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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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(22698817)
(22698817)

Created by: Username Username
Started: 09/2006
Futures
Last trade: 5,896 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. 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.

-17.4%

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(96.6%)
Max Drawdown
235
Num Trades
37.4%
Win Trades
0.8 : 1
Profit Factor
4.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006                                                        +18.6%(5.9%)(1.9%)+12.4%+23.0%
2007(18.1%)+40.8%(13.7%)(9.4%)+11.7%+16.6%+14.9%(12.5%)(7.3%)(23.2%)(6%)+10.0%(12.9%)
2008(94.1%)+122.0%(26.1%)  -    -    -    -    -    -    -    -    -  (90.4%)
2009  -    -    -    -    -    -    -    -    -  +0.1%  -    -  +0.1%
2010  -    -    -    -    -    -    -  (0.1%)  -    -    -    -  (0.1%)
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/19/07 10:00 LBH8 LUMBER LONG 50 238.35 2/26/08 10:00 222.26 n/a ($88,906)
Includes Typical Broker Commissions trade costs of $400.00
1/22/08 16:22 EUR/USD EUR/USD LONG 90 1.46200 1/22 23:45 1.46246 1.51%
Trade id #30225572
Max drawdown($544)
Time1/22/08 22:58
Quant open90
Worst price1.46140
Drawdown as % of equity-1.51%
 $414
1/3/08 23:38 @LEG8 LIVE CATTLE LONG 20 92.905 1/22 23:45 90.513 33.46%
Trade id #29940344
Max drawdown($30,640)
Time1/17/08 11:30
Quant open20
Worst price89.075
Drawdown as % of equity-33.46%
 ($19,300)
Includes Typical Broker Commissions trade costs of $160.00
1/18/08 13:26 @NDH8 NASDAQ 100 INDEX LONG 1 1855.25 1/20 22:04 1846.25 1.13%
Trade id #30178273
Max drawdown($900)
Time1/20/08 21:55
Quant open1
Worst price1846.50
Drawdown as % of equity-1.13%
 ($908)
Includes Typical Broker Commissions trade costs of $8.00
1/18/08 13:26 @SPH8 S&P 500 - GLOBEX LONG 1 1324.00 1/20 22:04 1321.60 1.22%
Trade id #30178250
Max drawdown($975)
Time1/20/08 21:22
Quant open1
Worst price1320.10
Drawdown as % of equity-1.22%
 ($608)
Includes Typical Broker Commissions trade costs of $8.00
1/17/08 12:40 QCLH8 CRUDE OIL LONG 5 89.36 1/20 20:15 90.20 1.42%
Trade id #30153564
Max drawdown($1,300)
Time1/17/08 19:13
Quant open5
Worst price89.10
Drawdown as % of equity-1.42%
 $4,160
Includes Typical Broker Commissions trade costs of $40.00
1/7/08 22:09 @YIH8 Mini Silver ICE LONG 1 15.374 1/20 20:15 16.245 0.04%
Trade id #29986689
Max drawdown($46)
Time1/8/08 1:38
Quant open1
Worst price15.328
Drawdown as % of equity-0.04%
 $863
Includes Typical Broker Commissions trade costs of $8.00
1/7/08 22:07 @YGG8 Mini Gold NYSE Liffe LONG 1 864.7 1/20 20:15 883.8 0.02%
Trade id #29986668
Max drawdown($29)
Time1/7/08 23:01
Quant open1
Worst price863.8
Drawdown as % of equity-0.02%
 $626
Includes Typical Broker Commissions trade costs of $8.00
1/7/08 22:02 @JYH8 JAPANESE YEN LONG 1 0.921600 1/17 12:39 0.939000 0.7%
Trade id #29986585
Max drawdown($850)
Time1/10/08 4:43
Quant open1
Worst price0.914800
Drawdown as % of equity-0.70%
 $2,167
Includes Typical Broker Commissions trade costs of $8.00
1/7/08 22:03 @EUH8 EUROFX LONG 1 1.47010 1/17 12:39 1.46830 1.64%
Trade id #29986604
Max drawdown($1,500)
Time1/17/08 3:31
Quant open1
Worst price1.45810
Drawdown as % of equity-1.64%
 ($233)
Includes Typical Broker Commissions trade costs of $8.00
11/29/07 21:08 @BPH8 BRITISH POUND SHORT 1 2.0564 1/17/08 12:38 1.9673 0.31%
Trade id #29428160
Max drawdown($331)
Time11/30/07 5:32
Quant open-1
Worst price2.0617
Drawdown as % of equity-0.31%
 $5,561
Includes Typical Broker Commissions trade costs of $8.00
12/31/07 9:00 QCLG8 CRUDE OIL LONG 10 93.27 1/17/08 12:36 92.85 13.12%
Trade id #29880522
Max drawdown($12,015)
Time1/16/08 11:00
Quant open3
Worst price89.26
Drawdown as % of equity-13.12%
 ($4,240)
Includes Typical Broker Commissions trade costs of $80.00
1/8/08 1:31 @CCH8 COCOA LONG 1 2144 1/16 8:46 2143 0.06%
Trade id #29989223
Max drawdown($70)
Time1/8/08 6:53
Quant open1
Worst price2137
Drawdown as % of equity-0.06%
 ($18)
Includes Typical Broker Commissions trade costs of $8.00
1/11/08 11:41 @QGH8 MINY NATURAL GAS LONG 1 8.140 1/15 15:13 8.120 0.27%
Trade id #30058669
Max drawdown($312)
Time1/15/08 13:15
Quant open1
Worst price8.015
Drawdown as % of equity-0.27%
 ($58)
Includes Typical Broker Commissions trade costs of $8.00
11/29/07 21:11 @CDH8 CANADIAN DOLLAR SHORT 2 0.9952 1/15/08 8:23 1.0021 2.46%
Trade id #29428194
Max drawdown($3,065)
Time12/28/07 10:20
Quant open-1
Worst price1.0259
Drawdown as % of equity-2.46%
 ($1,386)
Includes Typical Broker Commissions trade costs of $16.00
1/14/08 11:59 @CH8 CORN LONG 6 515 1/15 8:22 509 2/4 2.4%
Trade id #30083777
Max drawdown($3,000)
Time1/14/08 19:08
Quant open6
Worst price505
Drawdown as % of equity-2.40%
 ($1,698)
Includes Typical Broker Commissions trade costs of $48.00
1/14/08 12:00 @WH8 WHEAT LONG 6 939 1/4 1/15 8:21 911 2/4 9.11%
Trade id #30083810
Max drawdown($11,475)
Time1/14/08 23:14
Quant open6
Worst price901
Drawdown as % of equity-9.11%
 ($8,373)
Includes Typical Broker Commissions trade costs of $48.00
1/12/08 1:30 @SBH8 Sugar #11 SHORT 6 11.34 1/15 8:20 11.47 1.17%
Trade id #30066537
Max drawdown($1,478)
Time1/15/08 7:53
Quant open-6
Worst price11.56
Drawdown as % of equity-1.17%
 ($922)
Includes Typical Broker Commissions trade costs of $48.00
11/14/07 21:48 @DXH8 US Dollar Index LONG 3 75.830 1/14/08 1:09 75.820 3.22%
Trade id #29179707
Max drawdown($3,690)
Time11/21/07 17:17
Quant open3
Worst price74.600
Drawdown as % of equity-3.22%
 ($54)
Includes Typical Broker Commissions trade costs of $24.00
1/2/08 10:02 @CTH8 COTTON - #2 LONG 1 6788 1/12 1:30 6996 0.54%
Trade id #29906454
Max drawdown($610)
Time1/10/08 14:28
Quant open1
Worst price6666
Drawdown as % of equity-0.54%
 $1,032
Includes Typical Broker Commissions trade costs of $8.00
1/3/08 1:30 @SBH8 Sugar #11 LONG 3 10.78 1/12 1:30 11.34 0.12%
Trade id #29920824
Max drawdown($168)
Time1/3/08 1:33
Quant open3
Worst price10.73
Drawdown as % of equity-0.12%
 $1,858
Includes Typical Broker Commissions trade costs of $24.00
12/18/07 21:55 @SH8 SOYBEANS LONG 2 1170 1/11/08 13:51 1304 2/4 0.21%
Trade id #29707455
Max drawdown($275)
Time12/18/07 22:30
Quant open2
Worst price1167 1/4
Drawdown as % of equity-0.21%
 $13,434
Includes Typical Broker Commissions trade costs of $16.00
11/29/07 20:42 @CH8 CORN LONG 1 399 2/4 1/11/08 13:51 510 0.18%
Trade id #29427728
Max drawdown($200)
Time11/30/07 10:32
Quant open1
Worst price395 2/4
Drawdown as % of equity-0.18%
 $5,517
Includes Typical Broker Commissions trade costs of $8.00
1/9/08 10:36 @NQH8 E-MINI NASDAQ 100 STK IDX LONG 2 1932.00 1/11 13:17 1931.50 0.9%
Trade id #30015167
Max drawdown($1,160)
Time1/9/08 14:17
Quant open2
Worst price1903.00
Drawdown as % of equity-0.90%
 ($36)
Includes Typical Broker Commissions trade costs of $16.00
12/28/07 9:00 NGG8 NATURAL GAS LONG 1 7.150 1/11/08 11:38 8.205 n/a $10,542
Includes Typical Broker Commissions trade costs of $8.00
1/7/08 22:01 @NDH8 NASDAQ 100 INDEX LONG 1 1979.75 1/11 8:22 1949.00 4.9%
Trade id #29986549
Max drawdown($6,200)
Time1/9/08 9:06
Quant open1
Worst price1917.75
Drawdown as % of equity-4.90%
 ($3,083)
Includes Typical Broker Commissions trade costs of $8.00
11/29/07 20:43 @WH8 WHEAT LONG 1 879 3/4 1/10/08 10:30 879 2/4 0.58%
Trade id #29427749
Max drawdown($650)
Time12/3/07 10:48
Quant open1
Worst price866 3/4
Drawdown as % of equity-0.58%
 ($21)
Includes Typical Broker Commissions trade costs of $8.00
12/12/07 1:46 @OJH8 Orange Juice LONG 2 147.90 1/5/08 1:30 137.30 2.79%
Trade id #29580815
Max drawdown($3,675)
Time1/4/08 11:15
Quant open2
Worst price135.65
Drawdown as % of equity-2.79%
 ($3,196)
Includes Typical Broker Commissions trade costs of $16.00
1/3/08 10:05 LCG8 LIVE CATTLE LONG 2 96.400 1/4 10:10 95.350 1.12%
Trade id #29927814
Max drawdown($1,460)
Time1/3/08 13:56
Quant open2
Worst price94.575
Drawdown as % of equity-1.12%
 ($856)
Includes Typical Broker Commissions trade costs of $16.00
11/29/07 21:05 @JYH8 JAPANESE YEN SHORT 1 0.918200 1/3/08 0:17 0.918800 0.58%
Trade id #29428115
Max drawdown($662)
Time12/4/07 9:38
Quant open-1
Worst price0.923500
Drawdown as % of equity-0.58%
 ($83)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    9/21/2006
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6415.93
  • Age
    214 months ago
  • What it trades
    Futures
  • # Trades
    235
  • # Profitable
    88
  • % Profitable
    37.40%
  • Avg trade duration
    15.6 days
  • Max peak-to-valley drawdown
    96.57%
  • drawdown period
    Aug 06, 2007 - Feb 21, 2008
  • Annual return (compounded)
    -8.2%
  • Avg win
    $4,060
  • Avg loss
    $2,958
  • Model Account Values (Raw)
  • Cash
    $22,381
  • Margin Used
    $0
  • Buying Power
    $22,381
  • Ratios
  • W:L ratio
    0.82:1
  • Sharpe Ratio
    0.3
  • Sortino Ratio
    4.05
  • Calmar Ratio
    -0.231
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.05220
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -106.42%
  • Return Percent SP500 (cumu) during strategy life
    280.20%
  • Return Statistics
  • Ann Return (w trading costs)
    -17.4%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    1543.10%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -8.2%
  • 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
    $4,061
  • Avg Loss
    $2,959
  • Sum Trade PL (losers)
    $434,949.000
  • Sum Trade PL (winners)
    $357,325.000
  • # Winners
    88
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    11
  • Age
  • Num Months filled monthly returns table
    212
  • Win / Loss
  • # Losers
    147
  • % Winners
    37.5%
  • Frequency
  • Avg Position Time (mins)
    22516.50
  • Avg Position Time (hrs)
    375.28
  • Avg Trade Length
    15.6 days
  • Last Trade Ago
    5893
  • Regression
  • Alpha
    0.00
  • Beta
    2.54
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -3.02
  • MAE:Equity, average, all trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    59.478
  • 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
    71.64
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    10.94
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.291
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.333
  • Hold-and-Hope Ratio
    0.017
  • 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)
    5.71200
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.29600
  • 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)
    199
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Summary Statistics

Strategy began
2006-09-21
Suggested Minimum Capital
$100,000
# Trades
235
# Profitable
88
% Profitable
37.4%
Correlation S&P500
0.052
Sharpe Ratio
0.30
Sortino Ratio
4.05
Beta
2.54
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.