Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +36.6% Cumul. Return since Sep 23, 2025 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

Futurama
(73771269)

Created by: TradingSystems TradingSystems
Started: 05/2012
Futures
Last trade: 5,002 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 $250.00 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.

-
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
121
Num Trades
33.1%
Win Trades
0.1 : 1
Profit Factor
7.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                            +36.0%+29.0%+35.8%+15.9%(9.4%)(1724.6%)  -    -  (4166.6%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -  
2021  -    -    -    -    -  (515.8%)+7.0%+5.2%  -    -  +7.9%  -  (604.7%)
2022(17.2%)+0.7%+8.9%(17.3%)(1.5%)(12.3%)+14.6%(5.8%)(5%)  -    -  (119.8%)
2023  -    -    -    -    -    -    -  
2024  -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -  
2026  -    -                                                  

Model Account Details

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

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

Trading Record

This strategy has placed 65 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5031 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/12/12 18:04 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 7 2796.00 9/21 16:43 2876.00 3.57%
Trade id #76567791
Max drawdown($1,505)
Time9/13/12 5:36
Quant open7
Worst price2785.25
Drawdown as % of equity-3.57%
 $11,144
Includes Typical Broker Commissions trade costs of $56.00
9/12/12 11:32 @YMU2 MINI DOW LONG 5 13361 9/21 16:42 13690 2.71%
Trade id #76561161
Max drawdown($1,250)
Time9/12/12 15:13
Quant open5
Worst price13311
Drawdown as % of equity-2.71%
 $8,185
Includes Typical Broker Commissions trade costs of $40.00
9/12/12 11:32 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 10 2787.75 9/12 15:01 2778.00 4.23%
Trade id #76561154
Max drawdown($1,950)
Time9/12/12 15:01
Quant open0
Worst price2778.00
Drawdown as % of equity-4.23%
 ($2,030)
Includes Typical Broker Commissions trade costs of $80.00
9/12/12 5:33 @ESU2 E-MINI S&P 500 LONG 2 1438.25 9/12 9:58 1437.00 0.8%
Trade id #76551927
Max drawdown($375)
Time9/12/12 8:07
Quant open2
Worst price1434.50
Drawdown as % of equity-0.80%
 ($141)
Includes Typical Broker Commissions trade costs of $16.00
9/12/12 5:33 @YMU2 MINI DOW LONG 5 13362 9/12 9:58 13342 2.09%
Trade id #76551921
Max drawdown($975)
Time9/12/12 8:07
Quant open5
Worst price13323
Drawdown as % of equity-2.09%
 ($540)
Includes Typical Broker Commissions trade costs of $40.00
9/11/12 8:49 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 10 2789.75 9/11 9:00 2792.75 1.57%
Trade id #76528441
Max drawdown($750)
Time9/11/12 8:54
Quant open-10
Worst price2793.50
Drawdown as % of equity-1.57%
 ($680)
Includes Typical Broker Commissions trade costs of $80.00
9/11/12 8:25 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 10 2792.25 9/11 8:49 2789.75 1.05%
Trade id #76527873
Max drawdown($500)
Time9/11/12 8:49
Quant open0
Worst price2789.75
Drawdown as % of equity-1.05%
 ($580)
Includes Typical Broker Commissions trade costs of $80.00
9/6/12 11:22 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 15 2816.00 9/11 3:43 2790.75 24.87%
Trade id #76454839
Max drawdown($11,475)
Time9/10/12 23:40
Quant open15
Worst price2777.75
Drawdown as % of equity-24.87%
 ($7,695)
Includes Typical Broker Commissions trade costs of $120.00
9/5/12 11:02 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 10 2762.75 9/5 11:44 2776.50 4.7%
Trade id #76427777
Max drawdown($2,900)
Time9/5/12 11:39
Quant open-10
Worst price2777.25
Drawdown as % of equity-4.70%
 ($2,830)
Includes Typical Broker Commissions trade costs of $80.00
9/5/12 9:58 @YMU2 MINI DOW LONG 5 13035 9/5 11:02 13029 0.55%
Trade id #76425980
Max drawdown($350)
Time9/5/12 10:01
Quant open5
Worst price13021
Drawdown as % of equity-0.55%
 ($190)
Includes Typical Broker Commissions trade costs of $40.00
9/5/12 9:58 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 10 2773.50 9/5 11:02 2762.75 3.48%
Trade id #76426005
Max drawdown($2,150)
Time9/5/12 11:02
Quant open0
Worst price2762.75
Drawdown as % of equity-3.48%
 ($2,230)
Includes Typical Broker Commissions trade costs of $80.00
9/5/12 9:43 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 10 2761.00 9/5 9:58 2773.50 3.9%
Trade id #76425559
Max drawdown($2,500)
Time9/5/12 9:58
Quant open0
Worst price2773.50
Drawdown as % of equity-3.90%
 ($2,580)
Includes Typical Broker Commissions trade costs of $80.00
9/5/12 9:31 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 10 2767.50 9/5 9:43 2761.00 2.49%
Trade id #76425221
Max drawdown($1,600)
Time9/5/12 9:42
Quant open10
Worst price2759.50
Drawdown as % of equity-2.49%
 ($1,380)
Includes Typical Broker Commissions trade costs of $80.00
9/3/12 12:02 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 10 2781.50 9/4 6:56 2770.00 3.57%
Trade id #76384899
Max drawdown($2,300)
Time9/4/12 6:56
Quant open0
Worst price2770.00
Drawdown as % of equity-3.57%
 ($2,380)
Includes Typical Broker Commissions trade costs of $80.00
8/30/12 5:05 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 15 2770.92 9/3 3:15 2773.00 6.26%
Trade id #76328501
Max drawdown($4,300)
Time8/31/12 11:05
Quant open-15
Worst price2785.25
Drawdown as % of equity-6.26%
 ($745)
Includes Typical Broker Commissions trade costs of $120.00
8/30/12 9:44 @YMU2 MINI DOW SHORT 5 13031 9/3 1:58 13052 4.12%
Trade id #76333114
Max drawdown($2,825)
Time8/31/12 11:05
Quant open-5
Worst price13144
Drawdown as % of equity-4.12%
 ($565)
Includes Typical Broker Commissions trade costs of $40.00
8/29/12 10:19 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 15 2783.25 8/29 12:49 2783.50 0.54%
Trade id #76310747
Max drawdown($375)
Time8/29/12 10:21
Quant open-15
Worst price2784.50
Drawdown as % of equity-0.54%
 ($195)
Includes Typical Broker Commissions trade costs of $120.00
8/29/12 10:15 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 15 2786.75 8/29 10:19 2783.62 1.35%
Trade id #76310636
Max drawdown($940)
Time8/29/12 10:19
Quant open0
Worst price2783.62
Drawdown as % of equity-1.35%
 ($1,059)
Includes Typical Broker Commissions trade costs of $120.00
8/29/12 9:57 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 15 2783.00 8/29 9:57 2782.75 n/a ($45)
Includes Typical Broker Commissions trade costs of $120.00
8/29/12 9:32 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 15 2786.50 8/29 9:57 2783.00 1.62%
Trade id #76309190
Max drawdown($1,125)
Time8/29/12 9:57
Quant open15
Worst price2782.75
Drawdown as % of equity-1.62%
 ($1,170)
Includes Typical Broker Commissions trade costs of $120.00
8/28/12 10:22 @YMU2 MINI DOW LONG 5 13108 8/29 3:24 13080 1%
Trade id #76283318
Max drawdown($700)
Time8/29/12 3:24
Quant open0
Worst price13080
Drawdown as % of equity-1.00%
 ($740)
Includes Typical Broker Commissions trade costs of $40.00
8/28/12 10:17 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 15 2779.08 8/29 2:56 2786.03 1.47%
Trade id #76283145
Max drawdown($1,074)
Time8/28/12 11:17
Quant open15
Worst price2775.50
Drawdown as % of equity-1.47%
 $1,965
Includes Typical Broker Commissions trade costs of $120.00
8/28/12 9:58 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 15 2774.90 8/28 10:17 2778.87 2.8%
Trade id #76282423
Max drawdown($2,055)
Time8/28/12 10:14
Quant open-15
Worst price2781.75
Drawdown as % of equity-2.80%
 ($1,311)
Includes Typical Broker Commissions trade costs of $120.00
8/28/12 9:59 @YMU2 MINI DOW SHORT 5 13076 8/28 10:17 13093 0.78%
Trade id #76282439
Max drawdown($575)
Time8/28/12 10:14
Quant open-5
Worst price13099
Drawdown as % of equity-0.78%
 ($465)
Includes Typical Broker Commissions trade costs of $40.00
8/28/12 9:40 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 15 2783.25 8/28 9:56 2777.00 2.56%
Trade id #76281988
Max drawdown($1,875)
Time8/28/12 9:56
Quant open0
Worst price2777.00
Drawdown as % of equity-2.56%
 ($1,995)
Includes Typical Broker Commissions trade costs of $120.00
8/28/12 9:35 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 10 2777.50 8/28 9:39 2783.00 1.5%
Trade id #76281717
Max drawdown($1,100)
Time8/28/12 9:39
Quant open0
Worst price2783.00
Drawdown as % of equity-1.50%
 ($1,180)
Includes Typical Broker Commissions trade costs of $80.00
8/28/12 9:32 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 10 2779.50 8/28 9:35 2777.70 0.75%
Trade id #76281562
Max drawdown($550)
Time8/28/12 9:34
Quant open10
Worst price2776.75
Drawdown as % of equity-0.75%
 ($440)
Includes Typical Broker Commissions trade costs of $80.00
8/28/12 8:42 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 10 2778.75 8/28 9:32 2779.50 1.43%
Trade id #76280149
Max drawdown($1,050)
Time8/28/12 9:16
Quant open-10
Worst price2784.00
Drawdown as % of equity-1.43%
 ($230)
Includes Typical Broker Commissions trade costs of $80.00
8/24/12 10:24 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 15 2766.92 8/27 15:55 2777.00 0.43%
Trade id #76232756
Max drawdown($300)
Time8/24/12 10:31
Quant open10
Worst price2759.00
Drawdown as % of equity-0.43%
 $2,905
Includes Typical Broker Commissions trade costs of $120.00
8/24/12 3:25 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 10 2760.00 8/24 10:24 2760.50 1.42%
Trade id #76225457
Max drawdown($1,000)
Time8/24/12 5:06
Quant open-10
Worst price2765.00
Drawdown as % of equity-1.42%
 ($180)
Includes Typical Broker Commissions trade costs of $80.00

Statistics

  • Strategy began
    5/17/2012
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    5131.99
  • Age
    171 months ago
  • What it trades
    Futures
  • # Trades
    121
  • # Profitable
    40
  • % Profitable
    33.10%
  • Avg trade duration
    42.1 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    May 31, 2012 - Sept 28, 2014
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $3,532
  • Avg loss
    $11,859
  • Model Account Values (Raw)
  • Cash
    $63,472
  • Margin Used
    $568,605
  • Buying Power
    ($1,367,932)
  • Ratios
  • W:L ratio
    0.15:1
  • Sharpe Ratio
    -0.65
  • Sortino Ratio
    -0.65
  • Calmar Ratio
    -0.989
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4647.84%
  • Correlation to SP500
    -0.07570
  • Return Percent SP500 (cumu) during strategy life
    457.52%
  • 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
    0.31%
  • 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
    n/a
  • 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
    $11,860
  • Avg Win
    $3,533
  • Sum Trade PL (losers)
    $960,640.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $141,313.000
  • # Winners
    40
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    81
  • % Winners
    33.1%
  • Frequency
  • Avg Position Time (mins)
    60617.40
  • Avg Position Time (hrs)
    1010.29
  • Avg Trade Length
    42.1 days
  • Last Trade Ago
    4998
  • Regression
  • Alpha
    0.00
  • Beta
    -2.10
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    21.40
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    26.42
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.93
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    3.577
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.183
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.323
  • Hold-and-Hope Ratio
    -0.805
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1763390.00000
  • SD
    2595630.00000
  • Sharpe ratio (Glass type estimate)
    0.67937
  • Sharpe ratio (Hedges UMVUE)
    0.65874
  • df
    25.00000
  • t
    1.00000
  • p
    0.16345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67189
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01741
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68525
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00274
  • Statistics related to Sortino ratio
  • Sortino ratio
    2436160.00000
  • Upside Potential Ratio
    2436160.00000
  • Upside part of mean
    1763390.00000
  • Downside part of mean
    -0.75198
  • Upside SD
    2595630.00000
  • Downside SD
    0.72384
  • N nonnegative terms
    3.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.56092
  • Mean of criterion
    1763390.00000
  • SD of predictor
    0.48763
  • SD of criterion
    2595630.00000
  • Covariance
    99707.40000
  • r
    0.07878
  • b (slope, estimate of beta)
    419327.00000
  • a (intercept, estimate of alpha)
    1528180.00000
  • Mean Square Error
    6974490000000.00000
  • DF error
    24.00000
  • t(b)
    0.38713
  • p(b)
    0.35104
  • t(a)
    0.80675
  • p(a)
    0.21387
  • Lowerbound of 95% confidence interval for beta
    -1816240.00000
  • Upperbound of 95% confidence interval for beta
    2654890.00000
  • Lowerbound of 95% confidence interval for alpha
    -2381340.00000
  • Upperbound of 95% confidence interval for alpha
    5437700.00000
  • Treynor index (mean / b)
    4.20528
  • Jensen alpha (a)
    1528180.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.16852
  • SD
    12.95460
  • Sharpe ratio (Glass type estimate)
    0.16739
  • Sharpe ratio (Hedges UMVUE)
    0.16231
  • df
    25.00000
  • t
    0.24640
  • p
    0.40369
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16658
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49811
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16998
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49460
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29126
  • Upside Potential Ratio
    1.01380
  • Upside part of mean
    7.54805
  • Downside part of mean
    -5.37952
  • Upside SD
    10.31150
  • Downside SD
    7.44533
  • N nonnegative terms
    3.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.46365
  • Mean of criterion
    2.16852
  • SD of predictor
    0.39583
  • SD of criterion
    12.95460
  • Covariance
    0.67193
  • r
    0.13104
  • b (slope, estimate of beta)
    4.28855
  • a (intercept, estimate of alpha)
    0.18011
  • Mean Square Error
    171.81300
  • DF error
    24.00000
  • t(b)
    0.64753
  • p(b)
    0.26172
  • t(a)
    0.01912
  • p(a)
    0.49245
  • Lowerbound of 95% confidence interval for beta
    -9.38054
  • Upperbound of 95% confidence interval for beta
    17.95760
  • Lowerbound of 95% confidence interval for alpha
    -19.26090
  • Upperbound of 95% confidence interval for alpha
    19.62110
  • Treynor index (mean / b)
    0.50565
  • Jensen alpha (a)
    0.18011
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99745
  • Expected Shortfall on VaR
    0.99905
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.20245
  • Expected Shortfall on VaR
    0.43114
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.00002
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    3820670.00000
  • Mean of quarter 1
    0.77490
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    545811.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.15385
  • Mean of outliers low
    0.60607
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11539
  • Mean of outliers high
    1273560.00000
  • 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)
    1.71668
  • VaR(95%) (regression method)
    0.15072
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.13856
  • Quartile 1
    0.21891
  • Median
    0.29926
  • Quartile 3
    0.64962
  • Maximum
    0.99999
  • Mean of quarter 1
    0.13856
  • Mean of quarter 2
    0.29926
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.43071
  • 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)
    53.36380
  • Compounded annual return (geometric extrapolation)
    7.99286
  • Calmar ratio (compounded annual return / max draw down)
    7.99298
  • Compounded annual return / average of 25% largest draw downs
    7.99298
  • Compounded annual return / Expected Shortfall lognormal
    8.00044
  • 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
    1532370.00000
  • SD
    2293680.00000
  • Sharpe ratio (Glass type estimate)
    0.66809
  • Sharpe ratio (Hedges UMVUE)
    0.66723
  • df
    586.00000
  • t
    1.00000
  • p
    0.15886
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64217
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97780
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64275
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97721
  • Statistics related to Sortino ratio
  • Sortino ratio
    1542990.00000
  • Upside Potential Ratio
    1542990.00000
  • Upside part of mean
    1532380.00000
  • Downside part of mean
    -2.12445
  • Upside SD
    2293680.00000
  • Downside SD
    0.99312
  • N nonnegative terms
    68.00000
  • N negative terms
    519.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    587.00000
  • Mean of predictor
    0.70113
  • Mean of criterion
    1532370.00000
  • SD of predictor
    0.35303
  • SD of criterion
    2293680.00000
  • Covariance
    -9675.22000
  • r
    -0.01195
  • b (slope, estimate of beta)
    -77629.60000
  • a (intercept, estimate of alpha)
    1586800.00000
  • Mean Square Error
    5269220000000.00000
  • DF error
    585.00000
  • t(b)
    -0.28902
  • p(b)
    0.61366
  • t(a)
    1.02699
  • p(a)
    0.15242
  • Lowerbound of 95% confidence interval for beta
    -605170.00000
  • Upperbound of 95% confidence interval for beta
    449910.00000
  • Lowerbound of 95% confidence interval for alpha
    -1447810.00000
  • Upperbound of 95% confidence interval for alpha
    4621410.00000
  • Treynor index (mean / b)
    -19.73960
  • Jensen alpha (a)
    1586800.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -4.50975
  • SD
    15.95040
  • Sharpe ratio (Glass type estimate)
    -0.28274
  • Sharpe ratio (Hedges UMVUE)
    -0.28237
  • df
    586.00000
  • t
    -0.42320
  • p
    0.66385
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59215
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.02689
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59189
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02715
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.36485
  • Upside Potential Ratio
    0.67348
  • Upside part of mean
    8.32470
  • Downside part of mean
    -12.83450
  • Upside SD
    10.06350
  • Downside SD
    12.36070
  • N nonnegative terms
    68.00000
  • N negative terms
    519.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    587.00000
  • Mean of predictor
    0.64070
  • Mean of criterion
    -4.50975
  • SD of predictor
    0.34180
  • SD of criterion
    15.95040
  • Covariance
    -0.17878
  • r
    -0.03279
  • b (slope, estimate of beta)
    -1.53027
  • a (intercept, estimate of alpha)
    -3.52931
  • Mean Square Error
    254.57700
  • DF error
    585.00000
  • t(b)
    -0.79357
  • p(b)
    0.78612
  • t(a)
    -0.32889
  • p(a)
    0.62882
  • Lowerbound of 95% confidence interval for beta
    -5.31758
  • Upperbound of 95% confidence interval for beta
    2.25704
  • Lowerbound of 95% confidence interval for alpha
    -24.60520
  • Upperbound of 95% confidence interval for alpha
    17.54660
  • Treynor index (mean / b)
    2.94703
  • Jensen alpha (a)
    -3.52931
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.80565
  • Expected Shortfall on VaR
    0.86372
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02604
  • Expected Shortfall on VaR
    0.05928
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    587.00000
  • Minimum
    0.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    3433220.00000
  • Mean of quarter 1
    0.96800
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    23356.30000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    52.00000
  • Percentage of outliers low
    0.08859
  • Mean of outliers low
    0.90953
  • Number of outliers high
    68.00000
  • Percentage of outliers high
    0.11584
  • Mean of outliers high
    50489.60000
  • 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)
    -0.39935
  • VaR(95%) (regression method)
    0.01615
  • Expected Shortfall (regression method)
    0.03353
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00809
  • Quartile 1
    0.03364
  • Median
    0.11137
  • Quartile 3
    0.27161
  • Maximum
    1.00000
  • Mean of quarter 1
    0.01731
  • Mean of quarter 2
    0.06198
  • Mean of quarter 3
    0.18700
  • Mean of quarter 4
    0.76074
  • Inter Quartile Range
    0.23797
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.99999
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -19029900000.00000
  • VaR(95%) (moments method)
    0.63925
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -16.75620
  • VaR(95%) (regression method)
    76.74550
  • Expected Shortfall (regression method)
    76.74550
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.44632
  • Compounded annual return (geometric extrapolation)
    -0.98869
  • Calmar ratio (compounded annual return / max draw down)
    -0.98869
  • Compounded annual return / average of 25% largest draw downs
    -1.29965
  • Compounded annual return / Expected Shortfall lognormal
    -1.14468
  • 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
    6866440.00000
  • SD
    4855310.00000
  • Sharpe ratio (Glass type estimate)
    1.41421
  • Sharpe ratio (Hedges UMVUE)
    1.40604
  • df
    130.00000
  • t
    1.00000
  • p
    0.45632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36558
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18869
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18311
  • Statistics related to Sortino ratio
  • Sortino ratio
    4703150.00000
  • Upside Potential Ratio
    4703150.00000
  • Upside part of mean
    6866440.00000
  • Downside part of mean
    -3.86113
  • Upside SD
    4855310.00000
  • Downside SD
    1.45997
  • N nonnegative terms
    17.00000
  • N negative terms
    114.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    2.14176
  • Mean of criterion
    6866440.00000
  • SD of predictor
    0.63620
  • SD of criterion
    4855310.00000
  • Covariance
    -81659.00000
  • r
    -0.02644
  • b (slope, estimate of beta)
    -201752.00000
  • a (intercept, estimate of alpha)
    7298540.00000
  • Mean Square Error
    23740200000000.00000
  • DF error
    129.00000
  • t(b)
    -0.30036
  • p(b)
    0.51683
  • t(a)
    1.03685
  • p(a)
    0.44220
  • Lowerbound of 95% confidence interval for beta
    -1530730.00000
  • Upperbound of 95% confidence interval for beta
    1127230.00000
  • Lowerbound of 95% confidence interval for alpha
    -6628630.00000
  • Upperbound of 95% confidence interval for alpha
    21225700.00000
  • Treynor index (mean / b)
    -34.03400
  • Jensen alpha (a)
    7298540.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    29.99380
  • Sharpe ratio (Glass type estimate)
    -0.00093
  • Sharpe ratio (Hedges UMVUE)
    -0.00093
  • df
    130.00000
  • t
    -0.00066
  • p
    0.50003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.77274
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77088
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.77273
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77088
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00133
  • Upside Potential Ratio
    1.50469
  • Upside part of mean
    31.55270
  • Downside part of mean
    -31.58070
  • Upside SD
    21.28470
  • Downside SD
    20.96960
  • N nonnegative terms
    17.00000
  • N negative terms
    114.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.94442
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.60944
  • SD of criterion
    29.99380
  • Covariance
    -0.76493
  • r
    -0.04185
  • b (slope, estimate of beta)
    -2.05949
  • a (intercept, estimate of alpha)
    3.97660
  • Mean Square Error
    905.01300
  • DF error
    129.00000
  • t(b)
    -0.47570
  • p(b)
    0.52663
  • t(a)
    0.09169
  • p(a)
    0.49486
  • VAR (95 Confidence Intrvl)
    0.80600
  • Lowerbound of 95% confidence interval for beta
    -10.62530
  • Upperbound of 95% confidence interval for beta
    6.50630
  • Lowerbound of 95% confidence interval for alpha
    -81.83050
  • Upperbound of 95% confidence interval for alpha
    89.78370
  • Treynor index (mean / b)
    0.01355
  • Jensen alpha (a)
    3.97660
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.95255
  • Expected Shortfall on VaR
    0.97389
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04689
  • Expected Shortfall on VaR
    0.10601
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    3433220.00000
  • Mean of quarter 1
    0.94187
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    104038.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.89342
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.12977
  • Mean of outliers high
    201955.00000
  • 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)
    0.34097
  • VaR(95%) (regression method)
    0.02902
  • Expected Shortfall (regression method)
    0.07863
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01079
  • Quartile 1
    0.25809
  • Median
    0.50540
  • Quartile 3
    0.75270
  • Maximum
    1.00000
  • Mean of quarter 1
    0.01079
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.49460
  • 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?
    -464421000
  • Max Equity Drawdown (num days)
    850
  • 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

Trade this strategy at Tradier

Summary Statistics

Strategy began
2012-05-17
Suggested Minimum Capital
$20,000
# Trades
121
# Profitable
40
% Profitable
33.1%
Correlation S&P500
-0.076
Sharpe Ratio
-0.65
Sortino Ratio
-0.65
Beta
-2.10
Alpha
0.00

Latest Activity

subscribed on started simulation

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

Suggested Minimum Capital

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