Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +39.4% 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...

Aristoteles Premium
(44144643)

Created by: PanagiotisKostopou PanagiotisKostopou
Started: 10/2009
Futures
Last trade: 5,835 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $358.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-17.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(100.0%)
Max Drawdown
511
Num Trades
58.9%
Win Trades
0.9 : 1
Profit Factor
19.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009                                                               +3.9%+18.7%(9%)+12.3%
2010+23.2%+5.4%(114.7%)(38.2%)(151.4%)(102.7%)(149.7%)(455.7%)(22.1%)(8.2%)+13.9%  -  (97.3%)
2011(3.2%)(4.3%)(9.2%)(23.7%)+17.6%(4.5%)+4.6%(1.6%)+30.8%(8.1%)+18.4%+9.0%+15.0%
2012(6.4%)(6%)+3.3%+2.2%+21.3%(5.1%)+8.5%(4.8%)(7.4%)(1.7%)(2%)(4.8%)(6.4%)
2013(7.4%)+3.3%+10.7%(1.4%)+1.8%(3.6%)(2%)(3.7%)(3.7%)(5.4%)+2.2%(4.5%)(13.9%)
2014+2.6%+202.6%(0.1%)+0.1%(0.3%)(80.1%)+5.6%+5.7%+8.6%+3.0%+0.9%+4.3%(19.2%)
2015+15.3%+1.3%+1.1%(1.3%)+3.1%+41.5%+2.0%(2%)+0.1%+1.8%+2.6%(2.4%)+73.3%
2016+1.0%(0.9%)(2.5%)  -  +1.0%+0.6%(0.7%)(0.1%)(0.2%)+2.6%  -    -  +0.7%
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

This strategy has placed 64 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 6030 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/19/10 10:52 @ESM0 E-MINI S&P 500 SHORT 12 1156.25 6/18 9:44 1151.19 254.76%
Trade id #47692238
Max drawdown($15,125)
Time4/26/10 3:41
Quant open-5
Worst price1216.75
Drawdown as % of equity-254.76%
 $2,942
Includes Typical Broker Commissions trade costs of $96.00
3/5/10 14:55 QGCJ0 Gold 100 oz LONG 17 1125.2 3/25 9:31 1112.1 44.95%
Trade id #47400118
Max drawdown($22,360)
Time3/12/10 12:37
Quant open8
Worst price1097.3
Drawdown as % of equity-44.95%
 ($22,496)
Includes Typical Broker Commissions trade costs of $136.00
3/5/10 8:40 @ESH0 E-MINI S&P 500 SHORT 22 1132.48 3/19 10:45 1157.75 57.65%
Trade id #47390049
Max drawdown($27,800)
Time3/17/10 13:37
Quant open-14
Worst price1170.00
Drawdown as % of equity-57.65%
 ($27,976)
Includes Typical Broker Commissions trade costs of $176.00
3/9/10 4:35 @EUH0 EUROFX SHORT 2 1.35780 3/9 18:30 1.36070 1.58%
Trade id #47432601
Max drawdown($975)
Time3/9/10 13:14
Quant open-2
Worst price1.36170
Drawdown as % of equity-1.58%
 ($741)
Includes Typical Broker Commissions trade costs of $16.00
3/8/10 20:12 QCLJ0 CRUDE OIL LONG 4 81.56 3/8 20:12 81.54 n/a ($112)
Includes Typical Broker Commissions trade costs of $32.00
3/7/10 18:03 QCLJ0 CRUDE OIL LONG 5 81.89 3/8 3:43 82.01 0.86%
Trade id #47405421
Max drawdown($650)
Time3/7/10 20:23
Quant open5
Worst price81.76
Drawdown as % of equity-0.86%
 $560
Includes Typical Broker Commissions trade costs of $40.00
3/5/10 8:30 @EUH0 EUROFX SHORT 2 1.35490 3/8 3:43 1.36690 5.32%
Trade id #47389567
Max drawdown($3,900)
Time3/8/10 2:48
Quant open-2
Worst price1.37050
Drawdown as % of equity-5.32%
 ($3,016)
Includes Typical Broker Commissions trade costs of $16.00
3/5/10 12:02 QCLJ0 CRUDE OIL SHORT 10 81.49 3/7 18:03 81.60 4.55%
Trade id #47396623
Max drawdown($3,900)
Time3/5/10 13:54
Quant open-10
Worst price81.88
Drawdown as % of equity-4.55%
 ($1,230)
Includes Typical Broker Commissions trade costs of $80.00
3/5/10 13:03 QNGJ0 Natural Gas SHORT 10 4.565 3/5 15:12 4.596 3.62%
Trade id #47397827
Max drawdown($3,100)
Time3/5/10 14:20
Quant open-10
Worst price4.595
Drawdown as % of equity-3.62%
 ($3,180)
Includes Typical Broker Commissions trade costs of $80.00
3/5/10 8:40 QGCJ0 Gold 100 oz LONG 6 1130.8 3/5 13:37 1136.0 0.38%
Trade id #47390028
Max drawdown($360)
Time3/5/10 8:42
Quant open6
Worst price1130.2
Drawdown as % of equity-0.38%
 $3,092
Includes Typical Broker Commissions trade costs of $48.00
3/5/10 9:07 QNGJ0 Natural Gas LONG 10 4.600 3/5 13:02 4.575 4.62%
Trade id #47390890
Max drawdown($4,000)
Time3/5/10 9:53
Quant open10
Worst price4.560
Drawdown as % of equity-4.62%
 ($2,580)
Includes Typical Broker Commissions trade costs of $80.00
3/5/10 9:02 QCLJ0 CRUDE OIL LONG 15 81.33 3/5 12:02 81.51 2.77%
Trade id #47390696
Max drawdown($2,400)
Time3/5/10 9:21
Quant open15
Worst price81.17
Drawdown as % of equity-2.77%
 $2,580
Includes Typical Broker Commissions trade costs of $120.00
3/5/10 8:18 QNGJ0 Natural Gas SHORT 10 4.565 3/5 9:02 4.600 4.04%
Trade id #47389219
Max drawdown($3,500)
Time3/5/10 9:01
Quant open-10
Worst price4.593
Drawdown as % of equity-4.04%
 ($3,580)
Includes Typical Broker Commissions trade costs of $80.00
3/5/10 2:31 QCLJ0 CRUDE OIL SHORT 15 80.54 3/5 9:01 81.33 12.63%
Trade id #47386405
Max drawdown($12,000)
Time3/5/10 8:44
Quant open-15
Worst price81.34
Drawdown as % of equity-12.63%
 ($11,970)
Includes Typical Broker Commissions trade costs of $120.00
3/5/10 8:21 QGCJ0 Gold 100 oz SHORT 6 1133.4 3/5 8:36 1128.9 1.33%
Trade id #47389321
Max drawdown($1,260)
Time3/5/10 8:31
Quant open-6
Worst price1135.5
Drawdown as % of equity-1.33%
 $2,652
Includes Typical Broker Commissions trade costs of $48.00
3/5/10 8:12 QGCJ0 Gold 100 oz LONG 6 1133.8 3/5 8:17 1133.4 0.25%
Trade id #47389134
Max drawdown($240)
Time3/5/10 8:16
Quant open6
Worst price1133.5
Drawdown as % of equity-0.25%
 ($288)
Includes Typical Broker Commissions trade costs of $48.00
3/5/10 7:06 QNGJ0 Natural Gas LONG 10 4.579 3/5 8:15 4.565 1.42%
Trade id #47388784
Max drawdown($1,350)
Time3/5/10 7:49
Quant open10
Worst price4.566
Drawdown as % of equity-1.42%
 ($1,430)
Includes Typical Broker Commissions trade costs of $80.00
3/4/10 9:34 QCLJ0 CRUDE OIL SHORT 10 80.58 3/4 15:42 80.44 1.27%
Trade id #47367904
Max drawdown($1,200)
Time3/4/10 9:44
Quant open-10
Worst price80.70
Drawdown as % of equity-1.27%
 $1,370
Includes Typical Broker Commissions trade costs of $80.00
3/4/10 6:34 QCLJ0 CRUDE OIL LONG 10 80.63 3/4 9:32 80.67 3.06%
Trade id #47365239
Max drawdown($2,900)
Time3/4/10 9:19
Quant open5
Worst price80.05
Drawdown as % of equity-3.06%
 $270
Includes Typical Broker Commissions trade costs of $80.00
3/3/10 12:49 QNGJ0 Natural Gas LONG 10 4.775 3/4 6:02 4.759 4.03%
Trade id #47353957
Max drawdown($3,850)
Time3/3/10 14:21
Quant open10
Worst price4.736
Drawdown as % of equity-4.03%
 ($1,630)
Includes Typical Broker Commissions trade costs of $80.00
3/3/10 11:01 QGCJ0 Gold 100 oz LONG 6 1143.0 3/3 16:21 1139.8 2.39%
Trade id #47351371
Max drawdown($2,280)
Time3/3/10 15:25
Quant open6
Worst price1139.2
Drawdown as % of equity-2.39%
 ($1,968)
Includes Typical Broker Commissions trade costs of $48.00
3/3/10 11:53 QNGJ0 Natural Gas SHORT 5 4.744 3/3 12:47 4.772 1.35%
Trade id #47353189
Max drawdown($1,400)
Time3/3/10 12:33
Quant open-5
Worst price4.771
Drawdown as % of equity-1.35%
 ($1,440)
Includes Typical Broker Commissions trade costs of $40.00
3/3/10 10:06 XGH0 DAX INDEX LONG 5 5821.10 3/3 12:16 5808.50 1.82%
Trade id #47349381
Max drawdown($1,887)
Time3/3/10 12:10
Quant open5
Worst price5806.00
Drawdown as % of equity-1.82%
 ($1,753)
Includes Typical Broker Commissions trade costs of $40.00
3/3/10 10:45 QCLJ0 CRUDE OIL SHORT 5 80.12 3/3 11:06 80.79 3.23%
Trade id #47350670
Max drawdown($3,350)
Time3/3/10 10:58
Quant open-5
Worst price80.79
Drawdown as % of equity-3.23%
 ($3,390)
Includes Typical Broker Commissions trade costs of $40.00
3/3/10 10:06 QGCJ0 Gold 100 oz SHORT 6 1136.3 3/3 11:00 1143.0 3.88%
Trade id #47349407
Max drawdown($4,020)
Time3/3/10 10:58
Quant open-6
Worst price1142.6
Drawdown as % of equity-3.88%
 ($4,068)
Includes Typical Broker Commissions trade costs of $48.00
3/3/10 4:01 XGH0 DAX INDEX LONG 3 5767.00 3/3 9:09 5795.67 1.19%
Trade id #47343636
Max drawdown($1,237)
Time3/3/10 4:15
Quant open3
Worst price5750.50
Drawdown as % of equity-1.19%
 $2,314
Includes Typical Broker Commissions trade costs of $24.00
3/3/10 3:31 QGCJ0 Gold 100 oz LONG 5 1135.3 3/3 4:21 1138.2 0.58%
Trade id #47343421
Max drawdown($600)
Time3/3/10 3:51
Quant open5
Worst price1134.1
Drawdown as % of equity-0.58%
 $1,410
Includes Typical Broker Commissions trade costs of $40.00
3/2/10 15:26 @ESH0 E-MINI S&P 500 SHORT 10 1117.00 3/3 3:36 1117.75 0.96%
Trade id #47336839
Max drawdown($1,000)
Time3/3/10 3:33
Quant open-10
Worst price1119.00
Drawdown as % of equity-0.96%
 ($455)
Includes Typical Broker Commissions trade costs of $80.00
3/2/10 15:04 QCLJ0 CRUDE OIL LONG 5 79.75 3/2 16:30 79.58 0.8%
Trade id #47336339
Max drawdown($850)
Time3/2/10 15:45
Quant open5
Worst price79.63
Drawdown as % of equity-0.80%
 ($890)
Includes Typical Broker Commissions trade costs of $40.00
3/2/10 11:46 @ESH0 E-MINI S&P 500 LONG 10 1121.00 3/2 15:26 1117.00 1.86%
Trade id #47328222
Max drawdown($2,000)
Time3/2/10 14:58
Quant open10
Worst price1117.25
Drawdown as % of equity-1.86%
 ($2,080)
Includes Typical Broker Commissions trade costs of $80.00

Statistics

  • Strategy began
    10/24/2009
  • Suggested Minimum Cap
    $59,605
  • Strategy Age (days)
    6070.6
  • Age
    202 months ago
  • What it trades
    Futures
  • # Trades
    511
  • # Profitable
    301
  • % Profitable
    58.90%
  • Avg trade duration
    13.6 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    May 09, 2010 - May 13, 2010
  • Annual Return (Compounded)
    -17.6%
  • Avg win
    $1,129
  • Avg loss
    $1,745
  • Model Account Values (Raw)
  • Cash
    $32,905
  • Margin Used
    $0
  • Buying Power
    $32,905
  • Ratios
  • W:L ratio
    0.93:1
  • Sharpe Ratio
    0.11
  • Sortino Ratio
    0.24
  • Calmar Ratio
    0.006
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -679.96%
  • Correlation to SP500
    -0.02640
  • Return Percent SP500 (cumu) during strategy life
    585.97%
  • Return Statistics
  • Ann Return (w trading costs)
    -17.6%
  • Slump
  • Current Slump as Pcnt Equity
    3598.10%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.176%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -3.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,746
  • Avg Win
    $1,129
  • Sum Trade PL (losers)
    $366,570.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $339,864.000
  • # Winners
    301
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    210
  • % Winners
    58.9%
  • Frequency
  • Avg Position Time (mins)
    815.07
  • Avg Position Time (hrs)
    13.58
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    5834
  • Regression
  • Alpha
    0.00
  • Beta
    -0.61
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    21.82
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    15.01
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.04
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -11.021
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.646
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.151
  • Hold-and-Hope Ratio
    -0.090
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40280
  • SD
    1.00657
  • Sharpe ratio (Glass type estimate)
    0.40017
  • Sharpe ratio (Hedges UMVUE)
    0.39469
  • df
    55.00000
  • t
    0.86447
  • p
    0.19554
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51198
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30875
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51559
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30497
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02181
  • Upside Potential Ratio
    1.82377
  • Upside part of mean
    0.71894
  • Downside part of mean
    -0.31614
  • Upside SD
    0.92369
  • Downside SD
    0.39420
  • N nonnegative terms
    41.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    56.00000
  • Mean of predictor
    0.39222
  • Mean of criterion
    0.40280
  • SD of predictor
    0.27655
  • SD of criterion
    1.00657
  • Covariance
    -0.09606
  • r
    -0.34508
  • b (slope, estimate of beta)
    -1.25603
  • a (intercept, estimate of alpha)
    0.89544
  • Mean Square Error
    0.90905
  • DF error
    54.00000
  • t(b)
    -2.70181
  • p(b)
    0.99540
  • t(a)
    1.87511
  • p(a)
    0.03309
  • Lowerbound of 95% confidence interval for beta
    -2.18806
  • Upperbound of 95% confidence interval for beta
    -0.32399
  • Lowerbound of 95% confidence interval for alpha
    -0.06197
  • Upperbound of 95% confidence interval for alpha
    1.85285
  • Treynor index (mean / b)
    -0.32070
  • Jensen alpha (a)
    0.89544
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00610
  • SD
    0.92486
  • Sharpe ratio (Glass type estimate)
    0.00659
  • Sharpe ratio (Hedges UMVUE)
    0.00650
  • df
    55.00000
  • t
    0.01424
  • p
    0.49434
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90070
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91388
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90079
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91379
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00861
  • Upside Potential Ratio
    0.69100
  • Upside part of mean
    0.48949
  • Downside part of mean
    -0.48339
  • Upside SD
    0.58163
  • Downside SD
    0.70838
  • N nonnegative terms
    41.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    56.00000
  • Mean of predictor
    0.35164
  • Mean of criterion
    0.00610
  • SD of predictor
    0.26317
  • SD of criterion
    0.92486
  • Covariance
    -0.06798
  • r
    -0.27931
  • b (slope, estimate of beta)
    -0.98157
  • a (intercept, estimate of alpha)
    0.35126
  • Mean Square Error
    0.80324
  • DF error
    54.00000
  • t(b)
    -2.13757
  • p(b)
    0.98145
  • t(a)
    0.78900
  • p(a)
    0.21678
  • Lowerbound of 95% confidence interval for beta
    -1.90221
  • Upperbound of 95% confidence interval for beta
    -0.06093
  • Lowerbound of 95% confidence interval for alpha
    -0.54130
  • Upperbound of 95% confidence interval for alpha
    1.24381
  • Treynor index (mean / b)
    -0.00621
  • Jensen alpha (a)
    0.35126
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.35509
  • Expected Shortfall on VaR
    0.42045
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03562
  • Expected Shortfall on VaR
    0.09377
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    56.00000
  • Minimum
    0.22899
  • Quartile 1
    0.99993
  • Median
    1.00000
  • Quartile 3
    1.00464
  • Maximum
    2.64602
  • Mean of quarter 1
    0.89462
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00162
  • Mean of quarter 4
    1.23803
  • Inter Quartile Range
    0.00471
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.81709
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.46926
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.46260
  • VaR(95%) (moments method)
    0.04350
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.18945
  • VaR(95%) (regression method)
    0.05906
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06923
  • Quartile 1
    0.26036
  • Median
    0.45149
  • Quartile 3
    0.64262
  • Maximum
    0.83375
  • Mean of quarter 1
    0.06923
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.83375
  • Inter Quartile Range
    0.38226
  • 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)
    0.00618
  • Compounded annual return (geometric extrapolation)
    0.00612
  • Calmar ratio (compounded annual return / max draw down)
    0.00733
  • Compounded annual return / average of 25% largest draw downs
    0.00733
  • Compounded annual return / Expected Shortfall lognormal
    0.01454
  • 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
    0.82741
  • SD
    1.49346
  • Sharpe ratio (Glass type estimate)
    0.55402
  • Sharpe ratio (Hedges UMVUE)
    0.55368
  • df
    1239.00000
  • t
    1.20527
  • p
    0.47822
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34727
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45511
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.45487
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.26247
  • Upside Potential Ratio
    4.06819
  • Upside part of mean
    2.66624
  • Downside part of mean
    -1.83883
  • Upside SD
    1.34228
  • Downside SD
    0.65539
  • N nonnegative terms
    889.00000
  • N negative terms
    351.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1240.00000
  • Mean of predictor
    0.42622
  • Mean of criterion
    0.82741
  • SD of predictor
    0.34216
  • SD of criterion
    1.49346
  • Covariance
    -0.11336
  • r
    -0.22184
  • b (slope, estimate of beta)
    -0.96826
  • a (intercept, estimate of alpha)
    1.24000
  • Mean Square Error
    2.12238
  • DF error
    1238.00000
  • t(b)
    -8.00481
  • p(b)
    0.61092
  • t(a)
    1.84639
  • p(a)
    0.47380
  • Lowerbound of 95% confidence interval for beta
    -1.20557
  • Upperbound of 95% confidence interval for beta
    -0.73095
  • Lowerbound of 95% confidence interval for alpha
    -0.07757
  • Upperbound of 95% confidence interval for alpha
    2.55777
  • Treynor index (mean / b)
    -0.85453
  • Jensen alpha (a)
    1.24010
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00601
  • SD
    1.23780
  • Sharpe ratio (Glass type estimate)
    0.00486
  • Sharpe ratio (Hedges UMVUE)
    0.00485
  • df
    1239.00000
  • t
    0.01057
  • p
    0.49981
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89607
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90578
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89607
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90578
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00708
  • Upside Potential Ratio
    2.52604
  • Upside part of mean
    2.14580
  • Downside part of mean
    -2.13979
  • Upside SD
    0.89961
  • Downside SD
    0.84947
  • N nonnegative terms
    889.00000
  • N negative terms
    351.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1240.00000
  • Mean of predictor
    0.36816
  • Mean of criterion
    0.00601
  • SD of predictor
    0.33936
  • SD of criterion
    1.23780
  • Covariance
    -0.09028
  • r
    -0.21492
  • b (slope, estimate of beta)
    -0.78391
  • a (intercept, estimate of alpha)
    0.29462
  • Mean Square Error
    1.46255
  • DF error
    1238.00000
  • t(b)
    -7.74299
  • p(b)
    0.60746
  • t(a)
    0.52880
  • p(a)
    0.49249
  • Lowerbound of 95% confidence interval for beta
    -0.98253
  • Upperbound of 95% confidence interval for beta
    -0.58529
  • Lowerbound of 95% confidence interval for alpha
    -0.79844
  • Upperbound of 95% confidence interval for alpha
    1.38767
  • Treynor index (mean / b)
    -0.00767
  • Jensen alpha (a)
    0.29462
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11818
  • Expected Shortfall on VaR
    0.14557
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00983
  • Expected Shortfall on VaR
    0.02609
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1240.00000
  • Minimum
    0.40605
  • Quartile 1
    0.99982
  • Median
    1.00000
  • Quartile 3
    1.00027
  • Maximum
    3.02798
  • Mean of quarter 1
    0.97194
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00003
  • Mean of quarter 4
    1.04068
  • Inter Quartile Range
    0.00045
  • Number outliers low
    199.00000
  • Percentage of outliers low
    0.16048
  • Mean of outliers low
    0.95654
  • Number of outliers high
    208.00000
  • Percentage of outliers high
    0.16774
  • Mean of outliers high
    1.06036
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.97558
  • VaR(95%) (moments method)
    0.00933
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.40501
  • VaR(95%) (regression method)
    0.00651
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00731
  • Quartile 1
    0.02189
  • Median
    0.05386
  • Quartile 3
    0.19878
  • Maximum
    0.94481
  • Mean of quarter 1
    0.01474
  • Mean of quarter 2
    0.03063
  • Mean of quarter 3
    0.09180
  • Mean of quarter 4
    0.52215
  • Inter Quartile Range
    0.17689
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.81624
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.38649
  • VaR(95%) (moments method)
    0.60302
  • Expected Shortfall (moments method)
    1.15217
  • Extreme Value Index (regression method)
    5.46345
  • VaR(95%) (regression method)
    1.11464
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00610
  • Compounded annual return (geometric extrapolation)
    0.00603
  • Calmar ratio (compounded annual return / max draw down)
    0.00638
  • Compounded annual return / average of 25% largest draw downs
    0.01155
  • Compounded annual return / Expected Shortfall lognormal
    0.04142
  • 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
    1.12608
  • Mean of criterion
    0.00000
  • SD of predictor
    0.36709
  • 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
    1.05629
  • Mean of criterion
    0.00000
  • SD of predictor
    0.37010
  • 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)
    0.11800
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -348196000
  • Max Equity Drawdown (num days)
    4
  • 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

-Due to excess profitability, the system had to be rescaled for a 3rd time, on the 5th of February.(+20% since Jan. 15th)

-As of January 15,2010 the system has been rescaled again down to 71,572 $ this time .This allows a broader range of investors to monitor and trade it.

-The main reason of the DD has been the partly contrarian approach I employed.After thourough examination,I ended to the conclusion that the contrarian approach (which may be of longer-term horizon) is not beneficial,nor prolific, if mixed up with my purely technical system,and therefore such approach shall not be engaged at all in my upcoming trades.As a result,I would not expect any future drawdown to exceed 12% in this account.
(Feb 13th.-Many thanks to "Myth Buster" for her contribution from her "Analyst Page").

-As of November 18,2009 the system has been rescaled from 1000k down to 100k,for the purpose of giving the opportunity to smaller account holders to monitor it.

The system employs similar techniques to "Aristoteles" (my other system),but trading a broader range of futures contracts,including currencies and energies.
Relatively tight stops are used,in order to avoid unpleasant Drawdowns.

I shall be happy to discuss my trades with any of my subscribers.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2009-10-24
Suggested Minimum Capital
$59,600
# Trades
511
# Profitable
301
% Profitable
58.9%
Correlation S&P500
-0.026
Sharpe Ratio
0.11
Sortino Ratio
0.24
Beta
-0.61
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.