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

Trend Factor
(111884658)

Created by: Flaneur Flaneur
Started: 06/2017
Futures
Last trade: 2,010 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.

3.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(7.8%)
Max Drawdown
175
Num Trades
66.3%
Win Trades
2.0 : 1
Profit Factor
11.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                   +2.5%+2.0%(2.9%)+16.0%+13.7%(3.1%)+0.5%+30.4%
2018+3.5%(0.3%)(2.6%)+0.3%(0.8%)+1.0%+0.7%(2%)(0.4%)  -    -    -  (0.6%)
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.

System developer has asked us to delay this information by 120 hours.

Trading Record

This strategy has placed 24 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2170 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/18/18 0:48 @JYZ8 JAPANESE YEN SHORT 2 0.008985 9/26 11:47 0.008934 0.23%
Trade id #119900733
Max drawdown($156)
Time9/18/18 4:03
Quant open-1
Worst price0.008998
Drawdown as % of equity-0.23%
$1,259
Includes Typical Broker Commissions trade costs of $16.00
9/21/18 11:34 @CCZ8 COCOA SHORT 2 2159 9/21 12:12 2158 0.38%
Trade id #119974022
Max drawdown($260)
Time9/21/18 11:49
Quant open-2
Worst price2172
Drawdown as % of equity-0.38%
$4
Includes Typical Broker Commissions trade costs of $16.00
9/21/18 1:25 QHGZ8 Copper LONG 2 277.50 9/21 2:09 276.90 0.44%
Trade id #119962406
Max drawdown($300)
Time9/21/18 2:06
Quant open2
Worst price276.90
Drawdown as % of equity-0.44%
($316)
Includes Typical Broker Commissions trade costs of $16.00
9/19/18 3:32 @NEZ8 New Zealand Dollar LONG 2 0.6611 9/19 8:09 0.6598 0.38%
Trade id #119922109
Max drawdown($260)
Time9/19/18 8:09
Quant open0
Worst price0.6598
Drawdown as % of equity-0.38%
($276)
Includes Typical Broker Commissions trade costs of $16.00
9/18/18 11:38 @CDZ8 CANADIAN DOLLAR LONG 2 0.7715 9/18 14:15 0.7716 0.25%
Trade id #119910813
Max drawdown($170)
Time9/18/18 13:34
Quant open2
Worst price0.7706
Drawdown as % of equity-0.25%
$4
Includes Typical Broker Commissions trade costs of $16.00
9/11/18 8:08 @NEU8 New Zealand Dollar SHORT 2 0.6506 9/11 10:22 0.6505 0.27%
Trade id #119794372
Max drawdown($180)
Time9/11/18 8:17
Quant open-2
Worst price0.6515
Drawdown as % of equity-0.27%
$4
Includes Typical Broker Commissions trade costs of $16.00
9/11/18 7:23 @YMU8 MINI DOW SHORT 2 25782 9/11 8:13 25780 0.28%
Trade id #119794089
Max drawdown($190)
Time9/11/18 8:01
Quant open-2
Worst price25801
Drawdown as % of equity-0.28%
$4
Includes Typical Broker Commissions trade costs of $16.00
9/7/18 9:38 @SBH9 Sugar #11 LONG 2 11.77 9/7 9:50 11.69 0.26%
Trade id #119759787
Max drawdown($179)
Time9/7/18 9:50
Quant open0
Worst price11.69
Drawdown as % of equity-0.26%
($195)
Includes Typical Broker Commissions trade costs of $16.00
9/7/18 1:59 @ADU8 AUSTRALIAN DOLLAR SHORT 2 0.7153 9/7 2:28 0.7151 0.36%
Trade id #119755433
Max drawdown($240)
Time9/7/18 2:12
Quant open-2
Worst price0.7165
Drawdown as % of equity-0.36%
$24
Includes Typical Broker Commissions trade costs of $16.00
9/6/18 1:25 @ADU8 AUSTRALIAN DOLLAR SHORT 2 0.7170 9/6 3:24 0.7183 0.38%
Trade id #119739996
Max drawdown($260)
Time9/6/18 3:24
Quant open0
Worst price0.7183
Drawdown as % of equity-0.38%
($276)
Includes Typical Broker Commissions trade costs of $16.00
8/29/18 6:49 QCLV8 CRUDE OIL LONG 2 68.81 9/4 14:57 69.24 0.03%
Trade id #119640701
Max drawdown($20)
Time8/29/18 10:43
Quant open1
Worst price68.79
Drawdown as % of equity-0.03%
$844
Includes Typical Broker Commissions trade costs of $16.00
9/4/18 5:59 @EUU8 EUROFX SHORT 2 1.15670 9/4 9:40 1.15660 0.45%
Trade id #119710612
Max drawdown($312)
Time9/4/18 8:46
Quant open-2
Worst price1.15795
Drawdown as % of equity-0.45%
$9
Includes Typical Broker Commissions trade costs of $16.00
8/31/18 6:02 QPLV8 PLATINUM LONG 2 800.4 8/31 7:12 797.8 0.38%
Trade id #119676986
Max drawdown($260)
Time8/31/18 7:12
Quant open0
Worst price797.8
Drawdown as % of equity-0.38%
($276)
Includes Typical Broker Commissions trade costs of $16.00
8/29/18 8:02 @SBV8 Sugar #11 LONG 2 10.44 8/29 8:13 10.37 0.23%
Trade id #119641229
Max drawdown($157)
Time8/29/18 8:13
Quant open0
Worst price10.37
Drawdown as % of equity-0.23%
($173)
Includes Typical Broker Commissions trade costs of $16.00
8/28/18 8:01 @NEU8 New Zealand Dollar LONG 2 0.6715 8/28 9:27 0.6716 0.09%
Trade id #119621431
Max drawdown($60)
Time8/28/18 8:05
Quant open2
Worst price0.6712
Drawdown as % of equity-0.09%
$4
Includes Typical Broker Commissions trade costs of $16.00
8/28/18 5:47 QGCZ8 Gold 100 oz LONG 2 1220.1 8/28 6:58 1218.8 0.38%
Trade id #119620689
Max drawdown($260)
Time8/28/18 6:58
Quant open0
Worst price1218.8
Drawdown as % of equity-0.38%
($276)
Includes Typical Broker Commissions trade costs of $16.00
8/27/18 10:56 @BPU8 BRITISH POUND LONG 2 1.2901 8/27 13:27 1.2903 0.17%
Trade id #119606263
Max drawdown($112)
Time8/27/18 11:14
Quant open2
Worst price1.2892
Drawdown as % of equity-0.17%
$9
Includes Typical Broker Commissions trade costs of $16.00
8/24/18 6:04 QCLV8 CRUDE OIL LONG 2 68.51 8/24 13:44 68.52 0.31%
Trade id #119580241
Max drawdown($210)
Time8/24/18 13:44
Quant open1
Worst price68.30
Drawdown as % of equity-0.31%
$4
Includes Typical Broker Commissions trade costs of $16.00
8/24/18 2:40 EBX8 Brent Crude Oil LONG 2 75.57 8/24 4:45 75.58 0.3%
Trade id #119579516
Max drawdown($200)
Time8/24/18 2:55
Quant open2
Worst price75.47
Drawdown as % of equity-0.30%
$4
Includes Typical Broker Commissions trade costs of $16.00
8/24/18 0:52 QCLV8 CRUDE OIL LONG 2 68.32 8/24 2:11 68.22 0.3%
Trade id #119578807
Max drawdown($200)
Time8/24/18 2:11
Quant open0
Worst price68.22
Drawdown as % of equity-0.30%
($216)
Includes Typical Broker Commissions trade costs of $16.00
8/22/18 7:11 QGCZ8 Gold 100 oz LONG 2 1204.9 8/22 9:17 1205.0 n/a $4
Includes Typical Broker Commissions trade costs of $16.00
8/21/18 4:44 QPLV8 PLATINUM LONG 2 801.2 8/21 8:04 798.4 0.41%
Trade id #119525934
Max drawdown($280)
Time8/21/18 8:04
Quant open0
Worst price798.4
Drawdown as % of equity-0.41%
($296)
Includes Typical Broker Commissions trade costs of $16.00
8/17/18 7:17 @JYU8 JAPANESE YEN LONG 2 0.009070 8/17 9:23 0.009071 0.06%
Trade id #119483357
Max drawdown($37)
Time8/17/18 8:00
Quant open2
Worst price0.009069
Drawdown as % of equity-0.06%
$9
Includes Typical Broker Commissions trade costs of $16.00
8/15/18 2:02 @NEU8 New Zealand Dollar SHORT 2 0.6549 8/15 8:48 0.6563 0.41%
Trade id #119442937
Max drawdown($280)
Time8/15/18 8:48
Quant open0
Worst price0.6563
Drawdown as % of equity-0.41%
($296)
Includes Typical Broker Commissions trade costs of $16.00
8/13/18 0:55 @JYU8 JAPANESE YEN LONG 2 0.009102 8/13 1:12 0.009086 0.58%
Trade id #119400358
Max drawdown($400)
Time8/13/18 1:12
Quant open0
Worst price0.009086
Drawdown as % of equity-0.58%
($416)
Includes Typical Broker Commissions trade costs of $16.00
8/9/18 8:05 @SBV8 Sugar #11 LONG 2 10.97 8/9 8:30 10.87 0.33%
Trade id #119356101
Max drawdown($224)
Time8/9/18 8:30
Quant open0
Worst price10.87
Drawdown as % of equity-0.33%
($240)
Includes Typical Broker Commissions trade costs of $16.00
8/8/18 10:53 @CCZ8 COCOA LONG 2 2172 8/8 11:45 2153 0.55%
Trade id #119340565
Max drawdown($380)
Time8/8/18 11:45
Quant open0
Worst price2153
Drawdown as % of equity-0.55%
($396)
Includes Typical Broker Commissions trade costs of $16.00
8/7/18 10:53 QNGU8 Natural Gas LONG 2 2.894 8/7 11:28 2.883 0.32%
Trade id #119318964
Max drawdown($220)
Time8/7/18 11:28
Quant open0
Worst price2.883
Drawdown as % of equity-0.32%
($236)
Includes Typical Broker Commissions trade costs of $16.00
8/7/18 7:04 @JYU8 JAPANESE YEN LONG 2 0.009020 8/7 9:34 0.009021 0.09%
Trade id #119313938
Max drawdown($62)
Time8/7/18 7:11
Quant open2
Worst price0.009017
Drawdown as % of equity-0.09%
$9
Includes Typical Broker Commissions trade costs of $16.00
8/7/18 6:03 @CDU8 CANADIAN DOLLAR LONG 2 0.7719 8/7 9:06 0.7711 0.23%
Trade id #119313431
Max drawdown($160)
Time8/7/18 9:06
Quant open0
Worst price0.7711
Drawdown as % of equity-0.23%
($176)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    6/2/2017
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2488.48
  • Age
    83 months ago
  • What it trades
    Futures
  • # Trades
    175
  • # Profitable
    116
  • % Profitable
    66.30%
  • Avg trade duration
    22.3 hours
  • Max peak-to-valley drawdown
    7.78%
  • drawdown period
    July 10, 2017 - Sept 12, 2017
  • Annual Return (Compounded)
    3.9%
  • Avg win
    $309.84
  • Avg loss
    $301.03
  • Model Account Values (Raw)
  • Cash
    $68,185
  • Margin Used
    $0
  • Buying Power
    $68,185
  • Ratios
  • W:L ratio
    2.02:1
  • Sharpe Ratio
    0.35
  • Sortino Ratio
    0.7
  • Calmar Ratio
    2.934
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -84.65%
  • Correlation to SP500
    0.01520
  • Return Percent SP500 (cumu) during strategy life
    115.18%
  • Return Statistics
  • Ann Return (w trading costs)
    3.9%
  • Slump
  • Current Slump as Pcnt Equity
    5.40%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.039%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • 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
    n/a
  • 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
    $301
  • Avg Win
    $310
  • Sum Trade PL (losers)
    $17,761.000
  • Age
  • Num Months filled monthly returns table
    82
  • Win / Loss
  • Sum Trade PL (winners)
    $35,942.000
  • # Winners
    116
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    59
  • % Winners
    66.3%
  • Frequency
  • Avg Position Time (mins)
    1337.12
  • Avg Position Time (hrs)
    22.29
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    2007
  • Regression
  • Alpha
    0.01
  • Beta
    0.00
  • Treynor Index
    1.43
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    90.26
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    3.72
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.96
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.639
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.577
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.009
  • Hold-and-Hope Ratio
    0.375
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13253
  • SD
    0.15452
  • Sharpe ratio (Glass type estimate)
    0.85769
  • Sharpe ratio (Hedges UMVUE)
    0.83056
  • df
    24.00000
  • t
    1.23797
  • p
    0.11385
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53010
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22827
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54752
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20864
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.31091
  • Upside Potential Ratio
    5.31673
  • Upside part of mean
    0.21282
  • Downside part of mean
    -0.08029
  • Upside SD
    0.15094
  • Downside SD
    0.04003
  • N nonnegative terms
    8.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.30782
  • Mean of criterion
    0.13253
  • SD of predictor
    0.26433
  • SD of criterion
    0.15452
  • Covariance
    -0.00053
  • r
    -0.01295
  • b (slope, estimate of beta)
    -0.00757
  • a (intercept, estimate of alpha)
    0.13486
  • Mean Square Error
    0.02491
  • DF error
    23.00000
  • t(b)
    -0.06211
  • p(b)
    0.52450
  • t(a)
    1.16657
  • p(a)
    0.12767
  • Lowerbound of 95% confidence interval for beta
    -0.25969
  • Upperbound of 95% confidence interval for beta
    0.24455
  • Lowerbound of 95% confidence interval for alpha
    -0.10428
  • Upperbound of 95% confidence interval for alpha
    0.37400
  • Treynor index (mean / b)
    -17.50600
  • Jensen alpha (a)
    0.13486
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12100
  • SD
    0.14569
  • Sharpe ratio (Glass type estimate)
    0.83051
  • Sharpe ratio (Hedges UMVUE)
    0.80424
  • df
    24.00000
  • t
    1.19874
  • p
    0.12117
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55567
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20004
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57259
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18107
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.99354
  • Upside Potential Ratio
    4.99535
  • Upside part of mean
    0.20191
  • Downside part of mean
    -0.08091
  • Upside SD
    0.14129
  • Downside SD
    0.04042
  • N nonnegative terms
    8.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.27110
  • Mean of criterion
    0.12100
  • SD of predictor
    0.25999
  • SD of criterion
    0.14569
  • Covariance
    0.00004
  • r
    0.00102
  • b (slope, estimate of beta)
    0.00057
  • a (intercept, estimate of alpha)
    0.12084
  • Mean Square Error
    0.02215
  • DF error
    23.00000
  • t(b)
    0.00488
  • p(b)
    0.49807
  • t(a)
    1.12032
  • p(a)
    0.13707
  • Lowerbound of 95% confidence interval for beta
    -0.24114
  • Upperbound of 95% confidence interval for beta
    0.24229
  • Lowerbound of 95% confidence interval for alpha
    -0.10229
  • Upperbound of 95% confidence interval for alpha
    0.34397
  • Treynor index (mean / b)
    211.99800
  • Jensen alpha (a)
    0.12084
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05738
  • Expected Shortfall on VaR
    0.07369
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01847
  • Expected Shortfall on VaR
    0.03124
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.97235
  • Quartile 1
    0.99628
  • Median
    1.00000
  • Quartile 3
    1.01281
  • Maximum
    1.16921
  • Mean of quarter 1
    0.98196
  • Mean of quarter 2
    0.99977
  • Mean of quarter 3
    1.00385
  • Mean of quarter 4
    1.07315
  • Inter Quartile Range
    0.01653
  • 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
    0.12000
  • Mean of outliers high
    1.11821
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -19.09610
  • VaR(95%) (moments method)
    0.01027
  • Expected Shortfall (moments method)
    0.01027
  • Extreme Value Index (regression method)
    -1.01102
  • VaR(95%) (regression method)
    0.01613
  • Expected Shortfall (regression method)
    0.01752
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01186
  • Quartile 1
    0.02534
  • Median
    0.03123
  • Quartile 3
    0.03449
  • Maximum
    0.04009
  • Mean of quarter 1
    0.01186
  • Mean of quarter 2
    0.02983
  • Mean of quarter 3
    0.03262
  • Mean of quarter 4
    0.04009
  • Inter Quartile Range
    0.00915
  • 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)
    0.17459
  • Compounded annual return (geometric extrapolation)
    0.16056
  • Calmar ratio (compounded annual return / max draw down)
    4.00540
  • Compounded annual return / average of 25% largest draw downs
    4.00540
  • Compounded annual return / Expected Shortfall lognormal
    2.17886
  • 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
    0.12219
  • SD
    0.08549
  • Sharpe ratio (Glass type estimate)
    1.42926
  • Sharpe ratio (Hedges UMVUE)
    1.42732
  • df
    554.00000
  • t
    2.08020
  • p
    0.01898
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07936
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77790
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07806
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77658
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.05570
  • Upside Potential Ratio
    9.07658
  • Upside part of mean
    0.36295
  • Downside part of mean
    -0.24076
  • Upside SD
    0.07585
  • Downside SD
    0.03999
  • N nonnegative terms
    114.00000
  • N negative terms
    441.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    555.00000
  • Mean of predictor
    0.40069
  • Mean of criterion
    0.12219
  • SD of predictor
    0.35906
  • SD of criterion
    0.08549
  • Covariance
    0.00014
  • r
    0.00444
  • b (slope, estimate of beta)
    0.00106
  • a (intercept, estimate of alpha)
    0.12200
  • Mean Square Error
    0.00732
  • DF error
    553.00000
  • t(b)
    0.10434
  • p(b)
    0.45847
  • t(a)
    2.06623
  • p(a)
    0.01964
  • Lowerbound of 95% confidence interval for beta
    -0.01883
  • Upperbound of 95% confidence interval for beta
    0.02094
  • Lowerbound of 95% confidence interval for alpha
    0.00601
  • Upperbound of 95% confidence interval for alpha
    0.23752
  • Treynor index (mean / b)
    115.66300
  • Jensen alpha (a)
    0.12177
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11854
  • SD
    0.08487
  • Sharpe ratio (Glass type estimate)
    1.39674
  • Sharpe ratio (Hedges UMVUE)
    1.39485
  • df
    554.00000
  • t
    2.03288
  • p
    0.02127
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04702
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74526
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04570
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74399
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.94709
  • Upside Potential Ratio
    8.95228
  • Upside part of mean
    0.36008
  • Downside part of mean
    -0.24154
  • Upside SD
    0.07500
  • Downside SD
    0.04022
  • N nonnegative terms
    114.00000
  • N negative terms
    441.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    555.00000
  • Mean of predictor
    0.33181
  • Mean of criterion
    0.11854
  • SD of predictor
    0.37763
  • SD of criterion
    0.08487
  • Covariance
    0.00018
  • r
    0.00548
  • b (slope, estimate of beta)
    0.00123
  • a (intercept, estimate of alpha)
    0.11813
  • Mean Square Error
    0.00722
  • DF error
    553.00000
  • t(b)
    0.12878
  • p(b)
    0.44879
  • t(a)
    2.02109
  • p(a)
    0.02188
  • Lowerbound of 95% confidence interval for beta
    -0.01754
  • Upperbound of 95% confidence interval for beta
    0.02000
  • Lowerbound of 95% confidence interval for alpha
    0.00332
  • Upperbound of 95% confidence interval for alpha
    0.23294
  • Treynor index (mean / b)
    96.31970
  • Jensen alpha (a)
    0.11813
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00814
  • Expected Shortfall on VaR
    0.01031
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00279
  • Expected Shortfall on VaR
    0.00572
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    555.00000
  • Minimum
    0.97502
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03510
  • Mean of quarter 1
    0.99667
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00562
  • Inter Quartile Range
    0.00000
  • Number outliers low
    136.00000
  • Percentage of outliers low
    0.24505
  • Mean of outliers low
    0.99659
  • Number of outliers high
    116.00000
  • Percentage of outliers high
    0.20901
  • Mean of outliers high
    1.00673
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23800
  • VaR(95%) (moments method)
    0.00284
  • Expected Shortfall (moments method)
    0.00491
  • Extreme Value Index (regression method)
    0.17635
  • VaR(95%) (regression method)
    0.00334
  • Expected Shortfall (regression method)
    0.00566
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00500
  • Median
    0.01513
  • Quartile 3
    0.03601
  • Maximum
    0.05376
  • Mean of quarter 1
    0.00095
  • Mean of quarter 2
    0.01048
  • Mean of quarter 3
    0.02772
  • Mean of quarter 4
    0.04489
  • Inter Quartile Range
    0.03100
  • 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)
    0.05113
  • VaR(95%) (moments method)
    0.04778
  • Expected Shortfall (moments method)
    0.05464
  • Extreme Value Index (regression method)
    3.58800
  • VaR(95%) (regression method)
    0.05716
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17170
  • Compounded annual return (geometric extrapolation)
    0.15771
  • Calmar ratio (compounded annual return / max draw down)
    2.93362
  • Compounded annual return / average of 25% largest draw downs
    3.51350
  • Compounded annual return / Expected Shortfall lognormal
    15.30100
  • 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
    -0.02791
  • 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
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • 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
    0.97463
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45549
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • 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
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • 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
    0.87009
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45537
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6818900000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00800
  • 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
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -363496000000000016377044233355264.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • 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
    131.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -344362000
  • Max Equity Drawdown (num days)
    64
  • 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

For subscribers! Run AutoTrading only when there are no open trades.

About strategy:

Style: trendfollowing;
Type: disretionary;
Instruments: futures (energy, metals, indices, softs, currency);
Stop-loss: yes (risk per trade: 1%-1,5% of the account (excluding slippage and force majeure));
Adding to a loss position: no (no martingale);
Adding to a profitable position: yes (sometimes, not often);
Minimum capital required: $50 000;
Maximum capital required: $300 000 (for large accounts another terms);
Scaling: 100% or more (in any case you need have an even number of contracts: 2,4,6... etc);

For more information, see "Track Record" and "Statistic" or use the Message Center.

Subsription price:
Basic Plan (you pay in any case): $199 via C2 or $169 via BTC/BCH/LTC/ETH.
Advanced Plan (you pay only when you have a profit, if yours billing period is negative you don't pay): $399 via C2 or $339 via BTC/BCH/LTC/ETH.

Summary Statistics

Strategy began
2017-06-02
Suggested Minimum Capital
$70,000
# Trades
175
# Profitable
116
% Profitable
66.3%
Correlation S&P500
0.015
Sharpe Ratio
0.35
Sortino Ratio
0.70
Beta
0.00
Alpha
0.01

Latest Activity

#PERSONNAME#
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.