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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

MREV1
(50707469)

Created by: JackGross JackGross
Started: 06/2010
Futures
Last trade: 4,307 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.

23.9%

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.

(58.9%)
Max Drawdown
114
Num Trades
60.5%
Win Trades
1.2 : 1
Profit Factor
9.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                   +0.2%+21.0%+9.2%+7.1%+12.0%(0.1%)(2%)+55.6%
2011+36.0%+0.8%+9.7%(13.4%)+1.0%(19.7%)(13.9%)(33.8%)+48.4%+0.4%(9.4%)+9.1%(11.2%)
2012(8.1%)+18.4%(1.4%)+0.5%(5%)+3.1%  -    -    -    -    -    -  +5.7%
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -  +0.4%  -    -    -    -    -    -  +0.4%
2015  -    -    -    -    -    -  (0.4%)  -    -    -    -    -  (0.4%)
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

This strategy has placed 164 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4327 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/11/12 18:32 @ESU2 E-MINI S&P 500 LONG 3 1299.50 6/13 12:16 1315.00 0.22%
Trade id #74455237
Max drawdown($112)
Time6/11/12 19:41
Quant open3
Worst price1298.75
Drawdown as % of equity-0.22%
$2,301
Includes Typical Broker Commissions trade costs of $24.00
5/30/12 18:47 @ESM2 E-MINI S&P 500 LONG 3 1299.00 6/5 15:07 1294.00 7.25%
Trade id #74125104
Max drawdown($3,700)
Time6/3/12 19:27
Quant open2
Worst price1262.00
Drawdown as % of equity-7.25%
($774)
Includes Typical Broker Commissions trade costs of $24.00
5/23/12 11:16 @ESM2 E-MINI S&P 500 LONG 2 1300.00 5/23 15:12 1308.00 1.16%
Trade id #73947472
Max drawdown($600)
Time5/23/12 12:29
Quant open2
Worst price1294.00
Drawdown as % of equity-1.16%
$784
Includes Typical Broker Commissions trade costs of $16.00
5/3/12 20:05 @ESM2 E-MINI S&P 500 LONG 4 1386.25 5/8 15:37 1360.94 12.99%
Trade id #73323605
Max drawdown($6,562)
Time5/6/12 18:39
Quant open3
Worst price1342.50
Drawdown as % of equity-12.99%
($5,095)
Includes Typical Broker Commissions trade costs of $32.00
4/30/12 18:28 @ESM2 E-MINI S&P 500 LONG 3 1395.25 5/1 13:48 1408.00 1.09%
Trade id #73168913
Max drawdown($600)
Time5/1/12 10:00
Quant open3
Worst price1391.25
Drawdown as % of equity-1.09%
$1,889
Includes Typical Broker Commissions trade costs of $24.00
4/19/12 18:27 @ESM2 E-MINI S&P 500 LONG 2 1373.25 4/24 14:41 1366.50 3.5%
Trade id #72864998
Max drawdown($1,925)
Time4/23/12 10:10
Quant open2
Worst price1354.00
Drawdown as % of equity-3.50%
($691)
Includes Typical Broker Commissions trade costs of $16.00
4/16/12 18:23 @ESM2 E-MINI S&P 500 LONG 2 1364.25 4/17 13:44 1386.75 0.94%
Trade id #72719548
Max drawdown($500)
Time4/17/12 2:39
Quant open2
Worst price1359.25
Drawdown as % of equity-0.94%
$2,234
Includes Typical Broker Commissions trade costs of $16.00
4/4/12 18:26 @ESM2 E-MINI S&P 500 LONG 2 1393.25 4/12 13:27 1381.00 7.73%
Trade id #72374898
Max drawdown($4,075)
Time4/10/12 14:40
Quant open2
Worst price1352.50
Drawdown as % of equity-7.73%
($1,241)
Includes Typical Broker Commissions trade costs of $16.00
3/28/12 18:40 @ESM2 E-MINI S&P 500 LONG 3 1400.75 3/29 18:32 1397.50 4.07%
Trade id #72139958
Max drawdown($2,175)
Time3/29/12 12:00
Quant open3
Worst price1386.25
Drawdown as % of equity-4.07%
($512)
Includes Typical Broker Commissions trade costs of $24.00
3/26/12 18:02 @ESM2 E-MINI S&P 500 SHORT 2 1415.00 3/27 10:28 1411.25 0.87%
Trade id #72031524
Max drawdown($475)
Time3/27/12 5:10
Quant open-2
Worst price1419.75
Drawdown as % of equity-0.87%
$359
Includes Typical Broker Commissions trade costs of $16.00
3/22/12 11:03 @ESM2 E-MINI S&P 500 LONG 3 1386.25 3/23 15:51 1391.75 1.56%
Trade id #71922849
Max drawdown($862)
Time3/23/12 10:12
Quant open3
Worst price1380.50
Drawdown as % of equity-1.56%
$801
Includes Typical Broker Commissions trade costs of $24.00
3/13/12 18:25 @ESM2 E-MINI S&P 500 SHORT 3 1388.75 3/19 12:02 1404.50 4.29%
Trade id #71446465
Max drawdown($2,363)
Time3/19/12 12:02
Quant open0
Worst price1404.50
Drawdown as % of equity-4.29%
($2,387)
Includes Typical Broker Commissions trade costs of $24.00
3/5/12 18:33 @ESH2 E-MINI S&P 500 LONG 3 1363.25 3/8 15:12 1367.50 7.06%
Trade id #71192361
Max drawdown($3,712)
Time3/6/12 14:36
Quant open3
Worst price1338.50
Drawdown as % of equity-7.06%
$614
Includes Typical Broker Commissions trade costs of $24.00
2/29/12 18:02 @ESH2 E-MINI S&P 500 LONG 4 1360.50 3/2 15:23 1368.25 0.63%
Trade id #71060158
Max drawdown($350)
Time3/1/12 1:45
Quant open4
Worst price1358.75
Drawdown as % of equity-0.63%
$1,518
Includes Typical Broker Commissions trade costs of $32.00
2/23/12 18:24 @ESH2 E-MINI S&P 500 SHORT 2 1365.00 2/29 15:05 1366.75 2.29%
Trade id #70908550
Max drawdown($1,225)
Time2/29/12 10:02
Quant open-2
Worst price1377.25
Drawdown as % of equity-2.29%
($191)
Includes Typical Broker Commissions trade costs of $16.00
2/21/12 18:24 @ESH2 E-MINI S&P 500 LONG 4 1360.75 2/23 18:22 1364.75 3.97%
Trade id #70836861
Max drawdown($2,100)
Time2/23/12 9:46
Quant open4
Worst price1350.25
Drawdown as % of equity-3.97%
$768
Includes Typical Broker Commissions trade costs of $32.00
2/16/12 18:31 @ESH2 E-MINI S&P 500 SHORT 2 1355.00 2/21 18:23 1360.75 2.7%
Trade id #70725703
Max drawdown($1,450)
Time2/19/12 18:01
Quant open-2
Worst price1369.50
Drawdown as % of equity-2.70%
($591)
Includes Typical Broker Commissions trade costs of $16.00
2/15/12 18:24 @ESH2 E-MINI S&P 500 LONG 4 1338.75 2/16 15:11 1351.00 1.74%
Trade id #70673420
Max drawdown($900)
Time2/16/12 2:02
Quant open4
Worst price1334.25
Drawdown as % of equity-1.74%
$2,418
Includes Typical Broker Commissions trade costs of $32.00
2/13/12 18:34 @ESH2 E-MINI S&P 500 SHORT 2 1346.25 2/14 15:34 1339.75 1.13%
Trade id #70567584
Max drawdown($575)
Time2/14/12 5:31
Quant open-2
Worst price1352.00
Drawdown as % of equity-1.13%
$634
Includes Typical Broker Commissions trade costs of $16.00
2/6/12 18:46 @ESH2 E-MINI S&P 500 SHORT 3 1341.08 2/10 15:53 1337.25 3.5%
Trade id #70314168
Max drawdown($1,750)
Time2/9/12 8:31
Quant open-3
Worst price1352.75
Drawdown as % of equity-3.50%
$551
Includes Typical Broker Commissions trade costs of $24.00
1/31/12 18:21 @ESH2 E-MINI S&P 500 LONG 4 1318.06 2/3 13:42 1334.81 0.34%
Trade id #70142605
Max drawdown($162)
Time2/1/12 2:09
Quant open1
Worst price1303.75
Drawdown as % of equity-0.34%
$3,318
Includes Typical Broker Commissions trade costs of $32.00
1/30/12 18:44 @ESH2 E-MINI S&P 500 SHORT 1 1309.25 1/31 18:20 1307.00 0.88%
Trade id #70106139
Max drawdown($412)
Time1/31/12 6:05
Quant open-1
Worst price1317.50
Drawdown as % of equity-0.88%
$105
Includes Typical Broker Commissions trade costs of $8.00
1/29/12 18:05 @ESH2 E-MINI S&P 500 LONG 3 1312.25 1/30 18:44 1309.25 5.36%
Trade id #70069209
Max drawdown($2,437)
Time1/30/12 10:14
Quant open3
Worst price1296.00
Drawdown as % of equity-5.36%
($474)
Includes Typical Broker Commissions trade costs of $24.00
1/12/12 18:25 @ESH2 E-MINI S&P 500 SHORT 4 1295.50 1/27 15:47 1310.81 7.34%
Trade id #69681231
Max drawdown($3,425)
Time1/26/12 9:59
Quant open-2
Worst price1329.75
Drawdown as % of equity-7.34%
($3,095)
Includes Typical Broker Commissions trade costs of $32.00
1/10/12 18:48 @ESH2 E-MINI S&P 500 LONG 4 1285.00 1/12 18:24 1291.75 2.32%
Trade id #69619301
Max drawdown($1,150)
Time1/11/12 7:07
Quant open4
Worst price1279.25
Drawdown as % of equity-2.32%
$1,318
Includes Typical Broker Commissions trade costs of $32.00
1/5/12 18:34 @ESH2 E-MINI S&P 500 SHORT 2 1272.25 1/10 18:48 1285.00 4.01%
Trade id #69512544
Max drawdown($1,975)
Time1/10/12 10:05
Quant open-2
Worst price1292.00
Drawdown as % of equity-4.01%
($1,291)
Includes Typical Broker Commissions trade costs of $16.00
1/3/12 18:30 @ESH2 E-MINI S&P 500 LONG 4 1272.75 1/5 18:34 1272.25 5.28%
Trade id #69448602
Max drawdown($2,600)
Time1/5/12 10:03
Quant open4
Worst price1259.75
Drawdown as % of equity-5.28%
($132)
Includes Typical Broker Commissions trade costs of $32.00
12/28/11 15:55 @ESH2 E-MINI S&P 500 LONG 2 1244.50 12/30 11:07 1257.12 0.25%
Trade id #69341933
Max drawdown($125)
Time12/28/11 15:59
Quant open2
Worst price1243.25
Drawdown as % of equity-0.25%
$1,247
Includes Typical Broker Commissions trade costs of $16.00
12/21/11 15:52 @ESH2 E-MINI S&P 500 SHORT 1 1235.00 12/22 15:46 1248.00 1.47%
Trade id #69188725
Max drawdown($725)
Time12/22/11 13:35
Quant open-1
Worst price1249.50
Drawdown as % of equity-1.47%
($658)
Includes Typical Broker Commissions trade costs of $8.00
12/8/11 15:50 @ESH2 E-MINI S&P 500 LONG 3 1225.83 12/21 15:45 1236.67 9.76%
Trade id #68813328
Max drawdown($4,550)
Time12/19/11 15:53
Quant open3
Worst price1195.50
Drawdown as % of equity-9.76%
$1,601
Includes Typical Broker Commissions trade costs of $24.00

Statistics

  • Strategy began
    6/30/2010
  • Suggested Minimum Cap
    $33,333
  • Strategy Age (days)
    5018.46
  • Age
    167 months ago
  • What it trades
    Futures
  • # Trades
    114
  • # Profitable
    69
  • % Profitable
    60.50%
  • Avg trade duration
    2.7 days
  • Max peak-to-valley drawdown
    58.91%
  • drawdown period
    April 06, 2011 - Aug 31, 2011
  • Annual return (compounded)
    3.6%
  • Avg win
    $1,975
  • Avg loss
    $2,562
  • Model Account Values (Raw)
  • Cash
    $54,331
  • Margin Used
    $0
  • Buying Power
    $54,331
  • Ratios
  • W:L ratio
    1.18:1
  • Sharpe Ratio
    0.11
  • Sortino Ratio
    0.17
  • Calmar Ratio
    -0.141
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.04300
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -0.83%
  • Return Percent SP500 (cumu) during strategy life
    409.95%
  • Return Statistics
  • Ann Return (w trading costs)
    23.9%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    65.40%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    70.73%
  • Chance of 20% account loss
    45.24%
  • Chance of 30% account loss
    18.61%
  • Chance of 40% account loss
    15.91%
  • 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
    2.22%
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $1,975
  • Avg Loss
    $2,562
  • Sum Trade PL (losers)
    $115,301.000
  • Sum Trade PL (winners)
    $136,299.000
  • # Winners
    69
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    16
  • Age
  • Num Months filled monthly returns table
    166
  • Win / Loss
  • # Losers
    45
  • % Winners
    60.5%
  • Frequency
  • Avg Position Time (mins)
    3959.58
  • Avg Position Time (hrs)
    65.99
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    4304
  • Regression
  • Alpha
    0.00
  • Beta
    0.04
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -0.43
  • MAE:Equity, average, all trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    9.859
  • 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
    62.54
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    31.31
  • MAE:Equity, 95th Percentile Value for this strat
    0.04
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.07
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.383
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.322
  • Hold-and-Hope Ratio
    0.101
  • 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)
    -0.12600
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.05500
  • 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)
    147
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

This system will conclude trading on June 30, 2012.

If you are interested in a mean-reversion trading system for S&P 500 e-mini futures, I'd encourage you to take a look at new ES Oscilation, instead.

Many enhancements were made to the numerical trading model, used by ES Oscillation, during 2011. The model parameters were locked in late August 2011 and have been unchanged, since. The trade signals for the new ES Oscillation will reflect the new, stable model.

Summary Statistics

Strategy began
2010-06-30
Suggested Minimum Capital
$33,300
# Trades
114
# Profitable
69
% Profitable
60.5%
Correlation S&P500
0.043
Sharpe Ratio
0.11
Sortino Ratio
0.17
Beta
0.04
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.