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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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Test
(64316298)

Created by: UserRemoved142 UserRemoved142
Started: 08/2011
Stocks, Futures
Last trade: 4,476 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 $150.00 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.

-20.0%

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

-
Max Drawdown
67
Num Trades
43.3%
Win Trades
0.7 : 1
Profit Factor
0.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                 (11.1%)(11%)(0.9%)(0.2%)(9%)(28.8%)
2012(2.6%)  -    -    -    -    -    -    -    -    -    -    -  (2.6%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -  (2.3%)  -    -    -    -    -    -  (2.3%)
2015  -    -    -    -    -    -  +2.4%  -    -    -    -    -  +2.4%
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/24/12 16:30: Rescaled downward to 99.9972% of previous Model Account size
1/24/12 16:29: Rescaled downward to 1.64636% of previous Model Account size
1/24/12 9:30 TYH LONG 3.292999983 44.09 1/24 15:59 44.70 n/a $2
Includes Typical Broker Commissions trade costs of $0.06
1/24/12 9:30 UWM PROSHARES ULTRA RUSSELL2000 LONG 3.292999983 38.56 1/24 15:59 39.45 0.01%
Trade id #69947709
Max drawdown($1)
Time1/24/12 9:42
Quant open3
Worst price38.16
Drawdown as % of equity-0.01%
 $3
Includes Typical Broker Commissions trade costs of $0.06
1/24/12 9:30 TYP LONG 3.292999983 13.38 1/24 15:59 13.18 0.01%
Trade id #69947742
Max drawdown($1)
Time1/24/12 10:49
Quant open3
Worst price13.04
Drawdown as % of equity-0.01%
 ($1)
Includes Typical Broker Commissions trade costs of $0.06
1/24/12 9:30 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 0 0.00 1/24 15:59 0.00 0.02%
Trade id #69947801
Max drawdown($3)
Time1/24/12 15:34
Quant open3
Worst price19.55
Drawdown as % of equity-0.02%
 $0
1/24/12 9:31 ERY DIREXION DAILY ENERGY BEAR 2X LONG 1 61.92 1/24 15:59 60.90 0.01%
Trade id #69947922
Max drawdown($1)
Time1/24/12 15:59
Quant open0
Worst price10.15
Drawdown as % of equity-0.01%
 ($1)
Includes Typical Broker Commissions trade costs of $0.02
1/24/12 9:30 EDC DIREXION DAILY EMRG MKTS BULL LONG 3 126.50 1/24 15:59 130.23 0.03%
Trade id #69947806
Max drawdown($3)
Time1/24/12 9:45
Quant open3
Worst price94.62
Drawdown as % of equity-0.03%
 $11
Includes Typical Broker Commissions trade costs of $0.06
1/24/12 9:30 ZSL PROSHARES ULTRASHORT SILVER LONG 2 28.40 1/24 15:59 28.77 0%
Trade id #69947814
Max drawdown($0)
Time1/24/12 10:46
Quant open3
Worst price11.25
Drawdown as % of equity-0.00%
 $1
Includes Typical Broker Commissions trade costs of $0.04
1/24/12 9:31 URE PROSHARES ULTRA REAL ESTATE SHORT 3.292999983 54.74 1/24 15:58 55.95 0.03%
Trade id #69947947
Max drawdown($4)
Time1/24/12 15:57
Quant open-3
Worst price56.03
Drawdown as % of equity-0.03%
 ($4)
Includes Typical Broker Commissions trade costs of $0.06
1/24/12 9:31 TVIX VELOCITYSHARES DAILY 2X VIX SH SHORT 0 0.00 1/24 15:58 0.00 0%
Trade id #69947829
Max drawdown($0)
Time1/24/12 9:40
Quant open-3
Worst price20.24
Drawdown as % of equity-0.00%
 $0
1/24/12 9:30 ERX DIREXION DAILY ENERGY BULL 2X LONG 3.292999983 50.67 1/24 15:58 51.42 0.01%
Trade id #69947719
Max drawdown($2)
Time1/24/12 9:44
Quant open3
Worst price50.06
Drawdown as % of equity-0.01%
 $2
Includes Typical Broker Commissions trade costs of $0.06
1/24/12 9:32 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 0 0.00 1/24 15:58 0.00 0%
Trade id #69948157
Max drawdown($0)
Time1/24/12 9:38
Quant open-3
Worst price16.24
Drawdown as % of equity-0.00%
 $0
1/24/12 9:30 SOXL DIREXION DAILY SEMICONDCT BULL SHORT 13 9.20 1/24 15:58 9.42 0.03%
Trade id #69947759
Max drawdown($4)
Time1/24/12 10:43
Quant open-3
Worst price38.11
Drawdown as % of equity-0.03%
 ($3)
Includes Typical Broker Commissions trade costs of $0.26
1/24/12 9:31 SCO PROSHARES ULTRASHORT BLOOMBERG SHORT 3.292999983 38.85 1/24 15:58 38.25 0%
Trade id #69948045
Max drawdown($0)
Time1/24/12 9:42
Quant open-3
Worst price38.91
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $0.06
1/24/12 9:31 GLL PROSHARES ULTRASHORT GOLD SHORT 1 69.20 1/24 15:58 69.12 0%
Trade id #69947841
Max drawdown($0)
Time1/24/12 9:43
Quant open-3
Worst price17.35
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.02
1/24/12 9:30 DUG PROSHARES ULTRASHORT ENERGY TRADING SHORT 1 95.88 1/24 15:58 94.84 0%
Trade id #69947652
Max drawdown($0)
Time1/24/12 9:56
Quant open-3
Worst price24.12
Drawdown as % of equity-0.00%
 $1
Includes Typical Broker Commissions trade costs of $0.02
1/24/12 9:30 DRN DIREXION DAILY REAL ES BULL 3X SHORT 7 28.25 1/24 15:58 29.26 0.05%
Trade id #69947597
Max drawdown($7)
Time1/24/12 15:57
Quant open-3
Worst price58.64
Drawdown as % of equity-0.05%
 ($7)
Includes Typical Broker Commissions trade costs of $0.14
1/24/12 9:30 EDZ DIREXION DAILY EMRG MKTS BEAR 3X SHORT 1 74.40 1/24 15:58 72.30 0%
Trade id #69947571
Max drawdown($0)
Time1/24/12 9:45
Quant open-3
Worst price15.05
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $0.02
1/24/12 9:31 DIG PROSHARES ULTRA ENERGY TRADING SHORT 3.292999983 46.57 1/24 15:58 47.14 0.01%
Trade id #69947931
Max drawdown($2)
Time1/24/12 15:31
Quant open-3
Worst price47.25
Drawdown as % of equity-0.01%
 ($2)
Includes Typical Broker Commissions trade costs of $0.06
1/24/12 9:32 DGP POWERSHARES DB GOLD DOUBLE LON SHORT 3.292999983 53.61 1/24 15:58 53.74 0.01%
Trade id #69948118
Max drawdown($1)
Time1/24/12 10:57
Quant open-3
Worst price54.00
Drawdown as % of equity-0.01%
 $0
Includes Typical Broker Commissions trade costs of $0.06
1/24/12 9:31 AGQ PROSHARES ULTRA SILVER SHORT 1 222.84 1/24 15:58 219.48 0.01%
Trade id #69947836
Max drawdown($1)
Time1/24/12 10:47
Quant open-3
Worst price56.20
Drawdown as % of equity-0.01%
 $3
Includes Typical Broker Commissions trade costs of $0.02
1/24/12 9:31 DTO POWERSHARES DB CRUDE OIL DBLE SHORT 3.292999983 42.11 1/24 15:58 41.45 0%
Trade id #69947973
Max drawdown($0)
Time1/24/12 9:42
Quant open-3
Worst price42.15
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $0.06
12/27/11 9:31 @OJH2 Orange Juice LONG 0.246999994 169.30 1/3/12 8:00 168.90 0.1%
Trade id #69302667
Max drawdown($15)
Time12/28/11 9:12
Quant open0
Worst price165.10
Drawdown as % of equity-0.10%
 ($17)
Includes Typical Broker Commissions trade costs of $1.98
12/27/11 9:31 @CCH2 COCOA SHORT 0.131999999 2197 1/3/12 4:00 2109 0.01%
Trade id #69302665
Max drawdown($1)
Time12/27/11 10:39
Quant open0
Worst price2245
Drawdown as % of equity-0.01%
 $115
Includes Typical Broker Commissions trade costs of $1.06
12/27/11 10:30 @SMH2 SOYBEAN MEAL SHORT 0.214000002 303.8 1/2/12 21:34 315.7 1.71%
Trade id #69305749
Max drawdown($255)
Time1/2/12 21:34
Quant open0
Worst price315.7
Drawdown as % of equity-1.71%
 ($257)
Includes Typical Broker Commissions trade costs of $1.72
12/27/11 9:00 QCLK2 CRUDE OIL LONG 0.048999999 100.21 1/2/12 21:34 100.86 0.01%
Trade id #69295870
Max drawdown($1)
Time12/29/11 11:24
Quant open0
Worst price98.88
Drawdown as % of equity-0.01%
 $32
Includes Typical Broker Commissions trade costs of $0.40
12/27/11 10:30 @RRH2 Rough Rice SHORT 0.197999999 14.120 12/30 13:25 14.810 1.81%
Trade id #69305739
Max drawdown($273)
Time12/30/11 10:32
Quant open0
Worst price14.930
Drawdown as % of equity-1.81%
 ($275)
Includes Typical Broker Commissions trade costs of $1.58
12/27/11 9:00 QNGF2 Natural Gas SHORT 0.115000002 3.119 12/28 9:22 3.098 0.01%
Trade id #69295791
Max drawdown($1)
Time12/27/11 9:23
Quant open0
Worst price3.181
Drawdown as % of equity-0.01%
 $23
Includes Typical Broker Commissions trade costs of $0.92
12/9/11 10:30 @WH2 WHEAT SHORT 0.131999999 595 1/4 12/18 22:09 584 2/4 0.01%
Trade id #68837281
Max drawdown($1)
Time12/13/11 10:31
Quant open0
Worst price609
Drawdown as % of equity-0.01%
 $70
Includes Typical Broker Commissions trade costs of $1.06
12/6/11 9:00 QNGF2 Natural Gas SHORT 0.098999999 3.449 12/18 22:09 3.078 0.01%
Trade id #68683949
Max drawdown($1)
Time12/8/11 10:31
Quant open0
Worst price3.550
Drawdown as % of equity-0.01%
 $366
Includes Typical Broker Commissions trade costs of $0.80
12/9/11 7:20 @USH2 US T-BOND LONG 0.066000000 142 3/32 12/12 7:20 141 19/32 0.22%
Trade id #68829830
Max drawdown($33)
Time12/11/11 18:15
Quant open0
Worst price140 25/32
Drawdown as % of equity-0.22%
 ($34)
Includes Typical Broker Commissions trade costs of $0.52
Next

Statistics

  • Strategy began
    8/7/2011
  • Suggested Minimum Cap
    $16,464
  • Strategy Age (days)
    4640.6
  • Age
    155 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    67
  • # Profitable
    29
  • % Profitable
    43.30%
  • Avg trade duration
    8.3 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual return (compounded)
    -0.7%
  • Avg win
    $106.97
  • Avg loss
    $120.18
  • Model Account Values (Raw)
  • Cash
    $15,000
  • Margin Used
    $0
  • Buying Power
    $15,000
  • Ratios
  • W:L ratio
    0.68:1
  • Sharpe Ratio
    -1.08
  • Sortino Ratio
    -1.19
  • Calmar Ratio
    -0.168
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.00080
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -49.68%
  • Return Percent SP500 (cumu) during strategy life
    325.22%
  • Return Statistics
  • Ann Return (w trading costs)
    -20.0%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    0.61%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Instruments
  • Percent Trades Stocks
    0.39%
  • Slump
  • Current Slump as Pcnt Equity
    44.50%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.46%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $107
  • Avg Loss
    $120
  • Sum Trade PL (losers)
    $4,567.000
  • Sum Trade PL (winners)
    $3,102.000
  • # Winners
    29
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    4
  • Age
  • Num Months filled monthly returns table
    153
  • Win / Loss
  • # Losers
    38
  • % Winners
    43.3%
  • Frequency
  • Avg Position Time (mins)
    11975.40
  • Avg Position Time (hrs)
    199.59
  • Avg Trade Length
    8.3 days
  • Last Trade Ago
    4471
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    66.12
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -0.49
  • MAE:Equity, average, all trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -3.134
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    3.75
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    2.50
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.009
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.000
  • Hold-and-Hope Ratio
    -0.319
  • 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)
    -0.04700
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.00600
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    31
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Note that I am testing parameters for a new system. When I am satisfied with the system, I will create a new system and post a description on my blog. http://thecybernetictrader.wordpress.com.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2011-08-07
Suggested Minimum Capital
$16,400
# Trades
67
# Profitable
29
% Profitable
43.3%
Correlation S&P500
-0.001
Sharpe Ratio
-1.08
Sortino Ratio
-1.19
Beta
-0.00
Alpha
-0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.