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These are hypothetical performance results that have certain inherent limitations. Learn more

Lindorm
(60505520)

Created by: Iris_kelly Iris_kelly
Started: 05/2011
Futures
Last trade: 4,479 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 $130.00 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.

1.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(25.4%)
Max Drawdown
105
Num Trades
46.7%
Win Trades
1.2 : 1
Profit Factor
3.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                            +28.4%(7.6%)+11.4%(14.1%)+7.7%+6.0%+5.8%(8.7%)+25.1%
2012(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)  -    -    -    -    -    -    -  (2.2%)
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.

System developer has asked us to delay this information by 2 hours.

Trading Record

This strategy has placed 98 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4578 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/23/11 12:13 QSIH2 Silver 5000 oz SHORT 1 29.085 12/23 16:00 29.105 0.99%
Trade id #69260204
Max drawdown($400)
Time12/23/11 13:29
Quant open-1
Worst price29.165
Drawdown as % of equity-0.99%
($108)
Includes Typical Broker Commissions trade costs of $8.00
12/22/11 10:10 QSIH2 Silver 5000 oz SHORT 1 29.090 12/22 10:57 29.220 1.58%
Trade id #69216274
Max drawdown($650)
Time12/22/11 10:57
Quant open0
Worst price29.220
Drawdown as % of equity-1.58%
($658)
Includes Typical Broker Commissions trade costs of $8.00
12/19/11 9:36 QSIH2 Silver 5000 oz SHORT 1 29.115 12/19 12:00 28.840 1.69%
Trade id #69072737
Max drawdown($675)
Time12/19/11 10:39
Quant open-1
Worst price29.250
Drawdown as % of equity-1.69%
$1,367
Includes Typical Broker Commissions trade costs of $8.00
12/16/11 12:39 QSIH2 Silver 5000 oz SHORT 1 29.420 12/16 13:23 29.625 2.52%
Trade id #69040997
Max drawdown($1,025)
Time12/16/11 13:23
Quant open0
Worst price29.625
Drawdown as % of equity-2.52%
($1,033)
Includes Typical Broker Commissions trade costs of $8.00
12/15/11 10:00 QSIH2 Silver 5000 oz SHORT 1 28.960 12/15 10:00 29.120 1.93%
Trade id #69001310
Max drawdown($800)
Time12/15/11 10:00
Quant open0
Worst price29.120
Drawdown as % of equity-1.93%
($808)
Includes Typical Broker Commissions trade costs of $8.00
12/12/11 9:36 QSIH2 Silver 5000 oz SHORT 1 31.170 12/12 12:00 31.170 2.47%
Trade id #68879769
Max drawdown($1,025)
Time12/12/11 11:37
Quant open-1
Worst price31.375
Drawdown as % of equity-2.47%
($8)
Includes Typical Broker Commissions trade costs of $8.00
12/8/11 9:05 QSIH2 Silver 5000 oz SHORT 1 32.585 12/8 9:08 32.380 0.68%
Trade id #68794069
Max drawdown($275)
Time12/8/11 9:07
Quant open-1
Worst price32.640
Drawdown as % of equity-0.68%
$1,017
Includes Typical Broker Commissions trade costs of $8.00
12/7/11 10:39 QSIH2 Silver 5000 oz SHORT 1 32.455 12/7 10:48 32.510 0.65%
Trade id #68753390
Max drawdown($275)
Time12/7/11 10:48
Quant open0
Worst price32.510
Drawdown as % of equity-0.65%
($283)
Includes Typical Broker Commissions trade costs of $8.00
12/7/11 9:11 QSIH2 Silver 5000 oz LONG 1 32.745 12/7 10:39 32.455 3.44%
Trade id #68746247
Max drawdown($1,450)
Time12/7/11 10:39
Quant open0
Worst price32.455
Drawdown as % of equity-3.44%
($1,458)
Includes Typical Broker Commissions trade costs of $8.00
12/5/11 9:36 QSIH2 Silver 5000 oz SHORT 1 32.895 12/5 10:38 32.965 1.82%
Trade id #68639911
Max drawdown($775)
Time12/5/11 10:01
Quant open-1
Worst price33.050
Drawdown as % of equity-1.82%
($358)
Includes Typical Broker Commissions trade costs of $8.00
12/2/11 9:37 QSIH2 Silver 5000 oz LONG 1 33.300 12/2 9:41 33.095 2.35%
Trade id #68568410
Max drawdown($1,025)
Time12/2/11 9:41
Quant open0
Worst price33.095
Drawdown as % of equity-2.35%
($1,033)
Includes Typical Broker Commissions trade costs of $8.00
11/29/11 10:01 QSIZ1 Silver 5000 oz LONG 1 32.075 11/29 10:05 32.005 0.8%
Trade id #68389875
Max drawdown($350)
Time11/29/11 10:05
Quant open0
Worst price32.005
Drawdown as % of equity-0.80%
($358)
Includes Typical Broker Commissions trade costs of $8.00
11/23/11 10:06 QSIZ1 Silver 5000 oz SHORT 1 31.470 11/23 11:51 31.780 3.44%
Trade id #68234827
Max drawdown($1,550)
Time11/23/11 11:51
Quant open0
Worst price31.780
Drawdown as % of equity-3.44%
($1,558)
Includes Typical Broker Commissions trade costs of $8.00
11/22/11 9:40 QSIZ1 Silver 5000 oz LONG 1 31.955 11/22 10:27 32.225 0.57%
Trade id #68190105
Max drawdown($250)
Time11/22/11 10:18
Quant open1
Worst price31.905
Drawdown as % of equity-0.57%
$1,342
Includes Typical Broker Commissions trade costs of $8.00
11/17/11 9:20 QSIZ1 Silver 5000 oz SHORT 1 32.950 11/17 9:30 33.100 1.67%
Trade id #68065637
Max drawdown($750)
Time11/17/11 9:30
Quant open0
Worst price33.100
Drawdown as % of equity-1.67%
($758)
Includes Typical Broker Commissions trade costs of $8.00
11/16/11 12:29 QSIZ1 Silver 5000 oz SHORT 1 33.945 11/16 12:52 33.830 0.73%
Trade id #68037890
Max drawdown($325)
Time11/16/11 12:42
Quant open-1
Worst price34.010
Drawdown as % of equity-0.73%
$567
Includes Typical Broker Commissions trade costs of $8.00
11/15/11 11:30 QSIZ1 Silver 5000 oz SHORT 1 34.225 11/15 12:02 34.310 0.95%
Trade id #68001247
Max drawdown($425)
Time11/15/11 12:02
Quant open0
Worst price34.310
Drawdown as % of equity-0.95%
($433)
Includes Typical Broker Commissions trade costs of $8.00
11/11/11 9:50 QSIZ1 Silver 5000 oz LONG 1 34.355 11/11 10:01 34.485 0.11%
Trade id #67874948
Max drawdown($50)
Time11/11/11 9:58
Quant open1
Worst price34.345
Drawdown as % of equity-0.11%
$642
Includes Typical Broker Commissions trade costs of $8.00
11/10/11 9:40 QSIZ1 Silver 5000 oz SHORT 1 34.070 11/10 9:50 33.940 0.22%
Trade id #67820149
Max drawdown($100)
Time11/10/11 9:46
Quant open-1
Worst price34.090
Drawdown as % of equity-0.22%
$642
Includes Typical Broker Commissions trade costs of $8.00
11/7/11 9:06 QSIZ1 Silver 5000 oz SHORT 1 34.575 11/10 8:31 34.210 9.56%
Trade id #67664809
Max drawdown($3,875)
Time11/8/11 13:03
Quant open-1
Worst price35.350
Drawdown as % of equity-9.56%
$1,817
Includes Typical Broker Commissions trade costs of $8.00
11/3/11 9:55 QSIZ1 Silver 5000 oz SHORT 1 34.180 11/3 10:03 34.060 0.79%
Trade id #67573535
Max drawdown($325)
Time11/3/11 10:01
Quant open-1
Worst price34.245
Drawdown as % of equity-0.79%
$592
Includes Typical Broker Commissions trade costs of $8.00
10/26/11 10:50 QSIZ1 Silver 5000 oz SHORT 1 33.110 10/26 11:30 33.420 3.6%
Trade id #67238862
Max drawdown($1,550)
Time10/26/11 11:30
Quant open0
Worst price33.420
Drawdown as % of equity-3.60%
($1,558)
Includes Typical Broker Commissions trade costs of $8.00
10/25/11 9:10 QSIZ1 Silver 5000 oz SHORT 1 31.595 10/25 9:15 31.685 1.05%
Trade id #67168443
Max drawdown($450)
Time10/25/11 9:15
Quant open0
Worst price31.685
Drawdown as % of equity-1.05%
($458)
Includes Typical Broker Commissions trade costs of $8.00
10/24/11 9:06 QSIZ1 Silver 5000 oz SHORT 1 31.615 10/24 14:30 31.655 4.92%
Trade id #67105184
Max drawdown($2,125)
Time10/24/11 11:22
Quant open-1
Worst price32.040
Drawdown as % of equity-4.92%
($208)
Includes Typical Broker Commissions trade costs of $8.00
10/21/11 9:11 QSIZ1 Silver 5000 oz LONG 1 31.290 10/21 10:11 31.400 1.47%
Trade id #67052450
Max drawdown($625)
Time10/21/11 9:15
Quant open1
Worst price31.165
Drawdown as % of equity-1.47%
$542
Includes Typical Broker Commissions trade costs of $8.00
10/20/11 9:40 QSIZ1 Silver 5000 oz LONG 1 30.880 10/20 9:45 31.020 1.27%
Trade id #67017211
Max drawdown($525)
Time10/20/11 9:43
Quant open1
Worst price30.775
Drawdown as % of equity-1.27%
$692
Includes Typical Broker Commissions trade costs of $8.00
10/19/11 9:55 QSIZ1 Silver 5000 oz SHORT 1 31.555 10/19 11:18 31.420 3.63%
Trade id #66964868
Max drawdown($1,500)
Time10/19/11 10:31
Quant open-1
Worst price31.855
Drawdown as % of equity-3.63%
$667
Includes Typical Broker Commissions trade costs of $8.00
10/18/11 11:40 QSIZ1 Silver 5000 oz LONG 1 31.460 10/18 12:21 31.725 1%
Trade id #66920224
Max drawdown($400)
Time10/18/11 11:42
Quant open1
Worst price31.380
Drawdown as % of equity-1.00%
$1,317
Includes Typical Broker Commissions trade costs of $8.00
10/13/11 9:40 QSIZ1 Silver 5000 oz SHORT 1 31.820 10/13 9:45 31.680 n/a $692
Includes Typical Broker Commissions trade costs of $8.00
10/11/11 9:30 QSIZ1 Silver 5000 oz LONG 1 31.845 10/11 9:39 31.755 1.13%
Trade id #66648657
Max drawdown($450)
Time10/11/11 9:39
Quant open0
Worst price31.755
Drawdown as % of equity-1.13%
($458)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    5/4/2011
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    4706.6
  • Age
    157 months ago
  • What it trades
    Futures
  • # Trades
    105
  • # Profitable
    49
  • % Profitable
    46.70%
  • Avg trade duration
    1.6 hours
  • Max peak-to-valley drawdown
    25.4%
  • drawdown period
    June 08, 2011 - Sept 13, 2011
  • Annual Return (Compounded)
    1.6%
  • Avg win
    $1,185
  • Avg loss
    $853.34
  • Model Account Values (Raw)
  • Cash
    $40,303
  • Margin Used
    $0
  • Buying Power
    $40,303
  • Ratios
  • W:L ratio
    1.22:1
  • Sharpe Ratio
    -0
  • Sortino Ratio
    -0.01
  • Calmar Ratio
    0.29
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -266.09%
  • Correlation to SP500
    -0.01910
  • Return Percent SP500 (cumu) during strategy life
    289.74%
  • Return Statistics
  • Ann Return (w trading costs)
    1.6%
  • Slump
  • Current Slump as Pcnt Equity
    22.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.016%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • 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
    98.57%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • 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
    $853
  • Avg Win
    $1,186
  • Sum Trade PL (losers)
    $47,787.000
  • Age
  • Num Months filled monthly returns table
    155
  • Win / Loss
  • Sum Trade PL (winners)
    $58,090.000
  • # Winners
    49
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    56
  • % Winners
    46.7%
  • Frequency
  • Avg Position Time (mins)
    93.37
  • Avg Position Time (hrs)
    1.56
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    4473
  • Regression
  • Alpha
    0.00
  • Beta
    -0.01
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    14.67
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    29.81
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.85
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    15.200
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.489
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.113
  • Hold-and-Hope Ratio
    0.065
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06150
  • SD
    0.23557
  • Sharpe ratio (Glass type estimate)
    0.26108
  • Sharpe ratio (Hedges UMVUE)
    0.25559
  • df
    36.00000
  • t
    0.45844
  • p
    0.32470
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85852
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37711
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86215
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37334
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51321
  • Upside Potential Ratio
    1.70883
  • Upside part of mean
    0.20478
  • Downside part of mean
    -0.14328
  • Upside SD
    0.19986
  • Downside SD
    0.11984
  • N nonnegative terms
    4.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.39745
  • Mean of criterion
    0.06150
  • SD of predictor
    0.25671
  • SD of criterion
    0.23557
  • Covariance
    -0.00627
  • r
    -0.10369
  • b (slope, estimate of beta)
    -0.09515
  • a (intercept, estimate of alpha)
    0.09932
  • Mean Square Error
    0.05646
  • DF error
    35.00000
  • t(b)
    -0.61675
  • p(b)
    0.72930
  • t(a)
    0.66851
  • p(a)
    0.25410
  • Lowerbound of 95% confidence interval for beta
    -0.40834
  • Upperbound of 95% confidence interval for beta
    0.21805
  • Lowerbound of 95% confidence interval for alpha
    -0.20229
  • Upperbound of 95% confidence interval for alpha
    0.40092
  • Treynor index (mean / b)
    -0.64637
  • Jensen alpha (a)
    0.09932
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03620
  • SD
    0.22365
  • Sharpe ratio (Glass type estimate)
    0.16184
  • Sharpe ratio (Hedges UMVUE)
    0.15844
  • df
    36.00000
  • t
    0.28418
  • p
    0.38895
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95608
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27755
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95835
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27523
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28305
  • Upside Potential Ratio
    1.46202
  • Upside part of mean
    0.18696
  • Downside part of mean
    -0.15076
  • Upside SD
    0.18007
  • Downside SD
    0.12788
  • N nonnegative terms
    4.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.35961
  • Mean of criterion
    0.03620
  • SD of predictor
    0.25187
  • SD of criterion
    0.22365
  • Covariance
    -0.00540
  • r
    -0.09593
  • b (slope, estimate of beta)
    -0.08518
  • a (intercept, estimate of alpha)
    0.06683
  • Mean Square Error
    0.05098
  • DF error
    35.00000
  • t(b)
    -0.57017
  • p(b)
    0.71390
  • t(a)
    0.47956
  • p(a)
    0.31726
  • Lowerbound of 95% confidence interval for beta
    -0.38849
  • Upperbound of 95% confidence interval for beta
    0.21812
  • Lowerbound of 95% confidence interval for alpha
    -0.21607
  • Upperbound of 95% confidence interval for alpha
    0.34973
  • Treynor index (mean / b)
    -0.42490
  • Jensen alpha (a)
    0.06683
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09804
  • Expected Shortfall on VaR
    0.12179
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03881
  • Expected Shortfall on VaR
    0.08031
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    37.00000
  • Minimum
    0.86379
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.28143
  • Mean of quarter 1
    0.96350
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.07119
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.10811
  • Mean of outliers low
    0.90876
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13514
  • Mean of outliers high
    1.12815
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.44617
  • VaR(95%) (regression method)
    0.13074
  • Expected Shortfall (regression method)
    0.14034
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.09463
  • Quartile 1
    0.10906
  • Median
    0.12348
  • Quartile 3
    0.13791
  • Maximum
    0.15233
  • Mean of quarter 1
    0.09463
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15233
  • Inter Quartile Range
    0.02885
  • 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)
    0.07088
  • Compounded annual return (geometric extrapolation)
    0.06620
  • Calmar ratio (compounded annual return / max draw down)
    0.43459
  • Compounded annual return / average of 25% largest draw downs
    0.43459
  • Compounded annual return / Expected Shortfall lognormal
    0.54355
  • 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
    0.05157
  • SD
    0.18542
  • Sharpe ratio (Glass type estimate)
    0.27809
  • Sharpe ratio (Hedges UMVUE)
    0.27784
  • df
    826.00000
  • t
    0.49407
  • p
    0.31069
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82524
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.38128
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82542
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38110
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45859
  • Upside Potential Ratio
    3.95372
  • Upside part of mean
    0.44456
  • Downside part of mean
    -0.39300
  • Upside SD
    0.14733
  • Downside SD
    0.11244
  • N nonnegative terms
    62.00000
  • N negative terms
    765.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    827.00000
  • Mean of predictor
    0.45981
  • Mean of criterion
    0.05157
  • SD of predictor
    0.35904
  • SD of criterion
    0.18542
  • Covariance
    -0.00271
  • r
    -0.04064
  • b (slope, estimate of beta)
    -0.02099
  • a (intercept, estimate of alpha)
    0.06100
  • Mean Square Error
    0.03437
  • DF error
    825.00000
  • t(b)
    -1.16832
  • p(b)
    0.87849
  • t(a)
    0.58485
  • p(a)
    0.27941
  • Lowerbound of 95% confidence interval for beta
    -0.05625
  • Upperbound of 95% confidence interval for beta
    0.01427
  • Lowerbound of 95% confidence interval for alpha
    -0.14424
  • Upperbound of 95% confidence interval for alpha
    0.26667
  • Treynor index (mean / b)
    -2.45675
  • Jensen alpha (a)
    0.06122
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03471
  • SD
    0.18289
  • Sharpe ratio (Glass type estimate)
    0.18978
  • Sharpe ratio (Hedges UMVUE)
    0.18961
  • df
    826.00000
  • t
    0.33718
  • p
    0.36803
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91347
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29296
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91360
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29283
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.30079
  • Upside Potential Ratio
    3.76286
  • Upside part of mean
    0.43421
  • Downside part of mean
    -0.39950
  • Upside SD
    0.14176
  • Downside SD
    0.11539
  • N nonnegative terms
    62.00000
  • N negative terms
    765.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    827.00000
  • Mean of predictor
    0.39717
  • Mean of criterion
    0.03471
  • SD of predictor
    0.35059
  • SD of criterion
    0.18289
  • Covariance
    -0.00264
  • r
    -0.04117
  • b (slope, estimate of beta)
    -0.02148
  • a (intercept, estimate of alpha)
    0.04324
  • Mean Square Error
    0.03343
  • DF error
    825.00000
  • t(b)
    -1.18347
  • p(b)
    0.88152
  • t(a)
    0.41911
  • p(a)
    0.33762
  • Lowerbound of 95% confidence interval for beta
    -0.05709
  • Upperbound of 95% confidence interval for beta
    0.01414
  • Lowerbound of 95% confidence interval for alpha
    -0.15926
  • Upperbound of 95% confidence interval for alpha
    0.24574
  • Treynor index (mean / b)
    -1.61623
  • Jensen alpha (a)
    0.04324
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01828
  • Expected Shortfall on VaR
    0.02290
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00497
  • Expected Shortfall on VaR
    0.01098
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    827.00000
  • Minimum
    0.90703
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.12609
  • Mean of quarter 1
    0.99440
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00681
  • Inter Quartile Range
    0.00000
  • Number outliers low
    65.00000
  • Percentage of outliers low
    0.07860
  • Mean of outliers low
    0.98217
  • Number of outliers high
    63.00000
  • Percentage of outliers high
    0.07618
  • Mean of outliers high
    1.02238
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.73184
  • VaR(95%) (moments method)
    0.00183
  • Expected Shortfall (moments method)
    0.00321
  • Extreme Value Index (regression method)
    0.11227
  • VaR(95%) (regression method)
    0.00371
  • Expected Shortfall (regression method)
    0.01181
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00192
  • Quartile 1
    0.07254
  • Median
    0.09356
  • Quartile 3
    0.12713
  • Maximum
    0.22297
  • Mean of quarter 1
    0.03723
  • Mean of quarter 2
    0.09356
  • Mean of quarter 3
    0.12713
  • Mean of quarter 4
    0.22297
  • Inter Quartile Range
    0.05460
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.22297
  • 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)
    0.06923
  • Compounded annual return (geometric extrapolation)
    0.06462
  • Calmar ratio (compounded annual return / max draw down)
    0.28980
  • Compounded annual return / average of 25% largest draw downs
    0.28980
  • Compounded annual return / Expected Shortfall lognormal
    2.82190
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.71567
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.39139
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.63796
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.39452
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6832340000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -57583899999999989454280713043968.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -352466000
  • Max Equity Drawdown (num days)
    97
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

100% mechanical system that never averages down a losing position with the hope of crawling oiut of a hole.. Profit targets and stop losses are resting with each open trade.

Please be adequately capitalized before trading this or any other futures system.

Summary Statistics

Strategy began
2011-05-04
Suggested Minimum Capital
$30,000
# Trades
105
# Profitable
49
% Profitable
46.7%
Correlation S&P500
-0.019
Sharpe Ratio
-0.00
Sortino Ratio
-0.01
Beta
-0.01
Alpha
0.00

Latest Activity

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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.