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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

Commodities Plus
(13319438)

Created by: futurm futurm
Started: 03/2005
Futures
Last trade: 6,450 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $30.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

2.4%

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(17.6%)
Max Drawdown
70
Num Trades
48.6%
Win Trades
1.3 : 1
Profit Factor
4.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2005              +3.4%(9.3%)(6.3%)+5.9%+6.8%+7.1%(3.2%)(1.1%)(0.1%)+0.4%+2.3%
2006(5%)+11.8%+4.5%(0.1%)(0.2%)+1.1%(1%)+3.5%(1.3%)(3.1%)  -    -  +9.6%
2007  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2008  -    -    -    -  +2.7%  -    -    -    -    -    -    -  +2.7%
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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/10/06 10:46 SMU6 SOYBEAN MEAL SHORT 6 1775.0 7/31 10:47 1666.0 0.47%
Trade id #21883979
Max drawdown($600)
Time7/11/06 10:45
Quant open-6
Worst price1785.0
Drawdown as % of equity-0.47%
$6,492
Includes Typical Broker Commissions trade costs of $48.00
7/12/06 10:33 KWU6 Hard Red Winter Wheat (Pit) LONG 8 523.000 7/12 12:11 514.000 3.52%
Trade id #21912037
Max drawdown($4,400)
Time7/12/06 11:30
Quant open8
Worst price512.000
Drawdown as % of equity-3.52%
($3,664)
Includes Typical Broker Commissions trade costs of $64.00
7/10/06 10:37 CTV6 COTTON - #2 SHORT 8 5005 7/12 12:11 5150 5.92%
Trade id #21883799
Max drawdown($7,400)
Time7/12/06 11:00
Quant open-8
Worst price5190
Drawdown as % of equity-5.92%
($5,864)
Includes Typical Broker Commissions trade costs of $64.00
7/10/06 10:19 PBQ6 PORK BELLIES SHORT 6 90.80 7/12 12:11 91.50 4.29%
Trade id #21883383
Max drawdown($5,520)
Time7/11/06 13:15
Quant open-6
Worst price93.10
Drawdown as % of equity-4.29%
($1,728)
Includes Typical Broker Commissions trade costs of $48.00
7/10/06 8:22 USU6 US T- BOND LONG 7 106 21/32 7/12 12:11 106 30/32 0.33%
Trade id #21881224
Max drawdown($435)
Time7/10/06 8:30
Quant open7
Worst price106 19/32
Drawdown as % of equity-0.33%
$1,918
Includes Typical Broker Commissions trade costs of $56.00
7/11/06 10:08 FCQ6 FEEDER CATTLE SHORT 7 113.800 7/12 12:11 113.850 1.36%
Trade id #21897249
Max drawdown($1,750)
Time7/11/06 12:45
Quant open-7
Worst price114.300
Drawdown as % of equity-1.36%
($231)
Includes Typical Broker Commissions trade costs of $56.00
7/10/06 8:23 JYU6 JAPANESE YEN LONG 4 0.887700 7/12 12:11 0.874800 6.28%
Trade id #21881226
Max drawdown($7,850)
Time7/12/06 10:15
Quant open4
Worst price0.872000
Drawdown as % of equity-6.28%
($6,482)
Includes Typical Broker Commissions trade costs of $32.00
7/5/06 19:39 NGU6 NATURAL GAS SHORT 1 6.040 7/12 12:11 5.960 0.7%
Trade id #21839050
Max drawdown($900)
Time7/11/06 10:15
Quant open-1
Worst price6.130
Drawdown as % of equity-0.70%
$792
Includes Typical Broker Commissions trade costs of $8.00
7/10/06 10:46 OU6 Oats SHORT 9 197 7/11 10:32 208 3/4 3.96%
Trade id #21883977
Max drawdown($5,288)
Time7/10/06 14:30
Quant open-9
Worst price206 2/4
Drawdown as % of equity-3.96%
($5,360)
Includes Typical Broker Commissions trade costs of $72.00
7/5/06 19:43 HOU6 HEATING OIL #2 LONG 2 2.1230 7/10 11:35 2.0587 4.04%
Trade id #21839064
Max drawdown($5,403)
Time7/10/06 10:45
Quant open2
Worst price2.0630
Drawdown as % of equity-4.04%
($5,419)
Includes Typical Broker Commissions trade costs of $16.00
7/7/06 10:13 LHQ6 LEAN HOGS SHORT 9 70.400 7/10 10:44 68.270 1.02%
Trade id #21861784
Max drawdown($1,260)
Time7/7/06 10:22
Quant open-9
Worst price70.050
Drawdown as % of equity-1.02%
$7,596
Includes Typical Broker Commissions trade costs of $72.00
7/3/06 8:33 PAU6 PALLADIUM LONG 2 324 7/10 8:33 318 0.48%
Trade id #21812893
Max drawdown($600)
Time7/6/06 8:45
Quant open2
Worst price322
Drawdown as % of equity-0.48%
($616)
Includes Typical Broker Commissions trade costs of $16.00
6/30/06 8:23 BPU6 BRITISH POUND LONG 5 1.8406 7/7 8:31 1.8550 1.13%
Trade id #21791783
Max drawdown($1,343)
Time7/5/06 10:45
Quant open5
Worst price1.8363
Drawdown as % of equity-1.13%
$4,460
Includes Typical Broker Commissions trade costs of $40.00
7/5/06 9:03 SBV6 SUGAR #11 LONG 8 16.60 7/5 19:22 17 1.5%
Trade id #21830657
Max drawdown($1,792)
Time7/5/06 9:15
Quant open8
Worst price16.80
Drawdown as % of equity-1.50%
$3,520
Includes Typical Broker Commissions trade costs of $64.00
6/30/06 10:33 KWN6 Hard Red Winter Wheat (Pit) LONG 8 499.000 7/5 19:20 510.000 2.03%
Trade id #21794426
Max drawdown($2,400)
Time6/30/06 11:30
Quant open8
Worst price493.000
Drawdown as % of equity-2.03%
$4,336
Includes Typical Broker Commissions trade costs of $64.00
6/29/06 10:00 LBN6 LUMBER SHORT 3 288.60 7/5 10:03 298.00 2.97%
Trade id #21777309
Max drawdown($3,597)
Time7/3/06 11:30
Quant open-3
Worst price299.50
Drawdown as % of equity-2.97%
($3,126)
Includes Typical Broker Commissions trade costs of $24.00
6/28/06 10:08 HOU6 HEATING OIL #2 SHORT 1 2.0680 7/3 10:08 2.0900 1.87%
Trade id #21764642
Max drawdown($2,184)
Time6/29/06 11:30
Quant open-1
Worst price2.1200
Drawdown as % of equity-1.87%
($932)
Includes Typical Broker Commissions trade costs of $8.00
6/29/06 8:20 ADU6 AUSTRALIAN DOLLAR LONG 3 0.7285 6/30 8:23 0.7418 0%
Trade id #21775957
Max drawdown$0
Time6/29/06 8:30
Quant open3
Worst price0.7285
Drawdown as % of equity0.00%
$3,966
Includes Typical Broker Commissions trade costs of $24.00
5/5/06 10:33 CTK6 COTTON - #2 LONG 8 4885 5/5 11:54 4885 0%
Trade id #20361357
Max drawdown$0
Time5/5/06 11:15
Quant open8
Worst price4885
Drawdown as % of equity0.00%
($64)
Includes Typical Broker Commissions trade costs of $64.00
3/14/06 8:21 GCJ6 Gold 100 oz LONG 5 544.8 3/19 8:26 554.8 0.27%
Trade id #19015882
Max drawdown($300)
Time3/14/06 8:30
Quant open5
Worst price544.2
Drawdown as % of equity-0.27%
$4,960
Includes Typical Broker Commissions trade costs of $40.00
1/27/06 8:21 ADH6 AUSTRALIAN DOLLAR SHORT 8 0.7505 2/6 9:02 0.7424 4.68%
Trade id #18179221
Max drawdown($5,040)
Time1/31/06 12:18
Quant open-8
Worst price0.7568
Drawdown as % of equity-4.68%
$6,447
Includes Typical Broker Commissions trade costs of $64.00
12/13/05 19:34 @YMZ5 MINI DOW LONG 2 10850 12/15 9:27 10897 0.43%
Trade id #17377924
Max drawdown($450)
Time12/14/05 4:08
Quant open2
Worst price10805
Drawdown as % of equity-0.43%
$454
Includes Typical Broker Commissions trade costs of $16.00
10/14/05 12:15 PAZ5 PALLADIUM SHORT 2 210 10/25 10:37 220 n/a ($1,044)
Includes Typical Broker Commissions trade costs of $16.00
9/16/05 8:21 ADZ5 AUSTRALIAN DOLLAR SHORT 3 0.7652 9/20 8:21 0.7673 n/a ($654)
Includes Typical Broker Commissions trade costs of $24.00
9/12/05 8:31 SIZ5 Silver 5000 oz SHORT 3 7 9/12 8:31 0 n/a ($12)
Includes Typical Broker Commissions trade costs of $12.00
9/7/05 8:21 USZ5 US T- BOND SHORT 3 116 30/32 9/7 13:29 116 2/32 n/a $2,565
Includes Typical Broker Commissions trade costs of $24.00
8/26/05 10:23 CCU5 COCOA SHORT 6 1363 9/2 10:44 1390 n/a ($1,668)
Includes Typical Broker Commissions trade costs of $48.00
8/22/05 10:31 CTV5 COTTON - #2 LONG 3 4640 8/30 10:42 4843 n/a $3,021
Includes Typical Broker Commissions trade costs of $24.00
8/18/05 8:21 GCV5 Gold 100 oz SHORT 3 441.0 8/30 8:21 434.9 n/a $1,806
Includes Typical Broker Commissions trade costs of $24.00
8/16/05 19:01 @ESU5 E-MINI S&P 500 SHORT 3 1222.50 8/26 11:38 1205.16 n/a $2,577
Includes Typical Broker Commissions trade costs of $24.00

Statistics

  • Strategy began
    3/3/2005
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6963.05
  • Age
    232 months ago
  • What it trades
    Futures
  • # Trades
    70
  • # Profitable
    34
  • % Profitable
    48.60%
  • Avg trade duration
    5.2 days
  • Max peak-to-valley drawdown
    17.64%
  • drawdown period
    July 07, 2006 - Sept 30, 2006
  • Annual return (compounded)
    1.0%
  • Avg win
    $2,813
  • Avg loss
    $2,103
  • Model Account Values (Raw)
  • Cash
    $119,936
  • Margin Used
    $0
  • Buying Power
    $119,936
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    -0.19
  • Sortino Ratio
    -0.25
  • Calmar Ratio
    0.013
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.00530
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -19.51%
  • Return Percent SP500 (cumu) during strategy life
    334.08%
  • Return Statistics
  • Ann Return (w trading costs)
    2.4%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    13.10%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.0%
  • Automation
  • Percentage Signals Automated
    n/a
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $2,814
  • Avg Loss
    $2,104
  • Sum Trade PL (losers)
    $75,739.000
  • Sum Trade PL (winners)
    $95,674.000
  • # Winners
    34
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    12
  • Age
  • Num Months filled monthly returns table
    229
  • Win / Loss
  • # Losers
    36
  • % Winners
    48.6%
  • Frequency
  • Avg Position Time (mins)
    7513.52
  • Avg Position Time (hrs)
    125.22
  • Avg Trade Length
    5.2 days
  • Last Trade Ago
    6448
  • Regression
  • Alpha
    -0.00
  • Beta
    0.00
  • Treynor Index
    -1.90
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -0.90
  • MAE:Equity, average, all trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    4.713
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    31.63
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    7.92
  • MAE:Equity, 95th Percentile Value for this strat
    0.04
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.320
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.332
  • Hold-and-Hope Ratio
    0.212
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    -0.02800
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.02300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    85
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Trades minor, intermediate, and major market turns. There will also be some quick trades when strength of move is indicated, up or down. These signals may also be used to add to an already established position.

We will risk 1 to get 1, however we may at times let winners run if it looks like we have a major top or bottom, or otherwise looks good for a big move.

Summary Statistics

Strategy began
2005-03-03
Suggested Minimum Capital
$100,000
# Trades
70
# Profitable
34
% Profitable
48.6%
Correlation S&P500
0.005
Sharpe Ratio
-0.19
Sortino Ratio
-0.25
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.