Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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Future X
(73614130)

Created by: Equalizer Equalizer
Started: 05/2012
Futures
Last trade: 4,300 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 $99.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-
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.

(100.0%)
Max Drawdown
305
Num Trades
39.7%
Win Trades
0.8 : 1
Profit Factor
2.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                            +29.4%(3.2%)(11.7%)(12.6%)+114.2%+24.7%(83.7%)(66%)(85.7%)
2013+153.9%(14.9%)(235.2%)  -    -    -    -    -    -    -    -    -  (392.2%)
2014  -  (2.2%)  -    -  (0.3%)(0.2%)(0.4%)(0.4%)(0.6%)(0.2%)(0.2%)(0.5%)-
2015(1.3%)(0.1%)(0.6%)(0.6%)(0.3%)(0.3%)(0.4%)(0.4%)(0.1%)(0.3%)(0.6%)(0.5%)-
2016(0.2%)(0.1%)(0.7%)(0.2%)(0.4%)(0.1%)  -  (0.2%)(0.1%)(0.6%)  -    -  -
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0

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.

Trading Record

This strategy has placed 198 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4547 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/13/13 9:47 @TFSM3 Emini Russell 2000 SHORT 80 934.41 3/15 2:48 943.35 1183.47%
Trade id #79684172
Max drawdown($71,470)
Time3/15/13 2:48
Quant open72
Worst price950.10
Drawdown as % of equity1183.47%
 ($72,110)
Includes Typical Broker Commissions trade costs of $640.00
2/27/13 11:43 QCLJ3 CRUDE OIL LONG 15 92.98 2/27 12:35 93.06 0.73%
Trade id #79447583
Max drawdown($460)
Time2/27/13 11:45
Quant open15
Worst price92.95
Drawdown as % of equity-0.73%
 $1,070
Includes Typical Broker Commissions trade costs of $120.00
2/25/13 15:56 QCLJ3 CRUDE OIL SHORT 16 92.32 2/27 11:10 92.75 25.3%
Trade id #79396981
Max drawdown($17,870)
Time2/26/13 10:03
Quant open-16
Worst price93.44
Drawdown as % of equity-25.30%
 ($6,958)
Includes Typical Broker Commissions trade costs of $128.00
2/24/13 20:55 QCLJ3 CRUDE OIL LONG 13 93.08 2/25 7:44 94.19 2.75%
Trade id #79373967
Max drawdown($1,560)
Time2/24/13 21:04
Quant open13
Worst price92.96
Drawdown as % of equity-2.75%
 $14,326
Includes Typical Broker Commissions trade costs of $104.00
2/21/13 1:50 QCLJ3 CRUDE OIL SHORT 10 94.45 2/21 11:22 93.38 1.33%
Trade id #79326029
Max drawdown($610)
Time2/21/13 2:00
Quant open-10
Worst price94.51
Drawdown as % of equity-1.33%
 $10,610
Includes Typical Broker Commissions trade costs of $80.00
2/18/13 21:46 QCLJ3 CRUDE OIL SHORT 10 96.18 2/19 8:04 96.25 1.43%
Trade id #79269660
Max drawdown($700)
Time2/19/13 8:04
Quant open0
Worst price96.25
Drawdown as % of equity-1.43%
 ($780)
Includes Typical Broker Commissions trade costs of $80.00
2/11/13 9:58 QCLH3 CRUDE OIL SHORT 5 95.40 2/12 21:59 97.60 23.5%
Trade id #79135716
Max drawdown($11,950)
Time2/12/13 8:32
Quant open-5
Worst price97.79
Drawdown as % of equity-23.50%
 ($11,040)
Includes Typical Broker Commissions trade costs of $40.00
2/5/13 23:52 @HEJ3 LEAN HOGS LONG 20 87.550 2/11 10:05 86.075 24.8%
Trade id #79053533
Max drawdown($14,000)
Time2/7/13 8:33
Quant open20
Worst price85.800
Drawdown as % of equity-24.80%
 ($11,960)
Includes Typical Broker Commissions trade costs of $160.00
1/2/13 0:28 QCLG3 CRUDE OIL LONG 11 92.65 1/22 9:02 94.66 29.08%
Trade id #78422033
Max drawdown($12,430)
Time1/4/13 5:37
Quant open11
Worst price91.52
Drawdown as % of equity-29.08%
 $21,992
Includes Typical Broker Commissions trade costs of $88.00
12/20/12 21:18 QCLG3 CRUDE OIL SHORT 11 89.08 12/21 2:34 89.31 8.73%
Trade id #78268059
Max drawdown($4,220)
Time12/21/12 1:13
Quant open-11
Worst price89.46
Drawdown as % of equity-8.73%
 ($2,658)
Includes Typical Broker Commissions trade costs of $88.00
12/10/12 15:16 QCLF3 CRUDE OIL SHORT 15 85.58 12/12 10:28 86.70 37.65%
Trade id #78077094
Max drawdown($20,496)
Time12/12/12 9:25
Quant open-13
Worst price87.16
Drawdown as % of equity-37.65%
 ($16,870)
Includes Typical Broker Commissions trade costs of $120.00
12/7/12 9:57 QCLF3 CRUDE OIL SHORT 14 86.18 12/7 12:48 86.11 5.9%
Trade id #78043033
Max drawdown($4,420)
Time12/7/12 10:08
Quant open-14
Worst price86.50
Drawdown as % of equity-5.90%
 $928
Includes Typical Broker Commissions trade costs of $112.00
12/7/12 9:38 QCLF3 CRUDE OIL LONG 15 86.50 12/7 9:56 86.29 4.19%
Trade id #78042513
Max drawdown($3,140)
Time12/7/12 9:55
Quant open15
Worst price86.29
Drawdown as % of equity-4.19%
 ($3,260)
Includes Typical Broker Commissions trade costs of $120.00
12/7/12 9:23 QCLF3 CRUDE OIL SHORT 16 86.22 12/7 9:29 86.42 4.27%
Trade id #78041897
Max drawdown($3,200)
Time12/7/12 9:29
Quant open0
Worst price86.42
Drawdown as % of equity-4.27%
 ($3,328)
Includes Typical Broker Commissions trade costs of $128.00
12/7/12 8:45 QCLF3 CRUDE OIL LONG 10 86.54 12/7 9:06 86.39 3.34%
Trade id #78041321
Max drawdown($2,500)
Time12/7/12 9:06
Quant open10
Worst price86.29
Drawdown as % of equity-3.34%
 ($1,580)
Includes Typical Broker Commissions trade costs of $80.00
12/7/12 8:45 QCLZ2 CRUDE OIL LONG 10 86.62 12/7 8:45 86.62 n/a ($80)
Includes Typical Broker Commissions trade costs of $80.00
11/28/12 1:22 QCLF3 CRUDE OIL SHORT 16 87.10 11/29 0:08 86.82 1.34%
Trade id #77865831
Max drawdown($920)
Time11/28/12 1:32
Quant open-16
Worst price87.16
Drawdown as % of equity-1.34%
 $4,392
Includes Typical Broker Commissions trade costs of $128.00
11/26/12 23:54 @ADZ2 AUSTRALIAN DOLLAR LONG 30 1.0470 11/28 1:20 1.0429 23.16%
Trade id #77841745
Max drawdown($15,900)
Time11/27/12 20:21
Quant open30
Worst price1.0417
Drawdown as % of equity-23.16%
 ($12,540)
Includes Typical Broker Commissions trade costs of $240.00
11/16/12 11:11 @WZ2 WHEAT SHORT 30 834 2/4 11/25 18:00 848 30.9%
Trade id #77697931
Max drawdown($26,100)
Time11/23/12 10:31
Quant open-27
Worst price853 3/4
Drawdown as % of equity-30.90%
 ($20,778)
Includes Typical Broker Commissions trade costs of $240.00
11/15/12 11:46 @CZ2 CORN SHORT 95 720 1/4 11/16 14:21 716 1/4 10.55%
Trade id #77674430
Max drawdown($12,392)
Time11/16/12 14:04
Quant open34
Worst price727 2/4
Drawdown as % of equity-10.55%
 $17,815
Includes Typical Broker Commissions trade costs of $760.00
11/12/12 8:00 @OJF3 Orange Juice SHORT 100 107.35 11/15 11:45 115.20 113.1%
Trade id #77589410
Max drawdown($129,750)
Time11/15/12 9:21
Quant open-100
Worst price116.00
Drawdown as % of equity-113.10%
 ($118,550)
Includes Typical Broker Commissions trade costs of $800.00
11/8/12 14:40 @EUZ2 EUROFX SHORT 75 1.27488 11/8 22:11 1.27830 13.76%
Trade id #77549634
Max drawdown($32,063)
Time11/8/12 22:11
Quant open55
Worst price1.27830
Drawdown as % of equity-13.76%
 ($32,663)
Includes Typical Broker Commissions trade costs of $600.00
11/7/12 21:35 @EUZ2 EUROFX SHORT 50 1.27640 11/8 3:04 1.27810 4.39%
Trade id #77531847
Max drawdown($10,625)
Time11/8/12 3:04
Quant open40
Worst price1.27810
Drawdown as % of equity-4.39%
 ($11,025)
Includes Typical Broker Commissions trade costs of $400.00
11/7/12 11:16 QCLZ2 CRUDE OIL SHORT 50 85.27 11/7 11:43 85.15 2.46%
Trade id #77520329
Max drawdown($5,400)
Time11/7/12 11:18
Quant open-50
Worst price85.38
Drawdown as % of equity-2.46%
 $5,600
Includes Typical Broker Commissions trade costs of $400.00
11/7/12 10:32 QCLZ2 CRUDE OIL SHORT 49 85.65 11/7 11:04 85.27 3.33%
Trade id #77519031
Max drawdown($7,300)
Time11/7/12 10:37
Quant open-45
Worst price85.82
Drawdown as % of equity-3.33%
 $17,888
Includes Typical Broker Commissions trade costs of $392.00
11/7/12 0:35 QCLZ2 CRUDE OIL SHORT 45 88.32 11/7 1:21 88.50 3.37%
Trade id #77508958
Max drawdown($8,040)
Time11/7/12 1:21
Quant open40
Worst price88.50
Drawdown as % of equity-3.37%
 ($8,400)
Includes Typical Broker Commissions trade costs of $360.00
11/6/12 23:54 QCLZ2 CRUDE OIL LONG 55 88.57 11/7 0:33 88.37 4.69%
Trade id #77508427
Max drawdown($11,200)
Time11/7/12 0:33
Quant open40
Worst price88.37
Drawdown as % of equity-4.69%
 ($11,640)
Includes Typical Broker Commissions trade costs of $440.00
10/30/12 8:00 @OJF3 Orange Juice SHORT 100 108.25 11/6 12:45 109.90 19.78%
Trade id #77385330
Max drawdown($55,500)
Time11/1/12 8:06
Quant open-100
Worst price111.95
Drawdown as % of equity-19.78%
 ($25,550)
Includes Typical Broker Commissions trade costs of $800.00
10/18/12 15:24 QSIZ2 Silver 5000 oz SHORT 30 32.722 10/24 1:45 31.895 14.22%
Trade id #77218284
Max drawdown($19,875)
Time10/18/12 21:16
Quant open-25
Worst price32.915
Drawdown as % of equity-14.22%
 $123,760
Includes Typical Broker Commissions trade costs of $240.00
10/18/12 0:04 @EUZ2 EUROFX LONG 10 1.31000 10/18 15:23 1.30650 3.4%
Trade id #77202070
Max drawdown($4,750)
Time10/18/12 14:58
Quant open10
Worst price1.30620
Drawdown as % of equity-3.40%
 ($4,455)
Includes Typical Broker Commissions trade costs of $80.00
Next

Statistics

  • Strategy began
    5/12/2012
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4604.1
  • Age
    154 months ago
  • What it trades
    Futures
  • # Trades
    305
  • # Profitable
    121
  • % Profitable
    39.70%
  • Avg trade duration
    18.7 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Jan 04, 2013 - March 13, 2014
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $4,511
  • Avg loss
    $3,538
  • Model Account Values (Raw)
  • Cash
    ($5,189)
  • Margin Used
    $0
  • Buying Power
    ($5,189)
  • Ratios
  • W:L ratio
    0.84:1
  • Sharpe Ratio
    -0.92
  • Sortino Ratio
    -0.92
  • Calmar Ratio
    -0.978
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -194.35%
  • Correlation to SP500
    -0.02570
  • Return Percent SP500 (cumu) during strategy life
    338.22%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.99%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.00%
  • Percent Trades Forex
    0.01%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,538
  • Avg Win
    $4,511
  • Sum Trade PL (losers)
    $651,047.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $545,861.000
  • # Winners
    121
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    184
  • % Winners
    39.7%
  • Frequency
  • Avg Position Time (mins)
    1121.02
  • Avg Position Time (hrs)
    18.68
  • Avg Trade Length
    0.8 days
  • Last Trade Ago
    4297
  • Regression
  • Alpha
    0.00
  • Beta
    -0.39
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    22.67
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    5.37
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.19
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -7.596
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.271
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.133
  • Hold-and-Hope Ratio
    -0.131
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31907
  • SD
    1.32780
  • Sharpe ratio (Glass type estimate)
    -0.24030
  • Sharpe ratio (Hedges UMVUE)
    -0.23116
  • df
    20.00000
  • t
    -0.31789
  • p
    0.53545
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.72078
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24611
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71448
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25217
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.32138
  • Upside Potential Ratio
    1.02704
  • Upside part of mean
    1.01967
  • Downside part of mean
    -1.33874
  • Upside SD
    0.83779
  • Downside SD
    0.99282
  • N nonnegative terms
    5.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.22043
  • Mean of criterion
    -0.31907
  • SD of predictor
    0.13171
  • SD of criterion
    1.32780
  • Covariance
    0.00780
  • r
    0.04458
  • b (slope, estimate of beta)
    0.44941
  • a (intercept, estimate of alpha)
    -0.41814
  • Mean Square Error
    1.85216
  • DF error
    19.00000
  • t(b)
    0.19450
  • p(b)
    0.47163
  • t(a)
    -0.36425
  • p(a)
    0.55295
  • Lowerbound of 95% confidence interval for beta
    -4.38664
  • Upperbound of 95% confidence interval for beta
    5.28546
  • Lowerbound of 95% confidence interval for alpha
    -2.82082
  • Upperbound of 95% confidence interval for alpha
    1.98455
  • Treynor index (mean / b)
    -0.70998
  • Jensen alpha (a)
    -0.41814
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -6.58876
  • SD
    8.27572
  • Sharpe ratio (Glass type estimate)
    -0.79616
  • Sharpe ratio (Hedges UMVUE)
    -0.76586
  • df
    20.00000
  • t
    -1.05322
  • p
    0.61462
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.28827
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71519
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.26634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73462
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.79621
  • Upside Potential Ratio
    0.09577
  • Upside part of mean
    0.79250
  • Downside part of mean
    -7.38127
  • Upside SD
    0.60494
  • Downside SD
    8.27514
  • N nonnegative terms
    5.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.21051
  • Mean of criterion
    -6.58876
  • SD of predictor
    0.12668
  • SD of criterion
    8.27572
  • Covariance
    -0.00910
  • r
    -0.00868
  • b (slope, estimate of beta)
    -0.56719
  • a (intercept, estimate of alpha)
    -6.46936
  • Mean Square Error
    72.08670
  • DF error
    19.00000
  • t(b)
    -0.03784
  • p(b)
    0.50553
  • t(a)
    -0.90459
  • p(a)
    0.62846
  • Lowerbound of 95% confidence interval for beta
    -31.93590
  • Upperbound of 95% confidence interval for beta
    30.80150
  • Lowerbound of 95% confidence interval for alpha
    -21.43800
  • Upperbound of 95% confidence interval for alpha
    8.49927
  • Treynor index (mean / b)
    11.61650
  • Jensen alpha (a)
    -6.46936
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.98865
  • Expected Shortfall on VaR
    0.99450
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.32988
  • Expected Shortfall on VaR
    0.67135
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.00002
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.02035
  • Mean of quarter 1
    0.61175
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.35771
  • Inter Quartile Range
    0.00000
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.23810
  • Mean of outliers low
    0.53409
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.23810
  • Mean of outliers high
    1.35771
  • 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)
    0.10311
  • VaR(95%) (regression method)
    0.66592
  • Expected Shortfall (regression method)
    1.14297
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.22245
  • Quartile 1
    0.41684
  • Median
    0.61122
  • Quartile 3
    0.80561
  • Maximum
    1.00000
  • Mean of quarter 1
    0.22245
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.38877
  • 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)
    -0.57142
  • Compounded annual return (geometric extrapolation)
    -0.99861
  • Calmar ratio (compounded annual return / max draw down)
    -0.99861
  • Compounded annual return / average of 25% largest draw downs
    -0.99861
  • Compounded annual return / Expected Shortfall lognormal
    -1.00413
  • 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
    -1.15771
  • SD
    1.21286
  • Sharpe ratio (Glass type estimate)
    -0.95453
  • Sharpe ratio (Hedges UMVUE)
    -0.95338
  • df
    625.00000
  • t
    -1.28764
  • p
    0.90083
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.40806
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.49970
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.40725
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50050
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.05822
  • Upside Potential Ratio
    2.25023
  • Upside part of mean
    2.46179
  • Downside part of mean
    -3.61950
  • Upside SD
    0.52508
  • Downside SD
    1.09402
  • N nonnegative terms
    94.00000
  • N negative terms
    532.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    626.00000
  • Mean of predictor
    0.24464
  • Mean of criterion
    -1.15771
  • SD of predictor
    0.19743
  • SD of criterion
    1.21286
  • Covariance
    -0.00413
  • r
    -0.01726
  • b (slope, estimate of beta)
    -0.10601
  • a (intercept, estimate of alpha)
    -0.72300
  • Mean Square Error
    1.47296
  • DF error
    624.00000
  • t(b)
    -0.43113
  • p(b)
    0.66674
  • t(a)
    -1.25518
  • p(a)
    0.89506
  • Lowerbound of 95% confidence interval for beta
    -0.58887
  • Upperbound of 95% confidence interval for beta
    0.37685
  • Lowerbound of 95% confidence interval for alpha
    -2.90248
  • Upperbound of 95% confidence interval for alpha
    0.63893
  • Treynor index (mean / b)
    10.92080
  • Jensen alpha (a)
    -1.13178
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -6.33654
  • SD
    6.97265
  • Sharpe ratio (Glass type estimate)
    -0.90877
  • Sharpe ratio (Hedges UMVUE)
    -0.90768
  • df
    625.00000
  • t
    -1.22592
  • p
    0.88965
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.36221
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.54536
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.36146
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54610
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.91063
  • Upside Potential Ratio
    0.33586
  • Upside part of mean
    2.33706
  • Downside part of mean
    -8.67360
  • Upside SD
    0.48708
  • Downside SD
    6.95843
  • N nonnegative terms
    94.00000
  • N negative terms
    532.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    626.00000
  • Mean of predictor
    0.22504
  • Mean of criterion
    -6.33654
  • SD of predictor
    0.19781
  • SD of criterion
    6.97265
  • Covariance
    0.00422
  • r
    0.00306
  • b (slope, estimate of beta)
    0.10784
  • a (intercept, estimate of alpha)
    -6.36081
  • Mean Square Error
    48.69540
  • DF error
    624.00000
  • t(b)
    0.07642
  • p(b)
    0.46955
  • t(a)
    -1.22733
  • p(a)
    0.88992
  • Lowerbound of 95% confidence interval for beta
    -2.66321
  • Upperbound of 95% confidence interval for beta
    2.87888
  • Lowerbound of 95% confidence interval for alpha
    -16.53840
  • Upperbound of 95% confidence interval for alpha
    3.81676
  • Treynor index (mean / b)
    -58.75970
  • Jensen alpha (a)
    -6.36081
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.47101
  • Expected Shortfall on VaR
    0.54377
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03298
  • Expected Shortfall on VaR
    0.07439
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    626.00000
  • Minimum
    0.00010
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.26895
  • Mean of quarter 1
    0.95815
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02855
  • Inter Quartile Range
    0.00000
  • Number outliers low
    115.00000
  • Percentage of outliers low
    0.18371
  • Mean of outliers low
    0.94286
  • Number of outliers high
    94.00000
  • Percentage of outliers high
    0.15016
  • Mean of outliers high
    1.04769
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.15149
  • VaR(95%) (moments method)
    0.00936
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.58751
  • VaR(95%) (regression method)
    0.02692
  • Expected Shortfall (regression method)
    0.09813
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00725
  • Quartile 1
    0.03395
  • Median
    0.08809
  • Quartile 3
    0.25249
  • Maximum
    1.00000
  • Mean of quarter 1
    0.01824
  • Mean of quarter 2
    0.06997
  • Mean of quarter 3
    0.10496
  • Mean of quarter 4
    0.54030
  • Inter Quartile Range
    0.21853
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.51187
  • VaR(95%) (moments method)
    0.68476
  • Expected Shortfall (moments method)
    1.47833
  • Extreme Value Index (regression method)
    4.05220
  • VaR(95%) (regression method)
    2.18834
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.54951
  • Compounded annual return (geometric extrapolation)
    -0.99821
  • Calmar ratio (compounded annual return / max draw down)
    -0.99821
  • Compounded annual return / average of 25% largest draw downs
    -1.84753
  • Compounded annual return / Expected Shortfall lognormal
    -1.83574
  • 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
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.02992
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.26822
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -31576300000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -31437600000000000.00000
  • df
    171.00000
  • t
    -22327800000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -34769500000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -28105800000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.00609
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.26966
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -22262400000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.43100
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.00995
  • Upperbound of 95% confidence interval for alpha
    -0.00995
  • Treynor index (mean / b)
    899903000000000066475970101510144.00000
  • Jensen alpha (a)
    -0.00995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    433
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Summary Statistics

Strategy began
2012-05-12
Suggested Minimum Capital
$100,000
# Trades
305
# Profitable
121
% Profitable
39.7%
Correlation S&P500
-0.026
Sharpe Ratio
-0.92
Sortino Ratio
-0.92
Beta
-0.39
Alpha
0.00

Latest Activity

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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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Suggested Minimum Capital

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