Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +36.6% Cumul. Return since Sep 23, 2025 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...

FERRARI HEDGE FUND
(26011658)

Created by: SYSTEMDEVELOPER SYSTEMDEVELOPER
Started: 04/2007
Futures
Last trade: 6,662 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.

0.2%
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.

(24.7%)
Max Drawdown
28
Num Trades
57.1%
Win Trades
1.1 : 1
Profit Factor
5.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007                     (1%)+7.2%+8.3%+8.3%(1.3%)+2.2%+0.3%+4.0%(2.8%)+27.4%
2008(3.3%)(10.7%)(6.8%)  -    -    -    -    -    -    -    -    -  (19.6%)
2009  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2010  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -  +1.8%  -  +0.1%(0.1%)  -  (0.1%)(0.1%)(0.2%)  -  (0.1%)(0.1%)+1.2%
2015(0.3%)  -  (0.1%)  -    -  +0.1%(0.1%)+0.1%  -  (0.1%)(0.1%)+0.1%(0.4%)
2016  -    -  +0.2%  -    -    -    -    -    -  (0.1%)  -    -  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
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/13/08 12:48 XGH8 DAX INDEX LONG 1 6486.00 3/14 11:33 6433.50 2.45%
Trade id #31060298
Max drawdown($2,612)
Time3/14/08 10:03
Quant open1
Worst price6381.50
Drawdown as % of equity-2.45%
 ($1,442)
Includes Typical Broker Commissions trade costs of $8.00
3/13/08 10:01 XGH8 DAX INDEX SHORT 1 6407.00 3/13 12:48 6486.00 2.81%
Trade id #31055772
Max drawdown($3,079)
Time3/13/08 12:18
Quant open-1
Worst price6523.50
Drawdown as % of equity-2.81%
 ($2,165)
Includes Typical Broker Commissions trade costs of $8.00
3/11/08 9:55 XGH8 DAX INDEX LONG 1 6583.50 3/13 10:01 6407.00 6.27%
Trade id #31015584
Max drawdown($6,884)
Time3/13/08 9:59
Quant open1
Worst price6403.50
Drawdown as % of equity-6.27%
 ($4,828)
Includes Typical Broker Commissions trade costs of $8.00
2/29/08 8:25 XGH8 DAX INDEX SHORT 1 6759.50 3/11 9:54 6583.50 0.73%
Trade id #30855860
Max drawdown($825)
Time2/29/08 8:41
Quant open-1
Worst price6792.50
Drawdown as % of equity-0.73%
 $4,799
Includes Typical Broker Commissions trade costs of $8.00
2/13/08 2:01 XGH8 DAX INDEX LONG 1 6929.50 2/29 8:25 6759.50 5.69%
Trade id #30609348
Max drawdown($6,449)
Time2/29/08 7:40
Quant open1
Worst price6752.50
Drawdown as % of equity-5.69%
 ($4,650)
Includes Typical Broker Commissions trade costs of $8.00
2/1/08 10:05 XGH8 DAX INDEX LONG 1 7054.00 2/5 10:51 6814.00 7.18%
Trade id #30436620
Max drawdown($8,786)
Time2/5/08 9:47
Quant open1
Worst price6822.00
Drawdown as % of equity-7.18%
 ($6,562)
Includes Typical Broker Commissions trade costs of $8.00
1/25/08 3:13 XGH8 DAX INDEX LONG 1 7032.00 1/25 14:51 6769.00 7.34%
Trade id #30275683
Max drawdown($9,643)
Time1/25/08 14:49
Quant open1
Worst price6770.50
Drawdown as % of equity-7.34%
 ($7,191)
Includes Typical Broker Commissions trade costs of $8.00
1/24/08 6:07 XGH8 DAX INDEX LONG 1 6863.00 1/24 14:46 6879.50 1.39%
Trade id #30257292
Max drawdown($1,862)
Time1/24/08 10:23
Quant open1
Worst price6788.50
Drawdown as % of equity-1.39%
 $443
Includes Typical Broker Commissions trade costs of $8.00
1/24/08 5:36 XGH8 DAX INDEX LONG 1 6801.00 1/24 6:02 6828.00 0%
Trade id #30256493
Max drawdown$0
Time1/24/08 5:38
Quant open1
Worst price6801.00
Drawdown as % of equity0.00%
 $729
Includes Typical Broker Commissions trade costs of $8.00
1/23/08 10:59 XGH8 DAX INDEX LONG 1 6559.00 1/23 13:14 6393.50 4.41%
Trade id #30240248
Max drawdown($6,021)
Time1/23/08 13:03
Quant open1
Worst price6381.00
Drawdown as % of equity-4.41%
 ($4,528)
Includes Typical Broker Commissions trade costs of $8.00
1/23/08 8:52 XGH8 DAX INDEX LONG 1 6495.00 1/23 10:34 6529.00 0.8%
Trade id #30235933
Max drawdown($1,087)
Time1/23/08 9:27
Quant open1
Worst price6451.50
Drawdown as % of equity-0.80%
 $920
Includes Typical Broker Commissions trade costs of $8.00
1/22/08 6:04 XGH8 DAX INDEX LONG 1 6785.00 1/22 14:44 6845.00 2.8%
Trade id #30209628
Max drawdown($3,750)
Time1/22/08 8:03
Quant open1
Worst price6635.00
Drawdown as % of equity-2.80%
 $1,631
Includes Typical Broker Commissions trade costs of $8.00
1/10/08 12:06 XGH8 DAX INDEX SHORT 1 7780.50 1/15 10:54 7640.00 1.48%
Trade id #30037392
Max drawdown($1,912)
Time1/10/08 12:25
Quant open-1
Worst price7857.00
Drawdown as % of equity-1.48%
 $3,829
Includes Typical Broker Commissions trade costs of $8.00
1/8/08 7:27 XGH8 DAX INDEX LONG 1 7943.00 1/8 11:07 7956.50 0.11%
Trade id #29992256
Max drawdown($150)
Time1/8/08 7:34
Quant open1
Worst price7937.00
Drawdown as % of equity-0.11%
 $361
Includes Typical Broker Commissions trade costs of $8.00
1/3/08 6:19 XGH8 DAX INDEX SHORT 1 7967.00 1/8 7:26 7944.00 0.65%
Trade id #29923395
Max drawdown($825)
Time1/3/08 12:31
Quant open-1
Worst price8000.00
Drawdown as % of equity-0.65%
 $620
Includes Typical Broker Commissions trade costs of $8.00
12/14/07 6:34 XGH8 DAX INDEX SHORT 1 8004.50 12/21 7:00 8105.50 2.78%
Trade id #29622182
Max drawdown($3,629)
Time12/21/07 5:44
Quant open-1
Worst price8092.00
Drawdown as % of equity-2.78%
 ($2,766)
Includes Typical Broker Commissions trade costs of $8.00
11/26/07 2:00 XGZ7 DAX INDEX LONG 1 7693.50 11/26 11:51 7597.50 2.66%
Trade id #29347930
Max drawdown($3,567)
Time11/26/07 11:19
Quant open1
Worst price7584.50
Drawdown as % of equity-2.66%
 ($2,630)
Includes Typical Broker Commissions trade costs of $8.00
11/15/07 5:24 XGZ7 DAX INDEX SHORT 1 7736.00 11/21 5:19 7503.00 0.51%
Trade id #29182791
Max drawdown($650)
Time11/15/07 5:46
Quant open-1
Worst price7762.00
Drawdown as % of equity-0.51%
 $6,355
Includes Typical Broker Commissions trade costs of $8.00
10/5/07 3:01 XGZ7 DAX INDEX LONG 1 8028.50 10/8 13:06 8042.00 0.19%
Trade id #28480154
Max drawdown($237)
Time10/5/07 3:29
Quant open1
Worst price8019.00
Drawdown as % of equity-0.19%
 $361
Includes Typical Broker Commissions trade costs of $8.00
9/13/07 12:17 XGZ7 DAX INDEX LONG 1 7621.00 9/27 10:23 7933.50 2.14%
Trade id #28165439
Max drawdown($2,450)
Time9/17/07 4:01
Quant open1
Worst price7523.00
Drawdown as % of equity-2.14%
 $8,526
Includes Typical Broker Commissions trade costs of $8.00
8/31/07 8:30 XGU7 DAX INDEX LONG 1 7633.00 9/7 15:46 7439.50 5.54%
Trade id #27940758
Max drawdown($6,660)
Time9/7/07 11:30
Quant open1
Worst price7431.00
Drawdown as % of equity-5.54%
 ($5,292)
Includes Typical Broker Commissions trade costs of $8.00
8/13/07 9:14 XGU7 DAX INDEX LONG 1 7482.00 8/15 15:47 7388.00 2.6%
Trade id #27633988
Max drawdown($3,161)
Time8/15/07 15:35
Quant open1
Worst price7375.00
Drawdown as % of equity-2.60%
 ($2,575)
Includes Typical Broker Commissions trade costs of $8.00
7/24/07 9:40 XGU7 DAX INDEX SHORT 1 7857.00 7/26 11:28 7557.00 0.91%
Trade id #27216761
Max drawdown($1,037)
Time7/24/07 10:44
Quant open-1
Worst price7898.50
Drawdown as % of equity-0.91%
 $8,185
Includes Typical Broker Commissions trade costs of $8.00
7/5/07 4:41 XGU7 DAX INDEX SHORT 1 8094.50 7/6 15:56 8113.50 1.25%
Trade id #27007701
Max drawdown($1,437)
Time7/5/07 8:35
Quant open-1
Worst price8152.00
Drawdown as % of equity-1.25%
 ($527)
Includes Typical Broker Commissions trade costs of $8.00
6/21/07 2:01 XGU7 DAX INDEX SHORT 1 8117.50 6/28 2:01 7968.00 0.55%
Trade id #26840070
Max drawdown($600)
Time6/21/07 3:15
Quant open-1
Worst price8141.50
Drawdown as % of equity-0.55%
 $4,075
Includes Typical Broker Commissions trade costs of $8.00
6/15/07 2:00 XGU7 DAX INDEX LONG 1 7940.50 6/15 8:41 8054.00 0%
Trade id #26769209
Max drawdown$0
Time6/15/07 2:03
Quant open1
Worst price7940.50
Drawdown as % of equity0.00%
 $3,092
Includes Typical Broker Commissions trade costs of $8.00
5/18/07 4:00 XGM7 DAX INDEX LONG 1 7584.00 5/24 14:43 7692.00 0.45%
Trade id #26427504
Max drawdown($462)
Time5/18/07 6:39
Quant open1
Worst price7565.50
Drawdown as % of equity-0.45%
 $2,941
Includes Typical Broker Commissions trade costs of $8.00
4/26/07 7:03 XGM7 DAX INDEX LONG 2 7449.00 5/8 6:53 7487.00 3.8%
Trade id #26143295
Max drawdown($3,800)
Time4/27/07 8:35
Quant open2
Worst price7373.00
Drawdown as % of equity-3.80%
 $2,060
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    4/14/2007
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6992.74
  • Age
    233 months ago
  • What it trades
    Futures
  • # Trades
    28
  • # Profitable
    16
  • % Profitable
    57.10%
  • Avg trade duration
    4.1 days
  • Max peak-to-valley drawdown
    24.68%
  • drawdown period
    Jan 22, 2008 - April 09, 2008
  • Annual Return (Compounded)
    0.2%
  • Avg win
    $3,066
  • Avg loss
    $3,755
  • Model Account Values (Raw)
  • Cash
    $104,001
  • Margin Used
    $0
  • Buying Power
    $104,001
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    -0.28
  • Sortino Ratio
    -0.41
  • Calmar Ratio
    0.027
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -404.96%
  • Correlation to SP500
    0.00630
  • Return Percent SP500 (cumu) during strategy life
    408.42%
  • Return Statistics
  • Ann Return (w trading costs)
    0.2%
  • Slump
  • Current Slump as Pcnt Equity
    31.80%
  • 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)
    0.002%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    59.50%
  • Chance of 20% account loss
    18.00%
  • Chance of 30% account loss
    1.00%
  • 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
    $3,755
  • Avg Win
    $3,066
  • Sum Trade PL (losers)
    $45,060.000
  • Age
  • Num Months filled monthly returns table
    231
  • Win / Loss
  • Sum Trade PL (winners)
    $49,063.000
  • # Winners
    16
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    12
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    5941.57
  • Avg Position Time (hrs)
    99.03
  • Avg Trade Length
    4.1 days
  • Last Trade Ago
    6658
  • Regression
  • Alpha
    -0.00
  • Beta
    0.00
  • Treynor Index
    -2.65
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    23.96
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    21.69
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.17
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    20.380
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.401
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.374
  • Hold-and-Hope Ratio
    0.049
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01046
  • SD
    0.08892
  • Sharpe ratio (Glass type estimate)
    0.11760
  • Sharpe ratio (Hedges UMVUE)
    0.11637
  • df
    72.00000
  • t
    0.29006
  • p
    0.38630
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67768
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91209
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67851
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91125
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.15888
  • Upside Potential Ratio
    0.85476
  • Upside part of mean
    0.05626
  • Downside part of mean
    -0.04581
  • Upside SD
    0.05895
  • Downside SD
    0.06582
  • N nonnegative terms
    60.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.22478
  • Mean of criterion
    0.01046
  • SD of predictor
    0.35530
  • SD of criterion
    0.08892
  • Covariance
    0.00086
  • r
    0.02737
  • b (slope, estimate of beta)
    0.00685
  • a (intercept, estimate of alpha)
    0.00892
  • Mean Square Error
    0.00801
  • DF error
    71.00000
  • t(b)
    0.23075
  • p(b)
    0.40909
  • t(a)
    0.24166
  • p(a)
    0.40487
  • Lowerbound of 95% confidence interval for beta
    -0.05235
  • Upperbound of 95% confidence interval for beta
    0.06605
  • Lowerbound of 95% confidence interval for alpha
    -0.06466
  • Upperbound of 95% confidence interval for alpha
    0.08250
  • Treynor index (mean / b)
    1.52641
  • Jensen alpha (a)
    0.00892
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00645
  • SD
    0.09081
  • Sharpe ratio (Glass type estimate)
    0.07101
  • Sharpe ratio (Hedges UMVUE)
    0.07027
  • df
    72.00000
  • t
    0.17514
  • p
    0.43073
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72396
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.86552
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72447
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.86500
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.09217
  • Upside Potential Ratio
    0.78041
  • Upside part of mean
    0.05460
  • Downside part of mean
    -0.04816
  • Upside SD
    0.05694
  • Downside SD
    0.06997
  • N nonnegative terms
    60.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.16340
  • Mean of criterion
    0.00645
  • SD of predictor
    0.34778
  • SD of criterion
    0.09081
  • Covariance
    0.00107
  • r
    0.03402
  • b (slope, estimate of beta)
    0.00888
  • a (intercept, estimate of alpha)
    0.00500
  • Mean Square Error
    0.00835
  • DF error
    71.00000
  • t(b)
    0.28685
  • p(b)
    0.38753
  • t(a)
    0.13361
  • p(a)
    0.44705
  • Lowerbound of 95% confidence interval for beta
    -0.05287
  • Upperbound of 95% confidence interval for beta
    0.07064
  • Lowerbound of 95% confidence interval for alpha
    -0.06958
  • Upperbound of 95% confidence interval for alpha
    0.07957
  • Treynor index (mean / b)
    0.72585
  • Jensen alpha (a)
    0.00500
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04169
  • Expected Shortfall on VaR
    0.05209
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00348
  • Expected Shortfall on VaR
    0.01049
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    73.00000
  • Minimum
    0.86709
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.08383
  • Mean of quarter 1
    0.98533
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01901
  • Inter Quartile Range
    0.00000
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.17808
  • Mean of outliers low
    0.97857
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.16438
  • Mean of outliers high
    1.02852
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.85978
  • VaR(95%) (moments method)
    0.00572
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.82621
  • VaR(95%) (regression method)
    0.00682
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02536
  • Quartile 1
    0.07502
  • Median
    0.12469
  • Quartile 3
    0.17436
  • Maximum
    0.22403
  • Mean of quarter 1
    0.02536
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22403
  • Inter Quartile Range
    0.09933
  • 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)
    0.00658
  • Compounded annual return (geometric extrapolation)
    0.00647
  • Calmar ratio (compounded annual return / max draw down)
    0.02888
  • Compounded annual return / average of 25% largest draw downs
    0.02888
  • Compounded annual return / Expected Shortfall lognormal
    0.12421
  • 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
    0.08809
  • SD
    0.40954
  • Sharpe ratio (Glass type estimate)
    0.21510
  • Sharpe ratio (Hedges UMVUE)
    0.21500
  • df
    1608.00000
  • t
    0.53306
  • p
    0.49335
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57585
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.00602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.00594
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34151
  • Upside Potential Ratio
    2.63995
  • Upside part of mean
    0.68098
  • Downside part of mean
    -0.59289
  • Upside SD
    0.31797
  • Downside SD
    0.25795
  • N nonnegative terms
    1400.00000
  • N negative terms
    209.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1609.00000
  • Mean of predictor
    0.42071
  • Mean of criterion
    0.08809
  • SD of predictor
    0.63040
  • SD of criterion
    0.40954
  • Covariance
    0.05018
  • r
    0.19438
  • b (slope, estimate of beta)
    0.12628
  • a (intercept, estimate of alpha)
    0.03500
  • Mean Square Error
    0.16148
  • DF error
    1607.00000
  • t(b)
    7.94378
  • p(b)
    0.37704
  • t(a)
    0.21545
  • p(a)
    0.49658
  • Lowerbound of 95% confidence interval for beta
    0.09510
  • Upperbound of 95% confidence interval for beta
    0.15746
  • Lowerbound of 95% confidence interval for alpha
    -0.28337
  • Upperbound of 95% confidence interval for alpha
    0.35330
  • Treynor index (mean / b)
    0.69760
  • Jensen alpha (a)
    0.03497
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00639
  • SD
    0.40295
  • Sharpe ratio (Glass type estimate)
    0.01585
  • Sharpe ratio (Hedges UMVUE)
    0.01585
  • df
    1608.00000
  • t
    0.03929
  • p
    0.49951
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77505
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80675
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77505
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80674
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02282
  • Upside Potential Ratio
    2.27365
  • Upside part of mean
    0.63635
  • Downside part of mean
    -0.62996
  • Upside SD
    0.28971
  • Downside SD
    0.27988
  • N nonnegative terms
    1400.00000
  • N negative terms
    209.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1609.00000
  • Mean of predictor
    0.22493
  • Mean of criterion
    0.00639
  • SD of predictor
    0.62626
  • SD of criterion
    0.40295
  • Covariance
    0.04983
  • r
    0.19745
  • b (slope, estimate of beta)
    0.12704
  • a (intercept, estimate of alpha)
    -0.02219
  • Mean Square Error
    0.15613
  • DF error
    1607.00000
  • t(b)
    8.07405
  • p(b)
    0.37512
  • t(a)
    -0.13912
  • p(a)
    0.50221
  • Lowerbound of 95% confidence interval for beta
    0.09618
  • Upperbound of 95% confidence interval for beta
    0.15790
  • Lowerbound of 95% confidence interval for alpha
    -0.33502
  • Upperbound of 95% confidence interval for alpha
    0.29064
  • Treynor index (mean / b)
    0.05028
  • Jensen alpha (a)
    -0.02219
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04010
  • Expected Shortfall on VaR
    0.04999
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00141
  • Expected Shortfall on VaR
    0.00502
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1609.00000
  • Minimum
    0.78545
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.30155
  • Mean of quarter 1
    0.99096
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01040
  • Inter Quartile Range
    0.00000
  • Number outliers low
    209.00000
  • Percentage of outliers low
    0.12989
  • Mean of outliers low
    0.98258
  • Number of outliers high
    192.00000
  • Percentage of outliers high
    0.11933
  • Mean of outliers high
    1.02178
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.97049
  • VaR(95%) (moments method)
    0.00058
  • Expected Shortfall (moments method)
    0.09397
  • 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
    5.00000
  • Minimum
    0.05841
  • Quartile 1
    0.06380
  • Median
    0.23024
  • Quartile 3
    0.23530
  • Maximum
    0.23713
  • Mean of quarter 1
    0.06110
  • Mean of quarter 2
    0.23024
  • Mean of quarter 3
    0.23530
  • Mean of quarter 4
    0.23713
  • Inter Quartile Range
    0.17150
  • 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)
    0.00651
  • Compounded annual return (geometric extrapolation)
    0.00641
  • Calmar ratio (compounded annual return / max draw down)
    0.02703
  • Compounded annual return / average of 25% largest draw downs
    0.02703
  • Compounded annual return / Expected Shortfall lognormal
    0.12820
  • 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
    1.91817
  • Mean of criterion
    0.00000
  • SD of predictor
    0.79582
  • 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
    1.58660
  • Mean of criterion
    0.00000
  • SD of predictor
    0.82152
  • 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)
    0.04000
  • 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?
    -371841000
  • Max Equity Drawdown (num days)
    78
  • 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

FERRARI HEDGE FUND-ITALY IS A LONG-SHORT FUTURES TRADING MODEL.


CAPITAL REQUESTED (MINIMUM) FOR ONE CONTRACT (DAX FUTURE) = US $ 70,000


THE MODEL IS SUITABLE FOR FULL AUTO-TRADING.


THE SYSTEM IS FREE .










Trade this strategy at Tradier

Summary Statistics

Strategy began
2007-04-14
Suggested Minimum Capital
$100,000
# Trades
28
# Profitable
16
% Profitable
57.1%
Correlation S&P500
0.006
Sharpe Ratio
-0.28
Sortino Ratio
-0.41
Beta
0.00
Alpha
-0.00

Latest Activity

subscribed on started simulation

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.