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

Contrarian Futures
(97390894)

Created by: ConsistentTraders ConsistentTraders
Started: 09/2015
Futures
Last trade: 1,288 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 $250.00 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.

5.0%
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.

(67.4%)
Max Drawdown
126
Num Trades
84.1%
Win Trades
1.2 : 1
Profit Factor
14.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                        (9%)+37.2%+4.0%+27.2%+65.2%
2016(8.4%)(21.1%)+50.9%+5.5%+6.3%+3.9%(15.7%)(19.7%)(44.4%)(0.7%)(0.7%)(0.7%)(53.1%)
2017(0.7%)(0.7%)(0.8%)(0.8%)(0.8%)(0.8%)(0.8%)(0.8%)(0.8%)(0.8%)(0.8%)(0.8%)(8.9%)
2018(0.8%)(0.8%)+71.8%  -    -    -    -    -    -    -    -    -  +69.0%
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -                                                        

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 59 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/22/16 14:16 @TYU6 US T-NOTE 10 YR SHORT 1 131 20/64 9/22 14:16 131 20/64 n/a ($7)
Includes Typical Broker Commissions trade costs of $6.00
9/19/16 10:36 @NQU6 E-MINI NASDAQ 100 STK IDX SHORT 3 4817.00 9/21 14:25 4817.00 0.08%
Trade id #105946807
Max drawdown$23
Time9/19/16 10:36
Quant open
Worst price4817.00
Drawdown as % of equity0.08%
($12)
Includes Typical Broker Commissions trade costs of $12.06
9/19/16 12:16 @ESU6 E-MINI S&P 500 SHORT 4 2141.75 9/21 14:25 2141.75 0%
Trade id #105949898
Max drawdown$3
Time9/20/16 10:35
Quant open
Worst price2141.25
Drawdown as % of equity0.00%
($16)
Includes Typical Broker Commissions trade costs of $16.08
7/12/16 3:36 @USU6 US T-BOND LONG 14 172 22/32 9/21 9:13 168 5/32 0.18%
Trade id #104587984
Max drawdown$70
Time7/29/16 16:43
Quant open
Worst price165 29/32
Drawdown as % of equity0.18%
($63,459)
Includes Typical Broker Commissions trade costs of $84.00
7/11/16 15:50 @ESU6 E-MINI S&P 500 SHORT 10 2161.18 9/9 14:37 2140.72 1.08%
Trade id #104581054
Max drawdown$470
Time8/2/16 13:11
Quant open
Worst price2189.00
Drawdown as % of equity1.08%
$10,185
Includes Typical Broker Commissions trade costs of $40.20
6/28/16 11:06 @NQU6 E-MINI NASDAQ 100 STK IDX SHORT 6 4599.96 9/8 16:37 4795.50 6.88%
Trade id #104356083
Max drawdown$3,586
Time6/28/16 11:30
Quant open
Worst price4837.25
Drawdown as % of equity6.88%
($23,489)
Includes Typical Broker Commissions trade costs of $24.12
8/3/16 14:30 @TYU6 US T-NOTE 10 YR LONG 1 132 36/64 8/5 8:30 132 33/64 0%
Trade id #104970731
Max drawdown$0
Time8/4/16 7:21
Quant open
Worst price132 43/64
Drawdown as % of equity0.00%
($52)
Includes Typical Broker Commissions trade costs of $6.00
7/8/16 9:42 @USU6 US T-BOND SHORT 2 176 6/32 7/12 3:36 174 20/32 0.01%
Trade id #104545735
Max drawdown$2
Time7/8/16 9:52
Quant open
Worst price177 10/32
Drawdown as % of equity0.01%
$3,082
Includes Typical Broker Commissions trade costs of $12.00
7/8/16 3:05 @USU6 US T-BOND SHORT 3 176 15/32 7/8 8:33 175 15/32 0.01%
Trade id #104540693
Max drawdown$3
Time7/8/16 8:31
Quant open
Worst price175 1/32
Drawdown as % of equity0.01%
$2,984
Includes Typical Broker Commissions trade costs of $18.00
7/6/16 11:44 @USU6 US T-BOND LONG 2 176 2/32 7/7 13:02 176 16/32 0.01%
Trade id #104504165
Max drawdown$2
Time7/6/16 20:34
Quant open
Worst price175 9/32
Drawdown as % of equity0.01%
$864
Includes Typical Broker Commissions trade costs of $12.00
7/4/16 4:09 @ESU6 E-MINI S&P 500 SHORT 1 2098.75 7/5 9:30 2086.00 0.01%
Trade id #104449919
Max drawdown$4
Time7/5/16 4:46
Quant open
Worst price2087.00
Drawdown as % of equity0.01%
$634
Includes Typical Broker Commissions trade costs of $4.02
7/5/16 8:18 @USU6 US T-BOND SHORT 1 175 12/32 7/5 8:30 175 18/32 0.37%
Trade id #104478117
Max drawdown($187)
Time7/5/16 8:28
Quant open
Worst price175 7/32
Drawdown as % of equity-0.37%
($193)
Includes Typical Broker Commissions trade costs of $6.00
6/30/16 3:39 @ESU6 E-MINI S&P 500 LONG 1 2063.50 7/4 4:09 2098.75 0.02%
Trade id #104393517
Max drawdown$12
Time6/30/16 6:38
Quant open
Worst price2061.00
Drawdown as % of equity0.02%
$1,759
Includes Typical Broker Commissions trade costs of $4.02
7/1/16 4:18 @USU6 US T-BOND SHORT 5 174 17/32 7/1 8:52 174 28/32 0%
Trade id #104415245
Max drawdown$1
Time7/1/16 4:20
Quant open
Worst price175 4/32
Drawdown as % of equity0.00%
($1,689)
Includes Typical Broker Commissions trade costs of $30.00
6/29/16 12:14 @USU6 US T-BOND SHORT 1 173 9/32 6/30 16:31 172 19/32 0%
Trade id #104378801
Max drawdown$2
Time6/30/16 4:18
Quant open
Worst price173 17/32
Drawdown as % of equity0.00%
$681
Includes Typical Broker Commissions trade costs of $6.00
6/28/16 4:54 @USU6 US T-BOND LONG 1 173 2/32 6/29 12:14 173 9/32 0%
Trade id #104348567
Max drawdown$0
Time6/28/16 9:24
Quant open
Worst price172 19/32
Drawdown as % of equity0.00%
$213
Includes Typical Broker Commissions trade costs of $6.00
6/27/16 8:53 @USU6 US T-BOND SHORT 4 172 23/32 6/28 3:35 173 1/32 0.01%
Trade id #104326770
Max drawdown$4
Time6/27/16 9:30
Quant open
Worst price173 22/32
Drawdown as % of equity0.01%
($1,305)
Includes Typical Broker Commissions trade costs of $24.00
6/27/16 3:30 @USU6 US T-BOND LONG 1 171 19/32 6/27 8:53 172 23/32 0%
Trade id #104318295
Max drawdown$0
Time6/27/16 5:44
Quant open
Worst price172 23/32
Drawdown as % of equity0.00%
$1,119
Includes Typical Broker Commissions trade costs of $6.00
6/24/16 10:59 @NQU6 E-MINI NASDAQ 100 STK IDX SHORT 1 4329.00 6/24 12:41 4300.00 0.02%
Trade id #104284211
Max drawdown$11
Time6/24/16 11:26
Quant open
Worst price4324.00
Drawdown as % of equity0.02%
$576
Includes Typical Broker Commissions trade costs of $4.02
6/24/16 6:57 @NQU6 E-MINI NASDAQ 100 STK IDX LONG 1 4294.00 6/24 9:59 4348.00 0.07%
Trade id #104269277
Max drawdown$36
Time6/24/16 8:36
Quant open
Worst price4281.75
Drawdown as % of equity0.07%
$1,076
Includes Typical Broker Commissions trade costs of $4.02
5/26/16 9:59 @ESM6 E-MINI S&P 500 SHORT 3 2095.83 6/13 15:43 2080.00 0.11%
Trade id #102549102
Max drawdown$65
Time6/3/16 10:21
Quant open
Worst price2118.50
Drawdown as % of equity0.11%
$2,363
Includes Typical Broker Commissions trade costs of $12.06
5/31/16 15:04 @NQM6 E-MINI NASDAQ 100 STK IDX SHORT 2 4507.38 6/3 12:02 4511.62 0.08%
Trade id #102615097
Max drawdown$45
Time6/2/16 9:51
Quant open
Worst price4516.00
Drawdown as % of equity0.08%
($178)
Includes Typical Broker Commissions trade costs of $8.04
5/24/16 3:43 @NQM6 E-MINI NASDAQ 100 STK IDX LONG 1 4359.50 5/25 0:37 4460.00 0.01%
Trade id #102502673
Max drawdown$7
Time5/24/16 19:28
Quant open
Worst price4448.00
Drawdown as % of equity0.01%
$2,006
Includes Typical Broker Commissions trade costs of $4.02
5/22/16 20:46 @NQM6 E-MINI NASDAQ 100 STK IDX SHORT 2 4357.62 5/24 3:42 4358.25 0.1%
Trade id #102479653
Max drawdown$55
Time5/23/16 3:21
Quant open
Worst price4377.25
Drawdown as % of equity0.10%
($33)
Includes Typical Broker Commissions trade costs of $8.04
5/17/16 10:21 @ESM6 E-MINI S&P 500 LONG 2 2049.12 5/20 13:05 2051.25 0.07%
Trade id #102389521
Max drawdown$38
Time5/17/16 11:51
Quant open
Worst price2022.00
Drawdown as % of equity0.07%
$205
Includes Typical Broker Commissions trade costs of $8.04
5/12/16 3:51 @NQM6 E-MINI NASDAQ 100 STK IDX LONG 2 4347.00 5/20 10:24 4362.00 0.38%
Trade id #102306830
Max drawdown$226
Time5/17/16 3:36
Quant open
Worst price4280.75
Drawdown as % of equity0.38%
$592
Includes Typical Broker Commissions trade costs of $8.04
5/4/16 3:12 @USM6 US T-BOND SHORT 10 164 29/32 5/18 9:44 164 17/32 0.03%
Trade id #102168188
Max drawdown$20
Time5/4/16 3:39
Quant open
Worst price166 28/32
Drawdown as % of equity0.03%
$3,592
Includes Typical Broker Commissions trade costs of $60.00
5/12/16 15:50 @ESM6 E-MINI S&P 500 SHORT 1 2060.50 5/13 3:48 2052.75 0.01%
Trade id #102320554
Max drawdown$3
Time5/13/16 3:04
Quant open
Worst price2050.75
Drawdown as % of equity0.01%
$384
Includes Typical Broker Commissions trade costs of $4.02
5/12/16 9:01 @ESM6 E-MINI S&P 500 SHORT 1 2067.75 5/12 12:59 2055.25 0.01%
Trade id #102310022
Max drawdown$4
Time5/12/16 12:01
Quant open
Worst price2054.50
Drawdown as % of equity0.01%
$621
Includes Typical Broker Commissions trade costs of $4.02
5/3/16 14:13 @ESM6 E-MINI S&P 500 SHORT 1 2057.75 5/4 9:33 2047.00 0.01%
Trade id #102158736
Max drawdown$6
Time5/3/16 22:22
Quant open
Worst price2058.25
Drawdown as % of equity0.01%
$534
Includes Typical Broker Commissions trade costs of $4.02

Statistics

  • Strategy began
    9/23/2015
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1647.91
  • Age
    55 months ago
  • What it trades
    Futures
  • # Trades
    126
  • # Profitable
    106
  • % Profitable
    84.10%
  • Avg trade duration
    5.6 days
  • Max peak-to-valley drawdown
    67.4%
  • drawdown period
    July 13, 2016 - March 11, 2018
  • Annual Return (Compounded)
    5.1%
  • Avg win
    $1,222
  • Avg loss
    $5,319
  • Model Account Values (Raw)
  • Cash
    $73,178
  • Margin Used
    $0
  • Buying Power
    $73,178
  • Ratios
  • W:L ratio
    1.22:1
  • Sharpe Ratio
    0.29
  • Sortino Ratio
    0.42
  • Calmar Ratio
    0.213
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -5.71%
  • Correlation to SP500
    0.06910
  • Return Percent SP500 (cumu) during strategy life
    29.81%
  • Return Statistics
  • Ann Return (w trading costs)
    5.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.78%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.82%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.051%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    20.00%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    29.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    100.00%
  • 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
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $5,319
  • Avg Win
    $1,222
  • Sum Trade PL (losers)
    $106,385.000
  • Age
  • Num Months filled monthly returns table
    55
  • Win / Loss
  • Sum Trade PL (winners)
    $129,563.000
  • # Winners
    106
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    20
  • % Winners
    84.1%
  • Frequency
  • Avg Position Time (mins)
    8105.35
  • Avg Position Time (hrs)
    135.09
  • Avg Trade Length
    5.6 days
  • Last Trade Ago
    745
  • Regression
  • Alpha
    0.05
  • Beta
    0.28
  • Treynor Index
    0.20
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    2.58
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.00
  • MAE:Equity, average, winning trades
    -
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -1.000
  • 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
    -
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.000
  • Hold-and-Hope Ratio
    -1.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27368
  • SD
    0.61810
  • Sharpe ratio (Glass type estimate)
    0.44277
  • Sharpe ratio (Hedges UMVUE)
    0.43230
  • df
    32.00000
  • t
    0.73425
  • p
    0.23407
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62619
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75434
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61894
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78743
  • Upside Potential Ratio
    1.93984
  • Upside part of mean
    0.67420
  • Downside part of mean
    -0.40053
  • Upside SD
    0.50588
  • Downside SD
    0.34756
  • N nonnegative terms
    9.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.12029
  • Mean of criterion
    0.27368
  • SD of predictor
    0.10015
  • SD of criterion
    0.61810
  • Covariance
    0.00298
  • r
    0.04821
  • b (slope, estimate of beta)
    0.29751
  • a (intercept, estimate of alpha)
    0.23789
  • Mean Square Error
    0.39345
  • DF error
    31.00000
  • t(b)
    0.26871
  • p(b)
    0.39497
  • t(a)
    0.59322
  • p(a)
    0.27867
  • Lowerbound of 95% confidence interval for beta
    -1.96054
  • Upperbound of 95% confidence interval for beta
    2.55556
  • Lowerbound of 95% confidence interval for alpha
    -0.57998
  • Upperbound of 95% confidence interval for alpha
    1.05576
  • Treynor index (mean / b)
    0.91990
  • Jensen alpha (a)
    0.23789
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09468
  • SD
    0.60768
  • Sharpe ratio (Glass type estimate)
    0.15580
  • Sharpe ratio (Hedges UMVUE)
    0.15211
  • df
    32.00000
  • t
    0.25836
  • p
    0.39889
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02790
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33714
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03038
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33460
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.21895
  • Upside Potential Ratio
    1.32928
  • Upside part of mean
    0.57480
  • Downside part of mean
    -0.48012
  • Upside SD
    0.41455
  • Downside SD
    0.43241
  • N nonnegative terms
    9.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.11463
  • Mean of criterion
    0.09468
  • SD of predictor
    0.09959
  • SD of criterion
    0.60768
  • Covariance
    0.00306
  • r
    0.05051
  • b (slope, estimate of beta)
    0.30823
  • a (intercept, estimate of alpha)
    0.05934
  • Mean Square Error
    0.38021
  • DF error
    31.00000
  • t(b)
    0.28161
  • p(b)
    0.39006
  • t(a)
    0.15122
  • p(a)
    0.44039
  • Lowerbound of 95% confidence interval for beta
    -1.92407
  • Upperbound of 95% confidence interval for beta
    2.54054
  • Lowerbound of 95% confidence interval for alpha
    -0.74102
  • Upperbound of 95% confidence interval for alpha
    0.85971
  • Treynor index (mean / b)
    0.30716
  • Jensen alpha (a)
    0.05934
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24471
  • Expected Shortfall on VaR
    0.29665
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09553
  • Expected Shortfall on VaR
    0.20329
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.56838
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.02828
  • Maximum
    1.56190
  • Mean of quarter 1
    0.88383
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00353
  • Mean of quarter 4
    1.23084
  • Inter Quartile Range
    0.02828
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.12121
  • Mean of outliers low
    0.73861
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.21212
  • Mean of outliers high
    1.25886
  • 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)
    -0.08890
  • VaR(95%) (regression method)
    0.13870
  • Expected Shortfall (regression method)
    0.25121
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.30546
  • Quartile 1
    0.37745
  • Median
    0.44945
  • Quartile 3
    0.52144
  • Maximum
    0.59344
  • Mean of quarter 1
    0.30546
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.59344
  • Inter Quartile Range
    0.14399
  • 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)
    0.14577
  • Compounded annual return (geometric extrapolation)
    0.13041
  • Calmar ratio (compounded annual return / max draw down)
    0.21976
  • Compounded annual return / average of 25% largest draw downs
    0.21976
  • Compounded annual return / Expected Shortfall lognormal
    0.43962
  • 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
    0.33640
  • SD
    0.69206
  • Sharpe ratio (Glass type estimate)
    0.48609
  • Sharpe ratio (Hedges UMVUE)
    0.48559
  • df
    735.00000
  • t
    0.81471
  • p
    0.20775
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68370
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65561
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68406
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65524
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71202
  • Upside Potential Ratio
    4.45528
  • Upside part of mean
    2.10495
  • Downside part of mean
    -1.76855
  • Upside SD
    0.50548
  • Downside SD
    0.47246
  • N nonnegative terms
    140.00000
  • N negative terms
    596.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    736.00000
  • Mean of predictor
    0.11473
  • Mean of criterion
    0.33640
  • SD of predictor
    0.19054
  • SD of criterion
    0.69206
  • Covariance
    0.00515
  • r
    0.03903
  • b (slope, estimate of beta)
    0.14177
  • a (intercept, estimate of alpha)
    0.32000
  • Mean Square Error
    0.47887
  • DF error
    734.00000
  • t(b)
    1.05823
  • p(b)
    0.14515
  • t(a)
    0.77484
  • p(a)
    0.21934
  • Lowerbound of 95% confidence interval for beta
    -0.12123
  • Upperbound of 95% confidence interval for beta
    0.40476
  • Lowerbound of 95% confidence interval for alpha
    -0.49098
  • Upperbound of 95% confidence interval for alpha
    1.13126
  • Treynor index (mean / b)
    2.37294
  • Jensen alpha (a)
    0.32014
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09209
  • SD
    0.70632
  • Sharpe ratio (Glass type estimate)
    0.13039
  • Sharpe ratio (Hedges UMVUE)
    0.13025
  • df
    735.00000
  • t
    0.21853
  • p
    0.41354
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03907
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29975
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03916
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29966
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17293
  • Upside Potential Ratio
    3.73877
  • Upside part of mean
    1.99109
  • Downside part of mean
    -1.89899
  • Upside SD
    0.46328
  • Downside SD
    0.53255
  • N nonnegative terms
    140.00000
  • N negative terms
    596.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    736.00000
  • Mean of predictor
    0.09608
  • Mean of criterion
    0.09209
  • SD of predictor
    0.19446
  • SD of criterion
    0.70632
  • Covariance
    0.00551
  • r
    0.04014
  • b (slope, estimate of beta)
    0.14578
  • a (intercept, estimate of alpha)
    0.07809
  • Mean Square Error
    0.49876
  • DF error
    734.00000
  • t(b)
    1.08823
  • p(b)
    0.13842
  • t(a)
    0.18523
  • p(a)
    0.42655
  • Lowerbound of 95% confidence interval for beta
    -0.11721
  • Upperbound of 95% confidence interval for beta
    0.40876
  • Lowerbound of 95% confidence interval for alpha
    -0.74952
  • Upperbound of 95% confidence interval for alpha
    0.90570
  • Treynor index (mean / b)
    0.63175
  • Jensen alpha (a)
    0.07809
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06893
  • Expected Shortfall on VaR
    0.08564
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02056
  • Expected Shortfall on VaR
    0.04567
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    736.00000
  • Minimum
    0.62649
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.33363
  • Mean of quarter 1
    0.97334
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.03222
  • Inter Quartile Range
    0.00000
  • Number outliers low
    104.00000
  • Percentage of outliers low
    0.14130
  • Mean of outliers low
    0.95284
  • Number of outliers high
    142.00000
  • Percentage of outliers high
    0.19293
  • Mean of outliers high
    1.04175
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.06409
  • VaR(95%) (moments method)
    0.00606
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.45349
  • VaR(95%) (regression method)
    0.02105
  • Expected Shortfall (regression method)
    0.06691
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00083
  • Quartile 1
    0.00754
  • Median
    0.01317
  • Quartile 3
    0.10688
  • Maximum
    0.59779
  • Mean of quarter 1
    0.00323
  • Mean of quarter 2
    0.01041
  • Mean of quarter 3
    0.05067
  • Mean of quarter 4
    0.33121
  • Inter Quartile Range
    0.09934
  • 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
    0.09524
  • Mean of outliers high
    0.58574
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.50433
  • VaR(95%) (moments method)
    0.33748
  • Expected Shortfall (moments method)
    0.76812
  • Extreme Value Index (regression method)
    -0.33510
  • VaR(95%) (regression method)
    0.30351
  • Expected Shortfall (regression method)
    0.36798
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14270
  • Compounded annual return (geometric extrapolation)
    0.12750
  • Calmar ratio (compounded annual return / max draw down)
    0.21328
  • Compounded annual return / average of 25% largest draw downs
    0.38494
  • Compounded annual return / Expected Shortfall lognormal
    1.48881
  • 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
    0.97265
  • SD
    0.50218
  • Sharpe ratio (Glass type estimate)
    1.93687
  • Sharpe ratio (Hedges UMVUE)
    1.92568
  • df
    130.00000
  • t
    1.36958
  • p
    0.44037
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84855
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.71503
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85599
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.70735
  • Statistics related to Sortino ratio
  • Sortino ratio
    568.47600
  • Upside Potential Ratio
    584.53900
  • Upside part of mean
    1.00013
  • Downside part of mean
    -0.02748
  • Upside SD
    0.50385
  • Downside SD
    0.00171
  • N nonnegative terms
    2.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00782
  • Mean of criterion
    0.97265
  • SD of predictor
    0.38457
  • SD of criterion
    0.50218
  • Covariance
    -0.02930
  • r
    -0.15171
  • b (slope, estimate of beta)
    -0.19810
  • a (intercept, estimate of alpha)
    0.97420
  • Mean Square Error
    0.24829
  • DF error
    129.00000
  • t(b)
    -1.74325
  • p(b)
    0.59621
  • t(a)
    1.38247
  • p(a)
    0.42327
  • Lowerbound of 95% confidence interval for beta
    -0.42294
  • Upperbound of 95% confidence interval for beta
    0.02674
  • Lowerbound of 95% confidence interval for alpha
    -0.42003
  • Upperbound of 95% confidence interval for alpha
    2.36842
  • Treynor index (mean / b)
    -4.90982
  • Jensen alpha (a)
    0.97420
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.86390
  • SD
    0.44693
  • Sharpe ratio (Glass type estimate)
    1.93295
  • Sharpe ratio (Hedges UMVUE)
    1.92178
  • df
    130.00000
  • t
    1.36680
  • p
    0.44049
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85243
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.71106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85986
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.70341
  • Statistics related to Sortino ratio
  • Sortino ratio
    504.94200
  • Upside Potential Ratio
    521.00500
  • Upside part of mean
    0.89138
  • Downside part of mean
    -0.02748
  • Upside SD
    0.44841
  • Downside SD
    0.00171
  • N nonnegative terms
    2.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06828
  • Mean of criterion
    0.86390
  • SD of predictor
    0.39533
  • SD of criterion
    0.44693
  • Covariance
    -0.02688
  • r
    -0.15211
  • b (slope, estimate of beta)
    -0.17197
  • a (intercept, estimate of alpha)
    0.85216
  • Mean Square Error
    0.19664
  • DF error
    129.00000
  • t(b)
    -1.74799
  • p(b)
    0.59646
  • t(a)
    1.35876
  • p(a)
    0.42456
  • VAR (95 Confidence Intrvl)
    0.06900
  • Lowerbound of 95% confidence interval for beta
    -0.36662
  • Upperbound of 95% confidence interval for beta
    0.02268
  • Lowerbound of 95% confidence interval for alpha
    -0.38869
  • Upperbound of 95% confidence interval for alpha
    2.09300
  • Treynor index (mean / b)
    -5.02361
  • Jensen alpha (a)
    0.85216
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04124
  • Expected Shortfall on VaR
    0.05219
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • 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
    1.28095
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01516
  • 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
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.25014
  • 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?
    -274017000
  • Max Equity Drawdown (num days)
    606
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.12380
  • Compounded annual return (geometric extrapolation)
    1.43953
  • 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
    27.58050

Strategy Description

This is a contrarian trading strategy that trades futures of US treasury bonds and stock indices. Contrarian strategies tend to have high profit factors but they can have large and long duration draw-downs as well. It is important that you have a minimum of $50,000 in your account before trading this strategy live to be able to endure possible draw-downs.

The system places limit orders and market orders at any time during the day so it is best to setup auto-trading if you are going to trade this system in a live account

The system is continually adjusted based on market conditions and is always evolving over time.

Summary Statistics

Strategy began
2015-09-23
Suggested Minimum Capital
$60,000
# Trades
126
# Profitable
106
% Profitable
84.1%
Correlation S&P500
0.069
Sharpe Ratio
0.29
Sortino Ratio
0.42
Beta
0.28
Alpha
0.05

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.

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