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Featured Strategy Easiest Followed by live capital $500.2 thousand Hypothetical

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Goofiz Foliage's Future ATM
(17894465)

Created by: DavidLiu DavidLiu
Started: 01/2006
Futures
Last trade: 6,521 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. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

1.5%
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.

(39.5%)
Max Drawdown
47
Num Trades
46.8%
Win Trades
1.5 : 1
Profit Factor
2.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006+46.5%+11.7%(30.7%)+0.2%+0.5%+15.7%  -    -    -    -    -    -  +32.2%
2007  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2008  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2009  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2010  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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 7 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 6605 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/29/06 9:32 GORX SHORT 20,000 5.15 6/29 12:17 4.50 0.61%
Trade id #21776802
Max drawdown($800)
Time6/29/06 9:45
Quant open-20,000
Worst price5.19
Drawdown as % of equity-0.61%
 $12,995
Includes Typical Broker Commissions trade costs of $5.00
6/23/06 9:47 CPAK SHORT 10,000 6.60 6/23 12:56 5.80 0.42%
Trade id #21707414
Max drawdown($512)
Time6/23/06 10:00
Quant open-10,000
Worst price6.65
Drawdown as % of equity-0.42%
 $7,995
Includes Typical Broker Commissions trade costs of $5.00
6/14/06 9:34 @NQM6 E-MINI NASDAQ 100 STK IDX SHORT 4 1531.50 6/15 15:58 1568.75 2.38%
Trade id #21568280
Max drawdown($2,980)
Time6/15/06 15:45
Quant open-2
Worst price1577.25
Drawdown as % of equity-2.38%
 ($3,012)
Includes Typical Broker Commissions trade costs of $32.00
5/30/06 10:23 TATTF SHORT 5,000 8.05 6/13 9:33 7.95 6.89%
Trade id #21252357
Max drawdown($8,200)
Time6/12/06 9:45
Quant open-5,000
Worst price9.69
Drawdown as % of equity-6.89%
 $495
Includes Typical Broker Commissions trade costs of $5.00
6/12/06 9:49 @NQM6 E-MINI NASDAQ 100 STK IDX SHORT 2 1552.50 6/12 15:58 1523.50 0.13%
Trade id #21536801
Max drawdown($150)
Time6/12/06 10:00
Quant open-2
Worst price1556.25
Drawdown as % of equity-0.13%
 $1,144
Includes Typical Broker Commissions trade costs of $16.00
5/30/06 10:11 SCIX GLOBAL X SCIENTIFIC DATA BETA ASIA X JAP SHORT 5,000 7.01 6/8 11:49 6.95 0.66%
Trade id #21251869
Max drawdown($799)
Time6/5/06 11:15
Quant open-5,000
Worst price7.17
Drawdown as % of equity-0.66%
 $295
Includes Typical Broker Commissions trade costs of $5.00
6/7/06 9:33 @NQM6 E-MINI NASDAQ 100 STK IDX LONG 2 1578.25 6/7 15:58 1567.00 0.37%
Trade id #21472505
Max drawdown($450)
Time6/7/06 15:45
Quant open2
Worst price1568.50
Drawdown as % of equity-0.37%
 ($466)
Includes Typical Broker Commissions trade costs of $16.00
5/31/06 9:34 @NQM6 E-MINI NASDAQ 100 STK IDX SHORT 2 1582.25 5/31 15:58 1582.25 0.3%
Trade id #21270352
Max drawdown($370)
Time5/31/06 11:45
Quant open-2
Worst price1591.50
Drawdown as % of equity-0.30%
 ($16)
Includes Typical Broker Commissions trade costs of $16.00
5/30/06 12:04 @NQM6 E-MINI NASDAQ 100 STK IDX LONG 2 1588.75 5/30 15:58 1575.50 0.49%
Trade id #21253758
Max drawdown($610)
Time5/30/06 15:58
Quant open2
Worst price1573.50
Drawdown as % of equity-0.49%
 ($546)
Includes Typical Broker Commissions trade costs of $16.00
5/18/06 9:33 @NQM6 E-MINI NASDAQ 100 STK IDX SHORT 2 1614.25 5/25 16:40 1605.75 0.14%
Trade id #20884065
Max drawdown($170)
Time5/18/06 9:45
Quant open-2
Worst price1618.50
Drawdown as % of equity-0.14%
 $324
Includes Typical Broker Commissions trade costs of $16.00
4/11/06 15:55 NTEG LONG 10 0.15 5/20 9:01 0.00 0.12%
Trade id #19589737
Max drawdown($150)
Time4/18/06 11:15
Quant open10
Worst price0.05
Drawdown as % of equity-0.12%
 ($157)
Includes Typical Broker Commissions trade costs of $7.00
4/13/06 12:46 XOMQY LONG 10 0.35 5/20 9:00 0.00 0.28%
Trade id #19641857
Max drawdown($350)
Time4/19/06 11:45
Quant open10
Worst price0.05
Drawdown as % of equity-0.28%
 ($357)
Includes Typical Broker Commissions trade costs of $7.00
5/16/06 10:03 @NQM6 E-MINI NASDAQ 100 STK IDX SHORT 2 1638.75 5/16 15:58 1628.25 0%
Trade id #20833126
Max drawdown$0
Time5/16/06 10:00
Quant open0
Worst price1642.75
Drawdown as % of equity0.00%
 $404
Includes Typical Broker Commissions trade costs of $16.00
5/15/06 9:33 @NQM6 E-MINI NASDAQ 100 STK IDX SHORT 2 1638.75 5/15 15:58 1641.50 0.29%
Trade id #20801508
Max drawdown($360)
Time5/15/06 9:45
Quant open-2
Worst price1647.75
Drawdown as % of equity-0.29%
 ($126)
Includes Typical Broker Commissions trade costs of $16.00
5/11/06 9:33 @NQM6 E-MINI NASDAQ 100 STK IDX LONG 2 1697.25 5/11 10:04 1686.00 0.36%
Trade id #20625330
Max drawdown($450)
Time5/11/06 10:00
Quant open2
Worst price1688.75
Drawdown as % of equity-0.36%
 ($466)
Includes Typical Broker Commissions trade costs of $16.00
4/13/06 13:50 UHBEK LONG 10 1.55 5/9 9:39 0.05 1.24%
Trade id #19643032
Max drawdown($1,540)
Time5/8/06 14:45
Quant open10
Worst price0.01
Drawdown as % of equity-1.24%
 ($1,514)
Includes Typical Broker Commissions trade costs of $14.00
4/13/06 12:41 STNEQ LONG 10 0.75 5/9 9:32 0.05 0.56%
Trade id #19641790
Max drawdown($700)
Time5/4/06 10:00
Quant open10
Worst price0.05
Drawdown as % of equity-0.56%
 ($714)
Includes Typical Broker Commissions trade costs of $14.00
5/4/06 16:31 @NQM6 E-MINI NASDAQ 100 STK IDX LONG 6 1717.25 5/8 16:38 1721.92 0.03%
Trade id #20332892
Max drawdown($40)
Time5/5/06 3:12
Quant open2
Worst price1709.25
Drawdown as % of equity-0.03%
 $512
Includes Typical Broker Commissions trade costs of $48.00
5/4/06 9:58 @NQM6 E-MINI NASDAQ 100 STK IDX LONG 2 1711.25 5/4 15:58 1709.50 0.17%
Trade id #20325467
Max drawdown($210)
Time5/4/06 10:00
Quant open2
Worst price1706.00
Drawdown as % of equity-0.17%
 ($86)
Includes Typical Broker Commissions trade costs of $16.00
5/3/06 9:33 @NQM6 E-MINI NASDAQ 100 STK IDX LONG 2 1699.00 5/3 15:58 1695.50 0.36%
Trade id #20287344
Max drawdown($450)
Time5/3/06 14:30
Quant open2
Worst price1687.75
Drawdown as % of equity-0.36%
 ($156)
Includes Typical Broker Commissions trade costs of $16.00
5/2/06 9:34 @NQM6 E-MINI NASDAQ 100 STK IDX SHORT 2 1702.50 5/2 15:58 1700.75 0.14%
Trade id #20268881
Max drawdown($170)
Time5/2/06 10:45
Quant open-2
Worst price1706.75
Drawdown as % of equity-0.14%
 $54
Includes Typical Broker Commissions trade costs of $16.00
5/1/06 12:17 @NQM6 E-MINI NASDAQ 100 STK IDX SHORT 2 1712.50 5/1 21:04 1696.50 0%
Trade id #20235092
Max drawdown$0
Time5/1/06 12:15
Quant open0
Worst price1715.25
Drawdown as % of equity0.00%
 $624
Includes Typical Broker Commissions trade costs of $16.00
4/26/06 9:53 @NQM6 E-MINI NASDAQ 100 STK IDX LONG 2 1715.50 4/26 15:58 1712.75 0.3%
Trade id #20012563
Max drawdown($370)
Time4/26/06 15:30
Quant open2
Worst price1706.25
Drawdown as % of equity-0.30%
 ($126)
Includes Typical Broker Commissions trade costs of $16.00
4/25/06 9:33 @NQM6 E-MINI NASDAQ 100 STK IDX LONG 2 1720.50 4/25 15:58 1712.50 0.51%
Trade id #19969177
Max drawdown($630)
Time4/25/06 13:15
Quant open2
Worst price1704.75
Drawdown as % of equity-0.51%
 ($336)
Includes Typical Broker Commissions trade costs of $16.00
4/11/06 15:47 FCXPL LONG 10 1.35 4/22 9:01 0.00 1.07%
Trade id #19589563
Max drawdown($1,350)
Time4/18/06 10:30
Quant open10
Worst price0.05
Drawdown as % of equity-1.07%
 ($1,357)
Includes Typical Broker Commissions trade costs of $7.00
4/21/06 9:34 @NQM6 E-MINI NASDAQ 100 STK IDX SHORT 2 1745.75 4/21 15:58 1720.50 0.13%
Trade id #19839510
Max drawdown($160)
Time4/21/06 9:45
Quant open-2
Worst price1749.75
Drawdown as % of equity-0.13%
 $994
Includes Typical Broker Commissions trade costs of $16.00
4/19/06 9:33 @NQM6 E-MINI NASDAQ 100 STK IDX SHORT 2 1742.50 4/19 15:58 1745.00 0.13%
Trade id #19786003
Max drawdown($160)
Time4/19/06 15:58
Quant open-2
Worst price1746.50
Drawdown as % of equity-0.13%
 ($116)
Includes Typical Broker Commissions trade costs of $16.00
4/18/06 9:34 @NQM6 E-MINI NASDAQ 100 STK IDX SHORT 2 1715.25 4/18 13:00 1733.00 0.57%
Trade id #19760927
Max drawdown($720)
Time4/18/06 13:00
Quant open-2
Worst price1733.25
Drawdown as % of equity-0.57%
 ($726)
Includes Typical Broker Commissions trade costs of $16.00
4/17/06 9:33 @NQM6 E-MINI NASDAQ 100 STK IDX LONG 2 1723.50 4/17 15:58 1706.50 0.86%
Trade id #19737280
Max drawdown($1,090)
Time4/17/06 14:00
Quant open2
Worst price1696.25
Drawdown as % of equity-0.86%
 ($696)
Includes Typical Broker Commissions trade costs of $16.00
4/13/06 9:34 @NQM6 E-MINI NASDAQ 100 STK IDX LONG 2 1715.75 4/13 15:59 1725.50 0.09%
Trade id #19638060
Max drawdown($110)
Time4/13/06 10:00
Quant open2
Worst price1713.00
Drawdown as % of equity-0.09%
 $374
Includes Typical Broker Commissions trade costs of $16.00
Next

Statistics

  • Strategy began
    1/12/2006
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6686.66
  • Age
    223 months ago
  • What it trades
    Futures
  • # Trades
    47
  • # Profitable
    22
  • % Profitable
    46.80%
  • Avg trade duration
    3.8 days
  • Max peak-to-valley drawdown
    39.47%
  • drawdown period
    March 07, 2006 - April 07, 2006
  • Annual Return (Compounded)
    1.5%
  • Avg win
    $6,145
  • Avg loss
    $3,668
  • Model Account Values (Raw)
  • Cash
    $143,474
  • Margin Used
    $0
  • Buying Power
    $143,474
  • Ratios
  • W:L ratio
    1.47:1
  • Sharpe Ratio
    -0.01
  • Sortino Ratio
    -0.01
  • Calmar Ratio
    0
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -266.50%
  • Correlation to SP500
    -0.00560
  • Return Percent SP500 (cumu) during strategy life
    298.72%
  • Return Statistics
  • Ann Return (w trading costs)
    1.5%
  • Slump
  • Current Slump as Pcnt Equity
    27.60%
  • Instruments
  • Percent Trades Futures
    0.82%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.015%
  • Instruments
  • Percent Trades Options
    0.10%
  • Percent Trades Stocks
    0.08%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.0%
  • 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
    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)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,669
  • Avg Win
    $6,145
  • Sum Trade PL (losers)
    $91,716.000
  • Age
  • Num Months filled monthly returns table
    221
  • Win / Loss
  • Sum Trade PL (winners)
    $135,190.000
  • # Winners
    22
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    25
  • % Winners
    46.8%
  • Frequency
  • Avg Position Time (mins)
    5530.23
  • Avg Position Time (hrs)
    92.17
  • Avg Trade Length
    3.8 days
  • Last Trade Ago
    6519
  • Regression
  • Alpha
    0.00
  • Beta
    -0.00
  • Treynor Index
    -0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    37.38
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    22.68
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.14
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    4.060
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.514
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.167
  • Hold-and-Hope Ratio
    0.246
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00660
  • SD
    0.11147
  • Sharpe ratio (Glass type estimate)
    0.05923
  • Sharpe ratio (Hedges UMVUE)
    0.05871
  • df
    86.00000
  • t
    0.15949
  • p
    0.43683
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66889
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.78704
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66925
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78668
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07694
  • Upside Potential Ratio
    0.47020
  • Upside part of mean
    0.04035
  • Downside part of mean
    -0.03375
  • Upside SD
    0.07016
  • Downside SD
    0.08582
  • N nonnegative terms
    84.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    87.00000
  • Mean of predictor
    0.19670
  • Mean of criterion
    0.00660
  • SD of predictor
    0.25300
  • SD of criterion
    0.11147
  • Covariance
    -0.00082
  • r
    -0.02894
  • b (slope, estimate of beta)
    -0.01275
  • a (intercept, estimate of alpha)
    0.00911
  • Mean Square Error
    0.01256
  • DF error
    85.00000
  • t(b)
    -0.26693
  • p(b)
    0.60492
  • t(a)
    0.21351
  • p(a)
    0.41572
  • Lowerbound of 95% confidence interval for beta
    -0.10773
  • Upperbound of 95% confidence interval for beta
    0.08223
  • Lowerbound of 95% confidence interval for alpha
    -0.07573
  • Upperbound of 95% confidence interval for alpha
    0.09396
  • Treynor index (mean / b)
    -0.51780
  • Jensen alpha (a)
    0.00911
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.11804
  • Sharpe ratio (Glass type estimate)
    0.00001
  • Sharpe ratio (Hedges UMVUE)
    0.00001
  • df
    86.00000
  • t
    0.00002
  • p
    0.49999
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72790
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.72792
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72790
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72792
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00001
  • Upside Potential Ratio
    0.39086
  • Upside part of mean
    0.03812
  • Downside part of mean
    -0.03812
  • Upside SD
    0.06528
  • Downside SD
    0.09752
  • N nonnegative terms
    84.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    87.00000
  • Mean of predictor
    0.16373
  • Mean of criterion
    0.00000
  • SD of predictor
    0.25380
  • SD of criterion
    0.11804
  • Covariance
    -0.00078
  • r
    -0.02597
  • b (slope, estimate of beta)
    -0.01208
  • a (intercept, estimate of alpha)
    0.00198
  • Mean Square Error
    0.01409
  • DF error
    85.00000
  • t(b)
    -0.23949
  • p(b)
    0.59435
  • t(a)
    0.04411
  • p(a)
    0.48246
  • Lowerbound of 95% confidence interval for beta
    -0.11234
  • Upperbound of 95% confidence interval for beta
    0.08819
  • Lowerbound of 95% confidence interval for alpha
    -0.08719
  • Upperbound of 95% confidence interval for alpha
    0.09114
  • Treynor index (mean / b)
    -0.00008
  • Jensen alpha (a)
    0.00198
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05450
  • Expected Shortfall on VaR
    0.06780
  • 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
    87.00000
  • Minimum
    0.76935
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.17367
  • Mean of quarter 1
    0.98888
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01330
  • Inter Quartile Range
    0.00000
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03448
  • Mean of outliers low
    0.91844
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.06897
  • Mean of outliers high
    1.04876
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -13.81450
  • VaR(95%) (moments method)
    -1.66410
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.94850
  • VaR(95%) (regression method)
    -0.00195
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.23065
  • Quartile 1
    0.23065
  • Median
    0.23065
  • Quartile 3
    0.23065
  • Maximum
    0.23065
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • 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
    0.00001
  • 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
    0.02750
  • SD
    0.23148
  • Sharpe ratio (Glass type estimate)
    0.11882
  • Sharpe ratio (Hedges UMVUE)
    0.11878
  • df
    1906.00000
  • t
    0.32057
  • p
    0.49633
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.84531
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60771
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84526
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17259
  • Upside Potential Ratio
    1.22670
  • Upside part of mean
    0.19549
  • Downside part of mean
    -0.16798
  • Upside SD
    0.16781
  • Downside SD
    0.15936
  • N nonnegative terms
    1863.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1907.00000
  • Mean of predictor
    0.33579
  • Mean of criterion
    0.02750
  • SD of predictor
    0.63118
  • SD of criterion
    0.23148
  • Covariance
    0.00868
  • r
    0.05943
  • b (slope, estimate of beta)
    0.02179
  • a (intercept, estimate of alpha)
    0.02000
  • Mean Square Error
    0.05342
  • DF error
    1905.00000
  • t(b)
    2.59843
  • p(b)
    0.46219
  • t(a)
    0.23550
  • p(a)
    0.49656
  • Lowerbound of 95% confidence interval for beta
    0.00534
  • Upperbound of 95% confidence interval for beta
    0.03824
  • Lowerbound of 95% confidence interval for alpha
    -0.14792
  • Upperbound of 95% confidence interval for alpha
    0.18829
  • Treynor index (mean / b)
    1.26198
  • Jensen alpha (a)
    0.02019
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.23740
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    1906.00000
  • t
    0.00001
  • p
    0.50000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72648
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.72648
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72647
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72648
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00001
  • Upside Potential Ratio
    1.00485
  • Upside part of mean
    0.18316
  • Downside part of mean
    -0.18316
  • Upside SD
    0.15201
  • Downside SD
    0.18227
  • N nonnegative terms
    1863.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1907.00000
  • Mean of predictor
    0.14070
  • Mean of criterion
    0.00000
  • SD of predictor
    0.62512
  • SD of criterion
    0.23740
  • Covariance
    0.00953
  • r
    0.06422
  • b (slope, estimate of beta)
    0.02439
  • a (intercept, estimate of alpha)
    -0.00343
  • Mean Square Error
    0.05616
  • DF error
    1905.00000
  • t(b)
    2.80892
  • p(b)
    0.45914
  • t(a)
    -0.03906
  • p(a)
    0.50057
  • Lowerbound of 95% confidence interval for beta
    0.00736
  • Upperbound of 95% confidence interval for beta
    0.04142
  • Lowerbound of 95% confidence interval for alpha
    -0.17571
  • Upperbound of 95% confidence interval for alpha
    0.16885
  • Treynor index (mean / b)
    0.00004
  • Jensen alpha (a)
    -0.00343
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02384
  • Expected Shortfall on VaR
    0.02979
  • 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
    1907.00000
  • Minimum
    0.69700
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.27892
  • Mean of quarter 1
    0.99744
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00298
  • Inter Quartile Range
    0.00000
  • Number outliers low
    44.00000
  • Percentage of outliers low
    0.02307
  • Mean of outliers low
    0.97221
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.02465
  • Mean of outliers high
    1.03027
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.54428
  • VaR(95%) (moments method)
    -0.00044
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.05232
  • VaR(95%) (regression method)
    -0.00381
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00806
  • Quartile 1
    0.04599
  • Median
    0.18082
  • Quartile 3
    0.31475
  • Maximum
    0.34998
  • Mean of quarter 1
    0.00806
  • Mean of quarter 2
    0.05863
  • Mean of quarter 3
    0.30301
  • Mean of quarter 4
    0.34998
  • Inter Quartile Range
    0.26876
  • 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)
    0.00000
  • 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
    0.00003
  • 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
    0.00000
  • 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
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.81602
  • Mean of criterion
    0.00000
  • SD of predictor
    0.59232
  • 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
    0.00000
  • 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
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.62984
  • Mean of criterion
    0.00000
  • SD of predictor
    0.62122
  • 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
  • VAR (95 Confidence Intrvl)
    0.02400
  • 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
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • 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?
    -339958000
  • Max Equity Drawdown (num days)
    31
  • 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

Buy or short after market open(around 9:30AM EST) Sell or cover before market close(around 16:00PM EST). This is a high risky and high return system.

Even you do not follow my trading signal, you can use my trading signal as a reference. (It has about 500% yearly return according to the last 7 years backtesting result; for detail backtesting records, return digram, please go to http://emini.deltat1.com/forum/topic.asp?TOPIC_ID=785)

It is best for newbies, because you do not need to look at chart with my system.

If you want to develop your own trading strategy based on my system, for example, you have your own profit target or stop loss, I can generate backtest report to verify your trading strategy in minutes.

FAQ:
1. How much trades per year?
From my backtest resocrds:
11 trades from 01/20/2006 to 02/16/2006 showing on C2 (including four lost trades)
6 trades from 01/01/2006 to 01/19/2006
132 trades in year 2005
116 trades in year 2004
103 trades in year 2003
54 trades in year 2002
41 trades in year 2001
34 trades in year 2000
45 trades in year 1999

2. When and how much will I charge?

My system has 96 users till now(02/20/2006), There are 3.x new
subscribers every day in average (including Staturday and Sunday).
As long as it can keep 3.x new users per day, I will keep my system
free. I will begin to charge when there is not much new users(3.x
per day in average).

The monthly fee should be $30 for the first two months, then $50 for
next 6 months. Then I will decide how much I will charge according
to subscribers feed back. I will not let the subscriber fee
exceeds 5% of subscribers monthly profit in average. I find the
future systems on C2 usually charge from $50 ~$250.

I think you do not need to worry about subscriber fee for my system. My
goal is to let you guys earn big money. If you guys can not earn money
on my system, how my subscriber fee comes from!


More about my trading system:(FAQ, backtest records and return chart)
http://emini.deltat1.com/forum/topic.asp?TOPIC_ID=785
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2006-01-12
Suggested Minimum Capital
$100,000
# Trades
47
# Profitable
22
% Profitable
46.8%
Correlation S&P500
-0.006
Sharpe Ratio
-0.01
Sortino Ratio
-0.01
Beta
-0.00
Alpha
0.00

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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