Collective2 Collective2
Featured Strategy S2Prox0 +64.0% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Market Mood Oscillator
(29936938)

Created by: TFPI TFPI
Started: 01/2008
Futures
Last trade: 5,594 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 $189.00 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.

10.1%
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.

(100.0%)
Max Drawdown
540
Num Trades
56.9%
Win Trades
1.1 : 1
Profit Factor
4.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008+75.5%+66.7%(1%)+36.0%(22%)+96.1%(2.3%)+13.5%(66.1%)(120.1%)(802.7%)+27.8%+310.4%
2009+18.0%  -    -  (0.7%)  -    -    -    -    -    -    -    -  +17.2%
2010  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -  +0.8%  -    -    -    -    -    -  +0.8%
2015  -    -    -    -    -  (0.8%)  -    -    -    -    -    -  (0.8%)
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.

System developer has asked us to delay this information by 2 hours.

Trading Record

This strategy has placed 106 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5701 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/2/09 10:59 @EUH9 EUROFX SHORT 11 1.39080 1/2 14:40 1.38150 1.93%
Trade id #37460165
Max drawdown($3,575)
Time1/2/09 11:43
Quant open-11
Worst price1.39340
Drawdown as % of equity-1.93%
 $12,700
Includes Typical Broker Commissions trade costs of $88.00
1/2/09 9:58 QHOG9 Heating Oil LONG 3 1.4250 1/2 12:34 1.4860 n/a $7,662
Includes Typical Broker Commissions trade costs of $24.00
1/2/09 10:55 @USH9 US T-BOND SHORT 22 137 29/32 1/2 11:17 138 6/32 3.35%
Trade id #37460079
Max drawdown($6,204)
Time1/2/09 11:05
Quant open-22
Worst price138 2/32
Drawdown as % of equity-3.35%
 ($6,380)
Includes Typical Broker Commissions trade costs of $176.00
1/2/09 10:32 @EUH9 EUROFX SHORT 11 1.39300 1/2 10:49 1.39290 0.22%
Trade id #37459336
Max drawdown($412)
Time1/2/09 10:37
Quant open-11
Worst price1.39330
Drawdown as % of equity-0.22%
 $50
Includes Typical Broker Commissions trade costs of $88.00
12/31/08 13:52 @EUH9 EUROFX SHORT 11 1.38870 1/2/09 10:02 1.39100 5.2%
Trade id #37443500
Max drawdown($9,212)
Time12/31/08 16:08
Quant open-11
Worst price1.39540
Drawdown as % of equity-5.20%
 ($3,251)
Includes Typical Broker Commissions trade costs of $88.00
12/30/08 11:04 @EUH9 EUROFX SHORT 11 1.40900 12/30 18:00 1.40600 0.96%
Trade id #37418460
Max drawdown($1,787)
Time12/30/08 12:13
Quant open-11
Worst price1.41030
Drawdown as % of equity-0.96%
 $4,037
Includes Typical Broker Commissions trade costs of $88.00
12/30/08 12:36 @ESH9 E-MINI S&P 500 SHORT 22 879.00 12/30 15:44 883.00 2.3%
Trade id #37420903
Max drawdown($4,400)
Time12/30/08 15:41
Quant open-22
Worst price881.50
Drawdown as % of equity-2.30%
 ($4,576)
Includes Typical Broker Commissions trade costs of $176.00
12/30/08 10:01 @ESH9 E-MINI S&P 500 SHORT 22 872.38 12/30 11:43 881.00 4.99%
Trade id #37417445
Max drawdown($9,488)
Time12/30/08 11:42
Quant open-22
Worst price879.50
Drawdown as % of equity-4.99%
 ($9,664)
Includes Typical Broker Commissions trade costs of $176.00
12/30/08 9:38 @EUH9 EUROFX SHORT 11 1.40900 12/30 9:50 1.41200 2.08%
Trade id #37416576
Max drawdown($4,125)
Time12/30/08 9:47
Quant open-11
Worst price1.41170
Drawdown as % of equity-2.08%
 ($4,213)
Includes Typical Broker Commissions trade costs of $88.00
12/29/08 1:25 @ESH9 E-MINI S&P 500 SHORT 22 863.12 12/29 15:07 862.50 2.28%
Trade id #37384258
Max drawdown($4,400)
Time12/29/08 6:39
Quant open-11
Worst price873.50
Drawdown as % of equity-2.28%
 $512
Includes Typical Broker Commissions trade costs of $176.00
12/24/08 12:58 @ESH9 E-MINI S&P 500 SHORT 22 866.00 12/29 0:38 865.75 2.33%
Trade id #37355189
Max drawdown($4,537)
Time12/26/08 7:47
Quant open-11
Worst price871.75
Drawdown as % of equity-2.33%
 $99
Includes Typical Broker Commissions trade costs of $176.00
12/23/08 8:45 @USH9 US T-BOND SHORT 22 140 11/32 12/26 15:58 141 6/32 13.66%
Trade id #37329732
Max drawdown($25,789)
Time12/26/08 10:16
Quant open-22
Worst price141 17/32
Drawdown as % of equity-13.66%
 ($18,414)
Includes Typical Broker Commissions trade costs of $176.00
12/26/08 9:28 @EUH9 EUROFX SHORT 11 1.40430 12/26 12:04 1.40420 0%
Trade id #37365811
Max drawdown$0
Time12/26/08 9:30
Quant open-11
Worst price1.40430
Drawdown as % of equity0.00%
 $50
Includes Typical Broker Commissions trade costs of $88.00
12/23/08 18:01 @EUH9 EUROFX SHORT 11 1.39030 12/26 6:00 1.40000 6.66%
Trade id #37342619
Max drawdown($13,338)
Time12/24/08 7:30
Quant open-11
Worst price1.39950
Drawdown as % of equity-6.66%
 ($13,426)
Includes Typical Broker Commissions trade costs of $88.00
12/22/08 15:53 QNGF9 Natural Gas LONG 3 5.349 12/24 8:50 5.600 0.66%
Trade id #37317966
Max drawdown($1,470)
Time12/22/08 18:36
Quant open3
Worst price5.300
Drawdown as % of equity-0.66%
 $7,506
Includes Typical Broker Commissions trade costs of $24.00
12/23/08 10:15 QCLG9 CRUDE OIL LONG 3 39.59 12/23 11:05 38.90 0.97%
Trade id #37332878
Max drawdown($2,070)
Time12/23/08 11:00
Quant open3
Worst price38.91
Drawdown as % of equity-0.97%
 ($2,094)
Includes Typical Broker Commissions trade costs of $24.00
12/22/08 23:16 QCLG9 CRUDE OIL LONG 3 39.60 12/23 10:04 39.61 0.67%
Trade id #37321902
Max drawdown($1,500)
Time12/23/08 3:40
Quant open3
Worst price39.10
Drawdown as % of equity-0.67%
 $6
Includes Typical Broker Commissions trade costs of $24.00
12/23/08 8:23 @EUH9 EUROFX LONG 9 1.39660 12/23 9:07 1.39670 0.4%
Trade id #37329452
Max drawdown($900)
Time12/23/08 8:27
Quant open9
Worst price1.39580
Drawdown as % of equity-0.40%
 $41
Includes Typical Broker Commissions trade costs of $72.00
12/22/08 22:08 @EUH9 EUROFX LONG 9 1.39680 12/22 23:34 1.39690 0.15%
Trade id #37321417
Max drawdown($337)
Time12/22/08 22:11
Quant open9
Worst price1.39650
Drawdown as % of equity-0.15%
 $41
Includes Typical Broker Commissions trade costs of $72.00
12/22/08 13:28 @EUH9 EUROFX LONG 18 1.39020 12/22 16:35 1.39030 1.49%
Trade id #37313025
Max drawdown($3,375)
Time12/22/08 13:48
Quant open18
Worst price1.38870
Drawdown as % of equity-1.49%
 $81
Includes Typical Broker Commissions trade costs of $144.00
12/22/08 10:50 @ESH9 E-MINI S&P 500 SHORT 11 878.00 12/22 15:52 862.75 0.31%
Trade id #37308186
Max drawdown($687)
Time12/22/08 10:54
Quant open-11
Worst price879.25
Drawdown as % of equity-0.31%
 $8,300
Includes Typical Broker Commissions trade costs of $88.00
12/22/08 10:49 @USH9 US T-BOND SHORT 11 140 8/32 12/22 13:57 141 3/32 4.25%
Trade id #37308135
Max drawdown($9,625)
Time12/22/08 13:57
Quant open-11
Worst price141 4/32
Drawdown as % of equity-4.25%
 ($9,372)
Includes Typical Broker Commissions trade costs of $88.00
12/18/08 16:09 @ESH9 E-MINI S&P 500 SHORT 22 888.25 12/19 16:00 880.50 7.82%
Trade id #37261632
Max drawdown($16,775)
Time12/19/08 10:45
Quant open-22
Worst price903.50
Drawdown as % of equity-7.82%
 $8,349
Includes Typical Broker Commissions trade costs of $176.00
12/18/08 3:46 @JYH9 JAPANESE YEN SHORT 11 1.139700 12/18 15:43 1.121500 1.2%
Trade id #37239361
Max drawdown($2,612)
Time12/18/08 3:59
Quant open-11
Worst price1.141600
Drawdown as % of equity-1.20%
 $24,937
Includes Typical Broker Commissions trade costs of $88.00
12/18/08 9:23 QCLF9 CRUDE OIL LONG 3 38.95 12/18 14:24 37.00 2.6%
Trade id #37247254
Max drawdown($5,850)
Time12/18/08 14:21
Quant open3
Worst price37.35
Drawdown as % of equity-2.60%
 ($5,874)
Includes Typical Broker Commissions trade costs of $24.00
12/18/08 10:09 @USH9 US T-BOND SHORT 11 139 29/32 12/18 10:41 140 20/32 3.69%
Trade id #37249549
Max drawdown($7,909)
Time12/18/08 10:35
Quant open-11
Worst price140 18/32
Drawdown as % of equity-3.69%
 ($7,997)
Includes Typical Broker Commissions trade costs of $88.00
12/17/08 19:14 @ESH9 E-MINI S&P 500 LONG 18 901.85 12/18 9:48 902.00 0.33%
Trade id #37235169
Max drawdown($762)
Time12/17/08 19:24
Quant open18
Worst price901.00
Drawdown as % of equity-0.33%
 ($6)
Includes Typical Broker Commissions trade costs of $144.00
12/18/08 3:43 QCLF9 CRUDE OIL LONG 3 40.59 12/18 9:03 39.00 2.13%
Trade id #37239317
Max drawdown($4,770)
Time12/18/08 8:56
Quant open3
Worst price39.82
Drawdown as % of equity-2.13%
 ($4,794)
Includes Typical Broker Commissions trade costs of $24.00
12/17/08 19:13 @USH9 US T-BOND SHORT 11 139 9/32 12/18 7:42 140 3/32 3.93%
Trade id #37235159
Max drawdown($8,943)
Time12/18/08 7:32
Quant open-11
Worst price139 31/32
Drawdown as % of equity-3.93%
 ($9,031)
Includes Typical Broker Commissions trade costs of $88.00
12/16/08 14:23 @EUH9 EUROFX LONG 18 1.38070 12/18 2:17 1.43400 n/a $119,781
Includes Typical Broker Commissions trade costs of $144.00
Next

Statistics

  • Strategy began
    1/3/2008
  • Suggested Minimum Cap
    $25,947
  • Strategy Age (days)
    5952.5
  • Age
    199 months ago
  • What it trades
    Futures
  • # Trades
    540
  • # Profitable
    307
  • % Profitable
    56.90%
  • Avg trade duration
    22.6 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Jan 30, 2008 - Nov 03, 2008
  • Annual Return (Compounded)
    10.1%
  • Avg win
    $4,642
  • Avg loss
    $5,392
  • Model Account Values (Raw)
  • Cash
    $194,623
  • Margin Used
    $0
  • Buying Power
    $194,623
  • Ratios
  • W:L ratio
    1.13:1
  • Sharpe Ratio
    0.18
  • Sortino Ratio
    1.38
  • Calmar Ratio
    0.111
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    137.87%
  • Correlation to SP500
    0.03160
  • Return Percent SP500 (cumu) during strategy life
    252.41%
  • Return Statistics
  • Ann Return (w trading costs)
    10.1%
  • Slump
  • Current Slump as Pcnt Equity
    62.40%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.101%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.1%
  • 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)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • 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
    $5,393
  • Avg Win
    $4,642
  • Sum Trade PL (losers)
    $1,256,460.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $1,425,150.000
  • # Winners
    307
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    233
  • % Winners
    56.9%
  • Frequency
  • Avg Position Time (mins)
    1355.63
  • Avg Position Time (hrs)
    22.59
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    5588
  • Regression
  • Alpha
    0.00
  • Beta
    0.20
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    94.52
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    71.19
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.69
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.09
  • Avg(MAE) / Avg(PL) - All trades
    -21.322
  • 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
    0.542
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.349
  • Hold-and-Hope Ratio
    -0.046
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33766
  • SD
    0.76043
  • Sharpe ratio (Glass type estimate)
    0.44404
  • Sharpe ratio (Hedges UMVUE)
    0.43981
  • df
    79.00000
  • t
    1.14650
  • p
    0.12753
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31959
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20488
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32238
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20199
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03286
  • Upside Potential Ratio
    1.62082
  • Upside part of mean
    0.52987
  • Downside part of mean
    -0.19221
  • Upside SD
    0.68823
  • Downside SD
    0.32692
  • N nonnegative terms
    71.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.20856
  • Mean of criterion
    0.33766
  • SD of predictor
    0.23412
  • SD of criterion
    0.76043
  • Covariance
    -0.01571
  • r
    -0.08822
  • b (slope, estimate of beta)
    -0.28655
  • a (intercept, estimate of alpha)
    0.39742
  • Mean Square Error
    0.58111
  • DF error
    78.00000
  • t(b)
    -0.78220
  • p(b)
    0.78177
  • t(a)
    1.30317
  • p(a)
    0.09818
  • Lowerbound of 95% confidence interval for beta
    -1.01588
  • Upperbound of 95% confidence interval for beta
    0.44278
  • Lowerbound of 95% confidence interval for alpha
    -0.20972
  • Upperbound of 95% confidence interval for alpha
    1.00456
  • Treynor index (mean / b)
    -1.17836
  • Jensen alpha (a)
    0.39742
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09532
  • SD
    0.72280
  • Sharpe ratio (Glass type estimate)
    0.13188
  • Sharpe ratio (Hedges UMVUE)
    0.13062
  • df
    79.00000
  • t
    0.34051
  • p
    0.36719
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89085
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62874
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88999
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17115
  • Upside Potential Ratio
    0.70931
  • Upside part of mean
    0.39506
  • Downside part of mean
    -0.29974
  • Upside SD
    0.45439
  • Downside SD
    0.55696
  • N nonnegative terms
    71.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.17975
  • Mean of criterion
    0.09532
  • SD of predictor
    0.23614
  • SD of criterion
    0.72280
  • Covariance
    -0.01044
  • r
    -0.06117
  • b (slope, estimate of beta)
    -0.18724
  • a (intercept, estimate of alpha)
    0.12898
  • Mean Square Error
    0.52716
  • DF error
    78.00000
  • t(b)
    -0.54126
  • p(b)
    0.70506
  • t(a)
    0.44785
  • p(a)
    0.32775
  • Lowerbound of 95% confidence interval for beta
    -0.87594
  • Upperbound of 95% confidence interval for beta
    0.50146
  • Lowerbound of 95% confidence interval for alpha
    -0.44438
  • Upperbound of 95% confidence interval for alpha
    0.70233
  • Treynor index (mean / b)
    -0.50910
  • Jensen alpha (a)
    0.12898
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.28485
  • Expected Shortfall on VaR
    0.34266
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00819
  • Expected Shortfall on VaR
    0.03193
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    80.00000
  • Minimum
    0.26016
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.57523
  • Mean of quarter 1
    0.93593
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.17662
  • Inter Quartile Range
    0.00000
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.11250
  • Mean of outliers low
    0.85762
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.13750
  • Mean of outliers high
    1.32113
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.09254
  • VaR(95%) (moments method)
    0.00048
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.25796
  • VaR(95%) (regression method)
    0.01269
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00432
  • Quartile 1
    0.00478
  • Median
    0.23501
  • Quartile 3
    0.53378
  • Maximum
    0.73984
  • Mean of quarter 1
    0.00432
  • Mean of quarter 2
    0.00493
  • Mean of quarter 3
    0.46509
  • Mean of quarter 4
    0.73984
  • Inter Quartile Range
    0.52900
  • 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)
    0.13319
  • Compounded annual return (geometric extrapolation)
    0.10001
  • Calmar ratio (compounded annual return / max draw down)
    0.13518
  • Compounded annual return / average of 25% largest draw downs
    0.13518
  • Compounded annual return / Expected Shortfall lognormal
    0.29187
  • 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
    2.28369
  • SD
    2.36290
  • Sharpe ratio (Glass type estimate)
    0.96648
  • Sharpe ratio (Hedges UMVUE)
    0.96607
  • df
    1747.00000
  • t
    2.49639
  • p
    0.46207
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72583
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20659
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72554
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.15515
  • Upside Potential Ratio
    5.07192
  • Upside part of mean
    5.37444
  • Downside part of mean
    -3.09074
  • Upside SD
    2.11593
  • Downside SD
    1.05965
  • N nonnegative terms
    1594.00000
  • N negative terms
    154.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1748.00000
  • Mean of predictor
    0.33435
  • Mean of criterion
    2.28369
  • SD of predictor
    0.55432
  • SD of criterion
    2.36290
  • Covariance
    0.02927
  • r
    0.02235
  • b (slope, estimate of beta)
    0.09526
  • a (intercept, estimate of alpha)
    2.25200
  • Mean Square Error
    5.58369
  • DF error
    1746.00000
  • t(b)
    0.93401
  • p(b)
    0.48883
  • t(a)
    2.45978
  • p(a)
    0.47062
  • Lowerbound of 95% confidence interval for beta
    -0.10478
  • Upperbound of 95% confidence interval for beta
    0.29529
  • Lowerbound of 95% confidence interval for alpha
    0.45632
  • Upperbound of 95% confidence interval for alpha
    4.04737
  • Treynor index (mean / b)
    23.97350
  • Jensen alpha (a)
    2.25185
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09525
  • SD
    2.07934
  • Sharpe ratio (Glass type estimate)
    0.04581
  • Sharpe ratio (Hedges UMVUE)
    0.04579
  • df
    1747.00000
  • t
    0.11832
  • p
    0.49820
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71300
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80461
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71301
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80459
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06241
  • Upside Potential Ratio
    2.67755
  • Upside part of mean
    4.08624
  • Downside part of mean
    -3.99099
  • Upside SD
    1.41145
  • Downside SD
    1.52611
  • N nonnegative terms
    1594.00000
  • N negative terms
    154.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1748.00000
  • Mean of predictor
    0.18578
  • Mean of criterion
    0.09525
  • SD of predictor
    0.54303
  • SD of criterion
    2.07934
  • Covariance
    -0.00940
  • r
    -0.00833
  • b (slope, estimate of beta)
    -0.03188
  • a (intercept, estimate of alpha)
    0.10117
  • Mean Square Error
    4.32581
  • DF error
    1746.00000
  • t(b)
    -0.34794
  • p(b)
    0.50416
  • t(a)
    0.12562
  • p(a)
    0.49850
  • Lowerbound of 95% confidence interval for beta
    -0.21161
  • Upperbound of 95% confidence interval for beta
    0.14784
  • Lowerbound of 95% confidence interval for alpha
    -1.47847
  • Upperbound of 95% confidence interval for alpha
    1.68082
  • Treynor index (mean / b)
    -2.98744
  • Jensen alpha (a)
    0.10117
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19018
  • Expected Shortfall on VaR
    0.23164
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00397
  • Expected Shortfall on VaR
    0.01948
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1748.00000
  • Minimum
    0.23194
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    3.47913
  • Mean of quarter 1
    0.95281
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.08205
  • Inter Quartile Range
    0.00000
  • Number outliers low
    154.00000
  • Percentage of outliers low
    0.08810
  • Mean of outliers low
    0.86610
  • Number of outliers high
    177.00000
  • Percentage of outliers high
    0.10126
  • Mean of outliers high
    1.20258
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.13625
  • VaR(95%) (moments method)
    0.00232
  • Expected Shortfall (moments method)
    0.00432
  • 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
    10.00000
  • Minimum
    0.00775
  • Quartile 1
    0.22914
  • Median
    0.50924
  • Quartile 3
    0.74472
  • Maximum
    0.90191
  • Mean of quarter 1
    0.08300
  • Mean of quarter 2
    0.38660
  • Mean of quarter 3
    0.55651
  • Mean of quarter 4
    0.84863
  • Inter Quartile Range
    0.51559
  • 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)
    -5.36611
  • VaR(95%) (moments method)
    0.88680
  • Expected Shortfall (moments method)
    0.88684
  • Extreme Value Index (regression method)
    -1.20239
  • VaR(95%) (regression method)
    0.93035
  • Expected Shortfall (regression method)
    0.94158
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13309
  • Compounded annual return (geometric extrapolation)
    0.09993
  • Calmar ratio (compounded annual return / max draw down)
    0.11080
  • Compounded annual return / average of 25% largest draw downs
    0.11776
  • Compounded annual return / Expected Shortfall lognormal
    0.43141
  • 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
    1.16639
  • Mean of criterion
    0.00000
  • SD of predictor
    0.55766
  • 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
    1.00940
  • Mean of criterion
    0.00000
  • SD of predictor
    0.55932
  • 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)
    0.19000
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -315458000
  • Max Equity Drawdown (num days)
    278
  • 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

Deactivated 1/3/09. Conclusion: forecasts great, money mangement poor. We are not traders.

Using a systems approach, our interdisciplinary research team gathers information on global psychology, socioeconomic trends, and geopolitics. Our model takes these inputs, overlays them on an oscillator of 8 components of societal emotion and behavior, and outputs future trends and trend changes in the S&P, the U.S. Dollar, and the price of Crude oil. Our indicator has been used to track periods of increased vulnerability to geopolitical events, as well as high-risk economic windows and periods of probable social instability. Funds received will assist us in furthering our research in creating sustainable society as well as tracking precursors to socioeconomic disruptions.

Forum: Sundays we post the outlook on Global Social Mood for the next week (the supporting global context for our trades). The monthly report MoodCompass is for subscribers only and presents our week by week outlook for the following month.

A summary of our philosophy and methodology Market is available at:
http://anewstory.org/documents/methodology.pdf
























Summary Statistics

Strategy began
2008-01-03
Suggested Minimum Capital
$25,000
# Trades
540
# Profitable
307
% Profitable
56.9%
Correlation S&P500
0.032
Sharpe Ratio
0.18
Sortino Ratio
1.38
Beta
0.20
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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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.