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

eminiglobex
(55133113)

Created by: eminiglobex eminiglobex
Started: 11/2010
Futures
Last trade: 2,249 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 $25.00 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.

2.9%
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.

(8.5%)
Max Drawdown
167
Num Trades
89.2%
Win Trades
3.5 : 1
Profit Factor
30.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                                      +9.9%(2.4%)+7.3%
2011+6.1%+1.9%(1.8%)(3%)+0.8%+3.1%(5%)+0.1%+0.1%  -  +5.4%+1.8%+9.3%
2012+2.1%+2.2%+2.0%+1.5%+1.1%+0.3%+0.5%+0.2%+1.2%+0.6%+0.5%+0.4%+13.3%
2013+0.5%+0.5%+0.2%+0.2%  -  +0.8%(0.2%)+0.2%+0.2%(0.2%)(0.2%)+0.1%+2.0%
2014+0.3%(0.2%)(0.2%)+0.4%(0.2%)(0.2%)+0.1%(0.2%)+0.2%(0.2%)(0.2%)+0.3%(0.1%)
2015+0.3%(0.2%)+0.3%(0.2%)(0.2%)+0.4%(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)+0.4%(0.3%)
2016(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.4%)+0.6%(0.2%)+0.2%(0.2%)(1.6%)
2017+1.9%+1.1%+1.3%+2.5%+0.2%+0.7%  -  +0.6%  -    -  +0.7%  -  +9.4%
2018+0.8%  -    -    -    -    -    -    -    -    -    -    -  +0.8%
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.

Trading Record

This strategy has placed 117 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/30/18 16:31 @ESH8 E-MINI S&P 500 LONG 1 2824.75 1/30 20:47 2829.75 0.45%
Trade id #116186605
Max drawdown($162)
Time1/30/18 16:42
Quant open1
Worst price2821.50
Drawdown as % of equity-0.45%
$242
Includes Typical Broker Commissions trade costs of $8.00
11/15/17 16:30 @ESZ7 E-MINI S&P 500 LONG 1 2564.75 11/15 20:16 2568.75 0.35%
Trade id #114879211
Max drawdown($125)
Time11/15/17 18:37
Quant open1
Worst price2562.25
Drawdown as % of equity-0.35%
$192
Includes Typical Broker Commissions trade costs of $8.00
8/10/17 16:14 @ESU7 E-MINI S&P 500 LONG 1 2437.68 8/11 8:37 2441.50 1.05%
Trade id #113093115
Max drawdown($371)
Time8/11/17 7:51
Quant open1
Worst price2430.25
Drawdown as % of equity-1.05%
$183
Includes Typical Broker Commissions trade costs of $8.00
6/21/17 16:31 @ESU7 E-MINI S&P 500 LONG 1 2432.75 6/22 11:05 2437.00 0.68%
Trade id #112161167
Max drawdown($237)
Time6/22/17 5:31
Quant open1
Worst price2428.00
Drawdown as % of equity-0.68%
$205
Includes Typical Broker Commissions trade costs of $8.00
5/17/17 9:35 @ESM7 E-MINI S&P 500 LONG 1 2382.87 5/19 12:00 2383.50 5.7%
Trade id #111638768
Max drawdown($1,918)
Time5/18/17 5:58
Quant open1
Worst price2344.50
Drawdown as % of equity-5.70%
$24
Includes Typical Broker Commissions trade costs of $8.00
5/12/17 10:50 @ESM7 E-MINI S&P 500 LONG 1 2386.25 5/12 15:51 2387.00 0.28%
Trade id #111572575
Max drawdown($100)
Time5/12/17 10:55
Quant open1
Worst price2384.25
Drawdown as % of equity-0.28%
$30
Includes Typical Broker Commissions trade costs of $8.00
4/17/17 4:37 @ESM7 E-MINI S&P 500 LONG 1 2325.00 4/17 7:42 2328.00 0.14%
Trade id #111043605
Max drawdown($50)
Time4/17/17 5:19
Quant open1
Worst price2324.00
Drawdown as % of equity-0.14%
$142
Includes Typical Broker Commissions trade costs of $8.00
4/12/17 16:32 @ESM7 E-MINI S&P 500 LONG 1 2340.75 4/13 10:02 2344.50 1.23%
Trade id #110951839
Max drawdown($425)
Time4/13/17 6:41
Quant open1
Worst price2332.25
Drawdown as % of equity-1.23%
$180
Includes Typical Broker Commissions trade costs of $8.00
4/5/17 16:30 @ESM7 E-MINI S&P 500 LONG 1 2346.00 4/6 8:52 2350.25 1.16%
Trade id #110741381
Max drawdown($400)
Time4/5/17 22:27
Quant open1
Worst price2338.00
Drawdown as % of equity-1.16%
$205
Includes Typical Broker Commissions trade costs of $8.00
4/3/17 16:30 @ESM7 E-MINI S&P 500 LONG 1 2355.50 4/4 18:02 2359.50 1.57%
Trade id #110662159
Max drawdown($537)
Time4/4/17 8:07
Quant open1
Worst price2344.75
Drawdown as % of equity-1.57%
$192
Includes Typical Broker Commissions trade costs of $8.00
3/8/17 16:30 @ESH7 E-MINI S&P 500 LONG 1 2364.25 3/9 10:04 2368.00 0.81%
Trade id #110120187
Max drawdown($275)
Time3/9/17 8:00
Quant open1
Worst price2358.75
Drawdown as % of equity-0.81%
$180
Includes Typical Broker Commissions trade costs of $8.00
3/7/17 16:30 @ESH7 E-MINI S&P 500 LONG 1 2366.25 3/8 9:27 2370.00 0.99%
Trade id #110089630
Max drawdown($337)
Time3/7/17 20:25
Quant open1
Worst price2359.50
Drawdown as % of equity-0.99%
$180
Includes Typical Broker Commissions trade costs of $8.00
2/28/17 16:31 @ESH7 E-MINI S&P 500 LONG 1 2362.00 2/28 18:01 2365.50 0.07%
Trade id #109921090
Max drawdown($25)
Time2/28/17 16:36
Quant open1
Worst price2361.50
Drawdown as % of equity-0.07%
$167
Includes Typical Broker Commissions trade costs of $8.00
1/30/17 16:30 @ESH7 E-MINI S&P 500 LONG 1 2276.25 2/1 1:35 2279.50 2.11%
Trade id #109148398
Max drawdown($700)
Time1/31/17 11:36
Quant open1
Worst price2262.25
Drawdown as % of equity-2.11%
$155
Includes Typical Broker Commissions trade costs of $8.00
1/19/17 16:30 @ESH7 E-MINI S&P 500 LONG 1 2261.50 1/19 19:07 2264.50 0.11%
Trade id #108816989
Max drawdown($37)
Time1/19/17 16:34
Quant open1
Worst price2260.75
Drawdown as % of equity-0.11%
$142
Includes Typical Broker Commissions trade costs of $8.00
1/17/17 18:27 @ESH7 E-MINI S&P 500 LONG 1 2262.50 1/18 0:10 2266.00 0.11%
Trade id #108701666
Max drawdown($37)
Time1/17/17 20:04
Quant open1
Worst price2261.75
Drawdown as % of equity-0.11%
$167
Includes Typical Broker Commissions trade costs of $8.00
1/12/17 18:00 @ESH7 E-MINI S&P 500 LONG 1 2265.00 1/13 5:46 2267.50 0.11%
Trade id #108609920
Max drawdown($37)
Time1/12/17 18:02
Quant open1
Worst price2264.25
Drawdown as % of equity-0.11%
$117
Includes Typical Broker Commissions trade costs of $8.00
1/9/17 16:37 @ESH7 E-MINI S&P 500 LONG 1 2264.50 1/10 11:04 2269.00 0.76%
Trade id #108463482
Max drawdown($250)
Time1/10/17 1:08
Quant open1
Worst price2259.50
Drawdown as % of equity-0.76%
$217
Includes Typical Broker Commissions trade costs of $8.00
11/2/16 16:30 @ESZ6 E-MINI S&P 500 LONG 1 2092.50 11/3 6:07 2096.00 1.29%
Trade id #106876122
Max drawdown($425)
Time11/2/16 23:14
Quant open1
Worst price2084.00
Drawdown as % of equity-1.29%
$167
Includes Typical Broker Commissions trade costs of $8.00
9/11/16 18:01 @ESZ6 E-MINI S&P 500 LONG 1 2115.75 9/12 9:39 2119.00 2.38%
Trade id #105791972
Max drawdown($775)
Time9/11/16 22:20
Quant open1
Worst price2100.25
Drawdown as % of equity-2.38%
$155
Includes Typical Broker Commissions trade costs of $8.00
12/20/15 19:01 @ESH6 E-MINI S&P 500 LONG 1 1998.25 12/21 0:15 2002.00 0.46%
Trade id #98853986
Max drawdown($150)
Time12/20/15 20:01
Quant open1
Worst price1995.25
Drawdown as % of equity-0.46%
$180
Includes Typical Broker Commissions trade costs of $8.00
6/7/15 18:00 @ESM5 E-MINI S&P 500 LONG 1 2091.59 6/10 10:08 2095.00 3.61%
Trade id #94848921
Max drawdown($1,142)
Time6/9/15 5:56
Quant open1
Worst price2068.75
Drawdown as % of equity-3.61%
$162
Includes Typical Broker Commissions trade costs of $8.00
3/8/15 18:09 @ESH5 E-MINI S&P 500 LONG 1 2070.75 3/9 8:55 2073.75 0.74%
Trade id #93061468
Max drawdown($237)
Time3/9/15 4:16
Quant open1
Worst price2066.00
Drawdown as % of equity-0.74%
$142
Includes Typical Broker Commissions trade costs of $8.00
1/5/15 16:40 @ESH5 E-MINI S&P 500 LONG 1 2017.25 1/5 18:59 2020.29 0.04%
Trade id #91670182
Max drawdown($12)
Time1/5/15 16:42
Quant open1
Worst price2017.00
Drawdown as % of equity-0.04%
$144
Includes Typical Broker Commissions trade costs of $8.00
12/16/14 16:30 @ESH5 E-MINI S&P 500 LONG 1 1966.25 12/16 18:49 1969.50 0.16%
Trade id #91362145
Max drawdown($50)
Time12/16/14 16:33
Quant open1
Worst price1965.25
Drawdown as % of equity-0.16%
$155
Includes Typical Broker Commissions trade costs of $8.00
9/9/14 16:58 @ESU4 E-MINI S&P 500 LONG 1 1989.50 9/10 6:01 1992.00 0.63%
Trade id #89555677
Max drawdown($200)
Time9/10/14 3:36
Quant open1
Worst price1985.50
Drawdown as % of equity-0.63%
$117
Includes Typical Broker Commissions trade costs of $8.00
7/17/14 16:50 @ESU4 E-MINI S&P 500 LONG 1 1950.55 7/18 2:49 1952.75 1.27%
Trade id #88633089
Max drawdown($402)
Time7/17/14 18:29
Quant open1
Worst price1942.50
Drawdown as % of equity-1.27%
$102
Includes Typical Broker Commissions trade costs of $8.00
4/7/14 16:30 @ESM4 E-MINI S&P 500 LONG 1 1838.25 4/7 21:57 1841.92 0.08%
Trade id #86906712
Max drawdown($25)
Time4/7/14 16:34
Quant open1
Worst price1837.75
Drawdown as % of equity-0.08%
$176
Includes Typical Broker Commissions trade costs of $8.00
1/27/14 17:04 @ESH4 E-MINI S&P 500 LONG 1 1773.07 1/27 18:23 1776.01 0.33%
Trade id #85404562
Max drawdown($103)
Time1/27/14 17:13
Quant open1
Worst price1771.00
Drawdown as % of equity-0.33%
$139
Includes Typical Broker Commissions trade costs of $8.00
12/11/13 16:36 @ESZ3 E-MINI S&P 500 LONG 1 1781.50 12/12 8:45 1783.59 0.96%
Trade id #84555421
Max drawdown($300)
Time12/11/13 23:44
Quant open1
Worst price1775.50
Drawdown as % of equity-0.96%
$97
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    11/23/2010
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    4866.05
  • Age
    162 months ago
  • What it trades
    Futures
  • # Trades
    167
  • # Profitable
    149
  • % Profitable
    89.20%
  • Avg trade duration
    11.3 hours
  • Max peak-to-valley drawdown
    8.46%
  • drawdown period
    March 14, 2011 - Oct 17, 2011
  • Annual Return (Compounded)
    2.9%
  • Avg win
    $152.39
  • Avg loss
    $363.56
  • Model Account Values (Raw)
  • Cash
    $36,133
  • Margin Used
    $0
  • Buying Power
    $36,133
  • Ratios
  • W:L ratio
    3.47:1
  • Sharpe Ratio
    0.2
  • Sortino Ratio
    0.32
  • Calmar Ratio
    0.76
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -296.19%
  • Correlation to SP500
    0.03880
  • Return Percent SP500 (cumu) during strategy life
    344.51%
  • Return Statistics
  • Ann Return (w trading costs)
    2.9%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.029%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • 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
  • Chance of 100% 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)
    335
  • 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
    $364
  • Avg Win
    $152
  • Sum Trade PL (losers)
    $6,544.000
  • Age
  • Num Months filled monthly returns table
    161
  • Win / Loss
  • Sum Trade PL (winners)
    $22,706.000
  • # Winners
    149
  • Num Months Winners
    51
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    18
  • % Winners
    89.2%
  • Frequency
  • Avg Position Time (mins)
    675.05
  • Avg Position Time (hrs)
    11.25
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    2241
  • Regression
  • Alpha
    0.00
  • Beta
    0.01
  • Treynor Index
    0.30
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    57.96
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    40.24
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.66
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.391
  • 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
    1.346
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.243
  • Hold-and-Hope Ratio
    0.418
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06355
  • SD
    0.05074
  • Sharpe ratio (Glass type estimate)
    1.25233
  • Sharpe ratio (Hedges UMVUE)
    1.24010
  • df
    77.00000
  • t
    3.19284
  • p
    0.00102
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45482
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04224
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44678
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03341
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.47576
  • Upside Potential Ratio
    5.84000
  • Upside part of mean
    0.08292
  • Downside part of mean
    -0.01937
  • Upside SD
    0.05174
  • Downside SD
    0.01420
  • N nonnegative terms
    43.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.21102
  • Mean of criterion
    0.06355
  • SD of predictor
    0.17537
  • SD of criterion
    0.05074
  • Covariance
    0.00029
  • r
    0.03271
  • b (slope, estimate of beta)
    0.00946
  • a (intercept, estimate of alpha)
    0.06155
  • Mean Square Error
    0.00261
  • DF error
    76.00000
  • t(b)
    0.28531
  • p(b)
    0.38809
  • t(a)
    2.90176
  • p(a)
    0.00243
  • Lowerbound of 95% confidence interval for beta
    -0.05661
  • Upperbound of 95% confidence interval for beta
    0.07553
  • Lowerbound of 95% confidence interval for alpha
    0.01930
  • Upperbound of 95% confidence interval for alpha
    0.10379
  • Treynor index (mean / b)
    6.71400
  • Jensen alpha (a)
    0.06155
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06201
  • SD
    0.04959
  • Sharpe ratio (Glass type estimate)
    1.25027
  • Sharpe ratio (Hedges UMVUE)
    1.23805
  • df
    77.00000
  • t
    3.18756
  • p
    0.00104
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45283
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04009
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44481
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03129
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.33795
  • Upside Potential Ratio
    5.69701
  • Upside part of mean
    0.08143
  • Downside part of mean
    -0.01943
  • Upside SD
    0.05044
  • Downside SD
    0.01429
  • N nonnegative terms
    43.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.19408
  • Mean of criterion
    0.06201
  • SD of predictor
    0.17240
  • SD of criterion
    0.04959
  • Covariance
    0.00035
  • r
    0.04061
  • b (slope, estimate of beta)
    0.01168
  • a (intercept, estimate of alpha)
    0.05974
  • Mean Square Error
    0.00249
  • DF error
    76.00000
  • t(b)
    0.35433
  • p(b)
    0.36204
  • t(a)
    2.90224
  • p(a)
    0.00242
  • Lowerbound of 95% confidence interval for beta
    -0.05398
  • Upperbound of 95% confidence interval for beta
    0.07735
  • Lowerbound of 95% confidence interval for alpha
    0.01874
  • Upperbound of 95% confidence interval for alpha
    0.10073
  • Treynor index (mean / b)
    5.30772
  • Jensen alpha (a)
    0.05974
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01821
  • Expected Shortfall on VaR
    0.02406
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00339
  • Expected Shortfall on VaR
    0.00734
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    78.00000
  • Minimum
    0.97989
  • Quartile 1
    1.00000
  • Median
    1.00368
  • Quartile 3
    1.00880
  • Maximum
    1.07413
  • Mean of quarter 1
    0.99738
  • Mean of quarter 2
    1.00115
  • Mean of quarter 3
    1.00578
  • Mean of quarter 4
    1.02578
  • Inter Quartile Range
    0.00880
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03846
  • Mean of outliers low
    0.98286
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.10256
  • Mean of outliers high
    1.04343
  • 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)
    -0.86286
  • VaR(95%) (regression method)
    0.00318
  • Expected Shortfall (regression method)
    0.00971
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01517
  • Quartile 1
    0.02061
  • Median
    0.02606
  • Quartile 3
    0.03151
  • Maximum
    0.03695
  • Mean of quarter 1
    0.01517
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03695
  • Inter Quartile Range
    0.01089
  • 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)
    0.12215
  • Compounded annual return (geometric extrapolation)
    0.09408
  • Calmar ratio (compounded annual return / max draw down)
    2.54605
  • Compounded annual return / average of 25% largest draw downs
    2.54605
  • Compounded annual return / Expected Shortfall lognormal
    3.91088
  • 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
    0.06566
  • SD
    0.08826
  • Sharpe ratio (Glass type estimate)
    0.74397
  • Sharpe ratio (Hedges UMVUE)
    0.74364
  • df
    1706.00000
  • t
    1.89898
  • p
    0.47704
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02439
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51214
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02462
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51191
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19620
  • Upside Potential Ratio
    4.02237
  • Upside part of mean
    0.22080
  • Downside part of mean
    -0.15513
  • Upside SD
    0.06920
  • Downside SD
    0.05489
  • N nonnegative terms
    199.00000
  • N negative terms
    1508.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1707.00000
  • Mean of predictor
    0.23675
  • Mean of criterion
    0.06566
  • SD of predictor
    0.26393
  • SD of criterion
    0.08826
  • Covariance
    0.00510
  • r
    0.21893
  • b (slope, estimate of beta)
    0.07321
  • a (intercept, estimate of alpha)
    0.04800
  • Mean Square Error
    0.00742
  • DF error
    1705.00000
  • t(b)
    9.26491
  • p(b)
    0.36174
  • t(a)
    1.42984
  • p(a)
    0.47797
  • Lowerbound of 95% confidence interval for beta
    0.05771
  • Upperbound of 95% confidence interval for beta
    0.08871
  • Lowerbound of 95% confidence interval for alpha
    -0.01797
  • Upperbound of 95% confidence interval for alpha
    0.11462
  • Treynor index (mean / b)
    0.89689
  • Jensen alpha (a)
    0.04833
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06180
  • SD
    0.08760
  • Sharpe ratio (Glass type estimate)
    0.70538
  • Sharpe ratio (Hedges UMVUE)
    0.70507
  • df
    1706.00000
  • t
    1.80049
  • p
    0.47823
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06292
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47352
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06315
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47330
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10226
  • Upside Potential Ratio
    3.89681
  • Upside part of mean
    0.21846
  • Downside part of mean
    -0.15667
  • Upside SD
    0.06739
  • Downside SD
    0.05606
  • N nonnegative terms
    199.00000
  • N negative terms
    1508.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1707.00000
  • Mean of predictor
    0.20036
  • Mean of criterion
    0.06180
  • SD of predictor
    0.27272
  • SD of criterion
    0.08760
  • Covariance
    0.00499
  • r
    0.20875
  • b (slope, estimate of beta)
    0.06706
  • a (intercept, estimate of alpha)
    0.04836
  • Mean Square Error
    0.00734
  • DF error
    1705.00000
  • t(b)
    8.81394
  • p(b)
    0.36807
  • t(a)
    1.43885
  • p(a)
    0.47783
  • Lowerbound of 95% confidence interval for beta
    0.05214
  • Upperbound of 95% confidence interval for beta
    0.08198
  • Lowerbound of 95% confidence interval for alpha
    -0.01756
  • Upperbound of 95% confidence interval for alpha
    0.11428
  • Treynor index (mean / b)
    0.92153
  • Jensen alpha (a)
    0.04836
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00863
  • Expected Shortfall on VaR
    0.01087
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00190
  • Expected Shortfall on VaR
    0.00428
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1707.00000
  • Minimum
    0.92274
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10732
  • Mean of quarter 1
    0.99801
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00342
  • Inter Quartile Range
    0.00000
  • Number outliers low
    103.00000
  • Percentage of outliers low
    0.06034
  • Mean of outliers low
    0.99175
  • Number of outliers high
    202.00000
  • Percentage of outliers high
    0.11834
  • Mean of outliers high
    1.00723
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65157
  • VaR(95%) (moments method)
    0.00099
  • Expected Shortfall (moments method)
    0.00608
  • Extreme Value Index (regression method)
    0.33526
  • VaR(95%) (regression method)
    0.00105
  • Expected Shortfall (regression method)
    0.00682
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00251
  • Median
    0.00397
  • Quartile 3
    0.01274
  • Maximum
    0.12356
  • Mean of quarter 1
    0.00151
  • Mean of quarter 2
    0.00315
  • Mean of quarter 3
    0.00685
  • Mean of quarter 4
    0.03748
  • Inter Quartile Range
    0.01023
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.10811
  • Mean of outliers high
    0.06366
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.66449
  • VaR(95%) (moments method)
    0.04086
  • Expected Shortfall (moments method)
    0.12648
  • Extreme Value Index (regression method)
    1.09561
  • VaR(95%) (regression method)
    0.04189
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12186
  • Compounded annual return (geometric extrapolation)
    0.09385
  • Calmar ratio (compounded annual return / max draw down)
    0.75955
  • Compounded annual return / average of 25% largest draw downs
    2.50400
  • Compounded annual return / Expected Shortfall lognormal
    8.63642
  • 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
    0.62440
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40035
  • 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
    0.54390
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40149
  • 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)
    -6842500000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00900
  • 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)
    1186790000000000062501530443448320.00000
  • 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?
    -397656000
  • Max Equity Drawdown (num days)
    217
  • 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

https://sites.google.com/site/eminiglobex/

http://eminiglobex.blogspot.co.uk/

Twitter - @eminiglobex

Summary Statistics

Strategy began
2010-11-23
Suggested Minimum Capital
$30,000
# Trades
167
# Profitable
149
% Profitable
89.2%
Correlation S&P500
0.039
Sharpe Ratio
0.20
Sortino Ratio
0.32
Beta
0.01
Alpha
0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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