Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $161,000 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 08/25/2016
Most recent certification approved 8/25/16 14:26 ET
Trades at broker Interactive Brokers (server 2 / Stocks, Option, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 686
# trading signals executed in manager's Interactive Brokers (server 2 / Stocks, Option, Futures) account 686
Percent signals followed since 08/25/2016 100%
This information was last updated 4/19/24 5:54 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 08/25/2016, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Beat It
(105313239)

Created by: Ed Ed
Started: 08/2016
Futures
Last trade: 1,269 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 $200.00 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.

4.1%
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.

(28.2%)
Max Drawdown
330
Num Trades
47.3%
Win Trades
1.2 : 1
Profit Factor
21.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                 (2%)+18.2%+8.5%+12.8%(6%)+33.1%
2017  -  (7.6%)+3.6%(7.2%)(0.7%)(7.9%)+4.3%+0.9%+6.1%+2.0%  -    -  (7.6%)
2018(0.5%)(2.9%)+3.3%(2.8%)+1.0%  -    -    -    -    -    -    -  (2%)
2019(0.6%)+5.1%(4.5%)+8.5%(0.3%)(1.5%)+2.7%+3.6%(13.1%)(0.3%)(0.5%)(1.8%)(4.3%)
2020(1.2%)+16.4%+2.8%+0.7%+0.8%(1%)(0.9%)(21%)+25.4%+1.4%  -    -  +18.4%
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 626 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/26/20 13:43 @MNQZ0 MICRO E-MINI NASDAQ 100 SHORT 2 11373.00 10/28 10:28 11355.38 2.14%
Trade id #131901846
Max drawdown($504)
Time10/26/20 15:59
Quant open2
Worst price11499.00
Drawdown as % of equity-2.14%
 $69
Includes Typical Broker Commissions trade costs of $1.88
10/5/20 15:47 @MNQZ0 MICRO E-MINI NASDAQ 100 SHORT 1 11473.50 10/6 16:11 11267.75 0.44%
Trade id #131525530
Max drawdown($101)
Time10/6/20 14:46
Quant open1
Worst price11524.20
Drawdown as % of equity-0.44%
 $411
Includes Typical Broker Commissions trade costs of $0.94
8/21/20 9:37 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 4 11477.50 9/14 4:18 11517.12 41.14%
Trade id #130727812
Max drawdown($6,820)
Time9/1/20 0:00
Quant open4
Worst price12330.00
Drawdown as % of equity-41.14%
 ($321)
Includes Typical Broker Commissions trade costs of $3.76
7/20/20 9:38 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 3 10621.00 7/31 11:02 10619.58 7.11%
Trade id #130164981
Max drawdown($1,747)
Time7/21/20 0:00
Quant open2
Worst price11057.80
Drawdown as % of equity-7.11%
 $6
Includes Typical Broker Commissions trade costs of $2.82
7/20/20 9:46 @QMU0 MINY CRUDE OIL SHORT 1 40.300 7/20 14:31 40.950 1.46%
Trade id #130165366
Max drawdown($362)
Time7/20/20 14:00
Quant open1
Worst price41.025
Drawdown as % of equity-1.46%
 ($333)
Includes Typical Broker Commissions trade costs of $8.00
7/20/20 9:38 QMGCQ0 E-Micro Gold LONG 1 1815.2 7/20 13:29 1817.4 0.06%
Trade id #130164983
Max drawdown($16)
Time7/20/20 9:43
Quant open1
Worst price1813.6
Drawdown as % of equity-0.06%
 $21
Includes Typical Broker Commissions trade costs of $0.70
6/25/20 9:40 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 2 9943.50 6/30 11:21 9975.88 2.66%
Trade id #129754919
Max drawdown($708)
Time6/25/20 19:45
Quant open2
Worst price10120.50
Drawdown as % of equity-2.66%
 ($132)
Includes Typical Broker Commissions trade costs of $1.88
6/2/20 13:51 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 3 9603.50 6/5 9:35 9662.33 2.1%
Trade id #129315544
Max drawdown($556)
Time6/4/20 0:00
Quant open2
Worst price9742.50
Drawdown as % of equity-2.10%
 ($356)
Includes Typical Broker Commissions trade costs of $2.82
6/2/20 13:51 @QMN0 MINY CRUDE OIL LONG 1 36.450 6/2 14:29 36.775 0.19%
Trade id #129315542
Max drawdown($50)
Time6/2/20 13:54
Quant open1
Worst price36.350
Drawdown as % of equity-0.19%
 $155
Includes Typical Broker Commissions trade costs of $8.00
5/13/20 9:41 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 1 9082.75 5/13 13:30 8944.75 0.9%
Trade id #128999467
Max drawdown($239)
Time5/13/20 10:36
Quant open1
Worst price9202.50
Drawdown as % of equity-0.90%
 $275
Includes Typical Broker Commissions trade costs of $0.94
5/13/20 9:41 QMGCM0 E-Micro Gold LONG 1 1715.2 5/13 13:29 1716.3 0.14%
Trade id #128999465
Max drawdown($36)
Time5/13/20 10:05
Quant open1
Worst price1711.6
Drawdown as % of equity-0.14%
 $10
Includes Typical Broker Commissions trade costs of $0.70
4/22/20 10:41 @MNQM0 MICRO E-MINI NASDAQ 100 LONG 1 8602.00 4/22 15:59 8648.75 0.3%
Trade id #128690138
Max drawdown($79)
Time4/22/20 11:04
Quant open1
Worst price8562.25
Drawdown as % of equity-0.30%
 $93
Includes Typical Broker Commissions trade costs of $0.94
4/1/20 13:55 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 1 7535.00 4/1 15:59 7469.50 0.17%
Trade id #128363561
Max drawdown($45)
Time4/1/20 14:07
Quant open1
Worst price7557.50
Drawdown as % of equity-0.17%
 $130
Includes Typical Broker Commissions trade costs of $0.94
3/13/20 14:57 @MNQH0 MICRO E-MINI NASDAQ 100 LONG 1 7488.00 3/13 15:59 7954.50 0.84%
Trade id #128038288
Max drawdown($217)
Time3/13/20 15:35
Quant open1
Worst price7379.25
Drawdown as % of equity-0.84%
 $932
Includes Typical Broker Commissions trade costs of $0.94
2/20/20 13:57 @MNQH0 MICRO E-MINI NASDAQ 100 SHORT 7 9586.50 2/24 9:28 9249.36 3.82%
Trade id #127624606
Max drawdown($798)
Time2/20/20 15:58
Quant open7
Worst price9643.50
Drawdown as % of equity-3.82%
 $4,713
Includes Typical Broker Commissions trade costs of $6.58
2/20/20 13:57 @QMJ0 MINY CRUDE OIL LONG 2 53.925 2/20 14:28 53.900 0.71%
Trade id #127624602
Max drawdown($150)
Time2/20/20 14:25
Quant open2
Worst price53.775
Drawdown as % of equity-0.71%
 ($41)
Includes Typical Broker Commissions trade costs of $16.00
1/28/20 13:58 @MNQH0 MICRO E-MINI NASDAQ 100 SHORT 2 9101.00 1/30 16:00 9149.75 1.06%
Trade id #127255110
Max drawdown($231)
Time1/29/20 0:00
Quant open2
Worst price9158.75
Drawdown as % of equity-1.06%
 ($197)
Includes Typical Broker Commissions trade costs of $1.88
1/6/20 13:59 @MNQH0 MICRO E-MINI NASDAQ 100 SHORT 2 8830.50 1/8 9:55 8862.00 1.18%
Trade id #126885162
Max drawdown($256)
Time1/7/20 0:00
Quant open2
Worst price8894.50
Drawdown as % of equity-1.18%
 ($128)
Includes Typical Broker Commissions trade costs of $1.88
1/6/20 13:59 @QMG0 MINY CRUDE OIL LONG 1 63.225 1/6 14:29 63.225 0.06%
Trade id #126885160
Max drawdown($12)
Time1/6/20 14:00
Quant open1
Worst price63.200
Drawdown as % of equity-0.06%
 ($8)
Includes Typical Broker Commissions trade costs of $8.00
12/5/19 9:53 @MNQZ9 MICRO E-MINI NASDAQ 100 SHORT 1 8314.25 12/16 15:38 8583.25 2.47%
Trade id #126497153
Max drawdown($548)
Time12/16/19 14:01
Quant open1
Worst price8588.25
Drawdown as % of equity-2.47%
 ($539)
Includes Typical Broker Commissions trade costs of $0.94
11/14/19 13:04 @QMZ9 MINY CRUDE OIL LONG 1 57.025 11/14 14:29 56.750 0.87%
Trade id #126214111
Max drawdown($200)
Time11/14/19 14:01
Quant open1
Worst price56.625
Drawdown as % of equity-0.87%
 ($146)
Includes Typical Broker Commissions trade costs of $8.00
10/24/19 14:04 @MNQZ9 MICRO E-MINI NASDAQ 100 LONG 1 7953.50 10/24 16:00 7974.25 0.01%
Trade id #125938397
Max drawdown($2)
Time10/24/19 14:05
Quant open1
Worst price7952.25
Drawdown as % of equity-0.01%
 $41
Includes Typical Broker Commissions trade costs of $0.94
10/3/19 14:06 @QMX9 MINY CRUDE OIL SHORT 2 52.350 10/3 14:29 52.475 0.96%
Trade id #125619735
Max drawdown($225)
Time10/3/19 14:22
Quant open2
Worst price52.575
Drawdown as % of equity-0.96%
 ($141)
Includes Typical Broker Commissions trade costs of $16.00
8/19/19 2:01 EXU9 DJ EURO STOXX 50 SHORT 3 3390.00 9/13 13:00 3542.00 26.48%
Trade id #124982754
Max drawdown($5,509)
Time9/12/19 0:00
Quant open3
Worst price3556.00
Drawdown as % of equity-26.48%
 ($5,075)
Includes Typical Broker Commissions trade costs of $24.00
8/19/19 9:30 @LEV9 LIVE CATTLE LONG 2 98.800 9/12 9:30 99.025 15.39%
Trade id #124986109
Max drawdown($4,320)
Time9/9/19 0:00
Quant open2
Worst price93.400
Drawdown as % of equity-15.39%
 $164
Includes Typical Broker Commissions trade costs of $16.00
9/9/19 9:57 QCLV9 CRUDE OIL LONG 1 57.24 9/9 14:29 57.86 0.39%
Trade id #125273684
Max drawdown($110)
Time9/9/19 10:03
Quant open1
Worst price57.13
Drawdown as % of equity-0.39%
 $612
Includes Typical Broker Commissions trade costs of $8.00
9/9/19 9:57 @MNQU9 MICRO E-MINI NASDAQ 100 LONG 2 7853.75 9/9 12:27 7826.50 0.43%
Trade id #125273682
Max drawdown($96)
Time9/9/19 12:26
Quant open2
Worst price7829.75
Drawdown as % of equity-0.43%
 ($111)
Includes Typical Broker Commissions trade costs of $1.88
9/9/19 9:57 DXMU9 MINI-DAX INDEX LONG 1 12214.0 9/9 11:31 12220.0 0.33%
Trade id #125273679
Max drawdown($93)
Time9/9/19 10:03
Quant open1
Worst price12197.0
Drawdown as % of equity-0.33%
 $25
Includes Typical Broker Commissions trade costs of $8.00
8/19/19 2:17 QCLV9 CRUDE OIL LONG 1 55.45 8/19 14:29 56.15 2.27%
Trade id #124982819
Max drawdown($610)
Time8/19/19 7:14
Quant open1
Worst price54.84
Drawdown as % of equity-2.27%
 $692
Includes Typical Broker Commissions trade costs of $8.00
8/19/19 1:50 DXMU9 MINI-DAX INDEX LONG 1 11622.0 8/19 11:31 11701.0 0.17%
Trade id #124982650
Max drawdown($44)
Time8/19/19 2:03
Quant open1
Worst price11614.0
Drawdown as % of equity-0.17%
 $430
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    8/21/2016
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2796.83
  • Age
    93 months ago
  • What it trades
    Futures
  • # Trades
    330
  • # Profitable
    156
  • % Profitable
    47.30%
  • Avg trade duration
    1.0 days
  • Max peak-to-valley drawdown
    28.19%
  • drawdown period
    Dec 15, 2016 - June 14, 2017
  • Annual Return (Compounded)
    4.1%
  • Avg win
    $555.53
  • Avg loss
    $416.74
  • Model Account Values (Raw)
  • Cash
    $39,149
  • Margin Used
    $0
  • Buying Power
    $39,149
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    0.18
  • Sortino Ratio
    0.29
  • Calmar Ratio
    0.946
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -93.46%
  • Correlation to SP500
    -0.12640
  • Return Percent SP500 (cumu) during strategy life
    129.46%
  • Return Statistics
  • Ann Return (w trading costs)
    4.1%
  • Slump
  • Current Slump as Pcnt Equity
    5.80%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.041%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    36.50%
  • Chance of 20% account loss
    6.50%
  • 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?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $417
  • Avg Win
    $556
  • Sum Trade PL (losers)
    $72,513.000
  • Age
  • Num Months filled monthly returns table
    93
  • Win / Loss
  • Sum Trade PL (winners)
    $86,663.000
  • # Winners
    156
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    174
  • % Winners
    47.3%
  • Frequency
  • Avg Position Time (mins)
    1500.10
  • Avg Position Time (hrs)
    25.00
  • Avg Trade Length
    1.0 days
  • Last Trade Ago
    1268
  • Regression
  • Alpha
    0.01
  • Beta
    -0.14
  • Treynor Index
    -0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    60.77
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    55.35
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.19
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    19.377
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.474
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.529
  • Hold-and-Hope Ratio
    0.051
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16995
  • SD
    0.19259
  • Sharpe ratio (Glass type estimate)
    0.88247
  • Sharpe ratio (Hedges UMVUE)
    0.85941
  • df
    29.00000
  • t
    1.39530
  • p
    0.08676
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38486
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13518
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39975
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11858
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.06880
  • Upside Potential Ratio
    3.91558
  • Upside part of mean
    0.32166
  • Downside part of mean
    -0.15171
  • Upside SD
    0.17752
  • Downside SD
    0.08215
  • N nonnegative terms
    13.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.28560
  • Mean of criterion
    0.16995
  • SD of predictor
    0.25749
  • SD of criterion
    0.19259
  • Covariance
    -0.00994
  • r
    -0.20037
  • b (slope, estimate of beta)
    -0.14986
  • a (intercept, estimate of alpha)
    0.21275
  • Mean Square Error
    0.03687
  • DF error
    28.00000
  • t(b)
    -1.08221
  • p(b)
    0.85580
  • t(a)
    1.66575
  • p(a)
    0.05346
  • Lowerbound of 95% confidence interval for beta
    -0.43353
  • Upperbound of 95% confidence interval for beta
    0.13380
  • Lowerbound of 95% confidence interval for alpha
    -0.04887
  • Upperbound of 95% confidence interval for alpha
    0.47438
  • Treynor index (mean / b)
    -1.13403
  • Jensen alpha (a)
    0.21275
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15149
  • SD
    0.18563
  • Sharpe ratio (Glass type estimate)
    0.81612
  • Sharpe ratio (Hedges UMVUE)
    0.79480
  • df
    29.00000
  • t
    1.29040
  • p
    0.10355
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44777
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06643
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46155
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05115
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79610
  • Upside Potential Ratio
    3.63200
  • Upside part of mean
    0.30634
  • Downside part of mean
    -0.15485
  • Upside SD
    0.16765
  • Downside SD
    0.08435
  • N nonnegative terms
    13.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.25041
  • Mean of criterion
    0.15149
  • SD of predictor
    0.25590
  • SD of criterion
    0.18563
  • Covariance
    -0.00925
  • r
    -0.19480
  • b (slope, estimate of beta)
    -0.14130
  • a (intercept, estimate of alpha)
    0.18688
  • Mean Square Error
    0.03433
  • DF error
    28.00000
  • t(b)
    -1.05089
  • p(b)
    0.84885
  • t(a)
    1.53265
  • p(a)
    0.06829
  • Lowerbound of 95% confidence interval for beta
    -0.41673
  • Upperbound of 95% confidence interval for beta
    0.13413
  • Lowerbound of 95% confidence interval for alpha
    -0.06289
  • Upperbound of 95% confidence interval for alpha
    0.43664
  • Treynor index (mean / b)
    -1.07211
  • Jensen alpha (a)
    0.18688
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07273
  • Expected Shortfall on VaR
    0.09309
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03161
  • Expected Shortfall on VaR
    0.05789
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.92262
  • Quartile 1
    0.98391
  • Median
    1.00000
  • Quartile 3
    1.03869
  • Maximum
    1.15660
  • Mean of quarter 1
    0.96110
  • Mean of quarter 2
    0.99593
  • Mean of quarter 3
    1.01118
  • Mean of quarter 4
    1.09452
  • Inter Quartile Range
    0.05478
  • 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
    0.06667
  • Mean of outliers high
    1.14878
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.66003
  • VaR(95%) (moments method)
    0.03900
  • Expected Shortfall (moments method)
    0.04407
  • Extreme Value Index (regression method)
    0.16541
  • VaR(95%) (regression method)
    0.04139
  • Expected Shortfall (regression method)
    0.06217
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01744
  • Quartile 1
    0.04741
  • Median
    0.07738
  • Quartile 3
    0.10697
  • Maximum
    0.13655
  • Mean of quarter 1
    0.01744
  • Mean of quarter 2
    0.07738
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13655
  • Inter Quartile Range
    0.05955
  • 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)
    0.22638
  • Compounded annual return (geometric extrapolation)
    0.19650
  • Calmar ratio (compounded annual return / max draw down)
    1.43907
  • Compounded annual return / average of 25% largest draw downs
    1.43907
  • Compounded annual return / Expected Shortfall lognormal
    2.11088
  • 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
    0.18056
  • SD
    0.26541
  • Sharpe ratio (Glass type estimate)
    0.68031
  • Sharpe ratio (Hedges UMVUE)
    0.67955
  • df
    675.00000
  • t
    1.09277
  • p
    0.13744
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54065
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54117
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90027
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08140
  • Upside Potential Ratio
    6.01724
  • Upside part of mean
    1.00469
  • Downside part of mean
    -0.82413
  • Upside SD
    0.20636
  • Downside SD
    0.16697
  • N nonnegative terms
    192.00000
  • N negative terms
    484.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    676.00000
  • Mean of predictor
    0.35018
  • Mean of criterion
    0.18056
  • SD of predictor
    0.28206
  • SD of criterion
    0.26541
  • Covariance
    -0.01087
  • r
    -0.14520
  • b (slope, estimate of beta)
    -0.13663
  • a (intercept, estimate of alpha)
    0.22800
  • Mean Square Error
    0.06906
  • DF error
    674.00000
  • t(b)
    -3.81010
  • p(b)
    0.99992
  • t(a)
    1.39201
  • p(a)
    0.08219
  • Lowerbound of 95% confidence interval for beta
    -0.20704
  • Upperbound of 95% confidence interval for beta
    -0.06622
  • Lowerbound of 95% confidence interval for alpha
    -0.09377
  • Upperbound of 95% confidence interval for alpha
    0.55058
  • Treynor index (mean / b)
    -1.32152
  • Jensen alpha (a)
    0.22840
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14592
  • SD
    0.26240
  • Sharpe ratio (Glass type estimate)
    0.55610
  • Sharpe ratio (Hedges UMVUE)
    0.55548
  • df
    675.00000
  • t
    0.89326
  • p
    0.18602
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66463
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77646
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66506
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77603
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83258
  • Upside Potential Ratio
    5.61916
  • Upside part of mean
    0.98482
  • Downside part of mean
    -0.83890
  • Upside SD
    0.19523
  • Downside SD
    0.17526
  • N nonnegative terms
    192.00000
  • N negative terms
    484.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    676.00000
  • Mean of predictor
    0.30929
  • Mean of criterion
    0.14592
  • SD of predictor
    0.28712
  • SD of criterion
    0.26240
  • Covariance
    -0.01077
  • r
    -0.14298
  • b (slope, estimate of beta)
    -0.13067
  • a (intercept, estimate of alpha)
    0.18633
  • Mean Square Error
    0.06754
  • DF error
    674.00000
  • t(b)
    -3.75041
  • p(b)
    0.99990
  • t(a)
    1.14910
  • p(a)
    0.12546
  • Lowerbound of 95% confidence interval for beta
    -0.19907
  • Upperbound of 95% confidence interval for beta
    -0.06226
  • Lowerbound of 95% confidence interval for alpha
    -0.13206
  • Upperbound of 95% confidence interval for alpha
    0.50473
  • Treynor index (mean / b)
    -1.11674
  • Jensen alpha (a)
    0.18633
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02577
  • Expected Shortfall on VaR
    0.03233
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00889
  • Expected Shortfall on VaR
    0.01928
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    676.00000
  • Minimum
    0.84125
  • Quartile 1
    0.99872
  • Median
    1.00000
  • Quartile 3
    1.00172
  • Maximum
    1.22336
  • Mean of quarter 1
    0.98779
  • Mean of quarter 2
    0.99993
  • Mean of quarter 3
    1.00014
  • Mean of quarter 4
    1.01532
  • Inter Quartile Range
    0.00300
  • Number outliers low
    115.00000
  • Percentage of outliers low
    0.17012
  • Mean of outliers low
    0.98355
  • Number of outliers high
    117.00000
  • Percentage of outliers high
    0.17308
  • Mean of outliers high
    1.02047
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23510
  • VaR(95%) (moments method)
    0.00618
  • Expected Shortfall (moments method)
    0.01087
  • Extreme Value Index (regression method)
    0.18401
  • VaR(95%) (regression method)
    0.00991
  • Expected Shortfall (regression method)
    0.01742
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00300
  • Quartile 1
    0.01231
  • Median
    0.02651
  • Quartile 3
    0.05125
  • Maximum
    0.20076
  • Mean of quarter 1
    0.00623
  • Mean of quarter 2
    0.02133
  • Mean of quarter 3
    0.03628
  • Mean of quarter 4
    0.15338
  • Inter Quartile Range
    0.03894
  • 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
    0.17647
  • Mean of outliers high
    0.18546
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.34590
  • VaR(95%) (moments method)
    0.13294
  • Expected Shortfall (moments method)
    0.16256
  • Extreme Value Index (regression method)
    -1.92920
  • VaR(95%) (regression method)
    0.14308
  • Expected Shortfall (regression method)
    0.14538
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21935
  • Compounded annual return (geometric extrapolation)
    0.18985
  • Calmar ratio (compounded annual return / max draw down)
    0.94566
  • Compounded annual return / average of 25% largest draw downs
    1.23776
  • Compounded annual return / Expected Shortfall lognormal
    5.87234
  • 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
    0.77542
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.39806
  • 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
    0.69495
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40110
  • 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)
    -6827310000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02600
  • 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)
    -592219000000000016921696686571520.00000
  • 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?
    -329585000
  • Max Equity Drawdown (num days)
    181
  • 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

A low frequency intraday system developed to trade crude oil futures on a systematic basis. On average trade holding period should be around 6-8 hours, target return in the region of >=40% annually (note historically this number ranged from around minus 10% to well over 100%) and target draw down not more than 25%. These are the only two statistics the system developer is concerned with. No single position is initiated without an explicit stop loss: large emphasis is placed on risk & money management processes.

As of 10th Jan 2017 the following message to existing subscribers:

Dear Subscriber,
Firstly, happy new year and thank you for your subscription. I would like to mention that as of 23rd January, I will be trading an extra mini-sized Nymex crude contract, so the total risk and return will be 1.5x (1 full and 1 half contract). I hope this is long enough notice period to do what is necessary at your end to either follow the same size, or just not trade that extra mini contract. The reason I am increasing the risk is simply to capitalise my profits as I am not withdrawing it(as you are aware this is a real trading account - all my accounts are real not paper). Unfortunately, C2 could not hook up my system when I started on the 1st August 2016, thus missing a very strong 2 - 3 weeks of performance. See enclosed my full performance summary as tracked directly from my IB account by FundSeeder showing a return of 50.87% as of end of 2016. I am very well aware of the larger bid/ask (2.5 cents) on the mini contract and its trading volume, but being a cautious trader, I would rather not trade a second full contract (trading crude is a volatile business unfortunately!). If that may cause an issue with most of the subscribers, then I will have to re-consider.
Regards and all the best

3rd Feb 2017: traded bunds by mistake on this strategy!
9th Feb: Due to large slippage experienced by subscribers on the mini contract, as of today I stopped trading the mini.

Summary Statistics

Strategy began
2016-08-21
Suggested Minimum Capital
$25,000
# Trades
330
# Profitable
156
% Profitable
47.3%
Correlation S&P500
-0.126
Sharpe Ratio
0.18
Sortino Ratio
0.29
Beta
-0.14
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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