Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW +44.9% Cumul. Return since Jul 10, 2026 Hypothetical

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FROG SP Daytrader

By TerryJones2

Futures · Started Jul 2011

hypothetical · Annual Return (Compounded)
-50.8%
Max Drawdown
32.8%
Trades
169
Win Trades
43.8%
Profit Factor
1.20
Win Months
1.6%

About this strategy

The Frog trading system trades the Emini SP. It averages about 1 trade per day. Trades are given from 8:30 CST- 2:30 CST each trading day. The size of the "model account" is $25,000.00, however using your money management strategies you can start with a smaller account. Entry- both limit and market orders are used for entry. Exits- Either OCA and market orders are used for exits. These trades are of short duration so the trader must be on alert as things happen fast. We always use stop protection. The account is flat at the end of each trading day (3:15 CST) so there in no overnight exposure. When you view the system, at the top left of the chart is a "change commission" tab. You can click on it and make sure MB Commissions is selected. This is the most reasonable commission for the Emini SP contract.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2011-1.713.215.722.7-6.7-16.123.6
2012-52.20.00.00.00.00.00.00.00.00.00.00.0-52.2
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.0-0.00.00.00.0-0.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began7/1/2011
Suggested Minimum Capital$25,000
Age185 months
What it tradesFutures
# Trades169
# Profitable74
% Profitable43.8%
Avg trade duration18.8 minutes
Max peak-to-valley drawdown32.8%
drawdown periodNov 17, 2011 - Jan 23, 2012
Annual return (compounded)3.2%
Avg win$1,270
Avg loss$828

Ratios

W:L ratio1.19
Sharpe Ratio-0.26
Sortino Ratio-0.37
Calmar Ratio0.50

CORRELATION STATISTICS

Correlation to SP500-0.02
Return Percent SP500 (cumu) during strategy life469.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)34.6%

Return Statistics

Ann Return (w trading costs)-50.8%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)3.2%

Slump

Current Slump as Pcnt Equity189.3%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss43.9%
Chance of 20% account loss4.9%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$828
Avg Win$1,270
# Winners74
Sum Trade PL (losers)$78,655
Sum Trade PL (winners)$93,990
Num Months Winners3
# Losers95
% Winners43.8%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table183

Frequency

Avg Position Time (mins)18.82
Avg Position Time (hrs)0.31
Avg Trade Length0
Last Trade Ago5333

Regression

Alpha-0.01
Beta-0.01
Treynor Index0.90

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0.05
MAE:Equity, average, losing trades0.04
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades24.73
MAE:PL (avg, all trades)-0.34
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats11.59
MAE:PL - Winning Trades - this strat Percentile of All Strats22.20
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.36
Avg(MAE) / Avg(PL) - Losing trades-1.14
Hold-and-Hope Ratio0.04

RATIO STATISTICS

a (intercept, estimate of alpha)0.14
VAR (95 Confidence Intrvl)0.02

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)67
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 74 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES H2short10Jan 27, 2012Jan 27, 2012($830)
ES H2short10Jan 27, 2012Jan 27, 2012($1,080)
ES H2short10Jan 27, 2012Jan 27, 2012($1,205)
ES H2short10Jan 26, 2012Jan 26, 2012$295
ES H2long10Jan 24, 2012Jan 24, 2012$670
ES H2long10Jan 24, 2012Jan 24, 2012$1,670
ES H2long10Jan 24, 2012Jan 24, 2012$795
ES H2short10Jan 23, 2012Jan 23, 2012($1,455)
ES H2long10Jan 20, 2012Jan 20, 2012($205)
ES H2short10Jan 20, 2012Jan 20, 2012$295
ES H2short10Jan 20, 2012Jan 20, 2012($580)
ES H2short10Jan 19, 2012Jan 19, 2012($2,455)
ES H2long10Jan 18, 2012Jan 18, 2012$170
ES H2long10Jan 18, 2012Jan 18, 2012($580)
ES H2long10Jan 18, 2012Jan 18, 2012$2,170
ES H2short10Jan 17, 2012Jan 17, 2012($580)
ES H2long10Jan 17, 2012Jan 17, 2012($580)
ES H2short10Jan 17, 2012Jan 17, 2012($705)
ES H2short10Jan 17, 2012Jan 17, 2012$170
ES H2short10Jan 13, 2012Jan 13, 2012$45
ES H2short10Jan 12, 2012Jan 12, 2012($330)
ES H2short10Jan 12, 2012Jan 12, 2012($580)
ES H2short10Jan 12, 2012Jan 12, 2012$2,045
ES H2short10Jan 11, 2012Jan 11, 2012($1,080)
ES H2short10Jan 9, 2012Jan 9, 2012($1,455)
ES H2long10Jan 9, 2012Jan 9, 2012($1,080)
ES H2short10Jan 6, 2012Jan 6, 2012($2,080)
ES H2short10Jan 5, 2012Jan 5, 2012($4,455)
ES H2long10Jan 5, 2012Jan 5, 2012$170
ES H2short10Jan 4, 2012Jan 4, 2012$45

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.