Collective2 Collective2
Featured Strategy Easiest +108.7% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

PrimeTime Mini Re-load
(21785063)

Created by: JonLechleidner JonLechleidner
Started: 06/2006
Futures
Last trade: 6,163 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 $300.00 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.

-
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
428
Num Trades
68.5%
Win Trades
1.0 : 1
Profit Factor
1.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006                                   (1.8%)(16%)+35.1%(10.4%)+4.2%(15.7%)+42.9%+25.3%
2007+50.2%(99.9%)(37156.9%)(20.4%)(9.2%)(9.9%)  -    -    -    -    -    -  (196%)
2008  -    -    -    -  (25.5%)  -    -    -    -    -    -    -  (25.5%)
2009  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2010  -    -    -    -    -    -    -    -    -    -    -    -  -
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 122 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 6258 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/5/07 11:42 @ESM7 E-MINI S&P 500 SHORT 50 1533.25 6/5 11:45 1532.00 0%
Trade id #26631441
Max drawdown$0
Time6/5/07 11:44
Quant open-50
Worst price1533.25
Drawdown as % of equity0.00%
 $2,725
Includes Typical Broker Commissions trade costs of $400.00
6/5/07 10:41 @ESM7 E-MINI S&P 500 LONG 20 1532.00 6/5 10:47 1534.12 n/a $1,965
Includes Typical Broker Commissions trade costs of $160.00
6/4/07 10:50 @ESM7 E-MINI S&P 500 LONG 20 1535.00 6/4 15:48 1539.12 0%
Trade id #26616197
Max drawdown$0
Time6/4/07 10:52
Quant open20
Worst price1535.00
Drawdown as % of equity0.00%
 $3,965
Includes Typical Broker Commissions trade costs of $160.00
6/4/07 10:11 @ESM7 E-MINI S&P 500 SHORT 20 1538.50 6/4 10:30 1538.25 0%
Trade id #26615256
Max drawdown$0
Time6/4/07 10:13
Quant open-20
Worst price1538.50
Drawdown as % of equity0.00%
 $90
Includes Typical Broker Commissions trade costs of $160.00
6/1/07 12:25 @ESM7 E-MINI S&P 500 LONG 20 1535.00 6/1 16:11 1540.00 1%
Trade id #26593411
Max drawdown($1,250)
Time6/1/07 12:50
Quant open20
Worst price1533.75
Drawdown as % of equity-1.00%
 $4,840
Includes Typical Broker Commissions trade costs of $160.00
6/1/07 10:52 @ESM7 E-MINI S&P 500 LONG 20 1537.00 6/1 11:00 1538.00 0.6%
Trade id #26591786
Max drawdown($750)
Time6/1/07 10:54
Quant open20
Worst price1536.25
Drawdown as % of equity-0.60%
 $840
Includes Typical Broker Commissions trade costs of $160.00
5/31/07 10:21 @ESM7 E-MINI S&P 500 LONG 50 1533.20 5/31 16:47 1533.75 6.11%
Trade id #26575011
Max drawdown($7,375)
Time5/31/07 13:28
Quant open50
Worst price1530.25
Drawdown as % of equity-6.11%
 $975
Includes Typical Broker Commissions trade costs of $400.00
5/31/07 10:01 @ESM7 E-MINI S&P 500 SHORT 20 1538.00 5/31 10:21 1534.00 n/a $3,840
Includes Typical Broker Commissions trade costs of $160.00
5/29/07 11:54 @ESM7 E-MINI S&P 500 LONG 80 1519.19 5/30 12:17 1519.75 1.7%
Trade id #26545206
Max drawdown($1,916)
Time5/30/07 0:00
Quant open20
Worst price1517.75
Drawdown as % of equity-1.70%
 $1,610
Includes Typical Broker Commissions trade costs of $640.00
5/29/07 9:56 @ESM7 E-MINI S&P 500 SHORT 50 1522.75 5/29 10:06 1522.00 3.81%
Trade id #26542506
Max drawdown($4,375)
Time5/29/07 10:01
Quant open-50
Worst price1524.50
Drawdown as % of equity-3.81%
 $1,475
Includes Typical Broker Commissions trade costs of $400.00
5/23/07 10:20 @ESM7 E-MINI S&P 500 SHORT 50 1533.00 5/23 12:38 1532.75 6.02%
Trade id #26482299
Max drawdown($6,875)
Time5/23/07 10:53
Quant open-50
Worst price1535.75
Drawdown as % of equity-6.02%
 $225
Includes Typical Broker Commissions trade costs of $400.00
5/9/07 14:43 @ESM7 E-MINI S&P 500 LONG 50 1516.25 5/9 19:00 1514.75 n/a ($4,150)
Includes Typical Broker Commissions trade costs of $400.00
5/8/07 14:28 @ESM7 E-MINI S&P 500 SHORT 50 1512.50 5/8 21:15 1511.25 2.72%
Trade id #26304340
Max drawdown($3,125)
Time5/8/07 15:48
Quant open-50
Worst price1513.75
Drawdown as % of equity-2.72%
 $2,725
Includes Typical Broker Commissions trade costs of $400.00
5/3/07 10:01 @ESM7 E-MINI S&P 500 SHORT 50 1504.75 5/3 19:30 1507.75 9.79%
Trade id #26250848
Max drawdown($11,250)
Time5/3/07 15:01
Quant open-50
Worst price1509.25
Drawdown as % of equity-9.79%
 ($7,900)
Includes Typical Broker Commissions trade costs of $400.00
4/30/07 11:42 @ESM7 E-MINI S&P 500 LONG 90 1498.17 5/1 12:30 1491.47 30.08%
Trade id #26185556
Max drawdown($39,791)
Time5/1/07 10:26
Quant open50
Worst price1482.25
Drawdown as % of equity-30.08%
 ($30,845)
Includes Typical Broker Commissions trade costs of $720.00
4/27/07 10:45 @ESM7 E-MINI S&P 500 LONG 20 1495.00 4/27 10:45 1495.00 n/a ($160)
Includes Typical Broker Commissions trade costs of $160.00
4/26/07 15:39 @ESM7 E-MINI S&P 500 LONG 66 1502.00 4/26 16:12 1502.25 5.44%
Trade id #26151640
Max drawdown($8,250)
Time4/26/07 16:01
Quant open66
Worst price1499.50
Drawdown as % of equity-5.44%
 $297
Includes Typical Broker Commissions trade costs of $528.00
4/26/07 13:22 @ESM7 E-MINI S&P 500 SHORT 20 1501.00 4/26 14:09 1500.75 n/a $90
Includes Typical Broker Commissions trade costs of $160.00
4/26/07 9:36 @ESM7 E-MINI S&P 500 LONG 40 1500.38 4/26 11:56 1500.50 4.13%
Trade id #26145610
Max drawdown($6,250)
Time4/26/07 10:23
Quant open40
Worst price1497.25
Drawdown as % of equity-4.13%
 ($70)
Includes Typical Broker Commissions trade costs of $320.00
4/25/07 13:57 @ESM7 E-MINI S&P 500 SHORT 60 1500.50 4/25 16:14 1500.75 6.01%
Trade id #26134957
Max drawdown($9,000)
Time4/25/07 15:41
Quant open-60
Worst price1503.50
Drawdown as % of equity-6.01%
 ($570)
Includes Typical Broker Commissions trade costs of $320.00
4/25/07 8:30 @ESM7 E-MINI S&P 500 SHORT 20 1493.50 4/25 10:35 1491.25 2.02%
Trade id #26128785
Max drawdown($3,000)
Time4/25/07 9:37
Quant open-20
Worst price1496.50
Drawdown as % of equity-2.02%
 $2,090
Includes Typical Broker Commissions trade costs of $160.00
4/24/07 13:16 @ESM7 E-MINI S&P 500 LONG 40 1485.00 4/24 14:33 1488.25 0.7%
Trade id #26118750
Max drawdown($1,000)
Time4/24/07 13:22
Quant open40
Worst price1484.50
Drawdown as % of equity-0.70%
 $6,180
Includes Typical Broker Commissions trade costs of $320.00
4/24/07 12:08 @ESM7 E-MINI S&P 500 SHORT 20 1487.75 4/24 12:44 1487.00 1.4%
Trade id #26117698
Max drawdown($2,000)
Time4/24/07 12:28
Quant open-20
Worst price1489.75
Drawdown as % of equity-1.40%
 $590
Includes Typical Broker Commissions trade costs of $160.00
4/24/07 9:38 @ESM7 E-MINI S&P 500 LONG 40 1488.00 4/24 9:44 1488.50 0.71%
Trade id #26114254
Max drawdown($1,000)
Time4/24/07 9:43
Quant open40
Worst price1487.50
Drawdown as % of equity-0.71%
 $680
Includes Typical Broker Commissions trade costs of $320.00
4/23/07 14:00 @ESM7 E-MINI S&P 500 LONG 20 1488.00 4/23 15:46 1488.75 0.71%
Trade id #26105265
Max drawdown($1,000)
Time4/23/07 14:03
Quant open20
Worst price1487.00
Drawdown as % of equity-0.71%
 $590
Includes Typical Broker Commissions trade costs of $160.00
4/23/07 11:09 @ESM7 E-MINI S&P 500 LONG 60 1492.00 4/23 13:19 1492.25 3.79%
Trade id #26103008
Max drawdown($5,250)
Time4/23/07 12:18
Quant open60
Worst price1490.25
Drawdown as % of equity-3.79%
 $270
Includes Typical Broker Commissions trade costs of $480.00
4/20/07 15:58 @ESM7 E-MINI S&P 500 SHORT 40 1492.50 4/23 10:28 1492.00 2.2%
Trade id #26084877
Max drawdown($3,000)
Time4/23/07 0:00
Quant open-40
Worst price1494.00
Drawdown as % of equity-2.20%
 $680
Includes Typical Broker Commissions trade costs of $320.00
4/20/07 12:46 @ESM7 E-MINI S&P 500 LONG 75 1486.20 4/20 15:43 1489.75 1.79%
Trade id #26083105
Max drawdown($2,250)
Time4/20/07 13:03
Quant open60
Worst price1485.25
Drawdown as % of equity-1.79%
 $12,713
Includes Typical Broker Commissions trade costs of $600.00
4/9/07 13:51 @ESM7 E-MINI S&P 500 LONG 60 1456.50 4/9 14:01 1454.00 5.63%
Trade id #25943055
Max drawdown($7,500)
Time4/9/07 14:00
Quant open60
Worst price1454.75
Drawdown as % of equity-5.63%
 ($7,980)
Includes Typical Broker Commissions trade costs of $480.00
4/4/07 13:40 @ESM7 E-MINI S&P 500 LONG 60 1446.50 4/4 14:44 1447.25 2.29%
Trade id #25901325
Max drawdown($3,000)
Time4/4/07 13:42
Quant open60
Worst price1445.50
Drawdown as % of equity-2.29%
 $1,770
Includes Typical Broker Commissions trade costs of $480.00
Next

Statistics

  • Strategy began
    6/29/2006
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6497.75
  • Age
    217 months ago
  • What it trades
    Futures
  • # Trades
    428
  • # Profitable
    293
  • % Profitable
    68.50%
  • Avg trade duration
    3.0 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    March 01, 2007 - March 28, 2007
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $3,155
  • Avg loss
    $6,883
  • Model Account Values (Raw)
  • Cash
    $109,374
  • Margin Used
    $0
  • Buying Power
    $109,374
  • Ratios
  • W:L ratio
    1.00:1
  • Sharpe Ratio
    -1.03
  • Sortino Ratio
    -1.07
  • Calmar Ratio
    -0.143
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -553.43%
  • Correlation to SP500
    0.08260
  • Return Percent SP500 (cumu) during strategy life
    293.69%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • 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)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.5%
  • 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
    $6,884
  • Avg Win
    $3,156
  • Sum Trade PL (losers)
    $929,285.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $924,643.000
  • # Winners
    293
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    135
  • % Winners
    68.5%
  • Frequency
  • Avg Position Time (mins)
    178.50
  • Avg Position Time (hrs)
    2.98
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    6157
  • Regression
  • Alpha
    0.00
  • Beta
    1.70
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    32.22
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    62.14
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.05
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    945.795
  • 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
    0.639
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.220
  • Hold-and-Hope Ratio
    0.012
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06083
  • SD
    0.53407
  • Sharpe ratio (Glass type estimate)
    0.11390
  • Sharpe ratio (Hedges UMVUE)
    0.11285
  • df
    81.00000
  • t
    0.29775
  • p
    0.38333
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63641
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.86355
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63713
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.86282
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.16767
  • Upside Potential Ratio
    0.92438
  • Upside part of mean
    0.33538
  • Downside part of mean
    -0.27455
  • Upside SD
    0.38784
  • Downside SD
    0.36282
  • N nonnegative terms
    73.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.19652
  • Mean of criterion
    0.06083
  • SD of predictor
    0.24496
  • SD of criterion
    0.53407
  • Covariance
    0.01798
  • r
    0.13746
  • b (slope, estimate of beta)
    0.29968
  • a (intercept, estimate of alpha)
    0.00194
  • Mean Square Error
    0.28334
  • DF error
    80.00000
  • t(b)
    1.24123
  • p(b)
    0.10907
  • t(a)
    0.00927
  • p(a)
    0.49632
  • Lowerbound of 95% confidence interval for beta
    -0.18080
  • Upperbound of 95% confidence interval for beta
    0.78016
  • Lowerbound of 95% confidence interval for alpha
    -0.41415
  • Upperbound of 95% confidence interval for alpha
    0.41802
  • Treynor index (mean / b)
    0.20299
  • Jensen alpha (a)
    0.00194
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11245
  • SD
    0.64573
  • Sharpe ratio (Glass type estimate)
    -0.17415
  • Sharpe ratio (Hedges UMVUE)
    -0.17253
  • df
    81.00000
  • t
    -0.45523
  • p
    0.67492
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92387
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.57663
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92278
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57772
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20046
  • Upside Potential Ratio
    0.49711
  • Upside part of mean
    0.27886
  • Downside part of mean
    -0.39131
  • Upside SD
    0.31345
  • Downside SD
    0.56097
  • N nonnegative terms
    73.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.16607
  • Mean of criterion
    -0.11245
  • SD of predictor
    0.24245
  • SD of criterion
    0.64573
  • Covariance
    0.02728
  • r
    0.17428
  • b (slope, estimate of beta)
    0.46416
  • a (intercept, estimate of alpha)
    -0.18953
  • Mean Square Error
    0.40935
  • DF error
    80.00000
  • t(b)
    1.58299
  • p(b)
    0.05868
  • t(a)
    -0.75949
  • p(a)
    0.77510
  • Lowerbound of 95% confidence interval for beta
    -0.11936
  • Upperbound of 95% confidence interval for beta
    1.04768
  • Lowerbound of 95% confidence interval for alpha
    -0.68616
  • Upperbound of 95% confidence interval for alpha
    0.30709
  • Treynor index (mean / b)
    -0.24227
  • Jensen alpha (a)
    -0.18953
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.27093
  • Expected Shortfall on VaR
    0.32399
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01145
  • Expected Shortfall on VaR
    0.04469
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    82.00000
  • Minimum
    0.31575
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.69422
  • Mean of quarter 1
    0.91066
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.10913
  • Inter Quartile Range
    0.00000
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.10976
  • Mean of outliers low
    0.79155
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.10976
  • Mean of outliers high
    1.25464
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.07614
  • VaR(95%) (moments method)
    0.00093
  • Expected Shortfall (moments method)
    0.00145
  • 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
    2.00000
  • Minimum
    0.56010
  • Quartile 1
    0.60315
  • Median
    0.64621
  • Quartile 3
    0.68926
  • Maximum
    0.73231
  • Mean of quarter 1
    0.56010
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.73231
  • Inter Quartile Range
    0.08610
  • 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)
    -0.07848
  • Compounded annual return (geometric extrapolation)
    -0.10636
  • Calmar ratio (compounded annual return / max draw down)
    -0.14524
  • Compounded annual return / average of 25% largest draw downs
    -0.14524
  • Compounded annual return / Expected Shortfall lognormal
    -0.32827
  • 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
    0.34432
  • SD
    1.01859
  • Sharpe ratio (Glass type estimate)
    0.33804
  • Sharpe ratio (Hedges UMVUE)
    0.33790
  • df
    1800.00000
  • t
    0.88628
  • p
    0.48956
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40963
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.08564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40974
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08553
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61074
  • Upside Potential Ratio
    2.74140
  • Upside part of mean
    1.54554
  • Downside part of mean
    -1.20122
  • Upside SD
    0.84826
  • Downside SD
    0.56378
  • N nonnegative terms
    1693.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1801.00000
  • Mean of predictor
    0.28326
  • Mean of criterion
    0.34432
  • SD of predictor
    0.52278
  • SD of criterion
    1.01859
  • Covariance
    0.06981
  • r
    0.13110
  • b (slope, estimate of beta)
    0.25544
  • a (intercept, estimate of alpha)
    0.27200
  • Mean Square Error
    1.02025
  • DF error
    1799.00000
  • t(b)
    5.60912
  • p(b)
    0.41678
  • t(a)
    0.70554
  • p(a)
    0.48941
  • Lowerbound of 95% confidence interval for beta
    0.16612
  • Upperbound of 95% confidence interval for beta
    0.34476
  • Lowerbound of 95% confidence interval for alpha
    -0.48405
  • Upperbound of 95% confidence interval for alpha
    1.02798
  • Treynor index (mean / b)
    1.34795
  • Jensen alpha (a)
    0.27197
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11178
  • SD
    0.95386
  • Sharpe ratio (Glass type estimate)
    -0.11719
  • Sharpe ratio (Hedges UMVUE)
    -0.11714
  • df
    1800.00000
  • t
    -0.30726
  • p
    0.50362
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86476
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63037
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86470
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63042
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.15490
  • Upside Potential Ratio
    1.81354
  • Upside part of mean
    1.30878
  • Downside part of mean
    -1.42057
  • Upside SD
    0.62336
  • Downside SD
    0.72167
  • N nonnegative terms
    1693.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1801.00000
  • Mean of predictor
    0.14625
  • Mean of criterion
    -0.11178
  • SD of predictor
    0.52483
  • SD of criterion
    0.95386
  • Covariance
    0.06736
  • r
    0.13456
  • b (slope, estimate of beta)
    0.24456
  • a (intercept, estimate of alpha)
    -0.14755
  • Mean Square Error
    0.89387
  • DF error
    1799.00000
  • t(b)
    5.75975
  • p(b)
    0.41459
  • t(a)
    -0.40912
  • p(a)
    0.50614
  • Lowerbound of 95% confidence interval for beta
    0.16128
  • Upperbound of 95% confidence interval for beta
    0.32784
  • Lowerbound of 95% confidence interval for alpha
    -0.85491
  • Upperbound of 95% confidence interval for alpha
    0.55980
  • Treynor index (mean / b)
    -0.45708
  • Jensen alpha (a)
    -0.14755
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09277
  • Expected Shortfall on VaR
    0.11463
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00044
  • Expected Shortfall on VaR
    0.00546
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1801.00000
  • Minimum
    0.41294
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.26086
  • Mean of quarter 1
    0.98169
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02361
  • Inter Quartile Range
    0.00000
  • Number outliers low
    108.00000
  • Percentage of outliers low
    0.05997
  • Mean of outliers low
    0.92354
  • Number of outliers high
    168.00000
  • Percentage of outliers high
    0.09328
  • Mean of outliers high
    1.06324
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52730
  • VaR(95%) (moments method)
    0.00001
  • Expected Shortfall (moments method)
    0.00337
  • 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
    8.00000
  • Minimum
    0.00034
  • Quartile 1
    0.00250
  • Median
    0.07269
  • Quartile 3
    0.54032
  • Maximum
    0.74090
  • Mean of quarter 1
    0.00106
  • Mean of quarter 2
    0.02096
  • Mean of quarter 3
    0.30788
  • Mean of quarter 4
    0.68678
  • Inter Quartile Range
    0.53782
  • 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)
    -0.07801
  • Compounded annual return (geometric extrapolation)
    -0.10576
  • Calmar ratio (compounded annual return / max draw down)
    -0.14275
  • Compounded annual return / average of 25% largest draw downs
    -0.15400
  • Compounded annual return / Expected Shortfall lognormal
    -0.92269
  • 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
    0.85349
  • Mean of criterion
    0.00000
  • SD of predictor
    0.62866
  • 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
    0.64414
  • Mean of criterion
    0.00000
  • SD of predictor
    0.65869
  • 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)
    0.09300
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -331608000
  • Max Equity Drawdown (num days)
    27
  • 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

Im in the club business, so I sit here every day for the last 10 years and try to figure out this trading business. Ive been charting and trading for that time. Also, Ive done a number of trading courses, and have developed my own system. Im using several different data points, as well as my own system and ideas to come up with profitable trades. I"m trying to use no more than a 2 point stop, some of my trades are scaled into, but Ill never add to what I think is a loser. Best of luck to all C2ers and traders.

Jon

P.S. My system here at C2 is a re-load. On the first day, I tried to get to the top of the C2 list, and got smoked. Then I decided to re-load, and trade my system for real. My re-load has a big dip, because I left one day without a stop in place, my mistake! But as you can see I was able to re-coup, without another re-load, so, I feel good about that. Actually, if I would of known my old system would follow me forever, I would have kept it and tried to get the 30,000 back.

Summary Statistics

Strategy began
2006-06-29
Suggested Minimum Capital
$100,000
# Trades
428
# Profitable
293
% Profitable
68.5%
Correlation S&P500
0.083
Sharpe Ratio
-1.03
Sortino Ratio
-1.07
Beta
1.70
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.