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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

ST restart Aug17
(94025581)

Created by: Tiboo Tiboo
Started: 04/2015
Futures
Last trade: 1,748 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 $149.00 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.

-29.2%
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.

(81.8%)
Max Drawdown
92
Num Trades
62.0%
Win Trades
1.0 : 1
Profit Factor
14.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                     +3.6%(0.3%)+53.6%+2.6%+13.8%+14.9%(13.1%)(2.8%)+4.1%+87.3%
2016+4.0%+19.0%(6.6%)+5.4%(4.6%)(2%)(6.4%)+2.7%(1.7%)+0.2%(19.5%)+0.4%(12.9%)
2017(11.2%)(23.3%)+15.1%(12.8%)(12.3%)(11.8%)(1.7%)(35.2%)(35.1%)  -    -    -  (78.1%)
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -                                      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 168 hours.

Trading Record

This strategy has placed 147 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1980 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/22/17 7:55 @ESU7 E-MINI S&P 500 SHORT 2 2435.62 9/14 5:47 2493.25 n/a ($5,779)
Includes Typical Broker Commissions trade costs of $16.00
4/20/17 11:28 @ESM7 E-MINI S&P 500 SHORT 1 2345.00 6/16 6:32 2437.75 30.2%
Trade id #111157365
Max drawdown($5,037)
Time6/9/17 10:32
Quant open-1
Worst price2445.75
Drawdown as % of equity-30.20%
($4,646)
Includes Typical Broker Commissions trade costs of $8.00
3/24/17 11:13 @ESM7 E-MINI S&P 500 SHORT 1 2350.50 3/24 15:06 2335.00 0.18%
Trade id #110422684
Max drawdown($37)
Time3/24/17 11:15
Quant open-1
Worst price2351.25
Drawdown as % of equity-0.18%
$767
Includes Typical Broker Commissions trade costs of $8.00
3/20/17 13:30 @ESM7 E-MINI S&P 500 SHORT 1 2372.00 3/21 16:01 2340.00 1.77%
Trade id #110334864
Max drawdown($337)
Time3/21/17 9:36
Quant open-1
Worst price2378.75
Drawdown as % of equity-1.77%
$1,592
Includes Typical Broker Commissions trade costs of $8.00
3/6/17 11:19 @ESH7 E-MINI S&P 500 LONG 1 2370.25 3/8 10:52 2369.25 2.84%
Trade id #110051808
Max drawdown($537)
Time3/7/17 20:25
Quant open1
Worst price2359.50
Drawdown as % of equity-2.84%
($58)
Includes Typical Broker Commissions trade costs of $8.00
2/6/17 3:37 @ESH7 E-MINI S&P 500 SHORT 1 2289.50 2/28 20:18 2370.00 21.04%
Trade id #109296110
Max drawdown($4,062)
Time2/27/17 15:31
Quant open-1
Worst price2370.75
Drawdown as % of equity-21.04%
($4,033)
Includes Typical Broker Commissions trade costs of $8.00
1/3/17 15:00 @ESH7 E-MINI S&P 500 SHORT 2 2253.92 1/24 13:31 2274.75 8.9%
Trade id #108313769
Max drawdown($2,083)
Time1/24/17 13:31
Quant open0
Worst price2274.75
Drawdown as % of equity-8.90%
($2,099)
Includes Typical Broker Commissions trade costs of $16.00
12/19/16 9:51 @ESH7 E-MINI S&P 500 LONG 1 2260.75 12/21 3:58 2266.25 1.3%
Trade id #108046683
Max drawdown($325)
Time12/19/16 15:22
Quant open1
Worst price2254.25
Drawdown as % of equity-1.30%
$267
Includes Typical Broker Commissions trade costs of $8.00
11/23/16 13:47 @ESZ6 E-MINI S&P 500 SHORT 1 2198.60 11/28 7:31 2205.35 2.65%
Trade id #107447662
Max drawdown($657)
Time11/25/16 13:15
Quant open-1
Worst price2211.75
Drawdown as % of equity-2.65%
($346)
Includes Typical Broker Commissions trade costs of $8.00
11/9/16 8:11 @ESZ6 E-MINI S&P 500 SHORT 1 2106.02 11/15 14:00 2170.10 14.55%
Trade id #107030723
Max drawdown($3,724)
Time11/10/16 3:26
Quant open-1
Worst price2180.50
Drawdown as % of equity-14.55%
($3,212)
Includes Typical Broker Commissions trade costs of $8.00
11/1/16 6:12 @ESZ6 E-MINI S&P 500 LONG 1 2127.25 11/2 10:14 2104.41 6.41%
Trade id #106819106
Max drawdown($1,812)
Time11/1/16 14:19
Quant open1
Worst price2091.00
Drawdown as % of equity-6.41%
($1,150)
Includes Typical Broker Commissions trade costs of $8.00
10/21/16 4:41 @ESZ6 E-MINI S&P 500 SHORT 1 2129.61 10/27 10:41 2129.25 3.49%
Trade id #106581814
Max drawdown($1,007)
Time10/25/16 5:01
Quant open-1
Worst price2149.75
Drawdown as % of equity-3.49%
$10
Includes Typical Broker Commissions trade costs of $8.00
10/18/16 3:51 @ESZ6 E-MINI S&P 500 LONG 1 2133.25 10/18 15:30 2134.00 0.71%
Trade id #106504615
Max drawdown($212)
Time10/18/16 10:22
Quant open1
Worst price2129.00
Drawdown as % of equity-0.71%
$30
Includes Typical Broker Commissions trade costs of $8.00
9/27/16 14:01 @ESZ6 E-MINI S&P 500 SHORT 1 2152.24 10/7 8:24 2152.75 2.76%
Trade id #106101485
Max drawdown($800)
Time9/30/16 15:17
Quant open-1
Worst price2168.25
Drawdown as % of equity-2.76%
($34)
Includes Typical Broker Commissions trade costs of $8.00
9/26/16 6:05 @ESZ6 E-MINI S&P 500 LONG 1 2147.24 9/26 11:33 2140.00 1.2%
Trade id #106065789
Max drawdown($362)
Time9/26/16 11:33
Quant open0
Worst price2140.00
Drawdown as % of equity-1.20%
($370)
Includes Typical Broker Commissions trade costs of $8.00
9/20/16 5:47 @ESZ6 E-MINI S&P 500 LONG 1 2139.25 9/20 9:37 2139.50 0.04%
Trade id #105966545
Max drawdown($12)
Time9/20/16 5:58
Quant open1
Worst price2139.00
Drawdown as % of equity-0.04%
$5
Includes Typical Broker Commissions trade costs of $8.00
9/15/16 15:11 @ESZ6 E-MINI S&P 500 SHORT 1 2141.90 9/16 8:32 2131.25 0.23%
Trade id #105904473
Max drawdown($67)
Time9/15/16 15:46
Quant open-1
Worst price2143.25
Drawdown as % of equity-0.23%
$525
Includes Typical Broker Commissions trade costs of $8.00
9/14/16 4:36 @ESZ6 E-MINI S&P 500 LONG 1 2128.50 9/14 9:13 2121.00 1.26%
Trade id #105865852
Max drawdown($375)
Time9/14/16 9:13
Quant open0
Worst price2121.00
Drawdown as % of equity-1.26%
($383)
Includes Typical Broker Commissions trade costs of $8.00
9/8/16 11:41 @ESZ6 E-MINI S&P 500 SHORT 1 2173.75 9/9 4:03 2168.75 0.42%
Trade id #105703010
Max drawdown($125)
Time9/8/16 11:52
Quant open-1
Worst price2176.25
Drawdown as % of equity-0.42%
$242
Includes Typical Broker Commissions trade costs of $8.00
8/17/16 3:39 @ESU6 E-MINI S&P 500 SHORT 1 2177.39 8/26 5:46 2174.75 2.43%
Trade id #105231009
Max drawdown($705)
Time8/23/16 10:02
Quant open-1
Worst price2191.50
Drawdown as % of equity-2.43%
$124
Includes Typical Broker Commissions trade costs of $8.00
8/10/16 10:45 @ESU6 E-MINI S&P 500 SHORT 1 2175.75 8/15 3:05 2184.50 1.6%
Trade id #105094413
Max drawdown($475)
Time8/11/16 15:46
Quant open-1
Worst price2185.25
Drawdown as % of equity-1.60%
($446)
Includes Typical Broker Commissions trade costs of $8.00
8/1/16 5:27 @ESU6 E-MINI S&P 500 SHORT 1 2170.25 8/2 11:00 2146.44 0.43%
Trade id #104912674
Max drawdown($125)
Time8/1/16 11:15
Quant open-1
Worst price2172.75
Drawdown as % of equity-0.43%
$1,183
Includes Typical Broker Commissions trade costs of $8.00
7/25/16 4:32 @ESU6 E-MINI S&P 500 LONG 1 2170.00 7/28 15:06 2164.00 3.16%
Trade id #104799682
Max drawdown($900)
Time7/27/16 14:02
Quant open1
Worst price2152.00
Drawdown as % of equity-3.16%
($308)
Includes Typical Broker Commissions trade costs of $8.00
7/19/16 4:06 @ESU6 E-MINI S&P 500 SHORT 1 2152.31 7/21 3:01 2170.06 3.04%
Trade id #104695711
Max drawdown($888)
Time7/21/16 3:01
Quant open0
Worst price2170.06
Drawdown as % of equity-3.04%
($896)
Includes Typical Broker Commissions trade costs of $8.00
6/29/16 9:30 @ESU6 E-MINI S&P 500 SHORT 1 2046.00 7/8 5:32 2094.31 9.91%
Trade id #104373841
Max drawdown($2,937)
Time7/4/16 2:35
Quant open-1
Worst price2104.75
Drawdown as % of equity-9.91%
($2,423)
Includes Typical Broker Commissions trade costs of $8.00
6/20/16 5:39 @ESU6 E-MINI S&P 500 SHORT 1 2083.75 6/20 15:55 2074.59 1.38%
Trade id #104165156
Max drawdown($437)
Time6/20/16 10:06
Quant open-1
Worst price2092.50
Drawdown as % of equity-1.38%
$450
Includes Typical Broker Commissions trade costs of $8.00
6/13/16 8:23 @ESU6 E-MINI S&P 500 SHORT 1 2080.75 6/14 10:37 2060.85 1.38%
Trade id #103421731
Max drawdown($425)
Time6/13/16 10:32
Quant open-1
Worst price2089.25
Drawdown as % of equity-1.38%
$987
Includes Typical Broker Commissions trade costs of $8.00
5/25/16 7:12 @ESM6 E-MINI S&P 500 SHORT 1 2081.75 6/13 8:23 2090.25 6.39%
Trade id #102524879
Max drawdown($1,900)
Time6/8/16 14:46
Quant open-1
Worst price2119.75
Drawdown as % of equity-6.39%
($433)
Includes Typical Broker Commissions trade costs of $8.00
5/15/16 18:43 @ESM6 E-MINI S&P 500 SHORT 1 2037.50 5/18 4:57 2045.19 5.27%
Trade id #102349573
Max drawdown($1,600)
Time5/17/16 3:36
Quant open-1
Worst price2069.50
Drawdown as % of equity-5.27%
($393)
Includes Typical Broker Commissions trade costs of $8.00
4/28/16 7:10 @ESM6 E-MINI S&P 500 SHORT 1 2077.00 4/29 9:59 2056.50 2.74%
Trade id #102071850
Max drawdown($825)
Time4/28/16 11:36
Quant open-1
Worst price2093.50
Drawdown as % of equity-2.74%
$1,017
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    4/23/2015
  • Suggested Minimum Cap
    $12,500
  • Strategy Age (days)
    2619.08
  • Age
    87 months ago
  • What it trades
    Futures
  • # Trades
    92
  • # Profitable
    57
  • % Profitable
    62.00%
  • Avg trade duration
    3.8 days
  • Max peak-to-valley drawdown
    81.77%
  • drawdown period
    March 17, 2016 - Sept 13, 2017
  • Annual Return (Compounded)
    -29.2%
  • Avg win
    $623.81
  • Avg loss
    $1,052
  • Model Account Values (Raw)
  • Cash
    $11,231
  • Margin Used
    $0
  • Buying Power
    $11,231
  • Ratios
  • W:L ratio
    0.97:1
  • Sharpe Ratio
    -0.45
  • Sortino Ratio
    -0.57
  • Calmar Ratio
    -0.034
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -74.61%
  • Correlation to SP500
    -0.07530
  • Return Percent SP500 (cumu) during strategy life
    84.58%
  • Return Statistics
  • Ann Return (w trading costs)
    -29.2%
  • Slump
  • Current Slump as Pcnt Equity
    554.90%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.87%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.292%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    88.00%
  • Chance of 30% account loss
    66.00%
  • Chance of 40% account loss
    37.00%
  • Chance of 60% account loss (Monte Carlo)
    3.50%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    17.00%
  • Popularity
  • Popularity (Today)
    18
  • Popularity (Last 6 weeks)
    714
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    293
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,052
  • Avg Win
    $624
  • Sum Trade PL (losers)
    $36,821.000
  • Age
  • Num Months filled monthly returns table
    87
  • Win / Loss
  • Sum Trade PL (winners)
    $35,557.000
  • # Winners
    57
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    35
  • % Winners
    62.0%
  • Frequency
  • Avg Position Time (mins)
    5508.40
  • Avg Position Time (hrs)
    91.81
  • Avg Trade Length
    3.8 days
  • Last Trade Ago
    1744
  • Regression
  • Alpha
    -0.03
  • Beta
    -0.10
  • Treynor Index
    0.36
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    39.66
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    46.66
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.11
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    21.700
  • 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
    0.29
  • Avg(MAE) / Avg(PL) - Winning trades
    0.626
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.438
  • Hold-and-Hope Ratio
    0.046
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24065
  • SD
    0.44779
  • Sharpe ratio (Glass type estimate)
    0.53742
  • Sharpe ratio (Hedges UMVUE)
    0.52174
  • df
    26.00000
  • t
    0.80612
  • p
    0.21374
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78234
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84706
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79258
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83605
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17420
  • Upside Potential Ratio
    3.10672
  • Upside part of mean
    0.63672
  • Downside part of mean
    -0.39607
  • Upside SD
    0.39486
  • Downside SD
    0.20495
  • N nonnegative terms
    13.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.06860
  • Mean of criterion
    0.24065
  • SD of predictor
    0.11327
  • SD of criterion
    0.44779
  • Covariance
    -0.02233
  • r
    -0.44015
  • b (slope, estimate of beta)
    -1.74003
  • a (intercept, estimate of alpha)
    0.36002
  • Mean Square Error
    0.16814
  • DF error
    25.00000
  • t(b)
    -2.45095
  • p(b)
    0.98921
  • t(a)
    1.29659
  • p(a)
    0.10331
  • Lowerbound of 95% confidence interval for beta
    -3.20217
  • Upperbound of 95% confidence interval for beta
    -0.27788
  • Lowerbound of 95% confidence interval for alpha
    -0.21185
  • Upperbound of 95% confidence interval for alpha
    0.93189
  • Treynor index (mean / b)
    -0.13830
  • Jensen alpha (a)
    0.36002
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15366
  • SD
    0.41072
  • Sharpe ratio (Glass type estimate)
    0.37412
  • Sharpe ratio (Hedges UMVUE)
    0.36320
  • df
    26.00000
  • t
    0.56118
  • p
    0.28974
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68113
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94716
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67357
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.70025
  • Upside Potential Ratio
    2.61004
  • Upside part of mean
    0.57272
  • Downside part of mean
    -0.41907
  • Upside SD
    0.34097
  • Downside SD
    0.21943
  • N nonnegative terms
    13.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.06214
  • Mean of criterion
    0.15366
  • SD of predictor
    0.11481
  • SD of criterion
    0.41072
  • Covariance
    -0.02200
  • r
    -0.46657
  • b (slope, estimate of beta)
    -1.66909
  • a (intercept, estimate of alpha)
    0.25738
  • Mean Square Error
    0.13725
  • DF error
    25.00000
  • t(b)
    -2.63750
  • p(b)
    0.99292
  • t(a)
    1.02915
  • p(a)
    0.15663
  • Lowerbound of 95% confidence interval for beta
    -2.97243
  • Upperbound of 95% confidence interval for beta
    -0.36575
  • Lowerbound of 95% confidence interval for alpha
    -0.25769
  • Upperbound of 95% confidence interval for alpha
    0.77245
  • Treynor index (mean / b)
    -0.09206
  • Jensen alpha (a)
    0.25738
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16658
  • Expected Shortfall on VaR
    0.20611
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07854
  • Expected Shortfall on VaR
    0.14120
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    27.00000
  • Minimum
    0.82749
  • Quartile 1
    0.95380
  • Median
    0.99819
  • Quartile 3
    1.06546
  • Maximum
    1.46607
  • Mean of quarter 1
    0.89131
  • Mean of quarter 2
    0.98138
  • Mean of quarter 3
    1.02259
  • Mean of quarter 4
    1.18530
  • Inter Quartile Range
    0.11167
  • 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
    0.03704
  • Mean of outliers high
    1.46607
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.35723
  • VaR(95%) (moments method)
    0.11757
  • Expected Shortfall (moments method)
    0.12243
  • Extreme Value Index (regression method)
    -0.58268
  • VaR(95%) (regression method)
    0.12173
  • Expected Shortfall (regression method)
    0.13583
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00181
  • Quartile 1
    0.04708
  • Median
    0.08472
  • Quartile 3
    0.19690
  • Maximum
    0.46579
  • Mean of quarter 1
    0.00181
  • Mean of quarter 2
    0.06217
  • Mean of quarter 3
    0.10728
  • Mean of quarter 4
    0.46579
  • Inter Quartile Range
    0.14982
  • 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
    0.25000
  • Mean of outliers high
    0.46579
  • 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)
    0.18356
  • Compounded annual return (geometric extrapolation)
    0.16609
  • Calmar ratio (compounded annual return / max draw down)
    0.35657
  • Compounded annual return / average of 25% largest draw downs
    0.35657
  • Compounded annual return / Expected Shortfall lognormal
    0.80584
  • 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
    0.02429
  • SD
    0.32087
  • Sharpe ratio (Glass type estimate)
    0.07569
  • Sharpe ratio (Hedges UMVUE)
    0.07560
  • df
    609.00000
  • t
    0.11550
  • p
    0.45404
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20881
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36020
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20891
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36010
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.10696
  • Upside Potential Ratio
    6.00615
  • Upside part of mean
    1.36377
  • Downside part of mean
    -1.33948
  • Upside SD
    0.22635
  • Downside SD
    0.22706
  • N nonnegative terms
    389.00000
  • N negative terms
    221.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    610.00000
  • Mean of predictor
    0.08043
  • Mean of criterion
    0.02429
  • SD of predictor
    0.12995
  • SD of criterion
    0.32087
  • Covariance
    -0.00925
  • r
    -0.22172
  • b (slope, estimate of beta)
    -0.54745
  • a (intercept, estimate of alpha)
    0.00500
  • Mean Square Error
    0.09806
  • DF error
    608.00000
  • t(b)
    -5.60657
  • p(b)
    1.00000
  • t(a)
    0.33265
  • p(a)
    0.36976
  • Lowerbound of 95% confidence interval for beta
    -0.73921
  • Upperbound of 95% confidence interval for beta
    -0.35569
  • Lowerbound of 95% confidence interval for alpha
    -0.33501
  • Upperbound of 95% confidence interval for alpha
    0.47164
  • Treynor index (mean / b)
    -0.04437
  • Jensen alpha (a)
    0.06832
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02732
  • SD
    0.32203
  • Sharpe ratio (Glass type estimate)
    -0.08484
  • Sharpe ratio (Hedges UMVUE)
    -0.08474
  • df
    609.00000
  • t
    -0.12946
  • p
    0.55148
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36935
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19966
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36925
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19977
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.11621
  • Upside Potential Ratio
    5.69568
  • Upside part of mean
    1.33916
  • Downside part of mean
    -1.36648
  • Upside SD
    0.21966
  • Downside SD
    0.23512
  • N nonnegative terms
    389.00000
  • N negative terms
    221.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    610.00000
  • Mean of predictor
    0.07197
  • Mean of criterion
    -0.02732
  • SD of predictor
    0.13012
  • SD of criterion
    0.32203
  • Covariance
    -0.00926
  • r
    -0.22099
  • b (slope, estimate of beta)
    -0.54689
  • a (intercept, estimate of alpha)
    0.01204
  • Mean Square Error
    0.09880
  • DF error
    608.00000
  • t(b)
    -5.58718
  • p(b)
    1.00000
  • t(a)
    0.05841
  • p(a)
    0.47672
  • Lowerbound of 95% confidence interval for beta
    -0.73912
  • Upperbound of 95% confidence interval for beta
    -0.35466
  • Lowerbound of 95% confidence interval for alpha
    -0.39275
  • Upperbound of 95% confidence interval for alpha
    0.41683
  • Treynor index (mean / b)
    0.04996
  • Jensen alpha (a)
    0.01204
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03230
  • Expected Shortfall on VaR
    0.04028
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00914
  • Expected Shortfall on VaR
    0.02097
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    610.00000
  • Minimum
    0.86013
  • Quartile 1
    0.99655
  • Median
    1.00000
  • Quartile 3
    1.00379
  • Maximum
    1.12366
  • Mean of quarter 1
    0.98016
  • Mean of quarter 2
    0.99945
  • Mean of quarter 3
    1.00055
  • Mean of quarter 4
    1.02021
  • Inter Quartile Range
    0.00724
  • Number outliers low
    70.00000
  • Percentage of outliers low
    0.11475
  • Mean of outliers low
    0.96597
  • Number of outliers high
    71.00000
  • Percentage of outliers high
    0.11639
  • Mean of outliers high
    1.03310
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40354
  • VaR(95%) (moments method)
    0.01440
  • Expected Shortfall (moments method)
    0.02992
  • Extreme Value Index (regression method)
    0.15692
  • VaR(95%) (regression method)
    0.01784
  • Expected Shortfall (regression method)
    0.02982
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00074
  • Median
    0.01573
  • Quartile 3
    0.06389
  • Maximum
    0.65228
  • Mean of quarter 1
    0.00012
  • Mean of quarter 2
    0.00934
  • Mean of quarter 3
    0.04027
  • Mean of quarter 4
    0.19508
  • Inter Quartile Range
    0.06315
  • 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
    0.08000
  • Mean of outliers high
    0.40688
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.79034
  • VaR(95%) (moments method)
    0.21006
  • Expected Shortfall (moments method)
    0.98555
  • Extreme Value Index (regression method)
    1.82038
  • VaR(95%) (regression method)
    0.18194
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02647
  • Compounded annual return (geometric extrapolation)
    -0.02695
  • Calmar ratio (compounded annual return / max draw down)
    -0.04132
  • Compounded annual return / average of 25% largest draw downs
    -0.13816
  • Compounded annual return / Expected Shortfall lognormal
    -0.66911
  • 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
    -0.99154
  • SD
    0.39403
  • Sharpe ratio (Glass type estimate)
    -2.51640
  • Sharpe ratio (Hedges UMVUE)
    -2.50186
  • df
    130.00000
  • t
    -1.77936
  • p
    0.57710
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.30030
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.27697
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.29029
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28658
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.83875
  • Upside Potential Ratio
    2.88374
  • Upside part of mean
    1.00726
  • Downside part of mean
    -1.99880
  • Upside SD
    0.18928
  • Downside SD
    0.34929
  • N nonnegative terms
    93.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08664
  • Mean of criterion
    -0.99154
  • SD of predictor
    0.07661
  • SD of criterion
    0.39403
  • Covariance
    -0.01329
  • r
    -0.44010
  • b (slope, estimate of beta)
    -2.26350
  • a (intercept, estimate of alpha)
    -0.79543
  • Mean Square Error
    0.12616
  • DF error
    129.00000
  • t(b)
    -5.56665
  • p(b)
    0.77085
  • t(a)
    -1.57965
  • p(a)
    0.58742
  • Lowerbound of 95% confidence interval for beta
    -3.06800
  • Upperbound of 95% confidence interval for beta
    -1.45900
  • Lowerbound of 95% confidence interval for alpha
    -1.79171
  • Upperbound of 95% confidence interval for alpha
    0.20085
  • Treynor index (mean / b)
    0.43806
  • Jensen alpha (a)
    -0.79543
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.07389
  • SD
    0.40651
  • Sharpe ratio (Glass type estimate)
    -2.64177
  • Sharpe ratio (Hedges UMVUE)
    -2.62650
  • df
    130.00000
  • t
    -1.86801
  • p
    0.58084
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.42713
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.15344
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.41663
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16363
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.93112
  • Upside Potential Ratio
    2.70189
  • Upside part of mean
    0.98991
  • Downside part of mean
    -2.06380
  • Upside SD
    0.18481
  • Downside SD
    0.36638
  • N nonnegative terms
    93.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08371
  • Mean of criterion
    -1.07389
  • SD of predictor
    0.07673
  • SD of criterion
    0.40651
  • Covariance
    -0.01364
  • r
    -0.43718
  • b (slope, estimate of beta)
    -2.31619
  • a (intercept, estimate of alpha)
    -0.88001
  • Mean Square Error
    0.13470
  • DF error
    129.00000
  • t(b)
    -5.52095
  • p(b)
    0.76918
  • t(a)
    -1.69159
  • p(a)
    0.59344
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    -3.14623
  • Upperbound of 95% confidence interval for beta
    -1.48614
  • Lowerbound of 95% confidence interval for alpha
    -1.90928
  • Upperbound of 95% confidence interval for alpha
    0.14927
  • Treynor index (mean / b)
    0.46365
  • Jensen alpha (a)
    -0.88001
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04439
  • Expected Shortfall on VaR
    0.05433
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01144
  • Expected Shortfall on VaR
    0.02764
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86013
  • Quartile 1
    0.99519
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06849
  • Mean of quarter 1
    0.96996
  • Mean of quarter 2
    0.99975
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01526
  • Inter Quartile Range
    0.00481
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.15267
  • Mean of outliers low
    0.95526
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.02546
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.77369
  • VaR(95%) (moments method)
    0.02649
  • Expected Shortfall (moments method)
    0.13069
  • Extreme Value Index (regression method)
    0.45172
  • VaR(95%) (regression method)
    0.02077
  • Expected Shortfall (regression method)
    0.04602
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01777
  • Quartile 1
    0.13290
  • Median
    0.24803
  • Quartile 3
    0.36316
  • Maximum
    0.47829
  • Mean of quarter 1
    0.01777
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.47829
  • Inter Quartile Range
    0.23026
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    545
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.83094
  • Compounded annual return (geometric extrapolation)
    -0.65832
  • Calmar ratio (compounded annual return / max draw down)
    -1.37640
  • Compounded annual return / average of 25% largest draw downs
    -1.37640
  • Compounded annual return / Expected Shortfall lognormal
    -12.11780

Strategy Description

The system takes positions around important support or resistance zones in order to play different trends in the market. Positions can be built up over time with a maximum of 2 contracts. Usually (85% of the time) the system trades just 1 contract at a time.
When short term opportunities occur, daytrading is allowed.

Summary Statistics

Strategy began
2015-04-23
Suggested Minimum Capital
$15,000
# Trades
92
# Profitable
57
% Profitable
62.0%
Correlation S&P500
-0.075
Sharpe Ratio
-0.45
Sortino Ratio
-0.57
Beta
-0.10
Alpha
-0.03

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

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.