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Featured Strategy IC Algotrading Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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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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Futures Desk
(73838548)

Created by: Locals Locals
Started: 05/2012
Futures
Last trade: 4,259 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 $10.00 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.

-48.1%

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
46
Num Trades
45.7%
Win Trades
0.5 : 1
Profit Factor
0.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                            +0.5%(7%)(15.2%)(2.6%)  -    -    -    -  (22.8%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/20/12 5:30 EUR/USD EUR/USD LONG 1 1.23601 8/20 9:34 1.23155 0.38%
Trade id #76107390
Max drawdown($65)
Time8/20/12 8:32
Quant open1
Worst price1.22942
Drawdown as % of equity-0.38%
 ($45)
8/17/12 13:51 SPXW1224H1410 SPX Aug24'12 1410 call SHORT 2 10.95 8/20 9:34 11.10 1.31%
Trade id #76091339
Max drawdown($230)
Time8/17/12 16:01
Quant open-2
Worst price12.10
Drawdown as % of equity-1.31%
 ($33)
Includes Typical Broker Commissions trade costs of $3.40
8/17/12 12:18 SPXW1224H1420 SPX Aug24'12 1420 call LONG 2 5.85 8/20 9:33 5.00 1.2%
Trade id #76089470
Max drawdown($210)
Time8/20/12 9:31
Quant open2
Worst price4.80
Drawdown as % of equity-1.20%
 ($173)
Includes Typical Broker Commissions trade costs of $3.40
8/15/12 1:44 @BOZ2 SOYBEAN OIL LONG 3 53.60 8/15 2:33 53.69 0.93%
Trade id #76007657
Max drawdown($162)
Time8/15/12 1:48
Quant open3
Worst price53.51
Drawdown as % of equity-0.93%
 $138
Includes Typical Broker Commissions trade costs of $24.00
8/13/12 18:14 @BOZ2 SOYBEAN OIL LONG 3 53.74 8/13 18:54 53.74 0.21%
Trade id #75975323
Max drawdown($36)
Time8/13/12 18:16
Quant open3
Worst price53.72
Drawdown as % of equity-0.21%
 ($24)
Includes Typical Broker Commissions trade costs of $24.00
8/10/12 10:09 SPY1222L140 SPY Dec22'12 140 call LONG 2 5.34 8/13 9:31 5.53 n/a $35
Includes Typical Broker Commissions trade costs of $2.80
8/12/12 21:06 @BOZ2 SOYBEAN OIL LONG 3 53.98 8/12 21:27 54.06 1.46%
Trade id #75953441
Max drawdown($252)
Time8/12/12 21:13
Quant open3
Worst price53.84
Drawdown as % of equity-1.46%
 $120
Includes Typical Broker Commissions trade costs of $24.00
8/7/12 15:49 QQQ1218H69 QQQ Aug18'12 69 call LONG 28 0.07 8/8 14:37 0.03 0.65%
Trade id #75858897
Max drawdown($112)
Time8/8/12 13:25
Quant open28
Worst price0.03
Drawdown as % of equity-0.65%
 ($151)
Includes Typical Broker Commissions trade costs of $39.20
8/7/12 15:40 QQQ1218T65 QQQ Aug18'12 65 put LONG 28 0.21 8/8 14:37 0.17 0.97%
Trade id #75858760
Max drawdown($168)
Time8/8/12 12:22
Quant open28
Worst price0.15
Drawdown as % of equity-0.97%
 ($151)
Includes Typical Broker Commissions trade costs of $39.20
7/12/12 12:09 PFE1221S23 PFE Jul21'12 23 put LONG 412 0.08 7/18 13:32 0.03 12.13%
Trade id #75213884
Max drawdown($2,166)
Time7/18/12 13:32
Quant open0
Worst price0.03
Drawdown as % of equity-12.13%
 ($2,743)
Includes Typical Broker Commissions trade costs of $576.80
7/13/12 10:08 HPQ1221G19 HPQ Jul21'12 19 call LONG 60 0.21 7/18 9:50 0.23 4.37%
Trade id #75239219
Max drawdown($780)
Time7/17/12 11:07
Quant open30
Worst price0.08
Drawdown as % of equity-4.37%
 $6
Includes Typical Broker Commissions trade costs of $84.00
7/11/12 15:43 PFE1221G22 PFE Jul21'12 22 call LONG 21 0.42 7/12 11:05 0.58 0.98%
Trade id #75180512
Max drawdown($189)
Time7/12/12 9:40
Quant open21
Worst price0.33
Drawdown as % of equity-0.98%
 $307
Includes Typical Broker Commissions trade costs of $29.40
7/9/12 10:33 PFE1213S23 PFE Jul13'12 23 put LONG 21 0.45 7/11 9:35 0.71 1.02%
Trade id #75100045
Max drawdown($189)
Time7/9/12 16:00
Quant open21
Worst price0.36
Drawdown as % of equity-1.02%
 $517
Includes Typical Broker Commissions trade costs of $29.40
6/29/12 5:28 USD/JPY USD/JPY SHORT 7 79.397 7/6 11:02 79.567 3.15%
Trade id #74927392
Max drawdown($604)
Time7/4/12 21:10
Quant open-7
Worst price80.085
Drawdown as % of equity-3.15%
 ($149)
6/29/12 11:30 GBP/JPY GBP/JPY LONG 7 125.429 7/6 11:02 123.336 10.16%
Trade id #74939848
Max drawdown($1,938)
Time7/6/12 10:09
Quant open7
Worst price123.224
Drawdown as % of equity-10.16%
 ($1,840)
6/28/12 23:04 GBP/USD GBP/USD SHORT 7 1.55970 7/5 6:33 1.55693 4.51%
Trade id #74919030
Max drawdown($865)
Time7/2/12 9:22
Quant open-7
Worst price1.57206
Drawdown as % of equity-4.51%
 $194
6/29/12 5:21 GBP/JPY GBP/JPY LONG 7 124.014 6/29 8:01 124.115 1.44%
Trade id #74927312
Max drawdown($290)
Time6/29/12 5:48
Quant open7
Worst price123.684
Drawdown as % of equity-1.44%
 $89
6/28/12 23:08 EUR/USD EUR/USD SHORT 7 1.25948 6/29 0:14 1.25792 0.87%
Trade id #74919165
Max drawdown($172)
Time6/28/12 23:11
Quant open-7
Worst price1.26195
Drawdown as % of equity-0.87%
 $109
6/28/12 7:22 EUR/USD EUR/USD LONG 7 1.24624 6/28 22:52 1.24841 1.8%
Trade id #74892193
Max drawdown($347)
Time6/28/12 14:24
Quant open7
Worst price1.24127
Drawdown as % of equity-1.80%
 $152
6/28/12 9:16 GBP/USD GBP/USD LONG 7 1.55187 6/28 22:52 1.55547 1.26%
Trade id #74893850
Max drawdown($242)
Time6/28/12 14:31
Quant open7
Worst price1.54840
Drawdown as % of equity-1.26%
 $252
6/28/12 10:25 EUR/JPY EUR/JPY SHORT 7 98.588 6/28 12:54 98.662 0.42%
Trade id #74900439
Max drawdown($82)
Time6/28/12 12:22
Quant open-7
Worst price98.682
Drawdown as % of equity-0.42%
 ($65)
6/28/12 7:19 GBP/USD GBP/USD SHORT 7 1.55530 6/28 9:10 1.55317 0.81%
Trade id #74892045
Max drawdown($157)
Time6/28/12 7:49
Quant open-7
Worst price1.55755
Drawdown as % of equity-0.81%
 $149
6/27/12 9:32 @YMU2 MINI DOW LONG 2 12506 6/27 9:34 12505 0.15%
Trade id #74862098
Max drawdown($30)
Time6/27/12 9:34
Quant open2
Worst price12503
Drawdown as % of equity-0.15%
 ($26)
Includes Typical Broker Commissions trade costs of $16.00
6/26/12 11:11 @YMU2 MINI DOW LONG 2 12385 6/26 11:12 12398 n/a $114
Includes Typical Broker Commissions trade costs of $16.00
6/26/12 11:07 @YMU2 MINI DOW LONG 2 12407 6/26 11:08 12396 0.56%
Trade id #74838209
Max drawdown($110)
Time6/26/12 11:08
Quant open0
Worst price12396
Drawdown as % of equity-0.56%
 ($126)
Includes Typical Broker Commissions trade costs of $16.00
6/26/12 10:28 @YMU2 MINI DOW SHORT 2 12411 6/26 10:37 12414 0.25%
Trade id #74833574
Max drawdown($50)
Time6/26/12 10:37
Quant open-2
Worst price12416
Drawdown as % of equity-0.25%
 ($46)
Includes Typical Broker Commissions trade costs of $16.00
6/26/12 9:55 @YMU2 MINI DOW SHORT 2 12438 6/26 10:05 12454 0.8%
Trade id #74832327
Max drawdown($160)
Time6/26/12 10:05
Quant open0
Worst price12454
Drawdown as % of equity-0.80%
 ($176)
Includes Typical Broker Commissions trade costs of $16.00
6/26/12 5:22 @YMU2 MINI DOW LONG 2 12435 6/26 5:26 12435 0.25%
Trade id #74827245
Max drawdown($50)
Time6/26/12 5:25
Quant open2
Worst price12430
Drawdown as % of equity-0.25%
 ($16)
Includes Typical Broker Commissions trade costs of $16.00
6/25/12 15:56 @YMU2 MINI DOW SHORT 2 12437 6/25 16:02 12430 0.25%
Trade id #74812956
Max drawdown($50)
Time6/25/12 15:58
Quant open-2
Worst price12442
Drawdown as % of equity-0.25%
 $54
Includes Typical Broker Commissions trade costs of $16.00
6/25/12 10:52 @YMU2 MINI DOW SHORT 2 12414 6/25 10:57 12425 0.55%
Trade id #74805345
Max drawdown($110)
Time6/25/12 10:57
Quant open0
Worst price12425
Drawdown as % of equity-0.55%
 ($126)
Includes Typical Broker Commissions trade costs of $16.00
Next

Statistics

  • Strategy began
    5/20/2012
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    4347.3
  • Age
    145 months ago
  • What it trades
    Options, Futures
  • # Trades
    46
  • # Profitable
    21
  • % Profitable
    45.70%
  • Avg trade duration
    1.9 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual return (compounded)
    -1.2%
  • Avg win
    $148.48
  • Avg loss
    $232.32
  • Model Account Values (Raw)
  • Cash
    $17,310
  • Margin Used
    $0
  • Buying Power
    $17,310
  • Ratios
  • W:L ratio
    0.54:1
  • Sharpe Ratio
    -1.21
  • Sortino Ratio
    -1.27
  • Calmar Ratio
    -0.374
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.00590
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -43.77%
  • Return Percent SP500 (cumu) during strategy life
    286.89%
  • Return Statistics
  • Ann Return (w trading costs)
    -48.1%
  • Instruments
  • Percent Trades Options
    0.28%
  • Percent Trades Futures
    0.39%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Instruments
  • Percent Trades Stocks
    0.14%
  • Slump
  • Current Slump as Pcnt Equity
    30.40%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    0.20%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
    8.82%
  • 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
    $148
  • Avg Loss
    $232
  • Sum Trade PL (losers)
    $5,808.000
  • Sum Trade PL (winners)
    $3,118.000
  • # Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    1
  • Age
  • Num Months filled monthly returns table
    144
  • Win / Loss
  • # Losers
    25
  • % Winners
    45.6%
  • Frequency
  • Avg Position Time (mins)
    2793.58
  • Avg Position Time (hrs)
    46.56
  • Avg Trade Length
    1.9 days
  • Last Trade Ago
    4256
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    11.29
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -1.73
  • MAE:Equity, average, all trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -3.764
  • 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
    66.70
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    32.92
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    1.434
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.191
  • Hold-and-Hope Ratio
    -0.262
  • 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)
    -0.08300
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.00500
  • 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)
    44
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2012-05-20
Suggested Minimum Capital
$20,000
# Trades
46
# Profitable
21
% Profitable
45.7%
Correlation S&P500
-0.006
Sharpe Ratio
-1.21
Sortino Ratio
-1.27
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.