0.35699
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.18612
  • Quartile 1
    0.25449
  • Median
    0.32286
  • Quartile 3
    0.39124
  • Maximum
    0.45961
  • Mean of quarter 1
    0.18612
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.45961
  • Inter Quartile Range
    0.13675
  • 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)
    2.06286
  • Compounded annual return (geometric extrapolation)
    1.49989
  • Calmar ratio (compounded annual return / max draw down)
    3.26338
  • Compounded annual return / average of 25% largest draw downs
    3.26338
  • Compounded annual return / Expected Shortfall lognormal
    4.80893
  • 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
    0.81910
  • SD
    0.89163
  • Sharpe ratio (Glass type estimate)
    0.91866
  • Sharpe ratio (Hedges UMVUE)
    0.91705
  • df
    427.00000
  • t
    1.17416
  • p
    0.12049
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61657
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.45286
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61766
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.45175
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30605
  • Upside Potential Ratio
    7.60586
  • Upside part of mean
    4.77009
  • Downside part of mean
    -3.95099
  • Upside SD
    0.63433
  • Downside SD
    0.62716
  • N nonnegative terms
    237.00000
  • N negative terms
    191.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    428.00000
  • Mean of predictor
    0.04273
  • Mean of criterion
    0.81910
  • SD of predictor
    0.12951
  • SD of criterion
    0.89163
  • Covariance
    0.05916
  • r
    0.51230
  • b (slope, estimate of beta)
    3.52698
  • a (intercept, estimate of alpha)
    0.66800
  • Mean Square Error
    0.58773
  • DF error
    426.00000
  • t(b)
    12.31210
  • p(b)
    0.00000
  • t(a)
    1.11409
  • p(a)
    0.13293
  • Lowerbound of 95% confidence interval for beta
    2.96391
  • Upperbound of 95% confidence interval for beta
    4.09004
  • Lowerbound of 95% confidence interval for alpha
    -0.51082
  • Upperbound of 95% confidence interval for alpha
    1.84760
  • Treynor index (mean / b)
    0.23224
  • Jensen alpha (a)
    0.66839
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41154
  • SD
    0.91207
  • Sharpe ratio (Glass type estimate)
    0.45122
  • Sharpe ratio (Hedges UMVUE)
    0.45043
  • df
    427.00000
  • t
    0.57671
  • p
    0.28222
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98477
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08335
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98420
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.59224
  • Upside Potential Ratio
    6.60135
  • Upside part of mean
    4.58725
  • Downside part of mean
    -4.17571
  • Upside SD
    0.58965
  • Downside SD
    0.69490
  • N nonnegative terms
    237.00000
  • N negative terms
    191.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    428.00000
  • Mean of predictor
    0.03431
  • Mean of criterion
    0.41154
  • SD of predictor
    0.13010
  • SD of criterion
    0.91207
  • Covariance
    0.06009
  • r
    0.50641
  • b (slope, estimate of beta)
    3.55027
  • a (intercept, estimate of alpha)
    0.28974
  • Mean Square Error
    0.61998
  • DF error
    426.00000
  • t(b)
    12.12140
  • p(b)
    0.00000
  • t(a)
    0.47025
  • p(a)
    0.31921
  • Lowerbound of 95% confidence interval for beta
    2.97458
  • Upperbound of 95% confidence interval for beta
    4.12597
  • Lowerbound of 95% confidence interval for alpha
    -0.92131
  • Upperbound of 95% confidence interval for alpha
    1.50078
  • Treynor index (mean / b)
    0.11592
  • Jensen alpha (a)
    0.28974
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08709
  • Expected Shortfall on VaR
    0.10814
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03153
  • Expected Shortfall on VaR
    0.06858
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    428.00000
  • Minimum
    0.68493
  • Quartile 1
    0.98515
  • Median
    1.00381
  • Quartile 3
    1.02496
  • Maximum
    1.32743
  • Mean of quarter 1
    0.94467
  • Mean of quarter 2
    0.99563
  • Mean of quarter 3
    1.01222
  • Mean of quarter 4
    1.06041
  • Inter Quartile Range
    0.03980
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.03972
  • Mean of outliers low
    0.84650
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.03271
  • Mean of outliers high
    1.15497
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49523
  • VaR(95%) (moments method)
    0.05288
  • Expected Shortfall (moments method)
    0.12004
  • Extreme Value Index (regression method)
    0.31951
  • VaR(95%) (regression method)
    0.04894
  • Expected Shortfall (regression method)
    0.08813
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    34.00000
  • Minimum
    0.00005
  • Quartile 1
    0.01013
  • Median
    0.04076
  • Quartile 3
    0.08297
  • Maximum
    0.75601
  • Mean of quarter 1
    0.00323
  • Mean of quarter 2
    0.02533
  • Mean of quarter 3
    0.06552
  • Mean of quarter 4
    0.27222
  • Inter Quartile Range
    0.07284
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.47053
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.56412
  • VaR(95%) (moments method)
    0.28740
  • Expected Shortfall (moments method)
    0.73997
  • Extreme Value Index (regression method)
    0.47848
  • VaR(95%) (regression method)
    0.30485
  • Expected Shortfall (regression method)
    0.67840
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.64281
  • Compounded annual return (geometric extrapolation)
    0.55185
  • Calmar ratio (compounded annual return / max draw down)
    0.72995
  • Compounded annual return / average of 25% largest draw downs
    2.02723
  • Compounded annual return / Expected Shortfall lognormal
    5.10333
  • 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
    -1.44038
  • SD
    1.37969
  • Sharpe ratio (Glass type estimate)
    -1.04399
  • Sharpe ratio (Hedges UMVUE)
    -1.03795
  • df
    130.00000
  • t
    -0.73821
  • p
    0.53231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.81676
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73266
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.81263
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73672
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41632
  • Upside Potential Ratio
    5.84577
  • Upside part of mean
    5.94507
  • Downside part of mean
    -7.38545
  • Upside SD
    0.92880
  • Downside SD
    1.01699
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.15229
  • Mean of criterion
    -1.44038
  • SD of predictor
    0.15041
  • SD of criterion
    1.37969
  • Covariance
    0.11774
  • r
    0.56738
  • b (slope, estimate of beta)
    5.20465
  • a (intercept, estimate of alpha)
    -0.64775
  • Mean Square Error
    1.30077
  • DF error
    129.00000
  • t(b)
    7.82574
  • p(b)
    0.15924
  • t(a)
    -0.40081
  • p(a)
    0.52245
  • Lowerbound of 95% confidence interval for beta
    3.88880
  • Upperbound of 95% confidence interval for beta
    6.52051
  • Lowerbound of 95% confidence interval for alpha
    -3.84525
  • Upperbound of 95% confidence interval for alpha
    2.54975
  • Treynor index (mean / b)
    -0.27675
  • Jensen alpha (a)
    -0.64775
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.42362
  • SD
    1.41906
  • Sharpe ratio (Glass type estimate)
    -1.70791
  • Sharpe ratio (Hedges UMVUE)
    -1.69803
  • df
    130.00000
  • t
    -1.20767
  • p
    0.55266
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.48421
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07481
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.47751
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08145
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.11672
  • Upside Potential Ratio
    4.86118
  • Upside part of mean
    5.56600
  • Downside part of mean
    -7.98962
  • Upside SD
    0.84248
  • Downside SD
    1.14499
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.16362
  • Mean of criterion
    -2.42362
  • SD of predictor
    0.15108
  • SD of criterion
    1.41906
  • Covariance
    0.12001
  • r
    0.55976
  • b (slope, estimate of beta)
    5.25784
  • a (intercept, estimate of alpha)
    -1.56336
  • Mean Square Error
    1.39348
  • DF error
    129.00000
  • t(b)
    7.67234
  • p(b)
    0.16324
  • t(a)
    -0.93437
  • p(a)
    0.55214
  • Lowerbound of 95% confidence interval for beta
    3.90196
  • Upperbound of 95% confidence interval for beta
    6.61372
  • Lowerbound of 95% confidence interval for alpha
    -4.87379
  • Upperbound of 95% confidence interval for alpha
    1.74706
  • Treynor index (mean / b)
    -0.46095
  • Jensen alpha (a)
    -1.56336
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14226
  • Expected Shortfall on VaR
    0.17268
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06726
  • Expected Shortfall on VaR
    0.13562
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.68493
  • Quartile 1
    0.97311
  • Median
    0.99672
  • Quartile 3
    1.01550
  • Maximum
    1.32743
  • Mean of quarter 1
    0.90193
  • Mean of quarter 2
    0.98651
  • Mean of quarter 3
    1.00637
  • Mean of quarter 4
    1.08398
  • Inter Quartile Range
    0.04239
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.81999
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.17992
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41396
  • VaR(95%) (moments method)
    0.09178
  • Expected Shortfall (moments method)
    0.18606
  • Extreme Value Index (regression method)
    0.20378
  • VaR(95%) (regression method)
    0.09449
  • Expected Shortfall (regression method)
    0.15580
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00062
  • Quartile 1
    0.03751
  • Median
    0.06323
  • Quartile 3
    0.22510
  • Maximum
    0.75601
  • Mean of quarter 1
    0.01394
  • Mean of quarter 2
    0.05189
  • Mean of quarter 3
    0.14525
  • Mean of quarter 4
    0.68027
  • Inter Quartile Range
    0.18759
  • 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
    0.22222
  • Mean of outliers high
    0.68027
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -46.77950
  • VaR(95%) (moments method)
    0.47793
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.32475
  • VaR(95%) (regression method)
    1.04993
  • Expected Shortfall (regression method)
    1.05902
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.39632
  • Compounded annual return (geometric extrapolation)
    -0.90889
  • Calmar ratio (compounded annual return / max draw down)
    -1.20222
  • Compounded annual return / average of 25% largest draw downs
    -1.33607
  • Compounded annual return / Expected Shortfall lognormal
    -5.26340

Strategy Description

With over 19 years of trading experience, we developed an algorithm many years ago which can accurately show buying and selling signals for trading markets. We use signals for predicting the Dow Jones e-mini market trend (YM and ES) and set up A Strategy for YM for trading YM futures, ES Daily Cache for trading ES and UDOW Trend Signals for trading DJIA ETFs. Concepts of Nobel Prize winners have been incorporated in our algorithm.

Besides issuing trading signals to our subscribers, we also trade our own account according to these signals. We recommend the use of an autotrade desk to execute trades in real time. It will minimise the hardship of monitoring the market when one is not readily available to do the trades.

The trades can be reversed when an opposite signal is given, so the trade is always on.

Normally the maximum no. of YM and ES contracts traded is 6. To cater to volatile market conditions, please reserve contingency funds for a total of 8 to 12 contracts to leverage the market. Although the margin required is around $56,000 on average, C2 has determined the capital required as $100,000. Please set your scaling factor as 50% or less if you wish to trade a maximum of 3 to 6 contracts only, each contract requiring margin around $8000 if you trade with Interactive Brokers.

Summary Statistics

Strategy began
2017-04-21
Suggested Minimum Capital
$25,000
# Trades
116
# Profitable
90
% Profitable
77.6%
Correlation S&P500
0.470
Sharpe Ratio
0.917

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.