Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $146,000 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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(31603478)
(31603478)

Created by: Username Username
Started: 04/2008
Futures
Last trade: 4,405 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.

-28.3%

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.

(99.5%)
Max Drawdown
533
Num Trades
45.8%
Win Trades
0.9 : 1
Profit Factor
14.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008                     +6.3%+8.7%+4.6%(23%)(1.2%)+11.0%+51.1%+5.4%+5.4%+71.0%
2009(2.2%)(3.1%)(5%)(0.5%)+11.9%(5%)(7.4%)+1.0%(5.3%)+2.4%+16.0%(9%)(8.8%)
2010+1.6%(2.6%)+6.6%(0.9%)+0.3%+0.1%+13.9%+2.2%+9.4%+8.5%(9.3%)+10.9%+45.8%
2011(17.5%)(30.8%)+31.1%(9.1%)+51.2%+13.2%+17.7%+19.2%+37.8%+17.1%(32.1%)(59.5%)(27.5%)
2012+35.1%(56.4%)(113.8%)  -    -    -    -    -    -    -    -    -  (108.1%)
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
2/24/12 13:46 QNGK2 Natural Gas LONG 19 2.648 3/28 21:52 2.481 878.6%
Trade id #70937608
Max drawdown($31,770)
Time3/28/12 21:52
Quant open13
Worst price2.265
Drawdown as % of equity-878.60%
 ($31,922)
Includes Typical Broker Commissions trade costs of $152.00
2/24/12 13:49 QNGM2 Natural Gas LONG 12 2.896 3/28 10:22 2.389 1654.09%
Trade id #70937675
Max drawdown($63,120)
Time3/28/12 9:01
Quant open12
Worst price2.370
Drawdown as % of equity-1654.09%
 ($60,936)
Includes Typical Broker Commissions trade costs of $96.00
2/24/12 13:45 QNGJ2 Natural Gas LONG 20 2.684 3/28 9:06 2.348 1763.1%
Trade id #70937573
Max drawdown($67,280)
Time3/28/12 9:06
Quant open16
Worst price2.173
Drawdown as % of equity-1763.10%
 ($67,440)
Includes Typical Broker Commissions trade costs of $160.00
2/16/12 10:47 @SBK2 Sugar #11 LONG 24 24.04 2/24 13:46 25.21 0.28%
Trade id #70706813
Max drawdown($268)
Time2/16/12 10:49
Quant open12
Worst price23.60
Drawdown as % of equity-0.28%
 $31,392
Includes Typical Broker Commissions trade costs of $192.00
11/16/11 10:47 @CCH2 COCOA LONG 24 2326 2/24/12 13:44 2296 17.55%
Trade id #68034306
Max drawdown($22,280)
Time2/10/12 13:50
Quant open12
Worst price2140
Drawdown as % of equity-17.55%
 ($7,212)
Includes Typical Broker Commissions trade costs of $192.00
1/17/12 20:20 QNGH2 Natural Gas LONG 20 2.477 2/24 13:44 2.473 17.71%
Trade id #69780762
Max drawdown($27,320)
Time2/2/12 8:24
Quant open20
Worst price2.340
Drawdown as % of equity-17.71%
 ($980)
Includes Typical Broker Commissions trade costs of $160.00
11/16/11 10:47 @KCH2 COFFEE LONG 28 215.17 2/22/12 3:30 207.29 122.1%
Trade id #68034336
Max drawdown($115,629)
Time2/16/12 11:34
Quant open16
Worst price195.90
Drawdown as % of equity-122.10%
 ($83,024)
Includes Typical Broker Commissions trade costs of $224.00
2/16/12 10:46 @SBH2 Sugar #11 LONG 12 24.58 2/16 10:47 24.54 0.57%
Trade id #70706784
Max drawdown($538)
Time2/16/12 10:47
Quant open0
Worst price24.54
Drawdown as % of equity-0.57%
 ($634)
Includes Typical Broker Commissions trade costs of $96.00
1/19/12 10:41 @OJH2 Orange Juice LONG 16 200.49 2/16 10:45 184.19 36.61%
Trade id #69842459
Max drawdown($45,690)
Time2/10/12 9:18
Quant open16
Worst price181.45
Drawdown as % of equity-36.61%
 ($39,248)
Includes Typical Broker Commissions trade costs of $128.00
11/9/11 3:30 @SBH2 Sugar #11 LONG 12 24.60 2/1/12 3:48 23.73 7.83%
Trade id #67751461
Max drawdown($14,246)
Time1/9/12 11:08
Quant open4
Worst price22.82
Drawdown as % of equity-7.83%
 ($11,834)
Includes Typical Broker Commissions trade costs of $96.00
1/12/12 21:51 @CTH2 COTTON - #2 LONG 12 9653 2/1 3:48 9382 8.63%
Trade id #69683915
Max drawdown($20,500)
Time1/31/12 14:15
Quant open12
Worst price9311
Drawdown as % of equity-8.63%
 ($16,336)
Includes Typical Broker Commissions trade costs of $96.00
1/19/12 13:41 QNGZ2 Natural Gas LONG 4 3.216 2/1 3:48 3.340 0.3%
Trade id #69851100
Max drawdown($760)
Time1/22/12 22:33
Quant open4
Worst price3.197
Drawdown as % of equity-0.30%
 $4,928
Includes Typical Broker Commissions trade costs of $32.00
1/19/12 13:41 QNGU2 Natural Gas LONG 4 2.709 2/1 3:48 2.860 0.19%
Trade id #69851090
Max drawdown($440)
Time1/23/12 3:23
Quant open4
Worst price2.698
Drawdown as % of equity-0.19%
 $6,008
Includes Typical Broker Commissions trade costs of $32.00
12/7/11 22:10 QGCG2 Gold 100 oz LONG 4 1741.1 1/19/12 10:41 1657.2 29.47%
Trade id #68771029
Max drawdown($53,600)
Time1/9/12 13:29
Quant open4
Worst price1607.1
Drawdown as % of equity-29.47%
 ($33,592)
Includes Typical Broker Commissions trade costs of $32.00
12/7/11 22:16 @SH2 SOYBEANS LONG 4 1134 1/19/12 10:41 1193 3/4 2.57%
Trade id #68771103
Max drawdown($5,900)
Time12/14/11 11:32
Quant open4
Worst price1104 2/4
Drawdown as % of equity-2.57%
 $11,918
Includes Typical Broker Commissions trade costs of $32.00
11/16/11 10:48 @WH2 WHEAT LONG 4 651 1/19/12 10:40 597 3/4 5.43%
Trade id #68034370
Max drawdown($12,200)
Time1/18/12 13:43
Quant open4
Worst price590
Drawdown as % of equity-5.43%
 ($10,682)
Includes Typical Broker Commissions trade costs of $32.00
12/7/11 22:10 QHGH2 Copper LONG 4 355.35 1/19/12 10:37 378.25 9.2%
Trade id #68771037
Max drawdown($16,200)
Time1/9/12 0:01
Quant open4
Worst price339.15
Drawdown as % of equity-9.20%
 $22,868
Includes Typical Broker Commissions trade costs of $32.00
1/12/12 21:50 QNGF2 Natural Gas LONG 8 3.075 1/19 10:34 3.075 n/a ($64)
Includes Typical Broker Commissions trade costs of $64.00
11/8/11 19:00 @SF2 SOYBEANS LONG 4 1206 3/4 1/13/12 9:01 1177 2/4 4.64%
Trade id #67742377
Max drawdown($11,350)
Time1/12/12 10:32
Quant open4
Worst price1150
Drawdown as % of equity-4.64%
 ($5,882)
Includes Typical Broker Commissions trade costs of $32.00
11/16/11 10:45 QNGF2 Natural Gas LONG 4 3.557 12/14 14:18 3.130 15.87%
Trade id #68034246
Max drawdown($17,240)
Time12/14/11 13:16
Quant open4
Worst price3.126
Drawdown as % of equity-15.87%
 ($17,112)
Includes Typical Broker Commissions trade costs of $32.00
12/7/11 22:08 @QMG2 MINY CRUDE OIL LONG 4 100.550 12/14 14:18 94.775 11.23%
Trade id #68770990
Max drawdown($12,200)
Time12/14/11 14:14
Quant open4
Worst price94.450
Drawdown as % of equity-11.23%
 ($11,582)
Includes Typical Broker Commissions trade costs of $32.00
10/30/11 18:21 @LBF2 Random Length Lumber Globex LONG 4 242.00 12/14 14:18 224.00 4.3%
Trade id #67399711
Max drawdown($9,856)
Time12/14/11 11:20
Quant open4
Worst price219.60
Drawdown as % of equity-4.30%
 ($7,952)
Includes Typical Broker Commissions trade costs of $32.00
11/16/11 10:46 @CTH2 COTTON - #2 LONG 4 10001 12/14 10:34 8580 12.61%
Trade id #68034287
Max drawdown($28,900)
Time12/14/11 10:13
Quant open4
Worst price8556
Drawdown as % of equity-12.61%
 ($28,452)
Includes Typical Broker Commissions trade costs of $32.00
12/8/11 8:00 @OJH2 Orange Juice LONG 4 170.00 12/14 10:34 162.60 2.02%
Trade id #68780660
Max drawdown($6,000)
Time12/12/11 11:40
Quant open4
Worst price160.00
Drawdown as % of equity-2.02%
 ($4,472)
Includes Typical Broker Commissions trade costs of $32.00
11/9/11 8:00 @OJF2 Orange Juice LONG 4 172.50 12/14 10:34 166.60 1.82%
Trade id #67757131
Max drawdown($5,400)
Time12/12/11 11:40
Quant open4
Worst price163.50
Drawdown as % of equity-1.82%
 ($3,572)
Includes Typical Broker Commissions trade costs of $32.00
11/10/11 15:25 QSIZ1 Silver 5000 oz LONG 4 33.995 12/14 9:40 29.385 45.32%
Trade id #67838576
Max drawdown($103,900)
Time12/14/11 9:25
Quant open4
Worst price28.800
Drawdown as % of equity-45.32%
 ($92,232)
Includes Typical Broker Commissions trade costs of $32.00
11/10/11 15:27 QGCZ1 Gold 100 oz LONG 4 1763.9 12/14 9:40 1614.1 27.17%
Trade id #67838627
Max drawdown($62,280)
Time12/14/11 9:32
Quant open4
Worst price1608.2
Drawdown as % of equity-27.17%
 ($59,952)
Includes Typical Broker Commissions trade costs of $32.00
11/9/11 3:30 @KCZ1 COFFEE LONG 4 230.65 12/14 9:39 213.85 10.99%
Trade id #67751448
Max drawdown($25,200)
Time12/14/11 9:39
Quant open0
Worst price213.85
Drawdown as % of equity-10.99%
 ($25,232)
Includes Typical Broker Commissions trade costs of $32.00
11/9/11 4:00 @CCZ1 COCOA LONG 4 2676 12/14 9:17 2101 10.03%
Trade id #67752023
Max drawdown($23,000)
Time12/14/11 9:17
Quant open0
Worst price2101
Drawdown as % of equity-10.03%
 ($23,032)
Includes Typical Broker Commissions trade costs of $32.00
11/8/11 19:00 @WZ1 WHEAT LONG 4 656 2/4 12/13 19:20 579 1/4 4.87%
Trade id #67742374
Max drawdown($17,750)
Time12/9/11 11:21
Quant open4
Worst price567 3/4
Drawdown as % of equity-4.87%
 ($15,482)
Includes Typical Broker Commissions trade costs of $32.00
Next

Statistics

  • Strategy began
    4/17/2008
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5839.27
  • Age
    195 months ago
  • What it trades
    Futures
  • # Trades
    533
  • # Profitable
    244
  • % Profitable
    45.80%
  • Avg trade duration
    18.5 days
  • Max peak-to-valley drawdown
    99.46%
  • drawdown period
    Nov 14, 2011 - June 19, 2014
  • Annual return (compounded)
    -18.8%
  • Avg win
    $5,024
  • Avg loss
    $4,575
  • Model Account Values (Raw)
  • Cash
    $3,535
  • Margin Used
    $0
  • Buying Power
    $3,535
  • Ratios
  • W:L ratio
    0.93:1
  • Sharpe Ratio
    -0.33
  • Sortino Ratio
    -0.39
  • Calmar Ratio
    -0.426
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.04420
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -120.08%
  • Return Percent SP500 (cumu) during strategy life
    264.94%
  • Return Statistics
  • Ann Return (w trading costs)
    -28.3%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.78%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -18.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    85.37%
  • Chance of 20% account loss
    54.76%
  • Chance of 30% account loss
    37.21%
  • Chance of 40% account loss
    13.64%
  • Chance of 60% account loss (Monte Carlo)
    4.35%
  • 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
    15.56%
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $5,024
  • Avg Loss
    $4,576
  • Sum Trade PL (losers)
    $1,322,360.000
  • Sum Trade PL (winners)
    $1,225,880.000
  • # Winners
    244
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    28
  • Age
  • Num Months filled monthly returns table
    48
  • Win / Loss
  • # Losers
    289
  • % Winners
    45.8%
  • Frequency
  • Avg Position Time (mins)
    26623.00
  • Avg Position Time (hrs)
    443.72
  • Avg Trade Length
    18.5 days
  • Last Trade Ago
    4398
  • Regression
  • Alpha
    0.00
  • Beta
    -0.17
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -3.13
  • MAE:Equity, average, all trades
    0.25
  • Avg(MAE) / Avg(PL) - All trades
    -165.468
  • 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
    91.81
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    71.78
  • MAE:Equity, 95th Percentile Value for this strat
    0.20
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.44
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.605
  • Avg(MAE) / Avg(PL) - Losing trades
    -15.845
  • Hold-and-Hope Ratio
    -0.006
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.23200
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.11700
  • 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)
    948
  • Last 4 Months - Pcnt Negative
    0.75%

Strategy Description

Summary Statistics

Strategy began
2008-04-17
Suggested Minimum Capital
$100,000
# Trades
533
# Profitable
244
% Profitable
45.8%
Correlation S&P500
-0.044
Sharpe Ratio
-0.33
Sortino Ratio
-0.39
Beta
-0.17
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.