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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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ES Oscillation
(59165832)

Created by: JackGross JackGross
Started: 01/2012
Futures
Last trade: 3,882 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 $100.00 per quarter.

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.

23.7%
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.

(22.5%)
Max Drawdown
73
Num Trades
61.6%
Win Trades
1.5 : 1
Profit Factor
7.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012(8.8%)+19.7%(4%)(3.3%)(4%)+2.9%+4.0%+14.9%(1.3%)(4.3%)(1.4%)(1.9%)+9.3%
2013+14.2%(7.1%)+12.3%+6.6%+11.7%(9.4%)+5.8%(8.2%)+5.9%  -    -    -  +32.2%
2014  -    -    -    -    -  (2%)  -    -    -    -    -    -  (2%)
2015  -    -    -    -    -  +2.0%  -    -    -    -    -    -  +2.0%
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

This strategy has placed 307 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/14/13 15:44 @ESU3 E-MINI S&P 500 LONG 3 1666.67 9/6 8:28 1656.25 10.7%
Trade id #82530316
Max drawdown($4,191)
Time8/28/13 9:37
Quant open2
Worst price1624.75
Drawdown as % of equity-10.70%
 ($1,587)
Includes Typical Broker Commissions trade costs of $24.00
7/29/13 16:06 @ESU3 E-MINI S&P 500 LONG 3 1683.83 8/9 13:30 1693.83 0.54%
Trade id #82240540
Max drawdown($225)
Time7/30/13 13:47
Quant open1
Worst price1677.25
Drawdown as % of equity-0.54%
 $1,476
Includes Typical Broker Commissions trade costs of $24.00
7/15/13 12:06 @ESU3 E-MINI S&P 500 LONG 2 1681.88 7/26 13:27 1682.25 1.45%
Trade id #81999723
Max drawdown($600)
Time7/17/13 5:17
Quant open1
Worst price1665.75
Drawdown as % of equity-1.45%
 $22
Includes Typical Broker Commissions trade costs of $16.00
6/13/13 15:03 @ESU3 E-MINI S&P 500 LONG 3 1623.08 7/5 15:59 1623.08 19.37%
Trade id #81482187
Max drawdown($6,983)
Time6/24/13 12:21
Quant open2
Worst price1553.25
Drawdown as % of equity-19.37%
 ($24)
Includes Typical Broker Commissions trade costs of $24.00
5/23/13 12:45 @ESM3 E-MINI S&P 500 LONG 4 1648.61 6/6 12:20 1629.69 10.65%
Trade id #81063669
Max drawdown($4,561)
Time6/6/13 12:12
Quant open2
Worst price1603.00
Drawdown as % of equity-10.65%
 ($3,818)
Includes Typical Broker Commissions trade costs of $32.00
5/6/13 13:57 @ESM3 E-MINI S&P 500 LONG 2 1618.12 5/22 13:42 1657.12 0.69%
Trade id #80709603
Max drawdown($287)
Time5/6/13 21:53
Quant open1
Worst price1609.25
Drawdown as % of equity-0.69%
 $3,884
Includes Typical Broker Commissions trade costs of $16.00
4/30/13 15:48 @ESM3 E-MINI S&P 500 LONG 2 1584.88 5/3 12:57 1603.12 2.03%
Trade id #80609086
Max drawdown($800)
Time5/1/13 15:52
Quant open1
Worst price1576.00
Drawdown as % of equity-2.03%
 $1,809
Includes Typical Broker Commissions trade costs of $16.00
4/14/13 18:03 @ESM3 E-MINI S&P 500 LONG 3 1559.58 4/23 13:30 1566.67 7.8%
Trade id #80220289
Max drawdown($2,883)
Time4/18/13 14:59
Quant open2
Worst price1530.75
Drawdown as % of equity-7.80%
 $1,039
Includes Typical Broker Commissions trade costs of $24.00
4/10/13 11:00 @ESM3 E-MINI S&P 500 LONG 3 1582.50 4/12 15:47 1583.75 1.93%
Trade id #80162302
Max drawdown($750)
Time4/12/13 11:08
Quant open2
Worst price1575.00
Drawdown as % of equity-1.93%
 $164
Includes Typical Broker Commissions trade costs of $24.00
4/5/13 11:46 @ESM3 E-MINI S&P 500 LONG 2 1542.50 4/8 15:38 1550.75 0.36%
Trade id #80088376
Max drawdown($137)
Time4/5/13 12:25
Quant open1
Worst price1538.25
Drawdown as % of equity-0.36%
 $809
Includes Typical Broker Commissions trade costs of $16.00
4/3/13 15:56 @ESM3 E-MINI S&P 500 LONG 2 1550.00 4/4 20:00 1554.25 1.07%
Trade id #80041795
Max drawdown($400)
Time4/3/13 18:06
Quant open2
Worst price1546.00
Drawdown as % of equity-1.07%
 $409
Includes Typical Broker Commissions trade costs of $16.00
3/20/13 15:19 @ESM3 E-MINI S&P 500 LONG 2 1553.88 4/2 15:17 1562.62 5.43%
Trade id #79804973
Max drawdown($1,887)
Time3/22/13 2:04
Quant open2
Worst price1535.00
Drawdown as % of equity-5.43%
 $859
Includes Typical Broker Commissions trade costs of $16.00
3/7/13 13:23 @ESM3 E-MINI S&P 500 LONG 2 1539.00 3/19 15:58 1543.88 2.69%
Trade id #79596292
Max drawdown($950)
Time3/18/13 1:25
Quant open2
Worst price1529.50
Drawdown as % of equity-2.69%
 $472
Includes Typical Broker Commissions trade costs of $16.00
3/4/13 15:26 @ESH3 E-MINI S&P 500 LONG 2 1523.75 3/7 13:23 1543.75 0.18%
Trade id #79527300
Max drawdown($62)
Time3/4/13 15:31
Quant open1
Worst price1521.25
Drawdown as % of equity-0.18%
 $1,984
Includes Typical Broker Commissions trade costs of $16.00
2/28/13 12:44 @ESH3 E-MINI S&P 500 LONG 2 1515.50 3/1 12:19 1516.75 4.85%
Trade id #79473882
Max drawdown($1,600)
Time3/1/13 9:41
Quant open2
Worst price1499.50
Drawdown as % of equity-4.85%
 $109
Includes Typical Broker Commissions trade costs of $16.00
2/15/13 14:52 @ESH3 E-MINI S&P 500 LONG 3 1513.00 2/25 16:01 1486.00 11.03%
Trade id #79245946
Max drawdown($4,125)
Time2/25/13 16:00
Quant open3
Worst price1485.50
Drawdown as % of equity-11.03%
 ($4,074)
Includes Typical Broker Commissions trade costs of $24.00
2/15/13 13:22: Rescaled downward to 44.922% of previous Model Account size
1/9/13 15:03 @ESH3 E-MINI S&P 500 LONG 9.883000374 1488.91 2/15 13:16 1503.79 0.09%
Trade id #78559545
Max drawdown($28)
Time1/9/13 15:11
Quant open0
Worst price1452.50
Drawdown as % of equity-0.09%
 $7,272
Includes Typical Broker Commissions trade costs of $79.05
1/2/13 15:57 @ESH3 E-MINI S&P 500 LONG 2.246000051 1457.20 1/8 15:59 1451.35 2.13%
Trade id #78440789
Max drawdown($657)
Time1/8/13 11:21
Quant open1
Worst price1446.00
Drawdown as % of equity-2.13%
 ($675)
Includes Typical Broker Commissions trade costs of $18.00
12/20/12 18:39 @ESH3 E-MINI S&P 500 LONG 4.043000221 1418.53 12/31 14:24 1412.61 6.01%
Trade id #78266360
Max drawdown($1,947)
Time12/20/12 20:19
Quant open1
Worst price1391.25
Drawdown as % of equity-6.01%
 ($1,229)
Includes Typical Broker Commissions trade costs of $32.38
12/12/12 15:46 @ESH3 E-MINI S&P 500 LONG 1.797000051 1421.19 12/17 15:54 1422.62 1.96%
Trade id #78124809
Max drawdown($623)
Time12/14/12 15:10
Quant open1
Worst price1405.75
Drawdown as % of equity-1.96%
 $115
Includes Typical Broker Commissions trade costs of $14.37
12/3/12 18:30 @ESZ2 E-MINI S&P 500 LONG 2.246000051 1406.60 12/6 15:49 1411.95 0.89%
Trade id #77957663
Max drawdown($280)
Time12/5/12 10:56
Quant open0
Worst price1396.75
Drawdown as % of equity-0.89%
 $583
Includes Typical Broker Commissions trade costs of $17.98
11/27/12 18:30 @ESZ2 E-MINI S&P 500 LONG 1.348000050 1396.75 11/28 15:55 1404.83 1.34%
Trade id #77860067
Max drawdown($416)
Time11/28/12 10:10
Quant open0
Worst price1383.00
Drawdown as % of equity-1.34%
 $534
Includes Typical Broker Commissions trade costs of $10.79
11/7/12 19:27 @ESZ2 E-MINI S&P 500 LONG 1.348000050 1392.25 11/18 18:02 1357.75 7.53%
Trade id #77529908
Max drawdown($2,325)
Time11/15/12 11:49
Quant open0
Worst price1345.25
Drawdown as % of equity-7.53%
 ($2,336)
Includes Typical Broker Commissions trade costs of $10.78
11/4/12 18:14 @ESZ2 E-MINI S&P 500 LONG 1.348000050 1405.00 11/6 14:35 1421.25 0.19%
Trade id #77462849
Max drawdown($60)
Time11/5/12 7:36
Quant open0
Worst price1403.00
Drawdown as % of equity-0.19%
 $1,084
Includes Typical Broker Commissions trade costs of $10.79
10/24/12 18:36 @ESZ2 E-MINI S&P 500 LONG 1.348000050 1406.75 11/1 7:44 1406.50 1.3%
Trade id #77313536
Max drawdown($416)
Time10/29/12 23:43
Quant open0
Worst price1393.00
Drawdown as % of equity-1.30%
 ($28)
Includes Typical Broker Commissions trade costs of $10.78
10/21/12 21:19 @ESZ2 E-MINI S&P 500 LONG 1.797000051 1425.75 10/23 18:29 1408.50 4.64%
Trade id #77247843
Max drawdown($1,550)
Time10/23/12 10:40
Quant open1
Worst price1402.00
Drawdown as % of equity-4.64%
 ($1,564)
Includes Typical Broker Commissions trade costs of $14.38
10/1/12 18:25 @ESZ2 E-MINI S&P 500 LONG 3.594000101 1445.25 10/16 15:30 1449.00 3.67%
Trade id #76897972
Max drawdown($1,160)
Time10/14/12 20:25
Quant open1
Worst price1416.50
Drawdown as % of equity-3.67%
 $645
Includes Typical Broker Commissions trade costs of $28.76
9/14/12 11:14 @ESZ2 E-MINI S&P 500 LONG 2.694999933 1447.62 9/28 15:17 1439.12 3.62%
Trade id #76609787
Max drawdown($1,191)
Time9/26/12 10:39
Quant open1
Worst price1424.00
Drawdown as % of equity-3.62%
 ($1,167)
Includes Typical Broker Commissions trade costs of $21.58
9/9/12 19:37 @ESU2 E-MINI S&P 500 LONG 2.246000051 1431.70 9/13 12:37 1438.45 1.57%
Trade id #76495974
Max drawdown($514)
Time9/10/12 23:39
Quant open1
Worst price1421.50
Drawdown as % of equity-1.57%
 $740
Includes Typical Broker Commissions trade costs of $17.96
8/19/12 20:00 @ESU2 E-MINI S&P 500 LONG 5.390999794 1409.38 9/5 10:30 1411.63 1.88%
Trade id #76100890
Max drawdown($607)
Time8/24/12 8:46
Quant open1
Worst price1395.25
Drawdown as % of equity-1.88%
 $563
Includes Typical Broker Commissions trade costs of $43.11
Next

Statistics

  • Strategy began
    1/3/2012
  • Suggested Minimum Cap
    $26,953
  • Strategy Age (days)
    4489.19
  • Age
    150 months ago
  • What it trades
    Futures
  • # Trades
    73
  • # Profitable
    45
  • % Profitable
    61.60%
  • Avg trade duration
    5.5 days
  • Max peak-to-valley drawdown
    22.5%
  • drawdown period
    May 28, 2013 - June 24, 2013
  • Annual Return (Compounded)
    23.7%
  • Avg win
    $953.33
  • Avg loss
    $1,004
  • Model Account Values (Raw)
  • Cash
    $41,735
  • Margin Used
    $0
  • Buying Power
    $41,735
  • Ratios
  • W:L ratio
    1.53:1
  • Sharpe Ratio
    0.13
  • Sortino Ratio
    0.18
  • Calmar Ratio
    0.657
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    20.95%
  • Correlation to SP500
    0.07760
  • Return Percent SP500 (cumu) during strategy life
    292.35%
  • Return Statistics
  • Ann Return (w trading costs)
    23.7%
  • Slump
  • Current Slump as Pcnt Equity
    12.60%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.237%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.89%
  • Instruments
  • Percent Trades Stocks
    n/a
  • 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
    54.00%
  • Chance of 20% account loss
    30.50%
  • Chance of 30% account loss
    10.50%
  • Chance of 40% account loss
    0.50%
  • 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)
    100.00%
  • 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
    $953
  • Avg Loss
    $1,004
  • Sum Trade PL (losers)
    $28,116.000
  • # Winners
    45
  • Num Months Winners
    11
  • Age
  • Num Months filled monthly returns table
    148
  • Win / Loss
  • Sum Trade PL (winners)
    $42,900.000
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    28
  • % Winners
    61.6%
  • Frequency
  • Avg Position Time (mins)
    7909.00
  • Avg Position Time (hrs)
    131.82
  • Avg Trade Length
    5.5 days
  • Last Trade Ago
    3877
  • Regression
  • Alpha
    0.00
  • Beta
    0.06
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    69.95
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.59
  • Avg(MAE) / Avg(PL) - All trades
    3.787
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    66.42
  • MAE:Equity, 95th Percentile Value for this strat
    0.11
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.472
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.271
  • Hold-and-Hope Ratio
    0.229
  • 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)
    0.09000
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.01900
  • 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)
    27
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

After four years of being a system provider on C2, I've decided to move on.

This system will no longer be supported, either on the day my model bias goes neutral (which would close out the current trade), or as of the roll-forward day for the ES contracts on 9/12/2013.

Thank you for your support. It has been an interesting, four years.


Summary Statistics

Strategy began
2012-01-03
Suggested Minimum Capital
$26,900
# Trades
73
# Profitable
45
% Profitable
61.6%
Correlation S&P500
0.078
Sharpe Ratio
0.13
Sortino Ratio
0.18
Beta
0.06
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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(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.