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Featured Strategy Easiest Rank on Leaderboard #11 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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Mini N&R
(40808756)

Created by: KD KD
Started: 06/2009
Futures
Last trade: 5,067 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.

1.8%

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.

(29.0%)
Max Drawdown
196
Num Trades
44.4%
Win Trades
1.1 : 1
Profit Factor
3.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009                                   +5.3%(8.4%)+3.0%+21.7%(1%)(2.8%)(3.6%)+12.0%
2010+7.5%+9.4%(8.8%)+3.7%(22.1%)+8.9%  -    -    -    -    -    -  (5.7%)
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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 156 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5115 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/8/10 15:06 @TFSM0 Emini Russell 2000 LONG 1 611.70 6/10 16:03 637.70 0.52%
Trade id #50103955
Max drawdown($280)
Time6/8/10 15:18
Quant open1
Worst price608.90
Drawdown as % of equity-0.52%
 $2,592
Includes Typical Broker Commissions trade costs of $8.00
6/4/10 9:40 @NQM0 E-MINI NASDAQ 100 STK IDX LONG 2 1865.75 6/10 16:03 1825.50 7.05%
Trade id #49999277
Max drawdown($3,830)
Time6/8/10 13:55
Quant open2
Worst price1770.00
Drawdown as % of equity-7.05%
 ($1,626)
Includes Typical Broker Commissions trade costs of $16.00
6/8/10 11:50 @TFSM0 Emini Russell 2000 LONG 1 614.10 6/8 14:10 608.80 1.4%
Trade id #50096777
Max drawdown($760)
Time6/8/10 13:57
Quant open1
Worst price606.50
Drawdown as % of equity-1.40%
 ($538)
Includes Typical Broker Commissions trade costs of $8.00
6/8/10 10:26 @TFSM0 Emini Russell 2000 LONG 1 613.00 6/8 11:22 610.90 1.38%
Trade id #50092617
Max drawdown($750)
Time6/8/10 11:13
Quant open1
Worst price605.50
Drawdown as % of equity-1.38%
 ($218)
Includes Typical Broker Commissions trade costs of $8.00
6/7/10 11:22 @TFSM0 Emini Russell 2000 LONG 1 627.40 6/8 9:58 613.90 2.63%
Trade id #50055930
Max drawdown($1,430)
Time6/8/10 9:58
Quant open1
Worst price613.10
Drawdown as % of equity-2.63%
 ($1,358)
Includes Typical Broker Commissions trade costs of $8.00
6/7/10 9:58 @TFSM0 Emini Russell 2000 LONG 1 636.20 6/7 10:54 629.00 1.27%
Trade id #50051478
Max drawdown($730)
Time6/7/10 10:54
Quant open1
Worst price628.90
Drawdown as % of equity-1.27%
 ($728)
Includes Typical Broker Commissions trade costs of $8.00
6/3/10 9:58 @TFSM0 Emini Russell 2000 SHORT 1 666.40 6/7 9:30 637.50 0.77%
Trade id #49960117
Max drawdown($420)
Time6/4/10 5:42
Quant open-1
Worst price670.60
Drawdown as % of equity-0.77%
 $2,882
Includes Typical Broker Commissions trade costs of $8.00
5/28/10 9:40 @NQM0 E-MINI NASDAQ 100 STK IDX SHORT 2 1859.25 6/4 9:40 1865.50 2.87%
Trade id #49805387
Max drawdown($1,600)
Time6/3/10 15:45
Quant open-2
Worst price1899.25
Drawdown as % of equity-2.87%
 ($266)
Includes Typical Broker Commissions trade costs of $16.00
6/2/10 9:58 @TFSM0 Emini Russell 2000 LONG 1 642.60 6/3 9:30 660.30 0.27%
Trade id #49918616
Max drawdown($150)
Time6/2/10 10:02
Quant open1
Worst price641.10
Drawdown as % of equity-0.27%
 $1,762
Includes Typical Broker Commissions trade costs of $8.00
5/27/10 15:06 @TFSM0 Emini Russell 2000 SHORT 1 664.50 6/2 9:30 645.20 1.42%
Trade id #49778693
Max drawdown($740)
Time5/28/10 7:50
Quant open-1
Worst price671.90
Drawdown as % of equity-1.42%
 $1,922
Includes Typical Broker Commissions trade costs of $8.00
5/27/10 11:22 @TFSM0 Emini Russell 2000 SHORT 1 656.70 5/27 14:38 664.70 n/a ($808)
Includes Typical Broker Commissions trade costs of $8.00
5/27/10 9:58 @TFSM0 Emini Russell 2000 SHORT 1 654.80 5/27 10:54 658.50 n/a ($378)
Includes Typical Broker Commissions trade costs of $8.00
5/19/10 9:40 @NQM0 E-MINI NASDAQ 100 STK IDX LONG 2 1888.50 5/27 10:10 1836.50 10.12%
Trade id #49489508
Max drawdown($5,370)
Time5/25/10 9:43
Quant open2
Worst price1754.25
Drawdown as % of equity-10.12%
 ($2,096)
Includes Typical Broker Commissions trade costs of $16.00
5/26/10 9:58 @TFSM0 Emini Russell 2000 SHORT 1 653.50 5/27 9:30 658.80 0.98%
Trade id #49723023
Max drawdown($530)
Time5/26/10 10:46
Quant open-1
Worst price658.00
Drawdown as % of equity-0.98%
 ($538)
Includes Typical Broker Commissions trade costs of $8.00
5/25/10 10:26 @TFSM0 Emini Russell 2000 LONG 1 624.70 5/26 9:30 643.20 0.74%
Trade id #49683294
Max drawdown($390)
Time5/25/10 10:52
Quant open1
Worst price620.80
Drawdown as % of equity-0.74%
 $1,842
Includes Typical Broker Commissions trade costs of $8.00
5/24/10 9:58 @TFSM0 Emini Russell 2000 LONG 1 645.30 5/25 9:58 618.50 5.6%
Trade id #49633707
Max drawdown($2,970)
Time5/25/10 9:43
Quant open1
Worst price615.60
Drawdown as % of equity-5.60%
 ($2,688)
Includes Typical Broker Commissions trade costs of $8.00
5/21/10 10:26 @TFSM0 Emini Russell 2000 LONG 1 638.80 5/24 9:30 644.60 0.77%
Trade id #49582437
Max drawdown($400)
Time5/21/10 10:32
Quant open1
Worst price634.80
Drawdown as % of equity-0.77%
 $572
Includes Typical Broker Commissions trade costs of $8.00
5/20/10 12:46 @TFSM0 Emini Russell 2000 LONG 1 645.20 5/21 9:58 644.70 3.71%
Trade id #49542592
Max drawdown($1,920)
Time5/21/10 9:31
Quant open1
Worst price626.00
Drawdown as % of equity-3.71%
 ($58)
Includes Typical Broker Commissions trade costs of $8.00
5/20/10 10:54 @TFSM0 Emini Russell 2000 LONG 1 651.40 5/20 12:18 644.90 1.29%
Trade id #49537626
Max drawdown($700)
Time5/20/10 12:17
Quant open1
Worst price644.40
Drawdown as % of equity-1.29%
 ($658)
Includes Typical Broker Commissions trade costs of $8.00
5/19/10 12:18 @TFSM0 Emini Russell 2000 LONG 1 667.70 5/20 10:26 647.90 3.63%
Trade id #49498243
Max drawdown($2,150)
Time5/20/10 10:26
Quant open1
Worst price646.20
Drawdown as % of equity-3.63%
 ($1,988)
Includes Typical Broker Commissions trade costs of $8.00
5/19/10 10:54 @TFSM0 Emini Russell 2000 LONG 1 671.10 5/19 11:50 664.60 1.11%
Trade id #49494035
Max drawdown($680)
Time5/19/10 11:50
Quant open1
Worst price664.30
Drawdown as % of equity-1.11%
 ($658)
Includes Typical Broker Commissions trade costs of $8.00
5/19/10 9:58 @TFSM0 Emini Russell 2000 LONG 1 682.50 5/19 10:26 671.40 2.29%
Trade id #49490495
Max drawdown($1,400)
Time5/19/10 10:23
Quant open1
Worst price668.50
Drawdown as % of equity-2.29%
 ($1,118)
Includes Typical Broker Commissions trade costs of $8.00
5/18/10 9:40 @NQM0 E-MINI NASDAQ 100 STK IDX SHORT 2 1927.25 5/19 9:40 1888.25 0.33%
Trade id #49441694
Max drawdown($190)
Time5/18/10 9:48
Quant open-2
Worst price1932.00
Drawdown as % of equity-0.33%
 $1,544
Includes Typical Broker Commissions trade costs of $16.00
5/17/10 9:58 @TFSM0 Emini Russell 2000 SHORT 1 695.20 5/19 9:30 678.80 1.97%
Trade id #49400596
Max drawdown($1,140)
Time5/18/10 9:31
Quant open-1
Worst price706.60
Drawdown as % of equity-1.97%
 $1,632
Includes Typical Broker Commissions trade costs of $8.00
5/12/10 14:38 @TFSM0 Emini Russell 2000 SHORT 1 714.00 5/17 9:30 699.10 0.96%
Trade id #49282954
Max drawdown($570)
Time5/13/10 10:41
Quant open-1
Worst price719.70
Drawdown as % of equity-0.96%
 $1,482
Includes Typical Broker Commissions trade costs of $8.00
5/7/10 9:40 @NQM0 E-MINI NASDAQ 100 STK IDX LONG 2 1892.00 5/14 11:50 1891.00 5.97%
Trade id #49146448
Max drawdown($3,450)
Time5/7/10 10:30
Quant open2
Worst price1805.75
Drawdown as % of equity-5.97%
 ($56)
Includes Typical Broker Commissions trade costs of $16.00
5/12/10 10:54 @TFSM0 Emini Russell 2000 SHORT 1 705.50 5/12 14:10 710.60 1.04%
Trade id #49274037
Max drawdown($620)
Time5/12/10 13:51
Quant open-1
Worst price711.70
Drawdown as % of equity-1.04%
 ($518)
Includes Typical Broker Commissions trade costs of $8.00
5/11/10 14:38 @TFSM0 Emini Russell 2000 SHORT 1 696.60 5/12 10:26 706.10 1.79%
Trade id #49246789
Max drawdown($1,070)
Time5/12/10 10:24
Quant open-1
Worst price707.30
Drawdown as % of equity-1.79%
 ($958)
Includes Typical Broker Commissions trade costs of $8.00
5/11/10 12:18 @TFSM0 Emini Russell 2000 SHORT 1 695.80 5/11 14:10 701.90 1.33%
Trade id #49241942
Max drawdown($810)
Time5/11/10 14:08
Quant open-1
Worst price703.90
Drawdown as % of equity-1.33%
 ($618)
Includes Typical Broker Commissions trade costs of $8.00
5/11/10 10:26 @TFSM0 Emini Russell 2000 SHORT 1 686.00 5/11 11:50 691.70 1.27%
Trade id #49236708
Max drawdown($770)
Time5/11/10 11:44
Quant open-1
Worst price693.70
Drawdown as % of equity-1.27%
 ($578)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    6/4/2009
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    5434.74
  • Age
    181 months ago
  • What it trades
    Futures
  • # Trades
    196
  • # Profitable
    87
  • % Profitable
    44.40%
  • Avg trade duration
    3.3 days
  • Max peak-to-valley drawdown
    29.04%
  • drawdown period
    Feb 16, 2010 - May 25, 2010
  • Annual return (compounded)
    0.9%
  • Avg win
    $1,264
  • Avg loss
    $945.63
  • Model Account Values (Raw)
  • Cash
    $56,937
  • Margin Used
    $0
  • Buying Power
    $56,937
  • Ratios
  • W:L ratio
    1.07:1
  • Sharpe Ratio
    -0.11
  • Sortino Ratio
    -0.15
  • Calmar Ratio
    0.085
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.00030
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -67.56%
  • Return Percent SP500 (cumu) during strategy life
    436.66%
  • Return Statistics
  • Ann Return (w trading costs)
    1.8%
  • 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
    30.70%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $1,264
  • Avg Loss
    $946
  • Sum Trade PL (losers)
    $103,074.000
  • Sum Trade PL (winners)
    $110,010.000
  • # Winners
    87
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    8
  • Age
  • Num Months filled monthly returns table
    179
  • Win / Loss
  • # Losers
    109
  • % Winners
    44.4%
  • Frequency
  • Avg Position Time (mins)
    4683.38
  • Avg Position Time (hrs)
    78.06
  • Avg Trade Length
    3.3 days
  • Last Trade Ago
    5064
  • Regression
  • Alpha
    -0.00
  • Beta
    0.00
  • Treynor Index
    -15.53
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -1.76
  • MAE:Equity, average, all trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    38.922
  • 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
    78.39
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    22.72
  • MAE:Equity, 95th Percentile Value for this strat
    0.03
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.368
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.434
  • Hold-and-Hope Ratio
    0.026
  • 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)
    0.03100
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.02400
  • 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)
    98
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Summary Statistics

Strategy began
2009-06-04
Suggested Minimum Capital
$50,000
# Trades
196
# Profitable
87
% Profitable
44.4%
Correlation S&P500
0.000
Sharpe Ratio
-0.11
Sortino Ratio
-0.15
Beta
0.00
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.