Collective2 Collective2
Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Alpha Star 1
(85189777)

Created by: RudolfWittmer RudolfWittmer
Started: 01/2014
Futures
Last trade: 2,928 days ago
Subscriptions not currently available.

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 $2,000.00 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.

1.1%
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.

(70.5%)
Max Drawdown
1069
Num Trades
30.5%
Win Trades
1.0 : 1
Profit Factor
11.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014+3.6%+39.3%+9.9%(13.7%)(11.5%)+15.1%+28.6%+8.6%+41.8%+2.1%+4.8%(5%)+180.6%
2015+17.5%(4.5%)(12.1%)(10.6%)(16.1%)(6.7%)+24.1%(4.9%)(22.3%)(26.2%)+36.2%(15.7%)(46.3%)
2016(4%)+9.7%+6.0%+30.8%(1.5%)(1.2%)(0.3%)(13.1%)(25.5%)(4.4%)(14.9%)(0.2%)(25.6%)
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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 1 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3095 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/10/16 13:19 @KCZ6 COFFEE LONG 15 151.85 11/14 4:45 157.65 n/a $32,505
Includes Typical Broker Commissions trade costs of $120.00
10/28/16 10:47 QHGZ6 Copper LONG 30 218.85 11/11 13:56 250.19 0.31%
Trade id #106738776
Max drawdown($5,250)
Time10/31/16 2:36
Quant open30
Worst price218.15
Drawdown as % of equity-0.31%
 $234,823
Includes Typical Broker Commissions trade costs of $240.00
10/31/16 15:57 QSIZ6 Silver 5000 oz LONG 14 17.895 11/11 13:56 17.747 2.41%
Trade id #106806076
Max drawdown($36,250)
Time11/11/16 13:46
Quant open10
Worst price17.170
Drawdown as % of equity-2.41%
 ($10,462)
Includes Typical Broker Commissions trade costs of $112.00
10/28/16 10:46 QPLF7 PLATINUM LONG 15 980.3 11/11 13:56 940.6 2.2%
Trade id #106738754
Max drawdown($33,000)
Time11/11/16 13:46
Quant open15
Worst price936.3
Drawdown as % of equity-2.20%
 ($29,895)
Includes Typical Broker Commissions trade costs of $120.00
11/9/16 10:11 @SMZ6 SOYBEAN MEAL LONG 40 318.0 11/11 13:56 306.7 3.32%
Trade id #107034978
Max drawdown($50,400)
Time11/11/16 10:51
Quant open40
Worst price305.4
Drawdown as % of equity-3.32%
 ($45,520)
Includes Typical Broker Commissions trade costs of $320.00
11/9/16 10:11 @SF7 SOYBEANS LONG 30 1014 2/4 11/11 13:55 984 3.71%
Trade id #107034963
Max drawdown($56,250)
Time11/11/16 11:42
Quant open30
Worst price977
Drawdown as % of equity-3.71%
 ($45,990)
Includes Typical Broker Commissions trade costs of $240.00
11/3/16 5:34 @ADZ6 AUSTRALIAN DOLLAR LONG 34 0.7653 11/11 2:45 0.7593 2.11%
Trade id #106888176
Max drawdown($34,000)
Time11/10/16 21:13
Quant open34
Worst price0.7553
Drawdown as % of equity-2.11%
 ($20,672)
Includes Typical Broker Commissions trade costs of $272.00
10/26/16 3:17 QGCZ6 Gold 100 oz LONG 17 1275.7 11/10 14:11 1291.7 1.31%
Trade id #106667515
Max drawdown($23,290)
Time10/28/16 8:31
Quant open17
Worst price1262.0
Drawdown as % of equity-1.31%
 $26,994
Includes Typical Broker Commissions trade costs of $136.00
10/6/16 3:11 @WZ6 WHEAT LONG 50 407 3/4 11/10 14:11 403 1/4 1.93%
Trade id #106262999
Max drawdown($29,375)
Time10/12/16 14:06
Quant open50
Worst price396
Drawdown as % of equity-1.93%
 ($11,650)
Includes Typical Broker Commissions trade costs of $400.00
10/10/16 13:48 @BOZ6 SOYBEAN OIL LONG 65 33.82 11/10 14:11 34.74 2.47%
Trade id #106338402
Max drawdown($36,660)
Time10/13/16 9:53
Quant open65
Worst price32.88
Drawdown as % of equity-2.47%
 $35,360
Includes Typical Broker Commissions trade costs of $520.00
11/3/16 5:34 @EUZ6 EUROFX LONG 19 1.11170 11/10 4:11 1.10492 1.97%
Trade id #106888167
Max drawdown($32,012)
Time11/9/16 17:00
Quant open13
Worst price1.09200
Drawdown as % of equity-1.97%
 ($16,265)
Includes Typical Broker Commissions trade costs of $152.00
10/5/16 10:17 @JYZ6 JAPANESE YEN SHORT 14 0.009684 11/3 4:55 0.009732 0.92%
Trade id #106245990
Max drawdown($14,437)
Time11/2/16 23:33
Quant open-14
Worst price0.009766
Drawdown as % of equity-0.92%
 ($8,512)
Includes Typical Broker Commissions trade costs of $112.00
10/21/16 4:58 @SMZ6 SOYBEAN MEAL LONG 37 305.3 11/2 13:52 306.5 0.28%
Trade id #106582018
Max drawdown($4,810)
Time10/25/16 10:46
Quant open37
Worst price304.0
Drawdown as % of equity-0.28%
 $4,144
Includes Typical Broker Commissions trade costs of $296.00
10/18/16 5:11 @SF7 SOYBEANS LONG 21 990 1/4 11/2 13:52 985 2/4 0.66%
Trade id #106505802
Max drawdown($11,025)
Time10/19/16 2:04
Quant open21
Worst price979 3/4
Drawdown as % of equity-0.66%
 ($5,156)
Includes Typical Broker Commissions trade costs of $168.00
10/3/16 14:02 @CZ6 CORN LONG 50 347 1/4 11/2 13:51 344 3/4 1.77%
Trade id #106193045
Max drawdown($26,875)
Time10/12/16 14:05
Quant open50
Worst price336 2/4
Drawdown as % of equity-1.77%
 ($6,650)
Includes Typical Broker Commissions trade costs of $400.00
10/10/16 13:22 @EUZ6 EUROFX SHORT 31 1.11685 11/2 4:03 1.10990 0.11%
Trade id #106337652
Max drawdown($1,743)
Time10/10/16 13:35
Quant open-31
Worst price1.11730
Drawdown as % of equity-0.11%
 $26,683
Includes Typical Broker Commissions trade costs of $248.00
10/31/16 10:15 @CTZ6 COTTON - #2 LONG 38 7065 11/1 13:43 6826 2.74%
Trade id #106795464
Max drawdown($46,170)
Time11/1/16 10:42
Quant open38
Worst price6822
Drawdown as % of equity-2.74%
 ($45,714)
Includes Typical Broker Commissions trade costs of $304.00
9/22/16 5:10 @SBH7 Sugar #11 LONG 28 23.64 10/31 10:10 21.67 3.9%
Trade id #106014264
Max drawdown($64,288)
Time10/31/16 10:06
Quant open28
Worst price21.59
Drawdown as % of equity-3.90%
 ($62,003)
Includes Typical Broker Commissions trade costs of $224.00
10/13/16 12:45 QCLZ6 CRUDE OIL LONG 15 50.77 10/26 3:16 49.40 1.41%
Trade id #106437157
Max drawdown($23,400)
Time10/25/16 19:25
Quant open15
Worst price49.21
Drawdown as % of equity-1.41%
 ($20,670)
Includes Typical Broker Commissions trade costs of $120.00
10/18/16 5:11 @CTZ6 COTTON - #2 LONG 37 7094 10/25 13:46 6840 3.13%
Trade id #106505796
Max drawdown($52,910)
Time10/25/16 10:33
Quant open37
Worst price6808
Drawdown as % of equity-3.13%
 ($47,286)
Includes Typical Broker Commissions trade costs of $296.00
9/21/16 15:14 QRBX6 RBOB Gasoline LONG 13 1.3659 10/25 11:57 1.4928 0.59%
Trade id #106003962
Max drawdown($10,264)
Time9/27/16 8:36
Quant open13
Worst price1.3471
Drawdown as % of equity-0.59%
 $69,183
Includes Typical Broker Commissions trade costs of $104.00
9/28/16 16:03 QHOX6 Heating Oil LONG 13 1.4850 10/25 11:57 1.5622 0.16%
Trade id #106128111
Max drawdown($2,730)
Time9/29/16 4:43
Quant open13
Worst price1.4800
Drawdown as % of equity-0.16%
 $42,047
Includes Typical Broker Commissions trade costs of $104.00
10/10/16 13:48 @SMZ6 SOYBEAN MEAL SHORT 35 298.9 10/18 5:10 305.9 1.75%
Trade id #106338416
Max drawdown($26,600)
Time10/12/16 12:01
Quant open-35
Worst price306.5
Drawdown as % of equity-1.75%
 ($24,780)
Includes Typical Broker Commissions trade costs of $280.00
10/6/16 3:11 @SX6 SOYBEANS SHORT 30 952 3/4 10/14 13:55 966 1/4 2.03%
Trade id #106262993
Max drawdown($32,250)
Time10/14/16 10:50
Quant open-30
Worst price974 1/4
Drawdown as % of equity-2.03%
 ($20,490)
Includes Typical Broker Commissions trade costs of $240.00
9/28/16 16:03 QCLX6 CRUDE OIL LONG 15 46.67 10/13 12:45 50.35 0.06%
Trade id #106128095
Max drawdown($1,050)
Time9/29/16 4:44
Quant open15
Worst price46.60
Drawdown as % of equity-0.06%
 $55,080
Includes Typical Broker Commissions trade costs of $120.00
9/15/16 3:07 QHGZ6 Copper LONG 16 215.95 10/7 4:48 215.25 0.45%
Trade id #105889153
Max drawdown($8,200)
Time9/18/16 21:06
Quant open16
Worst price213.90
Drawdown as % of equity-0.45%
 ($2,928)
Includes Typical Broker Commissions trade costs of $128.00
9/2/16 5:42 @KCZ6 COFFEE LONG 14 152.05 10/7 4:48 146.25 2.18%
Trade id #105599753
Max drawdown($32,287)
Time10/7/16 4:19
Quant open14
Worst price145.90
Drawdown as % of equity-2.18%
 ($30,562)
Includes Typical Broker Commissions trade costs of $112.00
9/22/16 16:24 @ADZ6 AUSTRALIAN DOLLAR LONG 32 0.7625 10/7 4:47 0.7559 1.67%
Trade id #106033039
Max drawdown($24,640)
Time10/6/16 21:11
Quant open32
Worst price0.7548
Drawdown as % of equity-1.67%
 ($21,376)
Includes Typical Broker Commissions trade costs of $256.00
9/27/16 2:26 @EUZ6 EUROFX LONG 30 1.12825 10/6 3:10 1.12305 2.65%
Trade id #106087588
Max drawdown($40,875)
Time10/4/16 10:17
Quant open30
Worst price1.11735
Drawdown as % of equity-2.65%
 ($19,740)
Includes Typical Broker Commissions trade costs of $240.00
9/30/16 13:28 @BOZ6 SOYBEAN OIL LONG 62 33.55 10/6 3:10 32.76 2.54%
Trade id #106167008
Max drawdown($39,060)
Time10/5/16 10:26
Quant open62
Worst price32.50
Drawdown as % of equity-2.54%
 ($29,884)
Includes Typical Broker Commissions trade costs of $496.00
Next

Statistics

  • Strategy began
    1/15/2014
  • Suggested Minimum Cap
    $1,000,000
  • Strategy Age (days)
    3960.16
  • Age
    132 months ago
  • What it trades
    Futures
  • # Trades
    1069
  • # Profitable
    326
  • % Profitable
    30.50%
  • Avg trade duration
    13.8 days
  • Max peak-to-valley drawdown
    70.48%
  • drawdown period
    March 18, 2015 - Oct 07, 2016
  • Annual Return (Compounded)
    1.1%
  • Avg win
    $40,189
  • Avg loss
    $17,009
  • Model Account Values (Raw)
  • Cash
    $1,463,860
  • Margin Used
    $0
  • Buying Power
    $1,463,860
  • Ratios
  • W:L ratio
    1.04:1
  • Sharpe Ratio
    0.06
  • Sortino Ratio
    0.09
  • Calmar Ratio
    0.136
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -206.59%
  • Correlation to SP500
    -0.03190
  • Return Percent SP500 (cumu) during strategy life
    218.28%
  • Return Statistics
  • Ann Return (w trading costs)
    1.1%
  • Slump
  • Current Slump as Pcnt Equity
    232.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.89%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.011%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.6%
  • 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 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • 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
    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
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $17,009
  • Avg Win
    $40,190
  • Sum Trade PL (losers)
    $12,638,000.000
  • Age
  • Num Months filled monthly returns table
    131
  • Win / Loss
  • Sum Trade PL (winners)
    $13,101,800.000
  • # Winners
    326
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    743
  • % Winners
    30.5%
  • Frequency
  • Avg Position Time (mins)
    19818.50
  • Avg Position Time (hrs)
    330.31
  • Avg Trade Length
    13.8 days
  • Last Trade Ago
    2926
  • Regression
  • Alpha
    0.01
  • Beta
    -0.04
  • Treynor Index
    -0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    26.91
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    18.38
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.74
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    70.162
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.199
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.265
  • Hold-and-Hope Ratio
    0.014
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15313
  • SD
    0.45742
  • Sharpe ratio (Glass type estimate)
    0.33478
  • Sharpe ratio (Hedges UMVUE)
    0.33020
  • df
    55.00000
  • t
    0.72322
  • p
    0.23631
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57614
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24271
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57918
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23958
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55847
  • Upside Potential Ratio
    2.08906
  • Upside part of mean
    0.57283
  • Downside part of mean
    -0.41969
  • Upside SD
    0.36367
  • Downside SD
    0.27420
  • N nonnegative terms
    19.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    56.00000
  • Mean of predictor
    0.21640
  • Mean of criterion
    0.15313
  • SD of predictor
    0.21947
  • SD of criterion
    0.45742
  • Covariance
    -0.00610
  • r
    -0.06074
  • b (slope, estimate of beta)
    -0.12660
  • a (intercept, estimate of alpha)
    0.18053
  • Mean Square Error
    0.21232
  • DF error
    54.00000
  • t(b)
    -0.44720
  • p(b)
    0.67174
  • t(a)
    0.81349
  • p(a)
    0.20975
  • Lowerbound of 95% confidence interval for beta
    -0.69418
  • Upperbound of 95% confidence interval for beta
    0.44098
  • Lowerbound of 95% confidence interval for alpha
    -0.26440
  • Upperbound of 95% confidence interval for alpha
    0.62546
  • Treynor index (mean / b)
    -1.20958
  • Jensen alpha (a)
    0.18053
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05352
  • SD
    0.44741
  • Sharpe ratio (Glass type estimate)
    0.11963
  • Sharpe ratio (Hedges UMVUE)
    0.11799
  • df
    55.00000
  • t
    0.25843
  • p
    0.39852
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78844
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.02665
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78956
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02555
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17355
  • Upside Potential Ratio
    1.67350
  • Upside part of mean
    0.51612
  • Downside part of mean
    -0.46260
  • Upside SD
    0.31894
  • Downside SD
    0.30841
  • N nonnegative terms
    19.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    56.00000
  • Mean of predictor
    0.19165
  • Mean of criterion
    0.05352
  • SD of predictor
    0.21247
  • SD of criterion
    0.44741
  • Covariance
    -0.00483
  • r
    -0.05078
  • b (slope, estimate of beta)
    -0.10693
  • a (intercept, estimate of alpha)
    0.07402
  • Mean Square Error
    0.20336
  • DF error
    54.00000
  • t(b)
    -0.37364
  • p(b)
    0.64493
  • t(a)
    0.34293
  • p(a)
    0.36649
  • Lowerbound of 95% confidence interval for beta
    -0.68071
  • Upperbound of 95% confidence interval for beta
    0.46684
  • Lowerbound of 95% confidence interval for alpha
    -0.35871
  • Upperbound of 95% confidence interval for alpha
    0.50674
  • Treynor index (mean / b)
    -0.50054
  • Jensen alpha (a)
    0.07402
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18778
  • Expected Shortfall on VaR
    0.22959
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09513
  • Expected Shortfall on VaR
    0.18809
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    56.00000
  • Minimum
    0.72221
  • Quartile 1
    0.98301
  • Median
    1.00000
  • Quartile 3
    1.05635
  • Maximum
    1.43372
  • Mean of quarter 1
    0.86722
  • Mean of quarter 2
    0.99903
  • Mean of quarter 3
    1.01118
  • Mean of quarter 4
    1.18292
  • Inter Quartile Range
    0.07334
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.10714
  • Mean of outliers low
    0.78042
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.10714
  • Mean of outliers high
    1.28143
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.28485
  • VaR(95%) (moments method)
    0.09005
  • Expected Shortfall (moments method)
    0.11541
  • Extreme Value Index (regression method)
    -0.50199
  • VaR(95%) (regression method)
    0.13915
  • Expected Shortfall (regression method)
    0.16970
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.28172
  • Quartile 1
    0.34877
  • Median
    0.41581
  • Quartile 3
    0.48286
  • Maximum
    0.54990
  • Mean of quarter 1
    0.28172
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.54990
  • Inter Quartile Range
    0.13409
  • 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)
    0.09906
  • Compounded annual return (geometric extrapolation)
    0.08484
  • Calmar ratio (compounded annual return / max draw down)
    0.15428
  • Compounded annual return / average of 25% largest draw downs
    0.15428
  • Compounded annual return / Expected Shortfall lognormal
    0.36953
  • 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
    0.09874
  • SD
    0.30587
  • Sharpe ratio (Glass type estimate)
    0.32282
  • Sharpe ratio (Hedges UMVUE)
    0.32262
  • df
    1241.00000
  • t
    0.70286
  • p
    0.48730
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57752
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.22306
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57766
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22291
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48504
  • Upside Potential Ratio
    7.15955
  • Upside part of mean
    1.45749
  • Downside part of mean
    -1.35875
  • Upside SD
    0.22820
  • Downside SD
    0.20357
  • N nonnegative terms
    361.00000
  • N negative terms
    881.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1242.00000
  • Mean of predictor
    0.25339
  • Mean of criterion
    0.09874
  • SD of predictor
    0.27597
  • SD of criterion
    0.30587
  • Covariance
    -0.00306
  • r
    -0.03630
  • b (slope, estimate of beta)
    -0.04024
  • a (intercept, estimate of alpha)
    0.10900
  • Mean Square Error
    0.09351
  • DF error
    1240.00000
  • t(b)
    -1.27926
  • p(b)
    0.51815
  • t(a)
    0.77439
  • p(a)
    0.48901
  • Lowerbound of 95% confidence interval for beta
    -0.10195
  • Upperbound of 95% confidence interval for beta
    0.02147
  • Lowerbound of 95% confidence interval for alpha
    -0.16705
  • Upperbound of 95% confidence interval for alpha
    0.38492
  • Treynor index (mean / b)
    -2.45394
  • Jensen alpha (a)
    0.10894
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05226
  • SD
    0.30460
  • Sharpe ratio (Glass type estimate)
    0.17156
  • Sharpe ratio (Hedges UMVUE)
    0.17145
  • df
    1241.00000
  • t
    0.37352
  • p
    0.49325
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07175
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72877
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07167
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25109
  • Upside Potential Ratio
    6.88170
  • Upside part of mean
    1.43220
  • Downside part of mean
    -1.37994
  • Upside SD
    0.22228
  • Downside SD
    0.20812
  • N nonnegative terms
    361.00000
  • N negative terms
    881.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1242.00000
  • Mean of predictor
    0.21658
  • Mean of criterion
    0.05226
  • SD of predictor
    0.26893
  • SD of criterion
    0.30460
  • Covariance
    -0.00301
  • r
    -0.03669
  • b (slope, estimate of beta)
    -0.04155
  • a (intercept, estimate of alpha)
    0.06126
  • Mean Square Error
    0.09273
  • DF error
    1240.00000
  • t(b)
    -1.29274
  • p(b)
    0.51834
  • t(a)
    0.43743
  • p(a)
    0.49379
  • Lowerbound of 95% confidence interval for beta
    -0.10461
  • Upperbound of 95% confidence interval for beta
    0.02151
  • Lowerbound of 95% confidence interval for alpha
    -0.21348
  • Upperbound of 95% confidence interval for alpha
    0.33599
  • Treynor index (mean / b)
    -1.25759
  • Jensen alpha (a)
    0.06126
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03029
  • Expected Shortfall on VaR
    0.03786
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01470
  • Expected Shortfall on VaR
    0.02959
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1242.00000
  • Minimum
    0.91418
  • Quartile 1
    0.99617
  • Median
    1.00000
  • Quartile 3
    1.00408
  • Maximum
    1.11886
  • Mean of quarter 1
    0.97992
  • Mean of quarter 2
    0.99967
  • Mean of quarter 3
    1.00027
  • Mean of quarter 4
    1.02207
  • Inter Quartile Range
    0.00791
  • Number outliers low
    152.00000
  • Percentage of outliers low
    0.12238
  • Mean of outliers low
    0.96892
  • Number of outliers high
    166.00000
  • Percentage of outliers high
    0.13365
  • Mean of outliers high
    1.03291
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.12593
  • VaR(95%) (moments method)
    0.01271
  • Expected Shortfall (moments method)
    0.01714
  • Extreme Value Index (regression method)
    -0.03113
  • VaR(95%) (regression method)
    0.01790
  • Expected Shortfall (regression method)
    0.02616
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    26.00000
  • Minimum
    0.00138
  • Quartile 1
    0.01031
  • Median
    0.02998
  • Quartile 3
    0.06396
  • Maximum
    0.61443
  • Mean of quarter 1
    0.00669
  • Mean of quarter 2
    0.01919
  • Mean of quarter 3
    0.03635
  • Mean of quarter 4
    0.19513
  • Inter Quartile Range
    0.05365
  • 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
    0.07692
  • Mean of outliers high
    0.46522
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.80861
  • VaR(95%) (moments method)
    0.23291
  • Expected Shortfall (moments method)
    1.20926
  • Extreme Value Index (regression method)
    2.01675
  • VaR(95%) (regression method)
    0.23610
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09752
  • Compounded annual return (geometric extrapolation)
    0.08346
  • Calmar ratio (compounded annual return / max draw down)
    0.13584
  • Compounded annual return / average of 25% largest draw downs
    0.42775
  • Compounded annual return / Expected Shortfall lognormal
    2.20466
  • 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
    1.00766
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43785
  • 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
    0.90887
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44443
  • 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)
    -6812040000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.03000
  • 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)
    -85541599999999990345811703627776.00000
  • 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?
    -369003000
  • Max Equity Drawdown (num days)
    569
  • 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

We track the 20 most liquid Futures on Currenices and Commodities. We analyze the markets on an intraday Basis. At the end of every trading day we make a trading decision based on a computational algorithm. We also have implemneted a volatility adjusted Money management

Summary Statistics

Strategy began
2014-01-15
Suggested Minimum Capital
$100,000
# Trades
1069
# Profitable
326
% Profitable
30.5%
Correlation S&P500
-0.032
Sharpe Ratio
0.06
Sortino Ratio
0.09
Beta
-0.04
Alpha
0.01

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.