Collective2 Collective2
Featured Strategy Easiest +110.8% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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Futures Trader Daily
(52737021)

Created by: FuturesTraderDaily FuturesTraderDaily
Started: 09/2010
Futures
Last trade: 2,241 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 $49.00 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.

6.3%
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.

(74.4%)
Max Drawdown
3629
Num Trades
42.0%
Win Trades
1.1 : 1
Profit Factor
38.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                        +8.3%+32.6%+31.6%+28.2%+142.3%
2011+0.4%+8.1%(3.2%)+18.5%(4%)(0.7%)+1.6%+1.6%+3.7%(15.2%)(11.9%)+2.3%(2.8%)
2012(9.8%)+15.7%(6.6%)+1.8%+25.0%(3.3%)+19.0%(3.6%)(11.1%)(14%)(16.5%)(1.7%)(13.8%)
2013+4.9%(12.6%)+2.0%+3.9%(6.8%)+14.4%(0.5%)+16.2%+6.9%(5%)(30.3%)+22.6%+3.8%
2014+2.3%+6.7%+30.5%(8.1%)(2.9%)+14.3%+1.1%+11.2%+36.8%(5.1%)+31.5%+3.2%+188.0%
2015+11.2%(2.9%)+10.3%(1.6%)(5.1%)(3.4%)(5.8%)(3%)(7.8%)(6.8%)+5.8%(6.7%)(16.9%)
2016+11.8%+7.2%(0.6%)+0.8%+1.2%+10.1%+0.3%(6.5%)+8.9%(3.4%)(4.2%)(4.6%)+20.7%
2017(8.6%)(4.4%)(1.8%)+2.5%+2.8%+2.2%(3.6%)  -  (6.7%)(63.1%)+29.2%+7.2%(57.4%)
2018+1.0%(12.4%)+1.7%  -    -    -    -    -    -    -  
2022(1.5%)  -    -    -    -    -    -    -    -    -    -    -  (11.5%)
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 12 hours.

Trading Record

This strategy has placed 3,896 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2413 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/27/18 10:52 LGM8 GILT LONG SHORT 1 120.65 3/7 3:00 121.00 1.01%
Trade id #116748592
Max drawdown($1,898)
Time3/2/18 6:06
Quant open-1
Worst price122.02
Drawdown as % of equity-1.01%
 ($493)
Includes Typical Broker Commissions trade costs of $8.00
3/1/18 15:03 QGCJ8 Gold 100 oz LONG 1 1321.2 3/6 20:32 1336.4 0.28%
Trade id #116810620
Max drawdown($530)
Time3/1/18 16:00
Quant open1
Worst price1315.9
Drawdown as % of equity-0.28%
 $1,512
Includes Typical Broker Commissions trade costs of $8.00
2/27/18 10:21 @SK8 SOYBEANS LONG 2 1052 3/6 20:32 1069 0.34%
Trade id #116747558
Max drawdown($625)
Time2/27/18 20:01
Quant open2
Worst price1045 3/4
Drawdown as % of equity-0.34%
 $1,684
Includes Typical Broker Commissions trade costs of $16.00
3/5/18 9:35 @CTK8 COTTON - #2 LONG 2 8314 3/6 10:44 8352 0.05%
Trade id #116859042
Max drawdown($90)
Time3/5/18 10:01
Quant open2
Worst price8305
Drawdown as % of equity-0.05%
 $364
Includes Typical Broker Commissions trade costs of $16.00
2/27/18 10:51 BLM8 EUREX BOBL SHORT 6 130.090 3/5 2:11 130.540 1.78%
Trade id #116748576
Max drawdown($3,317)
Time3/5/18 2:11
Quant open0
Worst price130.540
Drawdown as % of equity-1.78%
 ($3,365)
Includes Typical Broker Commissions trade costs of $48.00
2/28/18 9:30 @WK8 WHEAT LONG 3 486 3/2 10:19 502 2/4 n/a $2,451
Includes Typical Broker Commissions trade costs of $24.00
2/25/18 20:00 @KWK8 Hard Red Winter Wheat Electronic LONG 3 490.750 3/2 10:18 535.250 0.08%
Trade id #116713702
Max drawdown($150)
Time2/26/18 9:31
Quant open3
Worst price489.750
Drawdown as % of equity-0.08%
 $6,651
Includes Typical Broker Commissions trade costs of $24.00
2/27/18 10:49 @TUM8 US T-NOTE 2 YR SHORT 5 106 31/128 3/1 13:46 106 42/128 0.48%
Trade id #116748493
Max drawdown($859)
Time3/1/18 13:46
Quant open0
Worst price106 42/128
Drawdown as % of equity-0.48%
 ($899)
Includes Typical Broker Commissions trade costs of $40.00
2/26/18 20:44 @DXH8 US Dollar Index SHORT 2 89.660 3/1 8:02 90.825 1.29%
Trade id #116736062
Max drawdown($2,330)
Time3/1/18 8:02
Quant open0
Worst price90.825
Drawdown as % of equity-1.29%
 ($2,346)
Includes Typical Broker Commissions trade costs of $16.00
2/26/18 9:18 LRCK8 Coffee Robusta Liffe SHORT 5 1742 3/1 5:27 1742 0.19%
Trade id #116720316
Max drawdown($350)
Time2/26/18 11:38
Quant open-5
Worst price1749
Drawdown as % of equity-0.19%
 ($40)
Includes Typical Broker Commissions trade costs of $40.00
2/25/18 20:00 @SMK8 SOYBEAN MEAL LONG 2 380.7 2/28 20:26 388.8 0.16%
Trade id #116713678
Max drawdown($280)
Time2/26/18 20:29
Quant open2
Worst price379.3
Drawdown as % of equity-0.16%
 $1,604
Includes Typical Broker Commissions trade costs of $16.00
2/26/18 10:14 @HEJ8 LEAN HOGS LONG 2 71.875 2/28 9:30 69.400 1.07%
Trade id #116722975
Max drawdown($1,980)
Time2/28/18 9:30
Quant open0
Worst price69.400
Drawdown as % of equity-1.07%
 ($1,996)
Includes Typical Broker Commissions trade costs of $16.00
2/26/18 4:24 @SBK8 Sugar #11 SHORT 3 13.41 2/28 9:03 13.30 0.28%
Trade id #116718182
Max drawdown($504)
Time2/26/18 6:20
Quant open-3
Worst price13.56
Drawdown as % of equity-0.28%
 $346
Includes Typical Broker Commissions trade costs of $24.00
2/26/18 10:10 QWK8 Liffe Sugar White SHORT 4 358.9 2/28 8:05 356.2 0.4%
Trade id #116722861
Max drawdown($720)
Time2/26/18 11:13
Quant open-4
Worst price362.5
Drawdown as % of equity-0.40%
 $508
Includes Typical Broker Commissions trade costs of $32.00
1/31/18 10:11 QWH8 Liffe Sugar White SHORT 12 355.7 2/28 3:45 356.8 1.38%
Trade id #116199156
Max drawdown($2,600)
Time2/6/18 11:28
Quant open-8
Worst price362.3
Drawdown as % of equity-1.38%
 ($716)
Includes Typical Broker Commissions trade costs of $96.00
2/15/18 3:00 LGH8 GILT LONG SHORT 1 120.41 2/27 10:52 121.67 1.4%
Trade id #116522920
Max drawdown($2,497)
Time2/27/18 3:12
Quant open-1
Worst price122.22
Drawdown as % of equity-1.40%
 ($1,755)
Includes Typical Broker Commissions trade costs of $8.00
2/14/18 8:35 BLH8 EUREX BOBL SHORT 6 130.490 2/27 10:51 130.900 2.51%
Trade id #116499148
Max drawdown($4,507)
Time2/26/18 2:02
Quant open-6
Worst price131.100
Drawdown as % of equity-2.51%
 ($3,058)
Includes Typical Broker Commissions trade costs of $48.00
2/22/18 11:16 EBJ8 Brent Crude Oil LONG 1 66.21 2/27 10:44 66.83 0.23%
Trade id #116667635
Max drawdown($420)
Time2/23/18 5:38
Quant open1
Worst price65.79
Drawdown as % of equity-0.23%
 $612
Includes Typical Broker Commissions trade costs of $8.00
2/20/18 7:53 @SH8 SOYBEANS LONG 2 1038 2/4 2/27 10:21 1039 3/4 1.06%
Trade id #116610551
Max drawdown($1,925)
Time2/20/18 22:22
Quant open2
Worst price1019 1/4
Drawdown as % of equity-1.06%
 $109
Includes Typical Broker Commissions trade costs of $16.00
2/19/18 20:09 @USH8 US T-BOND SHORT 1 143 26/32 2/23 12:31 144 3/32 0.21%
Trade id #116605257
Max drawdown($375)
Time2/20/18 10:03
Quant open-1
Worst price144 6/32
Drawdown as % of equity-0.21%
 ($289)
Includes Typical Broker Commissions trade costs of $8.00
2/20/18 8:10 @CTK8 COTTON - #2 LONG 2 7793 2/22 12:49 7930 0.09%
Trade id #116610757
Max drawdown($160)
Time2/20/18 8:12
Quant open2
Worst price7777
Drawdown as % of equity-0.09%
 $1,354
Includes Typical Broker Commissions trade costs of $16.00
2/16/18 9:29 @SBH8 Sugar #11 SHORT 3 13.45 2/22 9:00 13.53 0.16%
Trade id #116554008
Max drawdown($302)
Time2/20/18 3:31
Quant open-3
Worst price13.54
Drawdown as % of equity-0.16%
 ($293)
Includes Typical Broker Commissions trade costs of $24.00
2/20/18 5:50 QWK8 Liffe Sugar White SHORT 4 357.3 2/22 5:08 359.2 0.26%
Trade id #116609289
Max drawdown($480)
Time2/20/18 11:35
Quant open-4
Worst price359.7
Drawdown as % of equity-0.26%
 ($412)
Includes Typical Broker Commissions trade costs of $32.00
2/20/18 2:11 EZH8 EUREX SCHATZ SHORT 5 111.875 2/22 4:40 111.925 0.19%
Trade id #116607331
Max drawdown($338)
Time2/20/18 9:15
Quant open-5
Worst price111.930
Drawdown as % of equity-0.19%
 ($347)
Includes Typical Broker Commissions trade costs of $40.00
2/16/18 10:09 @OJH8 Orange Juice LONG 2 150.90 2/20 13:18 149.30 0.26%
Trade id #116556452
Max drawdown($480)
Time2/20/18 13:18
Quant open0
Worst price149.30
Drawdown as % of equity-0.26%
 ($496)
Includes Typical Broker Commissions trade costs of $16.00
2/16/18 9:30 @HEJ8 LEAN HOGS SHORT 2 68.850 2/20 9:32 68.900 0.03%
Trade id #116554066
Max drawdown($60)
Time2/16/18 9:40
Quant open-2
Worst price68.925
Drawdown as % of equity-0.03%
 ($56)
Includes Typical Broker Commissions trade costs of $16.00
2/15/18 11:23 LRCH8 Coffee Robusta Liffe SHORT 5 1804 2/20 5:43 1791 0.57%
Trade id #116533733
Max drawdown($1,050)
Time2/16/18 4:35
Quant open-5
Worst price1825
Drawdown as % of equity-0.57%
 $610
Includes Typical Broker Commissions trade costs of $40.00
2/16/18 10:05 QWK8 Liffe Sugar White SHORT 4 357.0 2/19 10:59 361.4 0.48%
Trade id #116556227
Max drawdown($880)
Time2/19/18 10:59
Quant open0
Worst price361.4
Drawdown as % of equity-0.48%
 ($912)
Includes Typical Broker Commissions trade costs of $32.00
2/15/18 9:30 @KWH8 Hard Red Winter Wheat Electronic LONG 3 475.250 2/16 7:39 473.250 0.4%
Trade id #116527915
Max drawdown($750)
Time2/15/18 10:47
Quant open3
Worst price470.250
Drawdown as % of equity-0.40%
 ($324)
Includes Typical Broker Commissions trade costs of $24.00
2/13/18 8:57 QWK8 Liffe Sugar White SHORT 4 357.8 2/15 10:58 360.8 0.45%
Trade id #116477511
Max drawdown($820)
Time2/13/18 12:34
Quant open-4
Worst price361.9
Drawdown as % of equity-0.45%
 ($632)
Includes Typical Broker Commissions trade costs of $32.00
Next

Statistics

  • Strategy began
    9/8/2010
  • Suggested Minimum Cap
    $37,717
  • Strategy Age (days)
    4972.09
  • Age
    166 months ago
  • What it trades
    Futures
  • # Trades
    3629
  • # Profitable
    1525
  • % Profitable
    42.00%
  • Avg trade duration
    5.3 days
  • Max peak-to-valley drawdown
    74.37%
  • drawdown period
    March 30, 2015 - Oct 29, 2017
  • Annual Return (Compounded)
    6.3%
  • Avg win
    $1,342
  • Avg loss
    $902.95
  • Model Account Values (Raw)
  • Cash
    $185,095
  • Margin Used
    $0
  • Buying Power
    $185,095
  • Ratios
  • W:L ratio
    1.08:1
  • Sharpe Ratio
    0.3
  • Sortino Ratio
    0.44
  • Calmar Ratio
    0.442
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -222.11%
  • Correlation to SP500
    -0.03810
  • Return Percent SP500 (cumu) during strategy life
    361.59%
  • Return Statistics
  • Ann Return (w trading costs)
    6.3%
  • Slump
  • Current Slump as Pcnt Equity
    218.10%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.67%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.063%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.4%
  • 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)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • 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
    $903
  • Avg Win
    $1,342
  • Sum Trade PL (losers)
    $1,899,810.000
  • Age
  • Num Months filled monthly returns table
    126
  • Win / Loss
  • Sum Trade PL (winners)
    $2,047,160.000
  • # Winners
    1525
  • Num Months Winners
    48
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    2104
  • % Winners
    42.0%
  • Frequency
  • Avg Position Time (mins)
    7611.88
  • Avg Position Time (hrs)
    126.86
  • Avg Trade Length
    5.3 days
  • Last Trade Ago
    2236
  • Regression
  • Alpha
    0.03
  • Beta
    -0.04
  • Treynor Index
    -0.63
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    58.62
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    47.81
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.41
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    70.719
  • 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
    0.21
  • Avg(MAE) / Avg(PL) - Winning trades
    0.310
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.178
  • Hold-and-Hope Ratio
    0.014
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26346
  • SD
    0.35781
  • Sharpe ratio (Glass type estimate)
    0.73631
  • Sharpe ratio (Hedges UMVUE)
    0.73036
  • df
    93.00000
  • t
    2.06080
  • p
    0.02106
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02619
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44260
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02225
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43847
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.53384
  • Upside Potential Ratio
    3.29474
  • Upside part of mean
    0.56593
  • Downside part of mean
    -0.30246
  • Upside SD
    0.32086
  • Downside SD
    0.17177
  • N nonnegative terms
    54.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    94.00000
  • Mean of predictor
    0.22174
  • Mean of criterion
    0.26346
  • SD of predictor
    0.23770
  • SD of criterion
    0.35781
  • Covariance
    -0.00442
  • r
    -0.05199
  • b (slope, estimate of beta)
    -0.07826
  • a (intercept, estimate of alpha)
    0.28081
  • Mean Square Error
    0.12907
  • DF error
    92.00000
  • t(b)
    -0.49931
  • p(b)
    0.69062
  • t(a)
    2.11163
  • p(a)
    0.01871
  • Lowerbound of 95% confidence interval for beta
    -0.38954
  • Upperbound of 95% confidence interval for beta
    0.23302
  • Lowerbound of 95% confidence interval for alpha
    0.01670
  • Upperbound of 95% confidence interval for alpha
    0.54493
  • Treynor index (mean / b)
    -3.36664
  • Jensen alpha (a)
    0.28081
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20308
  • SD
    0.33733
  • Sharpe ratio (Glass type estimate)
    0.60201
  • Sharpe ratio (Hedges UMVUE)
    0.59714
  • df
    93.00000
  • t
    1.68490
  • p
    0.04768
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10516
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10838
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30266
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10002
  • Upside Potential Ratio
    2.82634
  • Upside part of mean
    0.52177
  • Downside part of mean
    -0.31870
  • Upside SD
    0.28625
  • Downside SD
    0.18461
  • N nonnegative terms
    54.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    94.00000
  • Mean of predictor
    0.19656
  • Mean of criterion
    0.20308
  • SD of predictor
    0.20918
  • SD of criterion
    0.33733
  • Covariance
    -0.00402
  • r
    -0.05695
  • b (slope, estimate of beta)
    -0.09184
  • a (intercept, estimate of alpha)
    0.22113
  • Mean Square Error
    0.11466
  • DF error
    92.00000
  • t(b)
    -0.54715
  • p(b)
    0.70720
  • t(a)
    1.76336
  • p(a)
    0.04058
  • Lowerbound of 95% confidence interval for beta
    -0.42522
  • Upperbound of 95% confidence interval for beta
    0.24153
  • Lowerbound of 95% confidence interval for alpha
    -0.02793
  • Upperbound of 95% confidence interval for alpha
    0.47019
  • Treynor index (mean / b)
    -2.21114
  • Jensen alpha (a)
    0.22113
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13346
  • Expected Shortfall on VaR
    0.16748
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05263
  • Expected Shortfall on VaR
    0.10326
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    94.00000
  • Minimum
    0.77910
  • Quartile 1
    0.95962
  • Median
    1.00680
  • Quartile 3
    1.06613
  • Maximum
    1.45528
  • Mean of quarter 1
    0.91594
  • Mean of quarter 2
    0.98540
  • Mean of quarter 3
    1.03065
  • Mean of quarter 4
    1.15467
  • Inter Quartile Range
    0.10651
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01064
  • Mean of outliers low
    0.77910
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.05319
  • Mean of outliers high
    1.29611
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29601
  • VaR(95%) (moments method)
    0.09200
  • Expected Shortfall (moments method)
    0.14973
  • Extreme Value Index (regression method)
    0.44581
  • VaR(95%) (regression method)
    0.07618
  • Expected Shortfall (regression method)
    0.13198
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.03301
  • Quartile 1
    0.07046
  • Median
    0.21857
  • Quartile 3
    0.32705
  • Maximum
    0.45803
  • Mean of quarter 1
    0.04111
  • Mean of quarter 2
    0.15513
  • Mean of quarter 3
    0.28750
  • Mean of quarter 4
    0.41231
  • Inter Quartile Range
    0.25659
  • 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)
    0.49883
  • Compounded annual return (geometric extrapolation)
    0.22517
  • Calmar ratio (compounded annual return / max draw down)
    0.49159
  • Compounded annual return / average of 25% largest draw downs
    0.54610
  • Compounded annual return / Expected Shortfall lognormal
    1.34442
  • 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
    0.28709
  • SD
    0.42063
  • Sharpe ratio (Glass type estimate)
    0.68252
  • Sharpe ratio (Hedges UMVUE)
    0.68227
  • df
    2053.00000
  • t
    1.91101
  • p
    0.02807
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01786
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.38277
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01804
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38258
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16394
  • Upside Potential Ratio
    6.69581
  • Upside part of mean
    1.65152
  • Downside part of mean
    -1.36443
  • Upside SD
    0.34106
  • Downside SD
    0.24665
  • N nonnegative terms
    1075.00000
  • N negative terms
    979.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2054.00000
  • Mean of predictor
    0.22917
  • Mean of criterion
    0.28709
  • SD of predictor
    0.29400
  • SD of criterion
    0.42063
  • Covariance
    0.02345
  • r
    0.18961
  • b (slope, estimate of beta)
    0.27127
  • a (intercept, estimate of alpha)
    0.22500
  • Mean Square Error
    0.17065
  • DF error
    2052.00000
  • t(b)
    8.74770
  • p(b)
    0.00000
  • t(a)
    1.52271
  • p(a)
    0.06399
  • Lowerbound of 95% confidence interval for beta
    0.21046
  • Upperbound of 95% confidence interval for beta
    0.33209
  • Lowerbound of 95% confidence interval for alpha
    -0.06476
  • Upperbound of 95% confidence interval for alpha
    0.51460
  • Treynor index (mean / b)
    1.05830
  • Jensen alpha (a)
    0.22492
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20291
  • SD
    0.40779
  • Sharpe ratio (Glass type estimate)
    0.49759
  • Sharpe ratio (Hedges UMVUE)
    0.49740
  • df
    2053.00000
  • t
    1.39322
  • p
    0.08185
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20261
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19769
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20276
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19757
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73938
  • Upside Potential Ratio
    5.83853
  • Upside part of mean
    1.60230
  • Downside part of mean
    -1.39939
  • Upside SD
    0.30175
  • Downside SD
    0.27443
  • N nonnegative terms
    1075.00000
  • N negative terms
    979.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2054.00000
  • Mean of predictor
    0.19234
  • Mean of criterion
    0.20291
  • SD of predictor
    0.26182
  • SD of criterion
    0.40779
  • Covariance
    0.02259
  • r
    0.21156
  • b (slope, estimate of beta)
    0.32951
  • a (intercept, estimate of alpha)
    0.13953
  • Mean Square Error
    0.15893
  • DF error
    2052.00000
  • t(b)
    9.80542
  • p(b)
    0.00000
  • t(a)
    0.97900
  • p(a)
    0.16385
  • Lowerbound of 95% confidence interval for beta
    0.26361
  • Upperbound of 95% confidence interval for beta
    0.39542
  • Lowerbound of 95% confidence interval for alpha
    -0.13998
  • Upperbound of 95% confidence interval for alpha
    0.41905
  • Treynor index (mean / b)
    0.61579
  • Jensen alpha (a)
    0.13953
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03985
  • Expected Shortfall on VaR
    0.04986
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01128
  • Expected Shortfall on VaR
    0.02513
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2054.00000
  • Minimum
    0.63745
  • Quartile 1
    0.99394
  • Median
    1.00000
  • Quartile 3
    1.00683
  • Maximum
    1.57609
  • Mean of quarter 1
    0.98183
  • Mean of quarter 2
    0.99736
  • Mean of quarter 3
    1.00259
  • Mean of quarter 4
    1.02261
  • Inter Quartile Range
    0.01289
  • Number outliers low
    78.00000
  • Percentage of outliers low
    0.03797
  • Mean of outliers low
    0.94908
  • Number of outliers high
    111.00000
  • Percentage of outliers high
    0.05404
  • Mean of outliers high
    1.05470
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44680
  • VaR(95%) (moments method)
    0.01792
  • Expected Shortfall (moments method)
    0.03659
  • Extreme Value Index (regression method)
    0.33305
  • VaR(95%) (regression method)
    0.01566
  • Expected Shortfall (regression method)
    0.02719
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    45.00000
  • Minimum
    0.00088
  • Quartile 1
    0.00852
  • Median
    0.02566
  • Quartile 3
    0.08070
  • Maximum
    0.50899
  • Mean of quarter 1
    0.00470
  • Mean of quarter 2
    0.01671
  • Mean of quarter 3
    0.04213
  • Mean of quarter 4
    0.25399
  • Inter Quartile Range
    0.07218
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.15556
  • Mean of outliers high
    0.32954
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.20291
  • VaR(95%) (moments method)
    0.21346
  • Expected Shortfall (moments method)
    0.27240
  • Extreme Value Index (regression method)
    0.19961
  • VaR(95%) (regression method)
    0.25425
  • Expected Shortfall (regression method)
    0.40832
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49842
  • Compounded annual return (geometric extrapolation)
    0.22496
  • Calmar ratio (compounded annual return / max draw down)
    0.44198
  • Compounded annual return / average of 25% largest draw downs
    0.88572
  • Compounded annual return / Expected Shortfall lognormal
    4.51167
  • 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
    -0.02833
  • SD
    0.01360
  • Sharpe ratio (Glass type estimate)
    -2.08338
  • Sharpe ratio (Hedges UMVUE)
    -2.07134
  • df
    130.00000
  • t
    -1.47317
  • p
    0.56407
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.86286
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.70385
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.85456
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71188
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.07414
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02833
  • Upside SD
    0.00000
  • Downside SD
    0.01366
  • N nonnegative terms
    128.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.55823
  • Mean of criterion
    -0.02833
  • SD of predictor
    0.96116
  • SD of criterion
    0.01360
  • Covariance
    -0.00853
  • r
    -0.65287
  • b (slope, estimate of beta)
    -0.00924
  • a (intercept, estimate of alpha)
    -0.01394
  • Mean Square Error
    0.00011
  • DF error
    129.00000
  • t(b)
    -9.78938
  • p(b)
    0.88385
  • t(a)
    -0.94833
  • p(a)
    0.55291
  • Lowerbound of 95% confidence interval for beta
    -0.01111
  • Upperbound of 95% confidence interval for beta
    -0.00737
  • Lowerbound of 95% confidence interval for alpha
    -0.04302
  • Upperbound of 95% confidence interval for alpha
    0.01514
  • Treynor index (mean / b)
    3.06716
  • Jensen alpha (a)
    -0.01394
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02843
  • SD
    0.01365
  • Sharpe ratio (Glass type estimate)
    -2.08313
  • Sharpe ratio (Hedges UMVUE)
    -2.07109
  • df
    130.00000
  • t
    -1.47300
  • p
    0.56406
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.86260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.70410
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.85430
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71213
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.07389
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02843
  • Upside SD
    0.00000
  • Downside SD
    0.01371
  • N nonnegative terms
    128.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.19678
  • Mean of criterion
    -0.02843
  • SD of predictor
    0.80202
  • SD of criterion
    0.01365
  • Covariance
    -0.00670
  • r
    -0.61234
  • b (slope, estimate of beta)
    -0.01042
  • a (intercept, estimate of alpha)
    -0.01596
  • Mean Square Error
    0.00012
  • DF error
    129.00000
  • t(b)
    -8.79691
  • p(b)
    0.86387
  • t(a)
    -1.03744
  • p(a)
    0.55783
  • VAR (95 Confidence Intrvl)
    0.04000
  • Lowerbound of 95% confidence interval for beta
    -0.01276
  • Upperbound of 95% confidence interval for beta
    -0.00808
  • Lowerbound of 95% confidence interval for alpha
    -0.04639
  • Upperbound of 95% confidence interval for alpha
    0.01448
  • Treynor index (mean / b)
    2.72843
  • Jensen alpha (a)
    -0.01596
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00149
  • Expected Shortfall on VaR
    0.00185
  • 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
    0.99285
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    0.99957
  • 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
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.99528
  • 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)
    -1280.07000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.12747
  • VaR(95%) (regression method)
    -0.38072
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01411
  • Quartile 1
    0.01411
  • Median
    0.01411
  • Quartile 3
    0.01411
  • Maximum
    0.01411
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -453156000
  • Max Equity Drawdown (num days)
    944
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02823
  • Compounded annual return (geometric extrapolation)
    -0.02803
  • Calmar ratio (compounded annual return / max draw down)
    -1.98589
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -15.18440

Strategy Description

Futures Trader Daily is designed to be traded with a $100,000 account. Despite the different "model account" equity, trade signals are still entered assuming a $100K account so that new subscribers can trade without scaling down. You do NOT need $200K to trade this system.

Futures Trader Daily executes daily trades, meaning there will be at most one signal per day per futures contract. Trades will normally last from 2 days up to 7 days, although highly profitable trades may last longer than 7 days. Additionally a few contracts (such as short-term bonds) that tend to move very slowly may have trades lasting weeks (even months in some cases).

Position sizes assume an initial account size of $100,000 to trade Futures Trader Daily. Even though the model account equity is higher trades are still entered assuming $100,000 account size.

Futures Trader Daily alerts will be entered generally between 8 and 9 PM EST and will often be active immediately (for composite contracts). Trades are entered from my trade tracking application and are parked for 3 minutes to allow manual review of the trades to make sure they are correct (better safe than sorry).
Futures Trader Daily uses stops to enter and exit trades. EVERY trade is exited via a stop (except for rare cases involving rollovers or other external events). This means ALL winning trades will give back some of their profits before they exit. Remember the goal is to capture as much profit as possible but also keep risk down.

The following contracts are traded on a weekly basis, entered via GTC orders and will not have an exit stop entered until the week following entry. The $5K standard stop loss always applies however.

British Pound, Swiss Franc, Japanese Yen, NYBOT Cocoa, Liffe Cocoa, Liffe Euribor, Liffe Euroswiss, Five Year Bond

Summary Statistics

Strategy began
2010-09-08
Suggested Minimum Capital
$90,000
# Trades
3629
# Profitable
1525
% Profitable
42.0%
Correlation S&P500
-0.038
Sharpe Ratio
0.30
Sortino Ratio
0.44
Beta
-0.04
Alpha
0.03

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.