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Directional futures trading
(55041692)

Created by: DrDruid DrDruid
Started: 11/2010
Futures
Last trade: 1,575 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. You can subscribe to this system for free.

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
877
Num Trades
57.8%
Win Trades
0.8 : 1
Profit Factor
16.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                                      +1.1%+1.5%+2.6%
2011+3.7%+1.1%(5.6%)+7.6%+1.1%+5.0%+0.8%(8%)+10.9%+1.0%+2.5%+1.1%+21.7%
2012(7.1%)(2.6%)+1.0%(1.1%)(18.9%)+9.6%(1.2%)  -  (0.5%)(8.1%)(1.1%)+7.3%(22.9%)
2013+8.6%(15.1%)(2.5%)(20.5%)(14.4%)(103.7%)(997.3%)+80.6%(41.2%)+10.5%(94.6%)(540.5%)(105.6%)
2014(28.4%)(67.6%)(122.5%)(5.9%)(48.2%)(57.9%)(76.1%)(3.8%)(77.9%)(22%)(8.7%)(22.7%)-
2015(54.9%)(109.7%)(8.8%)(5.8%)(473.2%)(82.3%)(2.7%)(1.3%)(0.4%)(1.5%)(0.6%)(0.6%)(7.2%)
2016(1.7%)(0.4%)(4.3%)(0.4%)(4%)(2.6%)(0.3%)(0.2%)(0.8%)(0.4%)  -    -  (2.7%)
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -  (496.1%)  -    -    -    -    -    -    -  (496.1%)
2019  -    -    -    -    -    -    -    -    -    -              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.

System developer has asked us to delay this information by 24 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/15/13 11:36 QGCM5 Gold 100 oz LONG 20 1408.4 6/26/15 9:04 1204.0 536.79%
Trade id #80894437
Max drawdown($420,600)
Time12/20/13 3:28
Quant open20
Worst price1198.1
Drawdown as % of equity-536.79%
($408,980)
Includes Typical Broker Commissions trade costs of $160.00
3/26/13 22:46 QGCM3 Gold 100 oz LONG 20 1599.3 6/26 9:02 1273.9 289.73%
Trade id #79906708
Max drawdown($741,000)
Time6/26/13 7:36
Quant open20
Worst price1228.8
Drawdown as % of equity-289.73%
($650,960)
Includes Typical Broker Commissions trade costs of $160.00
4/4/13 2:07 QCLM3 CRUDE OIL LONG 15 94.74 5/21 9:00 96.70 17.18%
Trade id #80048370
Max drawdown($105,750)
Time4/22/13 10:37
Quant open15
Worst price87.69
Drawdown as % of equity-17.18%
$29,280
Includes Typical Broker Commissions trade costs of $120.00
3/20/13 12:23 @VXJ3 CBOE Volatility Index VIX LONG 20 14.65 4/16 9:31 15.00 4.5%
Trade id #79801898
Max drawdown($39,000)
Time4/12/13 16:15
Quant open20
Worst price12.70
Drawdown as % of equity-4.50%
$6,840
Includes Typical Broker Commissions trade costs of $160.00
3/26/13 22:46 QCLM3 CRUDE OIL SHORT 15 96.45 4/3 21:47 94.78 2.6%
Trade id #79906714
Max drawdown($24,150)
Time3/31/13 18:01
Quant open-15
Worst price98.06
Drawdown as % of equity-2.60%
$24,930
Includes Typical Broker Commissions trade costs of $120.00
4/3/13 8:27 QHOK3 Heating Oil SHORT 15 3.0689 4/3 21:46 3.0069 0.75%
Trade id #80027343
Max drawdown($6,615)
Time4/3/13 9:51
Quant open-15
Worst price3.0794
Drawdown as % of equity-0.75%
$38,940
Includes Typical Broker Commissions trade costs of $120.00
4/1/13 8:02 QRBK3 RBOB Gasoline SHORT 10 3.1060 4/1 10:24 3.0920 0.21%
Trade id #79974720
Max drawdown($1,932)
Time4/1/13 8:22
Quant open-10
Worst price3.1106
Drawdown as % of equity-0.21%
$5,800
Includes Typical Broker Commissions trade costs of $80.00
2/21/13 1:16 QHOJ3 Heating Oil LONG 15 3.1176 3/28 9:02 2.9200 18.52%
Trade id #79325626
Max drawdown($173,019)
Time3/19/13 13:30
Quant open15
Worst price2.8430
Drawdown as % of equity-18.52%
($124,629)
Includes Typical Broker Commissions trade costs of $120.00
3/5/13 19:43 @ESM3 E-MINI S&P 500 SHORT 10 1532.25 3/26 22:45 1557.25 1.54%
Trade id #79553508
Max drawdown($14,125)
Time3/25/13 6:13
Quant open-10
Worst price1560.50
Drawdown as % of equity-1.54%
($12,580)
Includes Typical Broker Commissions trade costs of $80.00
3/14/13 2:16 QRBJ3 RBOB Gasoline LONG 10 3.1192 3/26 22:45 3.1198 4.61%
Trade id #79700546
Max drawdown($41,538)
Time3/20/13 10:54
Quant open10
Worst price3.0203
Drawdown as % of equity-4.61%
$172
Includes Typical Broker Commissions trade costs of $80.00
3/13/13 12:02 QCLJ3 CRUDE OIL SHORT 5 92.69 3/20 9:12 92.09 0.75%
Trade id #79688021
Max drawdown($7,000)
Time3/19/13 8:24
Quant open-5
Worst price94.09
Drawdown as % of equity-0.75%
$2,960
Includes Typical Broker Commissions trade costs of $40.00
3/5/13 21:45 HSIH3 Hang Seng Index SHORT 10 22695 3/13 21:21 22386 29.47%
Trade id #79554914
Max drawdown($273,000)
Time3/11/13 22:19
Quant open-10
Worst price23241
Drawdown as % of equity-29.47%
$154,420
Includes Typical Broker Commissions trade costs of $80.00
3/11/13 22:41 QRBJ3 RBOB Gasoline SHORT 10 3.1575 3/13 12:01 3.1321 1.41%
Trade id #79652526
Max drawdown($13,650)
Time3/12/13 12:05
Quant open-10
Worst price3.1900
Drawdown as % of equity-1.41%
$10,588
Includes Typical Broker Commissions trade costs of $80.00
2/17/13 21:25 QCLJ3 CRUDE OIL LONG 5 96.15 3/8 1:44 91.42 3.71%
Trade id #79254535
Max drawdown($34,100)
Time3/4/13 13:17
Quant open5
Worst price89.33
Drawdown as % of equity-3.71%
($23,690)
Includes Typical Broker Commissions trade costs of $40.00
3/7/13 20:59 QRBM3 RBOB Gasoline SHORT 5 3.0559 3/8 1:44 3.0654 0.21%
Trade id #79602885
Max drawdown($1,995)
Time3/8/13 1:44
Quant open0
Worst price3.0654
Drawdown as % of equity-0.21%
($2,035)
Includes Typical Broker Commissions trade costs of $40.00
2/20/13 20:31 @ESM3 E-MINI S&P 500 LONG 10 1503.00 3/4 20:37 1521.50 1.29%
Trade id #79321412
Max drawdown($13,375)
Time2/25/13 16:44
Quant open10
Worst price1476.25
Drawdown as % of equity-1.29%
$9,170
Includes Typical Broker Commissions trade costs of $80.00
2/28/13 4:58 QGCJ3 Gold 100 oz SHORT 20 1590.6 3/1 2:54 1580.0 1.24%
Trade id #79464116
Max drawdown($11,800)
Time2/28/13 9:09
Quant open-20
Worst price1596.5
Drawdown as % of equity-1.24%
$21,040
Includes Typical Broker Commissions trade costs of $160.00
2/27/13 1:07 QGCJ3 Gold 100 oz SHORT 20 1609.5 2/28 4:58 1590.5 0.57%
Trade id #79434516
Max drawdown($5,400)
Time2/27/13 3:02
Quant open-20
Worst price1612.2
Drawdown as % of equity-0.57%
$37,840
Includes Typical Broker Commissions trade costs of $160.00
2/20/13 10:05 QGCZ3 Gold 100 oz LONG 15 1593.3 2/25 7:58 1596.8 4.8%
Trade id #79306799
Max drawdown($45,900)
Time2/20/13 21:01
Quant open15
Worst price1562.7
Drawdown as % of equity-4.80%
$5,130
Includes Typical Broker Commissions trade costs of $120.00
2/1/13 6:06 QGCJ3 Gold 100 oz LONG 5 1666.0 2/25 7:57 1591.5 5.84%
Trade id #78974812
Max drawdown($55,850)
Time2/20/13 21:06
Quant open5
Worst price1554.3
Drawdown as % of equity-5.84%
($37,290)
Includes Typical Broker Commissions trade costs of $40.00
2/22/13 11:13 QRBJ3 RBOB Gasoline LONG 5 3.2428 2/25 4:11 3.2900 0.04%
Trade id #79362125
Max drawdown($357)
Time2/22/13 11:18
Quant open5
Worst price3.2411
Drawdown as % of equity-0.04%
$9,872
Includes Typical Broker Commissions trade costs of $40.00
2/14/13 11:29 QGCH3 Gold 100 oz LONG 15 1640.9 2/20 10:26 1581.1 8.62%
Trade id #79215597
Max drawdown($90,450)
Time2/20/13 10:20
Quant open15
Worst price1580.6
Drawdown as % of equity-8.62%
($89,820)
Includes Typical Broker Commissions trade costs of $120.00
2/10/13 20:54 QRBH3 RBOB Gasoline LONG 5 3.0545 2/14 11:30 3.0851 0.93%
Trade id #79125466
Max drawdown($10,290)
Time2/11/13 8:36
Quant open5
Worst price3.0055
Drawdown as % of equity-0.93%
$6,386
Includes Typical Broker Commissions trade costs of $40.00
2/3/13 21:02 QCLH3 CRUDE OIL LONG 5 97.53 2/12 5:52 96.91 1.16%
Trade id #78998468
Max drawdown($12,800)
Time2/11/13 8:37
Quant open5
Worst price94.97
Drawdown as % of equity-1.16%
($3,140)
Includes Typical Broker Commissions trade costs of $40.00
2/6/13 11:40 @ESH3 E-MINI S&P 500 LONG 10 1505.75 2/10 20:53 1513.75 0.5%
Trade id #79066037
Max drawdown($5,625)
Time2/7/13 11:45
Quant open10
Worst price1494.50
Drawdown as % of equity-0.50%
$3,920
Includes Typical Broker Commissions trade costs of $80.00
2/6/13 1:30 HSIG3 Hang Seng Index SHORT 10 23336 2/6 21:15 23230 n/a $52,670
Includes Typical Broker Commissions trade costs of $80.00
2/4/13 23:58 @ESH3 E-MINI S&P 500 LONG 5 1495.50 2/5 21:49 1507.75 0.04%
Trade id #79025204
Max drawdown($437)
Time2/5/13 2:58
Quant open5
Worst price1493.75
Drawdown as % of equity-0.04%
$3,023
Includes Typical Broker Commissions trade costs of $40.00
1/1/13 22:38 QRBG3 RBOB Gasoline LONG 20 2.7809 1/10 6:19 2.7894 1.45%
Trade id #78420545
Max drawdown($15,792)
Time1/7/13 9:41
Quant open10
Worst price2.7433
Drawdown as % of equity-1.45%
$6,980
Includes Typical Broker Commissions trade costs of $160.00
1/6/13 23:12 QCLG3 CRUDE OIL LONG 5 92.95 1/10 1:40 93.48 0.24%
Trade id #78497247
Max drawdown($2,650)
Time1/7/13 9:01
Quant open5
Worst price92.42
Drawdown as % of equity-0.24%
$2,610
Includes Typical Broker Commissions trade costs of $40.00
1/1/13 22:40 HSIF3 Hang Seng Index SHORT 20 23108 1/3 22:16 23222 28.54%
Trade id #78423898
Max drawdown($285,000)
Time1/2/13 21:34
Quant open-20
Worst price23393
Drawdown as % of equity-28.54%
($114,160)
Includes Typical Broker Commissions trade costs of $160.00

Statistics

  • Strategy began
    11/21/2010
  • Suggested Minimum Cap
    $1,000,000
  • Strategy Age (days)
    3244.51
  • Age
    108 months ago
  • What it trades
    Futures
  • # Trades
    877
  • # Profitable
    507
  • % Profitable
    57.80%
  • Avg trade duration
    2.8 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Dec 14, 2013 - Feb 18, 2015
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $10,991
  • Avg loss
    $18,472
  • Model Account Values (Raw)
  • Cash
    ($262,194)
  • Margin Used
    $0
  • Buying Power
    ($254,447)
  • Ratios
  • W:L ratio
    0.82:1
  • Sharpe Ratio
    -0.81
  • Sortino Ratio
    -0.84
  • Calmar Ratio
    -0.958
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -278.95%
  • Correlation to SP500
    0.00960
  • Return Percent SP500 (cumu) during strategy life
    149.89%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.97%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.81%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.03%
  • 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 100% 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 60% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • 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
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $18,881
  • Avg Win
    $10,992
  • Sum Trade PL (losers)
    $6,834,870.000
  • Age
  • Num Months (Age strategy)
    32
  • Win / Loss
  • Sum Trade PL (winners)
    $5,572,680.000
  • # Winners
    507
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    362
  • % Winners
    58.3%
  • Frequency
  • Avg Position Time (mins)
    4066.33
  • Avg Position Time (hrs)
    67.77
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    1567
  • Regression
  • Alpha
    -763461000.00
  • Beta
    14782800.00
  • Treynor Index
    -51.62
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.11
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    44.75
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    31.35
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.53
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.25
  • Avg(MAE) / Avg(PL) - All trades
    -4.218
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.782
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.256
  • Hold-and-Hope Ratio
    -0.236
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.79381
  • SD
    0.90657
  • Sharpe ratio (Glass type estimate)
    -0.87562
  • Sharpe ratio (Hedges UMVUE)
    -0.86268
  • df
    51.00000
  • t
    -1.82274
  • p
    0.96290
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.82817
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.08520
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09363
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.01589
  • Upside Potential Ratio
    0.58476
  • Upside part of mean
    0.45693
  • Downside part of mean
    -1.25074
  • Upside SD
    0.49800
  • Downside SD
    0.78139
  • N nonnegative terms
    21.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    52.00000
  • Mean of predictor
    0.18974
  • Mean of criterion
    -0.79381
  • SD of predictor
    0.13229
  • SD of criterion
    0.90657
  • Covariance
    -0.02404
  • r
    -0.20042
  • b (slope, estimate of beta)
    -1.37342
  • a (intercept, estimate of alpha)
    -0.53322
  • Mean Square Error
    0.80464
  • DF error
    50.00000
  • t(b)
    -1.44653
  • p(b)
    0.92287
  • t(a)
    -1.14166
  • p(a)
    0.87048
  • Lowerbound of 95% confidence interval for beta
    -3.28046
  • Upperbound of 95% confidence interval for beta
    0.53362
  • Lowerbound of 95% confidence interval for alpha
    -1.47132
  • Upperbound of 95% confidence interval for alpha
    0.40489
  • Treynor index (mean / b)
    0.57798
  • Jensen alpha (a)
    -0.53322
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.21610
  • SD
    4.70693
  • Sharpe ratio (Glass type estimate)
    -0.68327
  • Sharpe ratio (Hedges UMVUE)
    -0.67317
  • df
    51.00000
  • t
    -1.42234
  • p
    0.91949
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63078
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.27078
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62373
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27738
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.67856
  • Upside Potential Ratio
    0.07949
  • Upside part of mean
    0.37673
  • Downside part of mean
    -3.59283
  • Upside SD
    0.35703
  • Downside SD
    4.73958
  • N nonnegative terms
    21.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    52.00000
  • Mean of predictor
    0.17949
  • Mean of criterion
    -3.21610
  • SD of predictor
    0.13054
  • SD of criterion
    4.70693
  • Covariance
    -0.09195
  • r
    -0.14964
  • b (slope, estimate of beta)
    -5.39559
  • a (intercept, estimate of alpha)
    -2.24763
  • Mean Square Error
    22.09230
  • DF error
    50.00000
  • t(b)
    -1.07016
  • p(b)
    0.85516
  • t(a)
    -0.92399
  • p(a)
    0.82003
  • Lowerbound of 95% confidence interval for beta
    -15.52240
  • Upperbound of 95% confidence interval for beta
    4.73124
  • Lowerbound of 95% confidence interval for alpha
    -7.13351
  • Upperbound of 95% confidence interval for alpha
    2.63825
  • Treynor index (mean / b)
    0.59606
  • Jensen alpha (a)
    -2.24763
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.91816
  • Expected Shortfall on VaR
    0.94863
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.26677
  • Expected Shortfall on VaR
    0.52386
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    52.00000
  • Minimum
    0.00006
  • Quartile 1
    0.88412
  • Median
    0.99636
  • Quartile 3
    1.02994
  • Maximum
    1.99616
  • Mean of quarter 1
    0.64749
  • Mean of quarter 2
    0.94115
  • Mean of quarter 3
    1.00881
  • Mean of quarter 4
    1.14726
  • Inter Quartile Range
    0.14582
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.11539
  • Mean of outliers low
    0.42163
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01923
  • Mean of outliers high
    1.99616
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49327
  • VaR(95%) (moments method)
    0.36272
  • Expected Shortfall (moments method)
    0.81425
  • Extreme Value Index (regression method)
    0.45189
  • VaR(95%) (regression method)
    0.36310
  • Expected Shortfall (regression method)
    0.75891
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02810
  • Quartile 1
    0.05389
  • Median
    0.07967
  • Quartile 3
    0.53983
  • Maximum
    1.00000
  • Mean of quarter 1
    0.02810
  • Mean of quarter 2
    0.07967
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.48595
  • 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)
    -0.23077
  • Compounded annual return (geometric extrapolation)
    -0.95875
  • Calmar ratio (compounded annual return / max draw down)
    -0.95875
  • Compounded annual return / average of 25% largest draw downs
    -0.95875
  • Compounded annual return / Expected Shortfall lognormal
    -1.01067
  • 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
    10005.90000
  • SD
    15130.50000
  • Sharpe ratio (Glass type estimate)
    0.66131
  • Sharpe ratio (Hedges UMVUE)
    0.66087
  • df
    1144.00000
  • t
    1.38247
  • p
    0.47958
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27678
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59911
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27707
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59882
  • Statistics related to Sortino ratio
  • Sortino ratio
    7638.24000
  • Upside Potential Ratio
    7642.27000
  • Upside part of mean
    10011.20000
  • Downside part of mean
    -5.26856
  • Upside SD
    15136.50000
  • Downside SD
    1.30998
  • N nonnegative terms
    425.00000
  • N negative terms
    720.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1145.00000
  • Mean of predictor
    0.20088
  • Mean of criterion
    10005.90000
  • SD of predictor
    0.19690
  • SD of criterion
    15130.50000
  • Covariance
    7.91182
  • r
    0.00266
  • b (slope, estimate of beta)
    204.07600
  • a (intercept, estimate of alpha)
    9964.92000
  • Mean Square Error
    229132000.00000
  • DF error
    1143.00000
  • t(b)
    0.08979
  • p(b)
    0.49831
  • t(a)
    1.37348
  • p(a)
    0.47417
  • Lowerbound of 95% confidence interval for beta
    -4255.52000
  • Upperbound of 95% confidence interval for beta
    4663.68000
  • Lowerbound of 95% confidence interval for alpha
    -4270.17000
  • Upperbound of 95% confidence interval for alpha
    24200.00000
  • Treynor index (mean / b)
    49.03020
  • Jensen alpha (a)
    9964.92000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.18919
  • SD
    10.78310
  • Sharpe ratio (Glass type estimate)
    -0.29576
  • Sharpe ratio (Hedges UMVUE)
    -0.29556
  • df
    1144.00000
  • t
    -0.61828
  • p
    0.50914
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.23333
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.64193
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23320
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64207
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.38244
  • Upside Potential Ratio
    1.07790
  • Upside part of mean
    8.98869
  • Downside part of mean
    -12.17790
  • Upside SD
    6.83166
  • Downside SD
    8.33910
  • N nonnegative terms
    425.00000
  • N negative terms
    720.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1145.00000
  • Mean of predictor
    0.18134
  • Mean of criterion
    -3.18919
  • SD of predictor
    0.19756
  • SD of criterion
    10.78310
  • Covariance
    -0.01136
  • r
    -0.00533
  • b (slope, estimate of beta)
    -0.29115
  • a (intercept, estimate of alpha)
    -3.13639
  • Mean Square Error
    116.37300
  • DF error
    1143.00000
  • t(b)
    -0.18034
  • p(b)
    0.50340
  • t(a)
    -0.60682
  • p(a)
    0.51142
  • Lowerbound of 95% confidence interval for beta
    -3.45877
  • Upperbound of 95% confidence interval for beta
    2.87646
  • Lowerbound of 95% confidence interval for alpha
    -13.27740
  • Upperbound of 95% confidence interval for alpha
    7.00461
  • Treynor index (mean / b)
    10.95360
  • Jensen alpha (a)
    -3.13639
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.66976
  • Expected Shortfall on VaR
    0.74308
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05191
  • Expected Shortfall on VaR
    0.11753
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1145.00000
  • Minimum
    0.00004
  • Quartile 1
    0.99221
  • Median
    1.00000
  • Quartile 3
    1.00488
  • Maximum
    26618.60000
  • Mean of quarter 1
    0.92158
  • Mean of quarter 2
    0.99845
  • Mean of quarter 3
    1.00111
  • Mean of quarter 4
    153.97500
  • Inter Quartile Range
    0.01267
  • Number outliers low
    161.00000
  • Percentage of outliers low
    0.14061
  • Mean of outliers low
    0.87221
  • Number of outliers high
    156.00000
  • Percentage of outliers high
    0.13625
  • Mean of outliers high
    281.44400
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.02562
  • VaR(95%) (moments method)
    0.05835
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.35938
  • VaR(95%) (regression method)
    0.05442
  • Expected Shortfall (regression method)
    0.11392
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00243
  • Median
    0.00489
  • Quartile 3
    0.01857
  • Maximum
    1.00000
  • Mean of quarter 1
    0.00081
  • Mean of quarter 2
    0.00321
  • Mean of quarter 3
    0.00824
  • Mean of quarter 4
    0.31609
  • Inter Quartile Range
    0.01614
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.18750
  • Mean of outliers high
    0.40863
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.79626
  • VaR(95%) (moments method)
    0.20049
  • Expected Shortfall (moments method)
    1.17326
  • Extreme Value Index (regression method)
    1.70388
  • VaR(95%) (regression method)
    0.45465
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.22882
  • Compounded annual return (geometric extrapolation)
    -0.95763
  • Calmar ratio (compounded annual return / max draw down)
    -0.95763
  • Compounded annual return / average of 25% largest draw downs
    -3.02961
  • Compounded annual return / Expected Shortfall lognormal
    -1.28872
  • 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
    -2.02778
  • SD
    1.41412
  • Sharpe ratio (Glass type estimate)
    -1.43395
  • Sharpe ratio (Hedges UMVUE)
    -1.42566
  • df
    130.00000
  • t
    -1.01396
  • p
    0.54429
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.20857
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34599
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.20288
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35156
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.43380
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -2.02778
  • Upside SD
    0.00000
  • Downside SD
    1.41427
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.50680
  • Mean of criterion
    -2.02778
  • SD of predictor
    0.25355
  • SD of criterion
    1.41412
  • Covariance
    0.00586
  • r
    0.01635
  • b (slope, estimate of beta)
    0.09119
  • a (intercept, estimate of alpha)
    -2.07400
  • Mean Square Error
    2.01470
  • DF error
    129.00000
  • t(b)
    0.18573
  • p(b)
    0.48959
  • t(a)
    -1.02536
  • p(a)
    0.55716
  • Lowerbound of 95% confidence interval for beta
    -0.88026
  • Upperbound of 95% confidence interval for beta
    1.06264
  • Lowerbound of 95% confidence interval for alpha
    -6.07596
  • Upperbound of 95% confidence interval for alpha
    1.92797
  • Treynor index (mean / b)
    -22.23630
  • Jensen alpha (a)
    -2.07400
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -19.31400
  • SD
    13.63730
  • Sharpe ratio (Glass type estimate)
    -1.41626
  • Sharpe ratio (Hedges UMVUE)
    -1.40807
  • df
    130.00000
  • t
    -1.00145
  • p
    0.54375
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.19075
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36355
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.18516
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36901
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41624
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -19.31400
  • Upside SD
    0.00000
  • Downside SD
    13.63750
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.47393
  • Mean of criterion
    -19.31400
  • SD of predictor
    0.25641
  • SD of criterion
    13.63730
  • Covariance
    0.05410
  • r
    0.01547
  • b (slope, estimate of beta)
    0.82291
  • a (intercept, estimate of alpha)
    -19.70400
  • Mean Square Error
    187.37300
  • DF error
    129.00000
  • t(b)
    0.17575
  • p(b)
    0.49015
  • t(a)
    -1.01123
  • p(a)
    0.55638
  • VAR (95 Confidence Intrvl)
    0.67000
  • Lowerbound of 95% confidence interval for beta
    -8.44086
  • Upperbound of 95% confidence interval for beta
    10.08670
  • Lowerbound of 95% confidence interval for alpha
    -58.25580
  • Upperbound of 95% confidence interval for alpha
    18.84780
  • Treynor index (mean / b)
    -23.47040
  • Jensen alpha (a)
    -19.70400
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.76765
  • Expected Shortfall on VaR
    0.82952
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02689
  • Expected Shortfall on VaR
    0.06109
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00006
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    0.96970
  • 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
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.00006
  • 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
    1.00000
  • Minimum
    0.99994
  • Quartile 1
    0.99994
  • Median
    0.99994
  • Quartile 3
    0.99994
  • Maximum
    0.99994
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -92
  • Max Equity Drawdown (num days)
    431
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99987
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00006
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.20552

Strategy Description

The Program's quantitative strategies use a scientific and quantitative approach to conduct a comprehensive research and analysis of various futures markets across massive data sets. We have identified numerous regular patterns which repeat frequently in these markets. Only those patterns that are shown to be logical, robust, statistically significant, and profitable across various markets and proven are used to formulate strategies in actual trading.

The system uses a disciplined, multidimensional technical strategy to a diversified group of markets. The strategy is based on multiple, independent and parallel, trend-following systems with a formalized overlay. Each trading system is designed and validated to extract different market behaviors on different time horizons (frequencies) for a particular market. Within the parameters of multiple frequencies the trading methodology combines systematic disciplined trading criteria which are unique to each market. The program uses well-defined risk management procedures.

Summary Statistics

Strategy began
2010-11-21
Suggested Minimum Capital
$1,000,000
# Trades
877
# Profitable
507
% Profitable
57.8%
Correlation S&P500
0.010
Sharpe Ratio
-0.81
Sortino Ratio
-0.84
Beta
14782800.00
Alpha
-763461000.00

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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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.