Collective2 Collective2
Featured Strategy S2Prox0 +60.0% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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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
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Mighty Mini S&P
(18067338)

Created by: KD KD
Started: 01/2006
Futures
Last trade: 6,305 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.

10.5%

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.

(37.3%)
Max Drawdown
56
Num Trades
75.0%
Win Trades
1.4 : 1
Profit Factor
4.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006+12.1%(17.2%)+23.5%+19.2%+20.4%+8.5%(22.6%)+6.0%+10.2%+5.7%(9.3%)+4.1%+60.9%
2007(0.8%)  -    -    -    -    -    -    -    -    -    -    -  (0.8%)
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.

System developer has asked us to delay this information by 24 hours.

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
1/7/07 20:30 @ESH7 E-MINI S&P 500 SHORT 16 1418.00 1/18 19:50 1432.25 12.35%
Trade id #24335201
Max drawdown($20,200)
Time1/16/07 3:15
Quant open-16
Worst price1443.25
Drawdown as % of equity-12.35%
 ($11,528)
Includes Typical Broker Commissions trade costs of $128.00
1/4/07 11:30 @ESH7 E-MINI S&P 500 SHORT 16 1424.50 1/5 13:30 1418.75 3.13%
Trade id #24271754
Max drawdown($5,600)
Time1/4/07 15:45
Quant open-16
Worst price1431.50
Drawdown as % of equity-3.13%
 $4,472
Includes Typical Broker Commissions trade costs of $128.00
1/3/07 22:30 @ESH7 E-MINI S&P 500 SHORT 16 1425.25 1/4 11:30 1424.75 0.79%
Trade id #24254673
Max drawdown($1,400)
Time1/4/07 11:15
Quant open-16
Worst price1427.00
Drawdown as % of equity-0.79%
 $272
Includes Typical Broker Commissions trade costs of $128.00
12/26/06 10:30 @ESH7 E-MINI S&P 500 SHORT 16 1425.25 1/3/07 15:30 1421.75 7.09%
Trade id #24081841
Max drawdown($11,800)
Time1/3/07 10:30
Quant open-16
Worst price1440.00
Drawdown as % of equity-7.09%
 $2,672
Includes Typical Broker Commissions trade costs of $128.00
12/19/06 8:30 @ESH7 E-MINI S&P 500 SHORT 16 1429.00 12/22 10:30 1427.75 5.49%
Trade id #23945709
Max drawdown($9,200)
Time12/19/06 15:15
Quant open-16
Worst price1440.50
Drawdown as % of equity-5.49%
 $872
Includes Typical Broker Commissions trade costs of $128.00
12/18/06 1:30 @ESH7 E-MINI S&P 500 SHORT 16 1438.25 12/19 8:30 1429.50 2.78%
Trade id #23914559
Max drawdown($4,600)
Time12/18/06 10:15
Quant open-16
Worst price1444.00
Drawdown as % of equity-2.78%
 $6,872
Includes Typical Broker Commissions trade costs of $128.00
12/6/06 21:20 @ESH7 E-MINI S&P 500 LONG 16 1425.50 12/15 16:17 1438.00 4.84%
Trade id #23695250
Max drawdown($7,400)
Time12/8/06 10:15
Quant open16
Worst price1416.25
Drawdown as % of equity-4.84%
 $9,872
Includes Typical Broker Commissions trade costs of $128.00
11/28/06 10:30 @ESZ6 E-MINI S&P 500 SHORT 16 1386.75 12/6 21:19 1413.25 16.05%
Trade id #23590680
Max drawdown($24,800)
Time12/6/06 13:15
Quant open-16
Worst price1417.75
Drawdown as % of equity-16.05%
 ($21,328)
Includes Typical Broker Commissions trade costs of $128.00
11/15/06 6:00 @ESZ6 E-MINI S&P 500 SHORT 16 1397.25 11/28 10:30 1387.25 6.8%
Trade id #23415295
Max drawdown($11,200)
Time11/22/06 9:45
Quant open-16
Worst price1411.25
Drawdown as % of equity-6.80%
 $7,872
Includes Typical Broker Commissions trade costs of $128.00
10/17/06 15:30 @ESZ6 E-MINI S&P 500 SHORT 16 1373.25 11/14 16:45 1397.25 11.85%
Trade id #23052049
Max drawdown($20,800)
Time11/14/06 15:15
Quant open-16
Worst price1399.25
Drawdown as % of equity-11.85%
 ($19,328)
Includes Typical Broker Commissions trade costs of $128.00
10/5/06 21:30 @ESZ6 E-MINI S&P 500 LONG 16 1360.75 10/17 10:30 1368.00 4.27%
Trade id #22930063
Max drawdown($7,800)
Time10/11/06 15:00
Quant open16
Worst price1351.00
Drawdown as % of equity-4.27%
 $5,672
Includes Typical Broker Commissions trade costs of $128.00
9/20/06 14:30 @ESZ6 E-MINI S&P 500 LONG 16 1334.00 10/5 15:30 1362.25 6.28%
Trade id #22694968
Max drawdown($10,400)
Time9/22/06 11:15
Quant open16
Worst price1321.00
Drawdown as % of equity-6.28%
 $22,472
Includes Typical Broker Commissions trade costs of $128.00
9/15/06 13:30 @ESZ6 E-MINI S&P 500 LONG 16 1330.75 9/20 14:30 1333.75 4.09%
Trade id #22646551
Max drawdown($6,400)
Time9/19/06 13:45
Quant open16
Worst price1322.75
Drawdown as % of equity-4.09%
 $2,272
Includes Typical Broker Commissions trade costs of $128.00
8/20/06 22:30 @ESU6 E-MINI S&P 500 LONG 16 1304.75 9/5 10:30 1311.50 7.02%
Trade id #22340213
Max drawdown($10,600)
Time8/23/06 15:30
Quant open16
Worst price1291.50
Drawdown as % of equity-7.02%
 $5,272
Includes Typical Broker Commissions trade costs of $128.00
8/4/06 12:30 @ESU6 E-MINI S&P 500 LONG 16 1287.00 8/20 17:30 1307.25 15.69%
Trade id #22165146
Max drawdown($19,600)
Time8/10/06 4:15
Quant open16
Worst price1262.50
Drawdown as % of equity-15.69%
 $16,072
Includes Typical Broker Commissions trade costs of $128.00
7/25/06 6:30 @ESU6 E-MINI S&P 500 SHORT 16 1267.75 8/4 9:30 1293.50 14.16%
Trade id #22048884
Max drawdown($20,600)
Time8/3/06 15:00
Quant open-16
Worst price1289.00
Drawdown as % of equity-14.16%
 ($20,728)
Includes Typical Broker Commissions trade costs of $128.00
7/18/06 16:47 @ESU6 E-MINI S&P 500 SHORT 16 1244.50 7/24 23:30 1268.75 11.13%
Trade id #21982954
Max drawdown($19,600)
Time7/19/06 15:00
Quant open-16
Worst price1269.00
Drawdown as % of equity-11.13%
 ($19,528)
Includes Typical Broker Commissions trade costs of $128.00
7/17/06 9:30 @ESU6 E-MINI S&P 500 SHORT 16 1241.25 7/18 14:30 1237.25 2.88%
Trade id #21957985
Max drawdown($5,000)
Time7/17/06 9:45
Quant open-16
Worst price1247.50
Drawdown as % of equity-2.88%
 $3,072
Includes Typical Broker Commissions trade costs of $128.00
7/16/06 18:30 @ESU6 E-MINI S&P 500 SHORT 16 1243.50 7/17 6:30 1241.00 0.23%
Trade id #21950539
Max drawdown($400)
Time7/17/06 2:30
Quant open-16
Worst price1244.00
Drawdown as % of equity-0.23%
 $1,872
Includes Typical Broker Commissions trade costs of $128.00
7/14/06 1:30 @ESU6 E-MINI S&P 500 SHORT 16 1244.75 7/14 13:30 1242.75 3.17%
Trade id #21933944
Max drawdown($5,400)
Time7/14/06 5:45
Quant open-16
Worst price1251.50
Drawdown as % of equity-3.17%
 $1,472
Includes Typical Broker Commissions trade costs of $128.00
6/29/06 23:30 @ESU6 E-MINI S&P 500 LONG 16 1281.25 7/13 7:30 1263.25 8.33%
Trade id #21787077
Max drawdown($14,600)
Time7/13/06 7:30
Quant open16
Worst price1263.00
Drawdown as % of equity-8.33%
 ($14,528)
Includes Typical Broker Commissions trade costs of $128.00
6/16/06 7:19 @ESU6 E-MINI S&P 500 LONG 16 1266.50 6/29 14:30 1271.25 9.53%
Trade id #21593191
Max drawdown($16,000)
Time6/28/06 11:30
Quant open16
Worst price1246.50
Drawdown as % of equity-9.53%
 $3,672
Includes Typical Broker Commissions trade costs of $128.00
6/13/06 23:30 @ESU6 E-MINI S&P 500 SHORT 16 1235.00 6/15 14:30 1258.25 10.3%
Trade id #21561276
Max drawdown($19,800)
Time6/15/06 14:30
Quant open-16
Worst price1259.75
Drawdown as % of equity-10.30%
 ($18,728)
Includes Typical Broker Commissions trade costs of $128.00
6/8/06 14:30 @ESU6 E-MINI S&P 500 SHORT 16 1260.00 6/13 16:30 1232.75 6.62%
Trade id #21502576
Max drawdown($11,400)
Time6/9/06 10:45
Quant open-16
Worst price1274.25
Drawdown as % of equity-6.62%
 $21,672
Includes Typical Broker Commissions trade costs of $128.00
6/7/06 20:57 @ESU6 E-MINI S&P 500 SHORT 16 1265.75 6/8 11:30 1253.75 1.67%
Trade id #21481051
Max drawdown($2,800)
Time6/8/06 10:00
Quant open-16
Worst price1269.25
Drawdown as % of equity-1.67%
 $9,472
Includes Typical Broker Commissions trade costs of $128.00
6/6/06 16:45 @ESM6 E-MINI S&P 500 SHORT 16 1266.50 6/7 20:56 1255.50 3.45%
Trade id #21464599
Max drawdown($5,800)
Time6/7/06 12:15
Quant open-16
Worst price1273.75
Drawdown as % of equity-3.45%
 $8,672
Includes Typical Broker Commissions trade costs of $128.00
6/2/06 11:30 @ESM6 E-MINI S&P 500 LONG 16 1286.00 6/6 11:30 1259.75 13.92%
Trade id #21320481
Max drawdown($23,400)
Time6/6/06 11:15
Quant open16
Worst price1256.75
Drawdown as % of equity-13.92%
 ($21,128)
Includes Typical Broker Commissions trade costs of $128.00
5/26/06 0:30 @ESM6 E-MINI S&P 500 LONG 16 1275.00 6/2 11:30 1285.75 7.25%
Trade id #21108220
Max drawdown($11,600)
Time5/31/06 0:00
Quant open16
Worst price1260.50
Drawdown as % of equity-7.25%
 $8,472
Includes Typical Broker Commissions trade costs of $128.00
5/24/06 13:30 @ESM6 E-MINI S&P 500 LONG 12 1249.25 5/25 12:30 1269.75 3.06%
Trade id #21075001
Max drawdown($5,100)
Time5/25/06 4:15
Quant open12
Worst price1257.75
Drawdown as % of equity-3.06%
 $12,204
Includes Typical Broker Commissions trade costs of $96.00
5/24/06 6:30 @ESM6 E-MINI S&P 500 LONG 12 1251.25 5/24 11:30 1258.50 0.39%
Trade id #21064814
Max drawdown($600)
Time5/24/06 6:45
Quant open12
Worst price1250.25
Drawdown as % of equity-0.39%
 $4,254
Includes Typical Broker Commissions trade costs of $96.00
Next

Statistics

  • Strategy began
    1/20/2006
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6660.98
  • Age
    222 months ago
  • What it trades
    Futures
  • # Trades
    56
  • # Profitable
    42
  • % Profitable
    75.00%
  • Avg trade duration
    5.5 days
  • Max peak-to-valley drawdown
    37.27%
  • drawdown period
    June 13, 2006 - Aug 09, 2006
  • Annual return (compounded)
    3.0%
  • Avg win
    $6,438
  • Avg loss
    $14,207
  • Model Account Values (Raw)
  • Cash
    $171,500
  • Margin Used
    $0
  • Buying Power
    $171,500
  • Ratios
  • W:L ratio
    1.36:1
  • Sharpe Ratio
    0.09
  • Sortino Ratio
    0.14
  • Calmar Ratio
    0.021
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.00970
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    35.95%
  • Return Percent SP500 (cumu) during strategy life
    297.20%
  • Return Statistics
  • Ann Return (w trading costs)
    10.5%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    20.60%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.0%
  • 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
    $6,438
  • Avg Loss
    $14,207
  • Sum Trade PL (losers)
    $198,900.000
  • Sum Trade PL (winners)
    $270,400.000
  • # Winners
    42
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    9
  • Age
  • Num Months filled monthly returns table
    220
  • Win / Loss
  • # Losers
    14
  • % Winners
    75.0%
  • Frequency
  • Avg Position Time (mins)
    7905.95
  • Avg Position Time (hrs)
    131.77
  • Avg Trade Length
    5.5 days
  • Last Trade Ago
    6298
  • Regression
  • Alpha
    0.00
  • Beta
    0.01
  • Treynor Index
    0.64
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    0.69
  • MAE:Equity, average, all trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    6.213
  • 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
    8.24
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    33.73
  • MAE:Equity, 95th Percentile Value for this strat
    0.17
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.11
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.812
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.101
  • Hold-and-Hope Ratio
    0.161
  • 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)
    0.01300
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.03000
  • 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)
    57
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description


Summary Statistics

Strategy began
2006-01-20
Suggested Minimum Capital
$100,000
# Trades
56
# Profitable
42
% Profitable
75.0%
Correlation S&P500
0.010
Sharpe Ratio
0.09
Sortino Ratio
0.14
Beta
0.01
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.