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Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification 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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Lunar Cycles
(52643950)

Created by: futurm futurm
Started: 09/2010
Futures
Last trade: 4,831 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 $199.00 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.

-11.0%

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.

(13.6%)
Max Drawdown
24
Num Trades
33.3%
Win Trades
0.6 : 1
Profit Factor
0.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                        (7.7%)+3.4%(5.3%)(1.3%)(10.8%)
2011(2.9%)  -    -    -    -    -    -    -    -    -    -    -  (2.9%)
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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/2/11 18:00 @SFH1 SWISS FRANC SHORT 1 1.0636 2/2 18:00 1.0638 0.03%
Trade id #57487090
Max drawdown($25)
Time2/2/11 18:00
Quant open0
Worst price1.0638
Drawdown as % of equity-0.03%
 ($33)
Includes Typical Broker Commissions trade costs of $8.00
1/27/11 3:31 @SBH1 Sugar #11 LONG 1 32.98 1/27 12:13 34.31 0.27%
Trade id #57240044
Max drawdown($235)
Time1/27/11 3:54
Quant open1
Worst price32.77
Drawdown as % of equity-0.27%
 $1,482
Includes Typical Broker Commissions trade costs of $8.00
1/16/11 18:00 QSIH1 Silver 5000 oz SHORT 1 28.415 1/18 10:14 29.004 3.36%
Trade id #56833057
Max drawdown($2,945)
Time1/18/11 10:14
Quant open0
Worst price29.004
Drawdown as % of equity-3.36%
 ($2,953)
Includes Typical Broker Commissions trade costs of $8.00
1/16/11 19:20 @WH1 WHEAT SHORT 1 773 1/4 1/18 7:54 790 1/4 0.97%
Trade id #56834877
Max drawdown($848)
Time1/18/11 7:54
Quant open0
Worst price790 1/4
Drawdown as % of equity-0.97%
 ($856)
Includes Typical Broker Commissions trade costs of $8.00
12/29/10 16:24 QHGG1 Copper SHORT 2 431.00 12/30 19:32 437.66 3.67%
Trade id #56278377
Max drawdown($3,330)
Time12/30/10 14:57
Quant open-2
Worst price437.40
Drawdown as % of equity-3.67%
 ($3,346)
Includes Typical Broker Commissions trade costs of $16.00
12/29/10 16:26 QCLG1 CRUDE OIL SHORT 2 91.10 12/30 11:10 89.85 0.68%
Trade id #56278429
Max drawdown($600)
Time12/30/10 3:13
Quant open-2
Worst price91.40
Drawdown as % of equity-0.68%
 $2,484
Includes Typical Broker Commissions trade costs of $16.00
12/16/10 18:01 QCLG1 CRUDE OIL SHORT 1 88.63 12/21 8:24 89.84 1.32%
Trade id #55895713
Max drawdown($1,210)
Time12/20/10 20:57
Quant open-1
Worst price89.77
Drawdown as % of equity-1.32%
 ($1,218)
Includes Typical Broker Commissions trade costs of $8.00
12/15/10 18:00 QGCG1 Gold 100 oz SHORT 1 1379.1 12/16 9:52 1367.7 0.9%
Trade id #55852820
Max drawdown($820)
Time12/16/10 3:44
Quant open-1
Worst price1387.3
Drawdown as % of equity-0.90%
 $1,132
Includes Typical Broker Commissions trade costs of $8.00
11/21/10 18:00 @SFZ0 SWISS FRANC LONG 1 1.0088 11/26 11:04 0.9957 1.78%
Trade id #55034335
Max drawdown($1,634)
Time11/26/10 6:19
Quant open1
Worst price0.9962
Drawdown as % of equity-1.78%
 ($1,642)
Includes Typical Broker Commissions trade costs of $8.00
10/24/10 19:00 @WZ0 WHEAT LONG 1 671 11/12 12:52 671 2/4 0.11%
Trade id #54128739
Max drawdown($100)
Time10/24/10 19:04
Quant open1
Worst price669
Drawdown as % of equity-0.11%
 $13
Includes Typical Broker Commissions trade costs of $8.00
11/3/10 18:10 QGCZ0 Gold 100 oz SHORT 1 1348.8 11/3 21:39 1353.6 0.51%
Trade id #54468635
Max drawdown($480)
Time11/3/10 21:37
Quant open-1
Worst price1352.7
Drawdown as % of equity-0.51%
 ($488)
Includes Typical Broker Commissions trade costs of $8.00
10/25/10 3:30 @SBH1 Sugar #11 SHORT 1 28.44 10/28 3:37 29.03 0.7%
Trade id #54139768
Max drawdown($661)
Time10/25/10 3:35
Quant open-1
Worst price28.95
Drawdown as % of equity-0.70%
 ($669)
Includes Typical Broker Commissions trade costs of $8.00
10/10/10 19:00 @USZ0 US T-BOND SHORT 2 134 12/32 10/24 19:00 132 17/32 1.2%
Trade id #53689062
Max drawdown($1,094)
Time10/12/10 7:36
Quant open-2
Worst price134 30/32
Drawdown as % of equity-1.20%
 $3,704
Includes Typical Broker Commissions trade costs of $16.00
10/10/10 20:00 @DXZ0 US Dollar Index LONG 1 77.205 10/13 20:11 77.051 0.17%
Trade id #53690298
Max drawdown($154)
Time10/13/10 20:10
Quant open1
Worst price77.090
Drawdown as % of equity-0.17%
 ($162)
Includes Typical Broker Commissions trade costs of $8.00
10/12/10 18:00 QSIZ0 Silver 5000 oz SHORT 1 23.300 10/12 22:38 23.556 1.4%
Trade id #53773062
Max drawdown($1,280)
Time10/12/10 22:37
Quant open-1
Worst price23.545
Drawdown as % of equity-1.40%
 ($1,288)
Includes Typical Broker Commissions trade costs of $8.00
10/11/10 18:00 @SFZ0 SWISS FRANC SHORT 1 1.0370 10/12 4:37 1.0288 0.15%
Trade id #53728337
Max drawdown($137)
Time10/11/10 18:26
Quant open-1
Worst price1.0381
Drawdown as % of equity-0.15%
 $1,017
Includes Typical Broker Commissions trade costs of $8.00
10/11/10 3:30 @KCZ0 COFFEE LONG 1 182.00 10/11 11:42 177.15 1.96%
Trade id #53699849
Max drawdown($1,819)
Time10/11/10 10:48
Quant open1
Worst price177.65
Drawdown as % of equity-1.96%
 ($1,827)
Includes Typical Broker Commissions trade costs of $8.00
9/27/10 18:05 QHOX0 Heating Oil SHORT 1 2.1321 9/29 13:53 2.2114 3.5%
Trade id #53297604
Max drawdown($3,331)
Time9/29/10 13:52
Quant open-1
Worst price2.2098
Drawdown as % of equity-3.50%
 ($3,339)
Includes Typical Broker Commissions trade costs of $8.00
9/12/10 19:00 @WZ0 WHEAT SHORT 1 738 9/23 14:10 692 4/4 1%
Trade id #52832524
Max drawdown($950)
Time9/19/10 22:01
Quant open-1
Worst price757
Drawdown as % of equity-1.00%
 $2,243
Includes Typical Broker Commissions trade costs of $8.00
9/21/10 17:02 QHGZ0 Copper SHORT 1 347.90 9/23 3:40 359.06 2.9%
Trade id #53121793
Max drawdown($2,790)
Time9/22/10 9:46
Quant open-1
Worst price359.05
Drawdown as % of equity-2.90%
 ($2,798)
Includes Typical Broker Commissions trade costs of $8.00
9/20/10 19:00 @USZ0 US T-BOND LONG 1 130 17/32 9/22 7:01 132 30/32 0.03%
Trade id #53079322
Max drawdown($31)
Time9/20/10 19:06
Quant open1
Worst price130 16/32
Drawdown as % of equity-0.03%
 $2,396
Includes Typical Broker Commissions trade costs of $8.00
9/12/10 17:30 @JYZ0 JAPANESE YEN SHORT 1 0.011880 9/14 21:25 0.012073 2.51%
Trade id #52831102
Max drawdown($2,413)
Time9/14/10 10:49
Quant open-1
Worst price0.012070
Drawdown as % of equity-2.51%
 ($2,421)
Includes Typical Broker Commissions trade costs of $8.00
9/5/10 19:11 QGCZ0 Gold 100 oz SHORT 1 1249.6 9/14 10:10 1272.1 2.34%
Trade id #52644053
Max drawdown($2,250)
Time9/14/10 9:48
Quant open-1
Worst price1269.2
Drawdown as % of equity-2.34%
 ($2,258)
Includes Typical Broker Commissions trade costs of $8.00
9/5/10 19:10 @JYU0 JAPANESE YEN SHORT 1 0.011853 9/12 17:32 0.011952 1.86%
Trade id #52643998
Max drawdown($1,850)
Time9/7/10 23:49
Quant open-1
Worst price0.012001
Drawdown as % of equity-1.86%
 ($1,246)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    9/5/2010
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4976.8
  • Age
    166 months ago
  • What it trades
    Futures
  • # Trades
    24
  • # Profitable
    8
  • % Profitable
    33.30%
  • Avg trade duration
    3.7 days
  • Max peak-to-valley drawdown
    13.59%
  • drawdown period
    Sept 05, 2010 - Jan 27, 2011
  • Annual return (compounded)
    -0.9%
  • Avg win
    $1,818
  • Avg loss
    $1,650
  • Model Account Values (Raw)
  • Cash
    $88,144
  • Margin Used
    $0
  • Buying Power
    $88,144
  • Ratios
  • W:L ratio
    0.55:1
  • Sharpe Ratio
    -1.15
  • Sortino Ratio
    -1.37
  • Calmar Ratio
    -0.247
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.00810
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -68.08%
  • Return Percent SP500 (cumu) during strategy life
    359.17%
  • Return Statistics
  • Ann Return (w trading costs)
    -11.0%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    15.40%
  • 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
    n/a
  • 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
    $1,819
  • Avg Loss
    $1,650
  • Sum Trade PL (losers)
    $26,408.000
  • Sum Trade PL (winners)
    $14,551.000
  • # Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    1
  • Age
  • Num Months filled monthly returns table
    164
  • Win / Loss
  • # Losers
    16
  • % Winners
    33.3%
  • Frequency
  • Avg Position Time (mins)
    5258.95
  • Avg Position Time (hrs)
    87.65
  • Avg Trade Length
    3.7 days
  • Last Trade Ago
    4827
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    7.47
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -0.41
  • MAE:Equity, average, all trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -2.614
  • 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
    3.94
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    15.49
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • 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
    0.273
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.023
  • Hold-and-Hope Ratio
    -0.383
  • 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)
    -0.05900
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.00600
  • 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)
    144
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

This system is based on "Lunar Cycles".

Stop Loss and Profit always given.

Summary Statistics

Strategy began
2010-09-05
Suggested Minimum Capital
$100,000
# Trades
24
# Profitable
8
% Profitable
33.3%
Correlation S&P500
-0.008
Sharpe Ratio
-1.15
Sortino Ratio
-1.37
Beta
-0.00
Alpha
-0.01

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.