Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +36.4% Cumul. Return since Sep 23, 2025 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Investments test
(69976450)

Created by: ArceusInvestme2 ArceusInvestme2
Started: 01/2012
Futures
Last trade: 5,094 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. You can subscribe to this system for free.

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.

-
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.

(100.0%)
Max Drawdown
163
Num Trades
41.1%
Win Trades
0.5 : 1
Profit Factor
1.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012+2.8%(18.4%)(27.2%)+6.4%+195.0%(178.6%)(0.1%)  -    -    -    -    -  (250.8%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -  (0.8%)  -  (0.1%)(0.2%)  -  (0.2%)(0.2%)(0.4%)(0.1%)(0.1%)(0.2%)(0.4%)
2015(0.7%)  -  (0.5%)(0.3%)(0.1%)  -    -  (0.2%)  -  (0.2%)(0.3%)(0.3%)(1.1%)
2016  -  (0.1%)(0.2%)(0.1%)(0.2%)(0.1%)(0.1%)(0.1%)(0.1%)(0.2%)  -    -  -
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/28/12 10:09 @TFSU2 Emini Russell 2000 SHORT 310 764.47 6/28 16:27 772.00 151.68%
Trade id #74898135
Max drawdown($289,300)
Time6/28/12 16:01
Quant open-310
Worst price773.80
Drawdown as % of equity-151.68%
 ($235,980)
Includes Typical Broker Commissions trade costs of $2,480.00
6/20/12 22:24 @TFSU2 Emini Russell 2000 SHORT 435 763.11 6/27 10:17 762.83 27.86%
Trade id #74716945
Max drawdown($18,060)
Time6/21/12 7:24
Quant open-42
Worst price781.40
Drawdown as % of equity-27.86%
 $8,709
Includes Typical Broker Commissions trade costs of $3,480.00
6/26/12 4:00 @CCU2 COCOA SHORT 3 2130 6/26 13:40 2152 0.45%
Trade id #74825222
Max drawdown($870)
Time6/26/12 9:01
Quant open-3
Worst price2159
Drawdown as % of equity-0.45%
 ($684)
Includes Typical Broker Commissions trade costs of $24.00
6/25/12 8:44 QSIQ2 Silver 5000 oz SHORT 1 26.700 6/25 13:39 27.565 2.42%
Trade id #74800810
Max drawdown($4,625)
Time6/25/12 13:19
Quant open-1
Worst price27.625
Drawdown as % of equity-2.42%
 ($4,333)
Includes Typical Broker Commissions trade costs of $8.00
6/21/12 21:32 @CTV2 COTTON - #2 SHORT 3 6650 6/25 13:39 7044 5.04%
Trade id #74743989
Max drawdown($6,000)
Time6/24/12 22:06
Quant open-3
Worst price7050
Drawdown as % of equity-5.04%
 ($5,934)
Includes Typical Broker Commissions trade costs of $24.00
6/21/12 21:39 QGCQ2 Gold 100 oz SHORT 3 1564.8 6/22 16:17 1572.8 2.42%
Trade id #74744057
Max drawdown($2,790)
Time6/22/12 15:55
Quant open-3
Worst price1574.1
Drawdown as % of equity-2.42%
 ($2,424)
Includes Typical Broker Commissions trade costs of $24.00
6/21/12 21:36 QHGQ2 Copper SHORT 2 331.35 6/22 16:17 331.65 0.24%
Trade id #74744016
Max drawdown($275)
Time6/22/12 15:44
Quant open-2
Worst price331.90
Drawdown as % of equity-0.24%
 ($166)
Includes Typical Broker Commissions trade costs of $16.00
6/21/12 21:38 QSIQ2 Silver 5000 oz SHORT 1 26.865 6/22 16:17 26.900 0.15%
Trade id #74744038
Max drawdown($200)
Time6/21/12 22:42
Quant open-1
Worst price26.905
Drawdown as % of equity-0.15%
 ($183)
Includes Typical Broker Commissions trade costs of $8.00
6/20/12 14:50 @TFSU2 Emini Russell 2000 SHORT 12 778.30 6/20 16:49 781.00 4.92%
Trade id #74709438
Max drawdown($4,200)
Time6/20/12 16:12
Quant open-12
Worst price781.80
Drawdown as % of equity-4.92%
 ($3,336)
Includes Typical Broker Commissions trade costs of $96.00
6/20/12 9:22 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 6 2616.75 6/20 16:49 2619.00 1.56%
Trade id #74686231
Max drawdown($1,380)
Time6/20/12 13:10
Quant open-6
Worst price2628.25
Drawdown as % of equity-1.56%
 ($318)
Includes Typical Broker Commissions trade costs of $48.00
6/20/12 9:22 @TFSU2 Emini Russell 2000 SHORT 18 780.97 6/20 13:24 783.40 10.62%
Trade id #74686239
Max drawdown($9,420)
Time6/20/12 13:06
Quant open-18
Worst price786.20
Drawdown as % of equity-10.62%
 ($4,524)
Includes Typical Broker Commissions trade costs of $144.00
6/20/12 9:24 LFU2 FTSE 100 INDEX SHORT 3 5565.5 6/20 13:24 5592.0 1.41%
Trade id #74686313
Max drawdown($1,250)
Time6/20/12 13:24
Quant open0
Worst price5592.0
Drawdown as % of equity-1.41%
 ($991)
Includes Typical Broker Commissions trade costs of $24.00
6/19/12 2:34 @YMU2 MINI DOW SHORT 9 12664 6/19 17:03 12756 8.05%
Trade id #74646124
Max drawdown($7,410)
Time6/19/12 13:37
Quant open-9
Worst price12829
Drawdown as % of equity-8.05%
 ($4,197)
Includes Typical Broker Commissions trade costs of $72.00
6/19/12 2:34 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 6 2586.92 6/19 11:40 2615.00 4.02%
Trade id #74646141
Max drawdown($3,850)
Time6/19/12 11:02
Quant open-6
Worst price2619.00
Drawdown as % of equity-4.02%
 ($3,418)
Includes Typical Broker Commissions trade costs of $48.00
6/19/12 2:57 @EUU2 EUROFX SHORT 3 1.26057 6/19 11:40 1.26990 4.47%
Trade id #74647522
Max drawdown($4,287)
Time6/19/12 11:11
Quant open-3
Worst price1.27200
Drawdown as % of equity-4.47%
 ($3,524)
Includes Typical Broker Commissions trade costs of $24.00
6/19/12 9:42 @TFSU2 Emini Russell 2000 SHORT 6 770.75 6/19 11:39 781.30 6.04%
Trade id #74655494
Max drawdown($7,770)
Time6/19/12 10:31
Quant open-6
Worst price783.70
Drawdown as % of equity-6.04%
 ($6,378)
Includes Typical Broker Commissions trade costs of $48.00
6/19/12 9:53 LFU2 FTSE 100 INDEX SHORT 1 5518.0 6/19 11:39 5539.5 0.43%
Trade id #74655927
Max drawdown($410)
Time6/19/12 11:02
Quant open-1
Worst price5559.0
Drawdown as % of equity-0.43%
 ($270)
Includes Typical Broker Commissions trade costs of $8.00
6/19/12 3:00 LFU2 FTSE 100 INDEX SHORT 4 5463.2 6/19 9:19 5515.5 2.55%
Trade id #74647546
Max drawdown($3,281)
Time6/19/12 9:19
Quant open0
Worst price5515.5
Drawdown as % of equity-2.55%
 ($2,574)
Includes Typical Broker Commissions trade costs of $32.00
6/19/12 2:34 @TFSU2 Emini Russell 2000 SHORT 8 766.91 6/19 9:19 772.10 3.54%
Trade id #74646133
Max drawdown($4,550)
Time6/19/12 9:13
Quant open-8
Worst price772.60
Drawdown as % of equity-3.54%
 ($4,214)
Includes Typical Broker Commissions trade costs of $64.00
6/19/12 2:31 @LBN2 Random Length Lumber Globex SHORT 2 267.50 6/19 5:49 268.10 0.1%
Trade id #74645986
Max drawdown($132)
Time6/19/12 5:49
Quant open0
Worst price268.10
Drawdown as % of equity-0.10%
 ($148)
Includes Typical Broker Commissions trade costs of $16.00
6/19/12 2:37 @USU2 US T-BOND LONG 1 150 2/32 6/19 5:49 149 27/32 0.23%
Trade id #74646323
Max drawdown($343)
Time6/19/12 5:13
Quant open1
Worst price149 23/32
Drawdown as % of equity-0.23%
 ($226)
Includes Typical Broker Commissions trade costs of $8.00
6/19/12 2:37 @CN2 CORN SHORT 2 605 2/4 6/19 5:49 606 0.07%
Trade id #74646293
Max drawdown($100)
Time6/19/12 5:42
Quant open-2
Worst price606 2/4
Drawdown as % of equity-0.07%
 ($66)
Includes Typical Broker Commissions trade costs of $16.00
6/19/12 4:00 @CCN2 COCOA SHORT 1 2159 6/19 5:49 2187 0.2%
Trade id #74648860
Max drawdown($280)
Time6/19/12 5:49
Quant open0
Worst price2187
Drawdown as % of equity-0.20%
 ($288)
Includes Typical Broker Commissions trade costs of $8.00
6/19/12 2:37 @SMN2 SOYBEAN MEAL SHORT 2 417.7 6/19 5:49 420.9 0.46%
Trade id #74646302
Max drawdown($640)
Time6/19/12 5:49
Quant open0
Worst price420.9
Drawdown as % of equity-0.46%
 ($656)
Includes Typical Broker Commissions trade costs of $16.00
6/19/12 2:38 @ON2 Oats SHORT 2 316 6/19 5:49 318 2/4 0.2%
Trade id #74646362
Max drawdown($300)
Time6/19/12 4:02
Quant open-2
Worst price319
Drawdown as % of equity-0.20%
 ($266)
Includes Typical Broker Commissions trade costs of $16.00
6/19/12 2:38 @BON2 SOYBEAN OIL SHORT 2 49.47 6/19 5:49 49.42 0.06%
Trade id #74646394
Max drawdown($84)
Time6/19/12 5:28
Quant open-2
Worst price49.54
Drawdown as % of equity-0.06%
 $44
Includes Typical Broker Commissions trade costs of $16.00
6/19/12 2:37 @LEQ2 LIVE CATTLE SHORT 2 117.775 6/19 5:49 118.075 0.17%
Trade id #74646344
Max drawdown($240)
Time6/19/12 5:49
Quant open0
Worst price118.075
Drawdown as % of equity-0.17%
 ($256)
Includes Typical Broker Commissions trade costs of $16.00
6/18/12 2:44 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 6 2569.83 6/18 16:49 2591.75 1.81%
Trade id #74616381
Max drawdown($2,960)
Time6/18/12 14:16
Quant open-6
Worst price2594.50
Drawdown as % of equity-1.81%
 ($2,678)
Includes Typical Broker Commissions trade costs of $48.00
6/15/12 9:26 @USU2 US T-BOND LONG 1 149 22/32 6/18 16:49 149 30/32 0.79%
Trade id #74582100
Max drawdown($1,325)
Time6/17/12 18:04
Quant open1
Worst price148 12/32
Drawdown as % of equity-0.79%
 $230
Includes Typical Broker Commissions trade costs of $8.00
6/14/12 21:19 @LEQ2 LIVE CATTLE SHORT 4 116.825 6/18 14:40 117.400 0.57%
Trade id #74569258
Max drawdown($1,060)
Time6/18/12 10:39
Quant open-2
Worst price118.150
Drawdown as % of equity-0.57%
 ($952)
Includes Typical Broker Commissions trade costs of $32.00

Statistics

  • Strategy began
    1/25/2012
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5241.81
  • Age
    175 months ago
  • What it trades
    Futures
  • # Trades
    163
  • # Profitable
    67
  • % Profitable
    41.10%
  • Avg trade duration
    7.7 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    June 21, 2012 - June 28, 2012
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $3,790
  • Avg loss
    $5,079
  • Model Account Values (Raw)
  • Cash
    ($133,591)
  • Margin Used
    $0
  • Buying Power
    ($133,591)
  • Ratios
  • W:L ratio
    0.52:1
  • Sharpe Ratio
    -1.27
  • Sortino Ratio
    -1.27
  • Calmar Ratio
    -0.973
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -725.74%
  • Correlation to SP500
    -0.48050
  • Return Percent SP500 (cumu) during strategy life
    448.61%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • 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
    $5,079
  • Avg Win
    $3,791
  • Sum Trade PL (losers)
    $487,584.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $253,990.000
  • # Winners
    67
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    96
  • % Winners
    41.1%
  • Frequency
  • Avg Position Time (mins)
    11063.00
  • Avg Position Time (hrs)
    184.38
  • Avg Trade Length
    7.7 days
  • Last Trade Ago
    5086
  • Regression
  • Alpha
    0.00
  • Beta
    -8.21
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    85.40
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    89.22
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.95
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -3.248
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.600
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.355
  • Hold-and-Hope Ratio
    -0.308
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03916
  • SD
    1.06888
  • Sharpe ratio (Glass type estimate)
    0.03664
  • Sharpe ratio (Hedges UMVUE)
    0.03589
  • df
    37.00000
  • t
    0.06520
  • p
    0.47418
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06502
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13785
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06554
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13732
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06701
  • Upside Potential Ratio
    0.90155
  • Upside part of mean
    0.52685
  • Downside part of mean
    -0.48769
  • Upside SD
    0.87810
  • Downside SD
    0.58439
  • N nonnegative terms
    2.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.55303
  • Mean of criterion
    0.03916
  • SD of predictor
    0.26934
  • SD of criterion
    1.06888
  • Covariance
    -0.05317
  • r
    -0.18471
  • b (slope, estimate of beta)
    -0.73301
  • a (intercept, estimate of alpha)
    0.44454
  • Mean Square Error
    1.13418
  • DF error
    36.00000
  • t(b)
    -1.12764
  • p(b)
    0.86653
  • t(a)
    0.63675
  • p(a)
    0.26416
  • Lowerbound of 95% confidence interval for beta
    -2.05136
  • Upperbound of 95% confidence interval for beta
    0.58534
  • Lowerbound of 95% confidence interval for alpha
    -0.97135
  • Upperbound of 95% confidence interval for alpha
    1.86043
  • Treynor index (mean / b)
    -0.05343
  • Jensen alpha (a)
    0.44454
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.66357
  • SD
    6.80692
  • Sharpe ratio (Glass type estimate)
    -0.53821
  • Sharpe ratio (Hedges UMVUE)
    -0.52722
  • df
    37.00000
  • t
    -0.95776
  • p
    0.82780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64279
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.57349
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63515
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58072
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.54045
  • Upside Potential Ratio
    0.04854
  • Upside part of mean
    0.32902
  • Downside part of mean
    -3.99259
  • Upside SD
    0.53038
  • Downside SD
    6.77879
  • N nonnegative terms
    2.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.50640
  • Mean of criterion
    -3.66357
  • SD of predictor
    0.26272
  • SD of criterion
    6.80692
  • Covariance
    -0.04712
  • r
    -0.02635
  • b (slope, estimate of beta)
    -0.68267
  • a (intercept, estimate of alpha)
    -3.31787
  • Mean Square Error
    47.58820
  • DF error
    36.00000
  • t(b)
    -0.15815
  • p(b)
    0.56239
  • t(a)
    -0.74552
  • p(a)
    0.76960
  • Lowerbound of 95% confidence interval for beta
    -9.43731
  • Upperbound of 95% confidence interval for beta
    8.07198
  • Lowerbound of 95% confidence interval for alpha
    -12.34380
  • Upperbound of 95% confidence interval for alpha
    5.70802
  • Treynor index (mean / b)
    5.36656
  • Jensen alpha (a)
    -3.31787
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.97091
  • Expected Shortfall on VaR
    0.98444
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13682
  • Expected Shortfall on VaR
    0.29840
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.00001
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.56106
  • Mean of quarter 1
    0.85395
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.16730
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.10526
  • Mean of outliers low
    0.63486
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    1.83652
  • 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)
    1.31927
  • VaR(95%) (regression method)
    0.09918
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.30723
  • Quartile 1
    0.48042
  • Median
    0.65361
  • Quartile 3
    0.82680
  • Maximum
    0.99999
  • Mean of quarter 1
    0.30723
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.34638
  • 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)
    -0.31579
  • Compounded annual return (geometric extrapolation)
    -0.97363
  • Calmar ratio (compounded annual return / max draw down)
    -0.97364
  • Compounded annual return / average of 25% largest draw downs
    -0.97364
  • Compounded annual return / Expected Shortfall lognormal
    -0.98903
  • 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
    -0.31407
  • SD
    0.91681
  • Sharpe ratio (Glass type estimate)
    -0.34257
  • Sharpe ratio (Hedges UMVUE)
    -0.34226
  • df
    830.00000
  • t
    -0.61009
  • p
    0.72901
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44313
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.75816
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44290
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75839
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.39218
  • Upside Potential Ratio
    1.70647
  • Upside part of mean
    1.36659
  • Downside part of mean
    -1.68066
  • Upside SD
    0.44561
  • Downside SD
    0.80083
  • N nonnegative terms
    56.00000
  • N negative terms
    775.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    831.00000
  • Mean of predictor
    0.56864
  • Mean of criterion
    -0.31407
  • SD of predictor
    0.32745
  • SD of criterion
    0.91681
  • Covariance
    -0.01931
  • r
    -0.06432
  • b (slope, estimate of beta)
    -0.18010
  • a (intercept, estimate of alpha)
    -0.21200
  • Mean Square Error
    0.83807
  • DF error
    829.00000
  • t(b)
    -1.85590
  • p(b)
    0.96809
  • t(a)
    -0.40941
  • p(a)
    0.65883
  • Lowerbound of 95% confidence interval for beta
    -0.37057
  • Upperbound of 95% confidence interval for beta
    0.01038
  • Lowerbound of 95% confidence interval for alpha
    -1.22641
  • Upperbound of 95% confidence interval for alpha
    0.80310
  • Treynor index (mean / b)
    1.74388
  • Jensen alpha (a)
    -0.21166
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.65773
  • SD
    5.90035
  • Sharpe ratio (Glass type estimate)
    -0.61992
  • Sharpe ratio (Hedges UMVUE)
    -0.61936
  • df
    830.00000
  • t
    -1.10404
  • p
    0.86505
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.72069
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.48116
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.72028
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48157
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.62133
  • Upside Potential Ratio
    0.21709
  • Upside part of mean
    1.27798
  • Downside part of mean
    -4.93571
  • Upside SD
    0.40886
  • Downside SD
    5.88694
  • N nonnegative terms
    56.00000
  • N negative terms
    775.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    831.00000
  • Mean of predictor
    0.51428
  • Mean of criterion
    -3.65773
  • SD of predictor
    0.32855
  • SD of criterion
    5.90035
  • Covariance
    -0.08455
  • r
    -0.04361
  • b (slope, estimate of beta)
    -0.78324
  • a (intercept, estimate of alpha)
    -3.25493
  • Mean Square Error
    34.78980
  • DF error
    829.00000
  • t(b)
    -1.25693
  • p(b)
    0.89543
  • t(a)
    -0.97823
  • p(a)
    0.83588
  • Lowerbound of 95% confidence interval for beta
    -2.00636
  • Upperbound of 95% confidence interval for beta
    0.43987
  • Lowerbound of 95% confidence interval for alpha
    -9.78597
  • Upperbound of 95% confidence interval for alpha
    3.27611
  • Treynor index (mean / b)
    4.67000
  • Jensen alpha (a)
    -3.25493
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.45858
  • Expected Shortfall on VaR
    0.53106
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02132
  • Expected Shortfall on VaR
    0.04834
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    831.00000
  • Minimum
    0.00003
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.29839
  • Mean of quarter 1
    0.97477
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02087
  • Inter Quartile Range
    0.00000
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.06498
  • Mean of outliers low
    0.90281
  • Number of outliers high
    56.00000
  • Percentage of outliers high
    0.06739
  • Mean of outliers high
    1.07751
  • 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)
    0.18783
  • VaR(95%) (regression method)
    0.01121
  • Expected Shortfall (regression method)
    0.06195
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.02224
  • Quartile 1
    0.02765
  • Median
    0.09195
  • Quartile 3
    0.56675
  • Maximum
    0.99999
  • Mean of quarter 1
    0.02494
  • Mean of quarter 2
    0.09195
  • Mean of quarter 3
    0.56675
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.53910
  • 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)
    -0.31528
  • Compounded annual return (geometric extrapolation)
    -0.97348
  • Calmar ratio (compounded annual return / max draw down)
    -0.97348
  • Compounded annual return / average of 25% largest draw downs
    -0.97348
  • Compounded annual return / Expected Shortfall lognormal
    -1.83310
  • 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
    1.02260
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.51420
  • 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
    0.88809
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.51898
  • 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)
    -6828270000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.45900
  • 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)
    -170943000000000022977692378857472.00000
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -415999000
  • Max Equity Drawdown (num days)
    7
  • 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

The system is based on our proprietary trading opportunities scanning algorithm, which is further assesed and managed from our top of the league traders. Targets exist on most of the trades. Stops are soft meaning that price needs to close beyond them to exit a position, (so the entry is given after the market close),we will take profits on the whole ,1/2 or 1/3 of the position and trail or reset for the remaining (Depending on the position). We give positions and entries for all major futures front traded contracts. The system could potentialy hold positions as time matures to all futures contracts, but this is not the typical case as some close while others open. The expectation is vastly positive and there is no major trend that has been lost in recent years. Because of the length of our trades that usually carry on for more than 1 day we do not think a trial is needed as anyone can track our trades more or less on the site of Collective2, after we close them. We keep positions to mature and yield as much as possible. We occasionaly do face drawdowns, but not often severe ones, it happens usually at markets reversal points where consolidation is worse. Nevertheless due to the extreme dispersion of capital allocation (as we never add to losing positions), it is well tolerated and quickly eliminated. We have found through extensive model development that big money is usually following the patterns we also scan for, so we are on the lookout for them and end up trading broadly on the right side of the market. Please don't hesitate to contact us for any further information. Isa Rhodes, our trader is always available to answer any questions. We Assume a big enough account is needed to utilise our signals and take advantage of the opportunities and risk dispersion.
We will reset the system after we achieve more than 100% of the capital, in order to keep order size stable and thus allowing for anyone to follow us with our recomeneded capital as easy and straight forward as possible. Alterantively anyone of of our customers is free to just trade the mini contracts and thus follow us with much less capital (we will soon adress this as well with a smaller account system).

Of course as an Investment company we are always open to any kind of different cooperation schemes.

Thank you for your time,

Sincerely,

Arceus Investments LTD.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2012-01-25
Suggested Minimum Capital
$100,000
# Trades
163
# Profitable
67
% Profitable
41.1%
Correlation S&P500
-0.480
Sharpe Ratio
-1.27
Sortino Ratio
-1.27
Beta
-8.21
Alpha
0.00

Latest Activity

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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.