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Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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Seleukos Bonds and Metals Futures
(21775187)

Created by: SeleukosSrlFinance SeleukosSrlFinance
Started: 06/2006
Futures
Last trade: 5,058 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 $10.00 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.

3.2%
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.

(19.8%)
Max Drawdown
946
Num Trades
35.9%
Win Trades
1.3 : 1
Profit Factor
19.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006                                   (0.5%)(0.3%)+1.1%(2.7%)(2.8%)+9.2%+9.2%+13.1%
2007+9.2%(0.6%)+3.4%+4.0%+4.3%+3.6%+3.3%(4.4%)+4.2%(2%)+9.3%(1.4%)+37.1%
2008+2.6%(0.6%)(4.4%)(3.6%)+1.8%(0.3%)+0.8%(6.1%)+4.8%+4.5%+6.5%+1.1%+6.6%
2009+3.9%+2.4%(2.8%)+0.1%+0.5%(1.3%)(3.3%)(6.3%)+0.2%+6.7%(2.5%)+3.6%+0.5%
2010+0.6%+1.0%(2%)+0.2%+16.3%(6.3%)+0.1%(0.2%)  -    -    -    -  +8.7%
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -  +0.7%+0.1%+0.1%(0.3%)  -  (0.3%)(0.3%)(0.6%)(0.1%)(0.1%)(0.4%)(1.1%)
2015(1%)(0.1%)(0.5%)+0.3%  -  +0.2%(0.2%)+0.3%(0.1%)(0.2%)(0.4%)+0.4%(1.4%)
2016(0.1%)+0.1%+0.3%+0.1%(0.2%)(0.1%)+0.2%+0.2%(0.2%)(0.3%)  -    -  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 591 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/15/10 2:36 @USU0 US T-BOND LONG 2 124 2/32 6/15 3:24 123 22/32 0.38%
Trade id #50276078
Max drawdown($744)
Time6/15/10 3:15
Quant open2
Worst price123 23/32
Drawdown as % of equity-0.38%
 ($760)
Includes Typical Broker Commissions trade costs of $16.00
6/14/10 9:37 QGCQ0 Gold 100 oz LONG 2 1227.7 6/14 10:14 1224.0 0.37%
Trade id #50250075
Max drawdown($738)
Time6/14/10 10:07
Quant open2
Worst price1225.0
Drawdown as % of equity-0.37%
 ($754)
Includes Typical Broker Commissions trade costs of $16.00
6/11/10 8:25 QSIN0 Silver 5000 oz LONG 2 18.520 6/11 9:09 18.395 0.62%
Trade id #50205634
Max drawdown($1,254)
Time6/11/10 9:07
Quant open2
Worst price18.415
Drawdown as % of equity-0.62%
 ($1,270)
Includes Typical Broker Commissions trade costs of $16.00
6/11/10 8:20 @TYU0 US T-NOTE 10 YR SHORT 2 120 1/64 6/11 8:58 120 27/64 0.41%
Trade id #50205522
Max drawdown($824)
Time6/11/10 8:56
Quant open-2
Worst price120 26/64
Drawdown as % of equity-0.41%
 ($840)
Includes Typical Broker Commissions trade costs of $16.00
6/4/10 3:05 BDU0 EUREX BUND LONG 2 128.21 6/11 3:00 128.57 0.08%
Trade id #49986307
Max drawdown($160)
Time6/4/10 5:20
Quant open2
Worst price128.13
Drawdown as % of equity-0.08%
 $770
Includes Typical Broker Commissions trade costs of $16.00
6/10/10 8:25 QSIN0 Silver 5000 oz SHORT 2 18.010 6/10 10:00 18.286 1.35%
Trade id #50168881
Max drawdown($2,764)
Time6/10/10 9:57
Quant open-2
Worst price18.180
Drawdown as % of equity-1.35%
 ($2,780)
Includes Typical Broker Commissions trade costs of $16.00
6/7/10 8:20 @TYU0 US T-NOTE 10 YR LONG 2 120 36/64 6/10 8:20 120 43/64 0.13%
Trade id #50047222
Max drawdown($280)
Time6/7/10 8:40
Quant open2
Worst price120 27/64
Drawdown as % of equity-0.13%
 $204
Includes Typical Broker Commissions trade costs of $16.00
6/10/10 8:20 @USU0 US T-BOND SHORT 2 124 4/32 6/10 8:20 124 4/32 n/a ($16)
Includes Typical Broker Commissions trade costs of $16.00
6/8/10 8:20 @USU0 US T-BOND LONG 2 124 12/32 6/9 9:20 123 24/32 0.6%
Trade id #50087561
Max drawdown($1,244)
Time6/9/10 9:13
Quant open2
Worst price123 25/32
Drawdown as % of equity-0.60%
 ($1,260)
Includes Typical Broker Commissions trade costs of $16.00
6/8/10 8:20 QGCQ0 Gold 100 oz LONG 2 1245.5 6/9 3:39 1234.1 1.1%
Trade id #50087585
Max drawdown($2,288)
Time6/9/10 3:32
Quant open2
Worst price1234.1
Drawdown as % of equity-1.10%
 ($2,304)
Includes Typical Broker Commissions trade costs of $16.00
6/7/10 8:25 QSIN0 Silver 5000 oz SHORT 2 17.380 6/7 10:18 17.460 0.38%
Trade id #50047438
Max drawdown($800)
Time6/7/10 10:18
Quant open-2
Worst price17.445
Drawdown as % of equity-0.38%
 ($816)
Includes Typical Broker Commissions trade costs of $16.00
5/31/10 8:20 QGCQ0 Gold 100 oz LONG 2 1217.0 6/3 8:23 1217.8 0.19%
Trade id #49838472
Max drawdown($400)
Time6/2/10 10:04
Quant open2
Worst price1215.0
Drawdown as % of equity-0.19%
 $144
Includes Typical Broker Commissions trade costs of $16.00
5/31/10 3:02 BDU0 EUREX BUND LONG 2 128.16 6/1 10:32 127.88 0.3%
Trade id #49832392
Max drawdown($622)
Time5/31/10 3:35
Quant open2
Worst price127.99
Drawdown as % of equity-0.30%
 ($638)
Includes Typical Broker Commissions trade costs of $16.00
6/1/10 8:20 @TYU0 US T-NOTE 10 YR LONG 2 120 20/64 6/1 10:00 120 13/64 0.1%
Trade id #49870627
Max drawdown($218)
Time6/1/10 9:41
Quant open2
Worst price120 15/64
Drawdown as % of equity-0.10%
 ($234)
Includes Typical Broker Commissions trade costs of $16.00
5/31/10 8:20 @USU0 US T-BOND SHORT 2 122 20/32 5/31 8:20 122 20/32 n/a ($16)
Includes Typical Broker Commissions trade costs of $16.00
5/28/10 3:00 BDM0 EUREX BUND LONG 2 128.33 5/31 3:01 128.68 0.11%
Trade id #49795617
Max drawdown($240)
Time5/28/10 5:42
Quant open2
Worst price128.21
Drawdown as % of equity-0.11%
 $748
Includes Typical Broker Commissions trade costs of $16.00
5/28/10 8:20 QGCQ0 Gold 100 oz LONG 2 1215.5 5/28 9:23 1211.3 0.41%
Trade id #49802802
Max drawdown($848)
Time5/28/10 9:22
Quant open2
Worst price1211.5
Drawdown as % of equity-0.41%
 ($864)
Includes Typical Broker Commissions trade costs of $16.00
5/28/10 8:10 QSIN0 Silver 5000 oz LONG 2 18.520 5/28 8:28 18.413 0.51%
Trade id #49802323
Max drawdown($1,069)
Time5/28/10 8:26
Quant open2
Worst price18.460
Drawdown as % of equity-0.51%
 ($1,085)
Includes Typical Broker Commissions trade costs of $16.00
5/26/10 8:20 QGCQ0 Gold 100 oz LONG 2 1214.9 5/27 8:20 1209.2 0.54%
Trade id #49719220
Max drawdown($1,140)
Time5/26/10 8:53
Quant open2
Worst price1211.3
Drawdown as % of equity-0.54%
 ($1,156)
Includes Typical Broker Commissions trade costs of $16.00
5/17/10 3:00 BDM0 EUREX BUND LONG 2 126.58 5/26 10:03 128.46 0.17%
Trade id #49386967
Max drawdown($330)
Time5/17/10 6:27
Quant open1
Worst price126.21
Drawdown as % of equity-0.17%
 $4,087
Includes Typical Broker Commissions trade costs of $16.00
5/25/10 16:59 QSIN0 Silver 5000 oz LONG 2 17.971 5/26 7:28 18.280 0.2%
Trade id #49697887
Max drawdown($415)
Time5/25/10 18:15
Quant open2
Worst price17.930
Drawdown as % of equity-0.20%
 $3,069
Includes Typical Broker Commissions trade costs of $16.00
5/14/10 8:20 @TYM0 US T-NOTE 10 YR LONG 2 119 26/64 5/25 8:20 121 55/64 0.1%
Trade id #49348266
Max drawdown($187)
Time5/18/10 8:31
Quant open2
Worst price119 20/64
Drawdown as % of equity-0.10%
 $4,890
Includes Typical Broker Commissions trade costs of $16.00
5/19/10 8:20 @USM0 US T-BOND LONG 2 122 23/32 5/25 8:20 125 13/32 0.32%
Trade id #49485892
Max drawdown($625)
Time5/19/10 9:18
Quant open2
Worst price122 13/32
Drawdown as % of equity-0.32%
 $5,358
Includes Typical Broker Commissions trade costs of $16.00
5/20/10 8:12 QHGN0 Copper SHORT 2 295.25 5/20 8:13 295.20 n/a $9
Includes Typical Broker Commissions trade costs of $16.00
5/13/10 8:20 @USM0 US T-BOND SHORT 2 120 3/32 5/14 8:20 121 10/32 1.43%
Trade id #49307141
Max drawdown($2,749)
Time5/14/10 5:57
Quant open-2
Worst price121 15/32
Drawdown as % of equity-1.43%
 ($2,452)
Includes Typical Broker Commissions trade costs of $16.00
5/11/10 3:03 BDM0 EUREX BUND LONG 1 125.82 5/13 3:03 125.44 0.22%
Trade id #49222671
Max drawdown($415)
Time5/12/10 3:41
Quant open1
Worst price125.43
Drawdown as % of equity-0.22%
 ($423)
Includes Typical Broker Commissions trade costs of $8.00
5/11/10 8:25 QSIN0 Silver 5000 oz LONG 2 18.695 5/12 8:30 19.495 n/a $7,984
Includes Typical Broker Commissions trade costs of $16.00
5/11/10 8:20 @USM0 US T-BOND LONG 2 121 11/32 5/11 11:04 120 16/32 0.88%
Trade id #49230695
Max drawdown($1,664)
Time5/11/10 10:41
Quant open2
Worst price120 20/32
Drawdown as % of equity-0.88%
 ($1,680)
Includes Typical Broker Commissions trade costs of $16.00
4/30/10 3:00 BDM0 EUREX BUND LONG 1 124.48 5/10 2:01 126.35 0.12%
Trade id #48911185
Max drawdown($210)
Time5/3/10 9:47
Quant open1
Worst price124.27
Drawdown as % of equity-0.12%
 $2,032
Includes Typical Broker Commissions trade costs of $8.00
4/30/10 8:20 @TYM0 US T-NOTE 10 YR LONG 1 117 21/64 5/5 8:20 118 39/64 0.03%
Trade id #48918705
Max drawdown($62)
Time4/30/10 8:30
Quant open1
Worst price117 17/64
Drawdown as % of equity-0.03%
 $1,273
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    6/29/2006
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6498.23
  • Age
    217 months ago
  • What it trades
    Futures
  • # Trades
    946
  • # Profitable
    340
  • % Profitable
    35.90%
  • Avg trade duration
    1.8 days
  • Max peak-to-valley drawdown
    19.75%
  • drawdown period
    Aug 10, 2006 - Sept 12, 2006
  • Annual Return (Compounded)
    3.2%
  • Avg win
    $1,167
  • Avg loss
    $502.08
  • Model Account Values (Raw)
  • Cash
    $192,686
  • Margin Used
    $0
  • Buying Power
    $192,686
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    0.17
  • Sortino Ratio
    0.3
  • Calmar Ratio
    0.24
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -226.58%
  • Correlation to SP500
    -0.03890
  • Return Percent SP500 (cumu) during strategy life
    290.24%
  • Return Statistics
  • Ann Return (w trading costs)
    3.2%
  • Slump
  • Current Slump as Pcnt Equity
    10.30%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.78%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.032%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $502
  • Avg Win
    $1,167
  • Sum Trade PL (losers)
    $304,258.000
  • Age
  • Num Months filled monthly returns table
    215
  • Win / Loss
  • Sum Trade PL (winners)
    $396,906.000
  • # Winners
    340
  • Num Months Winners
    44
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    606
  • % Winners
    35.9%
  • Frequency
  • Avg Position Time (mins)
    2656.13
  • Avg Position Time (hrs)
    44.27
  • Avg Trade Length
    1.8 days
  • Last Trade Ago
    5051
  • Regression
  • Alpha
    0.00
  • Beta
    -0.01
  • Treynor Index
    -0.31
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    31.98
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    25.82
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.61
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    10.037
  • 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
    0.287
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.231
  • Hold-and-Hope Ratio
    0.099
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09772
  • SD
    0.14094
  • Sharpe ratio (Glass type estimate)
    0.69331
  • Sharpe ratio (Hedges UMVUE)
    0.68679
  • df
    80.00000
  • t
    1.80126
  • p
    0.03771
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07078
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45318
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07507
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44865
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30834
  • Upside Potential Ratio
    2.45574
  • Upside part of mean
    0.18341
  • Downside part of mean
    -0.08570
  • Upside SD
    0.12181
  • Downside SD
    0.07469
  • N nonnegative terms
    53.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.19778
  • Mean of criterion
    0.09772
  • SD of predictor
    0.23823
  • SD of criterion
    0.14094
  • Covariance
    -0.00302
  • r
    -0.08994
  • b (slope, estimate of beta)
    -0.05321
  • a (intercept, estimate of alpha)
    0.10824
  • Mean Square Error
    0.01995
  • DF error
    79.00000
  • t(b)
    -0.80266
  • p(b)
    0.78771
  • t(a)
    1.93534
  • p(a)
    0.02826
  • Lowerbound of 95% confidence interval for beta
    -0.18516
  • Upperbound of 95% confidence interval for beta
    0.07874
  • Lowerbound of 95% confidence interval for alpha
    -0.00308
  • Upperbound of 95% confidence interval for alpha
    0.21957
  • Treynor index (mean / b)
    -1.83642
  • Jensen alpha (a)
    0.10824
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08779
  • SD
    0.13864
  • Sharpe ratio (Glass type estimate)
    0.63319
  • Sharpe ratio (Hedges UMVUE)
    0.62724
  • df
    80.00000
  • t
    1.64509
  • p
    0.05194
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12946
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39198
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13338
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38787
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.11242
  • Upside Potential Ratio
    2.23639
  • Upside part of mean
    0.17648
  • Downside part of mean
    -0.08870
  • Upside SD
    0.11575
  • Downside SD
    0.07891
  • N nonnegative terms
    53.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.16813
  • Mean of criterion
    0.08779
  • SD of predictor
    0.24059
  • SD of criterion
    0.13864
  • Covariance
    -0.00251
  • r
    -0.07513
  • b (slope, estimate of beta)
    -0.04330
  • a (intercept, estimate of alpha)
    0.09507
  • Mean Square Error
    0.01935
  • DF error
    79.00000
  • t(b)
    -0.66970
  • p(b)
    0.74750
  • t(a)
    1.73987
  • p(a)
    0.04289
  • Lowerbound of 95% confidence interval for beta
    -0.17198
  • Upperbound of 95% confidence interval for beta
    0.08539
  • Lowerbound of 95% confidence interval for alpha
    -0.01369
  • Upperbound of 95% confidence interval for alpha
    0.20382
  • Treynor index (mean / b)
    -2.02753
  • Jensen alpha (a)
    0.09507
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05684
  • Expected Shortfall on VaR
    0.07238
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01221
  • Expected Shortfall on VaR
    0.02887
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    81.00000
  • Minimum
    0.85668
  • Quartile 1
    0.99736
  • Median
    1.00000
  • Quartile 3
    1.01505
  • Maximum
    1.16157
  • Mean of quarter 1
    0.97293
  • Mean of quarter 2
    0.99950
  • Mean of quarter 3
    1.00382
  • Mean of quarter 4
    1.05808
  • Inter Quartile Range
    0.01769
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.07407
  • Mean of outliers low
    0.93285
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.09337
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.62767
  • VaR(95%) (moments method)
    0.01611
  • Expected Shortfall (moments method)
    0.05198
  • Extreme Value Index (regression method)
    0.50960
  • VaR(95%) (regression method)
    0.03262
  • Expected Shortfall (regression method)
    0.08774
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.04348
  • Quartile 1
    0.04918
  • Median
    0.06723
  • Quartile 3
    0.09721
  • Maximum
    0.14332
  • Mean of quarter 1
    0.04543
  • Mean of quarter 2
    0.05460
  • Mean of quarter 3
    0.07987
  • Mean of quarter 4
    0.12316
  • Inter Quartile Range
    0.04803
  • 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)
    0.11979
  • Compounded annual return (geometric extrapolation)
    0.09176
  • Calmar ratio (compounded annual return / max draw down)
    0.64021
  • Compounded annual return / average of 25% largest draw downs
    0.74504
  • Compounded annual return / Expected Shortfall lognormal
    1.26776
  • 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
    0.13620
  • SD
    0.31149
  • Sharpe ratio (Glass type estimate)
    0.43724
  • Sharpe ratio (Hedges UMVUE)
    0.43706
  • df
    1776.00000
  • t
    1.13871
  • p
    0.48650
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31552
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18993
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31567
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18978
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65446
  • Upside Potential Ratio
    4.11696
  • Upside part of mean
    0.85676
  • Downside part of mean
    -0.72056
  • Upside SD
    0.23181
  • Downside SD
    0.20811
  • N nonnegative terms
    1149.00000
  • N negative terms
    628.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1777.00000
  • Mean of predictor
    0.30015
  • Mean of criterion
    0.13620
  • SD of predictor
    0.55105
  • SD of criterion
    0.31149
  • Covariance
    -0.00458
  • r
    -0.02666
  • b (slope, estimate of beta)
    -0.01507
  • a (intercept, estimate of alpha)
    0.14100
  • Mean Square Error
    0.09701
  • DF error
    1775.00000
  • t(b)
    -1.12343
  • p(b)
    0.51697
  • t(a)
    1.17594
  • p(a)
    0.48224
  • Lowerbound of 95% confidence interval for beta
    -0.04137
  • Upperbound of 95% confidence interval for beta
    0.01124
  • Lowerbound of 95% confidence interval for alpha
    -0.09398
  • Upperbound of 95% confidence interval for alpha
    0.37542
  • Treynor index (mean / b)
    -9.03896
  • Jensen alpha (a)
    0.14072
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08737
  • SD
    0.31404
  • Sharpe ratio (Glass type estimate)
    0.27820
  • Sharpe ratio (Hedges UMVUE)
    0.27808
  • df
    1776.00000
  • t
    0.72452
  • p
    0.49140
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47447
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.03080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47456
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.03072
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.38184
  • Upside Potential Ratio
    3.63838
  • Upside part of mean
    0.83247
  • Downside part of mean
    -0.74510
  • Upside SD
    0.21505
  • Downside SD
    0.22880
  • N nonnegative terms
    1149.00000
  • N negative terms
    628.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1777.00000
  • Mean of predictor
    0.14953
  • Mean of criterion
    0.08737
  • SD of predictor
    0.54924
  • SD of criterion
    0.31404
  • Covariance
    -0.00305
  • r
    -0.01768
  • b (slope, estimate of beta)
    -0.01011
  • a (intercept, estimate of alpha)
    0.08888
  • Mean Square Error
    0.09865
  • DF error
    1775.00000
  • t(b)
    -0.74485
  • p(b)
    0.51125
  • t(a)
    0.73686
  • p(a)
    0.48887
  • Lowerbound of 95% confidence interval for beta
    -0.03672
  • Upperbound of 95% confidence interval for beta
    0.01651
  • Lowerbound of 95% confidence interval for alpha
    -0.14769
  • Upperbound of 95% confidence interval for alpha
    0.32545
  • Treynor index (mean / b)
    -8.64396
  • Jensen alpha (a)
    0.08888
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03109
  • Expected Shortfall on VaR
    0.03888
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00465
  • Expected Shortfall on VaR
    0.01163
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1777.00000
  • Minimum
    0.73301
  • Quartile 1
    0.99897
  • Median
    1.00000
  • Quartile 3
    1.00074
  • Maximum
    1.29073
  • Mean of quarter 1
    0.98919
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00010
  • Mean of quarter 4
    1.01298
  • Inter Quartile Range
    0.00177
  • Number outliers low
    240.00000
  • Percentage of outliers low
    0.13506
  • Mean of outliers low
    0.98174
  • Number of outliers high
    288.00000
  • Percentage of outliers high
    0.16207
  • Mean of outliers high
    1.01907
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.04410
  • VaR(95%) (moments method)
    0.00792
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.66716
  • VaR(95%) (regression method)
    0.00712
  • Expected Shortfall (regression method)
    0.02564
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00382
  • Quartile 1
    0.01022
  • Median
    0.01694
  • Quartile 3
    0.06140
  • Maximum
    0.38027
  • Mean of quarter 1
    0.00599
  • Mean of quarter 2
    0.01289
  • Mean of quarter 3
    0.04585
  • Mean of quarter 4
    0.16500
  • Inter Quartile Range
    0.05118
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    0.28940
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.11301
  • VaR(95%) (moments method)
    0.15586
  • Expected Shortfall (moments method)
    0.20552
  • Extreme Value Index (regression method)
    0.37601
  • VaR(95%) (regression method)
    0.24512
  • Expected Shortfall (regression method)
    0.48086
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11922
  • Compounded annual return (geometric extrapolation)
    0.09130
  • Calmar ratio (compounded annual return / max draw down)
    0.24008
  • Compounded annual return / average of 25% largest draw downs
    0.55331
  • Compounded annual return / Expected Shortfall lognormal
    2.34790
  • 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
    0.77852
  • Mean of criterion
    0.00000
  • SD of predictor
    0.52352
  • 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
    0.63340
  • Mean of criterion
    0.00000
  • SD of predictor
    0.54759
  • 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)
    0.03100
  • 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?
    -348659000
  • Max Equity Drawdown (num days)
    33
  • 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













Trading german bund (BD) Ten years american bond (TY) and the glorious t-bond (US) , Comex Gold (GC), Silver (SI) and Copper (HG) Positions can go overnight. Very tight stop on first day. Next days automatic tight stops.

To roughly level the amounts we should use 1 contract for each bond and for copper, while we should use 2 contracts for gold and 2 contracts for silver. This is the best approximation in date July 13, 2006.

Bonds and Metals together because you can have a diversification that in our experience is very good because bonds and metals have different aspects.
You can also use only bonds or only metals. Nevertheless, if you usee metals, we strongly suggest to use all the three to avoid grat oscillations. The same for bonds: if you use them, please use all the three.






Seleukos Bonds Futures
Seleukos Metals Futures
Two SubSystems of Seleukos Trend Systems

STS is a very flexible system that chooses the best two averages for every instrument.
Relying on the last 55 market days, everyday STS establishes the averages

Summary Statistics

Strategy began
2006-06-29
Suggested Minimum Capital
$100,000
# Trades
946
# Profitable
340
% Profitable
35.9%
Correlation S&P500
-0.039
Sharpe Ratio
0.17
Sortino Ratio
0.30
Beta
-0.01
Alpha
0.00

Latest Activity

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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.
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  • "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.

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