Collective2 Collective2
Featured Strategy S2Prox0 +64.2% Annual Return (Compounded) since Dec 23, 2022 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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New Turning Points
(77917562)

Created by: futurm futurm
Started: 11/2012
Futures
Last trade: 3,817 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 $333.00 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.

5.1%
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.

(23.2%)
Max Drawdown
190
Num Trades
50.5%
Win Trades
1.2 : 1
Profit Factor
5.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                        -  +0.2%+0.2%
2013+3.0%+12.1%+14.7%+0.7%(5.4%)(0.5%)(2.2%)+6.8%+7.6%(5.1%)(8.9%)  -  +22.2%
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

This strategy has placed 38 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3923 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/4/13 20:00 @BOF4 SOYBEAN OIL SHORT 1 41.60 11/13 20:00 41.30 0.23%
Trade id #83884994
Max drawdown($174)
Time11/5/13 6:04
Quant open-1
Worst price41.89
Drawdown as % of equity-0.23%
 $172
Includes Typical Broker Commissions trade costs of $8.00
10/30/13 18:46 @ESZ3 E-MINI S&P 500 SHORT 1 1754.75 11/13 18:57 1782.75 2.08%
Trade id #83799270
Max drawdown($1,425)
Time11/13/13 18:50
Quant open-1
Worst price1783.25
Drawdown as % of equity-2.08%
 ($1,408)
Includes Typical Broker Commissions trade costs of $8.00
10/23/13 18:00 @BPZ3 BRITISH POUND SHORT 1 1.6158 11/13 18:57 1.6045 0.71%
Trade id #83673680
Max drawdown($518)
Time10/25/13 0:01
Quant open-1
Worst price1.6241
Drawdown as % of equity-0.71%
 $698
Includes Typical Broker Commissions trade costs of $8.00
11/4/13 16:49 @JYZ3 JAPANESE YEN LONG 1 0.010145 11/11 21:17 0.010045 1.78%
Trade id #83882848
Max drawdown($1,250)
Time11/11/13 21:17
Quant open0
Worst price0.010045
Drawdown as % of equity-1.78%
 ($1,258)
Includes Typical Broker Commissions trade costs of $8.00
11/6/13 17:09 QGCZ3 Gold 100 oz LONG 1 1317.7 11/8 9:33 1287.3 4.08%
Trade id #83931584
Max drawdown($3,040)
Time11/8/13 9:33
Quant open0
Worst price1287.3
Drawdown as % of equity-4.08%
 ($3,048)
Includes Typical Broker Commissions trade costs of $8.00
11/6/13 18:00 @CDZ3 CANADIAN DOLLAR LONG 1 0.9587 11/8 8:52 0.9518 0.93%
Trade id #83932016
Max drawdown($690)
Time11/8/13 8:52
Quant open0
Worst price0.9518
Drawdown as % of equity-0.93%
 ($698)
Includes Typical Broker Commissions trade costs of $8.00
10/28/13 18:24 @JYZ3 JAPANESE YEN SHORT 1 0.010238 11/4 16:47 0.010144 0.43%
Trade id #83747740
Max drawdown($312)
Time10/28/13 20:58
Quant open-1
Worst price0.010263
Drawdown as % of equity-0.43%
 $1,167
Includes Typical Broker Commissions trade costs of $8.00
10/17/13 18:00 @JYZ3 JAPANESE YEN LONG 1 0.010219 10/28 18:22 0.010238 1.07%
Trade id #83568952
Max drawdown($775)
Time10/22/13 8:31
Quant open1
Worst price0.010157
Drawdown as % of equity-1.07%
 $230
Includes Typical Broker Commissions trade costs of $8.00
10/15/13 20:00 @CZ3 CORN LONG 1 443 10/28 9:39 435 2/4 0.51%
Trade id #83521212
Max drawdown($375)
Time10/28/13 9:39
Quant open0
Worst price435 2/4
Drawdown as % of equity-0.51%
 ($383)
Includes Typical Broker Commissions trade costs of $8.00
10/21/13 18:00 @YMZ3 MINI DOW SHORT 1 15319 10/25 9:42 15484 1.12%
Trade id #83622879
Max drawdown($825)
Time10/25/13 9:42
Quant open0
Worst price15484
Drawdown as % of equity-1.12%
 ($833)
Includes Typical Broker Commissions trade costs of $8.00
10/16/13 20:00 @SF4 SOYBEANS LONG 1 1274 10/22 20:00 1294 2/4 0.12%
Trade id #83544471
Max drawdown($87)
Time10/17/13 2:50
Quant open1
Worst price1272 1/4
Drawdown as % of equity-0.12%
 $1,017
Includes Typical Broker Commissions trade costs of $8.00
10/14/13 18:00 QCLZ3 CRUDE OIL LONG 1 102.26 10/17 10:00 100.62 2.21%
Trade id #83496280
Max drawdown($1,640)
Time10/17/13 10:00
Quant open0
Worst price100.62
Drawdown as % of equity-2.21%
 ($1,648)
Includes Typical Broker Commissions trade costs of $8.00
10/15/13 4:00 @CCZ3 COCOA SHORT 1 2711 10/15 9:38 2759 0.63%
Trade id #83503736
Max drawdown($480)
Time10/15/13 9:38
Quant open0
Worst price2759
Drawdown as % of equity-0.63%
 ($488)
Includes Typical Broker Commissions trade costs of $8.00
10/14/13 18:00 @SFZ3 SWISS FRANC LONG 1 1.0988 10/15 5:01 1.0936 0.86%
Trade id #83496287
Max drawdown($650)
Time10/15/13 5:01
Quant open0
Worst price1.0936
Drawdown as % of equity-0.86%
 ($658)
Includes Typical Broker Commissions trade costs of $8.00
10/6/13 18:00 @EUZ3 EUROFX SHORT 1 1.35640 10/10 18:00 1.35280 0.8%
Trade id #83316625
Max drawdown($587)
Time10/8/13 10:49
Quant open-1
Worst price1.36110
Drawdown as % of equity-0.80%
 $442
Includes Typical Broker Commissions trade costs of $8.00
10/3/13 16:38 @BPZ3 BRITISH POUND SHORT 1 1.6148 10/10 18:00 1.5964 0.18%
Trade id #83292317
Max drawdown($131)
Time10/4/13 0:15
Quant open-1
Worst price1.6169
Drawdown as % of equity-0.18%
 $1,142
Includes Typical Broker Commissions trade costs of $8.00
10/7/13 18:00 QNGX3 Natural Gas LONG 1 3.643 10/10 17:14 3.729 0.14%
Trade id #83342229
Max drawdown($100)
Time10/7/13 18:07
Quant open1
Worst price3.633
Drawdown as % of equity-0.14%
 $852
Includes Typical Broker Commissions trade costs of $8.00
10/6/13 20:00 @DXZ3 US Dollar Index LONG 1 80.145 10/10 17:14 80.575 0.31%
Trade id #83317970
Max drawdown($230)
Time10/8/13 10:49
Quant open1
Worst price79.915
Drawdown as % of equity-0.31%
 $422
Includes Typical Broker Commissions trade costs of $8.00
10/7/13 16:24 QRBX3 RBOB Gasoline LONG 1 2.6258 10/9 16:54 2.6196 1.7%
Trade id #83341205
Max drawdown($1,293)
Time10/9/13 10:31
Quant open1
Worst price2.5950
Drawdown as % of equity-1.70%
 ($268)
Includes Typical Broker Commissions trade costs of $8.00
10/2/13 4:42 @KCZ3 COFFEE LONG 1 114.95 10/7 3:30 114.15 0.53%
Trade id #83256920
Max drawdown($393)
Time10/4/13 8:54
Quant open1
Worst price113.90
Drawdown as % of equity-0.53%
 ($308)
Includes Typical Broker Commissions trade costs of $8.00
9/18/13 4:00 @CCZ3 COCOA SHORT 1 2616 10/2 4:00 2628 0.49%
Trade id #83020201
Max drawdown($410)
Time9/19/13 4:31
Quant open-1
Worst price2657
Drawdown as % of equity-0.49%
 ($128)
Includes Typical Broker Commissions trade costs of $8.00
9/22/13 18:00 @ADZ3 AUSTRALIAN DOLLAR SHORT 1 0.9327 10/1 18:00 0.9350 0.94%
Trade id #83075984
Max drawdown($790)
Time9/23/13 12:16
Quant open-1
Worst price0.9406
Drawdown as % of equity-0.94%
 ($238)
Includes Typical Broker Commissions trade costs of $8.00
9/20/13 17:20 @NQZ3 E-MINI NASDAQ 100 STK IDX SHORT 1 3217.25 10/1 12:28 3248.00 0.8%
Trade id #83073159
Max drawdown($615)
Time10/1/13 12:28
Quant open0
Worst price3248.00
Drawdown as % of equity-0.80%
 ($623)
Includes Typical Broker Commissions trade costs of $8.00
9/25/13 16:43 QGCZ3 Gold 100 oz LONG 1 1333.3 10/1 8:30 1303.2 3.92%
Trade id #83169082
Max drawdown($3,010)
Time10/1/13 8:30
Quant open0
Worst price1303.2
Drawdown as % of equity-3.92%
 ($3,018)
Includes Typical Broker Commissions trade costs of $8.00
9/29/13 18:00 QPLF4 PLATINUM LONG 1 1428.6 10/1 8:01 1392.3 2.36%
Trade id #83209977
Max drawdown($1,815)
Time10/1/13 8:01
Quant open0
Worst price1392.3
Drawdown as % of equity-2.36%
 ($1,823)
Includes Typical Broker Commissions trade costs of $8.00
9/25/13 20:00 @CZ3 CORN LONG 1 454 2/4 9/30 12:37 445 3/4 0.56%
Trade id #83170613
Max drawdown($438)
Time9/30/13 12:37
Quant open0
Worst price445 3/4
Drawdown as % of equity-0.56%
 ($446)
Includes Typical Broker Commissions trade costs of $8.00
9/29/13 18:20 @SMZ3 SOYBEAN MEAL LONG 1 419.0 9/30 12:00 410.1 1.13%
Trade id #83210270
Max drawdown($890)
Time9/30/13 12:00
Quant open0
Worst price410.1
Drawdown as % of equity-1.13%
 ($898)
Includes Typical Broker Commissions trade costs of $8.00
9/26/13 20:00 @BOZ3 SOYBEAN OIL LONG 1 42.00 9/30 10:26 41.48 0.39%
Trade id #83188752
Max drawdown($312)
Time9/30/13 10:26
Quant open0
Worst price41.48
Drawdown as % of equity-0.39%
 ($320)
Includes Typical Broker Commissions trade costs of $8.00
9/26/13 16:59 @JYZ3 JAPANESE YEN SHORT 1 0.010103 9/29 18:00 0.010229 1.94%
Trade id #83187259
Max drawdown($1,575)
Time9/29/13 18:00
Quant open0
Worst price0.010229
Drawdown as % of equity-1.94%
 ($1,583)
Includes Typical Broker Commissions trade costs of $8.00
9/26/13 16:54 @BPZ3 BRITISH POUND SHORT 1 1.6030 9/27 16:00 1.6136 0.81%
Trade id #83187220
Max drawdown($663)
Time9/27/13 16:00
Quant open0
Worst price1.6136
Drawdown as % of equity-0.81%
 ($671)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    11/30/2012
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    4160.36
  • Age
    139 months ago
  • What it trades
    Futures
  • # Trades
    190
  • # Profitable
    96
  • % Profitable
    50.50%
  • Avg trade duration
    4.6 days
  • Max peak-to-valley drawdown
    23.22%
  • drawdown period
    Sept 20, 2013 - Nov 14, 2013
  • Annual Return (Compounded)
    5.1%
  • Avg win
    $1,048
  • Avg loss
    $875.20
  • Model Account Values (Raw)
  • Cash
    $68,354
  • Margin Used
    $0
  • Buying Power
    $68,354
  • Ratios
  • W:L ratio
    1.22:1
  • Sharpe Ratio
    0.02
  • Sortino Ratio
    0.03
  • Calmar Ratio
    0.393
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -38.61%
  • Correlation to SP500
    -0.00080
  • Return Percent SP500 (cumu) during strategy life
    260.84%
  • Return Statistics
  • Ann Return (w trading costs)
    5.1%
  • Slump
  • Current Slump as Pcnt Equity
    30.50%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.051%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $875
  • Avg Win
    $1,048
  • Sum Trade PL (losers)
    $82,269.000
  • Age
  • Num Months filled monthly returns table
    138
  • Win / Loss
  • Sum Trade PL (winners)
    $100,622.000
  • # Winners
    96
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    94
  • % Winners
    50.5%
  • Frequency
  • Avg Position Time (mins)
    6599.17
  • Avg Position Time (hrs)
    109.99
  • Avg Trade Length
    4.6 days
  • Last Trade Ago
    3812
  • Regression
  • Alpha
    0.00
  • Beta
    -0.00
  • Treynor Index
    -1.28
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    10.88
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    26.80
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.74
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    6.834
  • 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
    0.307
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.137
  • Hold-and-Hope Ratio
    0.144
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09882
  • SD
    0.16310
  • Sharpe ratio (Glass type estimate)
    0.60587
  • Sharpe ratio (Hedges UMVUE)
    0.59382
  • df
    38.00000
  • t
    1.09225
  • p
    0.14080
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49367
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69763
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50154
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68918
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49347
  • Upside Potential Ratio
    2.52915
  • Upside part of mean
    0.16734
  • Downside part of mean
    -0.06853
  • Upside SD
    0.14952
  • Downside SD
    0.06617
  • N nonnegative terms
    8.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.14543
  • Mean of criterion
    0.09882
  • SD of predictor
    0.10988
  • SD of criterion
    0.16310
  • Covariance
    -0.00027
  • r
    -0.01529
  • b (slope, estimate of beta)
    -0.02269
  • a (intercept, estimate of alpha)
    0.10212
  • Mean Square Error
    0.02731
  • DF error
    37.00000
  • t(b)
    -0.09300
  • p(b)
    0.53680
  • t(a)
    1.03881
  • p(a)
    0.15282
  • Lowerbound of 95% confidence interval for beta
    -0.51705
  • Upperbound of 95% confidence interval for beta
    0.47167
  • Lowerbound of 95% confidence interval for alpha
    -0.09706
  • Upperbound of 95% confidence interval for alpha
    0.30130
  • Treynor index (mean / b)
    -4.35500
  • Jensen alpha (a)
    0.10212
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08626
  • SD
    0.15540
  • Sharpe ratio (Glass type estimate)
    0.55510
  • Sharpe ratio (Hedges UMVUE)
    0.54406
  • df
    38.00000
  • t
    1.00071
  • p
    0.16165
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54277
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64581
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63811
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25199
  • Upside Potential Ratio
    2.27927
  • Upside part of mean
    0.15704
  • Downside part of mean
    -0.07078
  • Upside SD
    0.13930
  • Downside SD
    0.06890
  • N nonnegative terms
    8.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.13863
  • Mean of criterion
    0.08626
  • SD of predictor
    0.10946
  • SD of criterion
    0.15540
  • Covariance
    -0.00039
  • r
    -0.02310
  • b (slope, estimate of beta)
    -0.03280
  • a (intercept, estimate of alpha)
    0.09081
  • Mean Square Error
    0.02479
  • DF error
    37.00000
  • t(b)
    -0.14055
  • p(b)
    0.55551
  • t(a)
    0.97505
  • p(a)
    0.16793
  • Lowerbound of 95% confidence interval for beta
    -0.50558
  • Upperbound of 95% confidence interval for beta
    0.43999
  • Lowerbound of 95% confidence interval for alpha
    -0.09790
  • Upperbound of 95% confidence interval for alpha
    0.27951
  • Treynor index (mean / b)
    -2.63029
  • Jensen alpha (a)
    0.09081
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06443
  • Expected Shortfall on VaR
    0.08168
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01725
  • Expected Shortfall on VaR
    0.03713
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    39.00000
  • Minimum
    0.90652
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.17520
  • Mean of quarter 1
    0.98030
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.05505
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.10256
  • Mean of outliers low
    0.95075
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.23077
  • Mean of outliers high
    1.06117
  • 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)
    -0.02821
  • VaR(95%) (regression method)
    0.03882
  • Expected Shortfall (regression method)
    0.07950
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03729
  • Quartile 1
    0.06517
  • Median
    0.09304
  • Quartile 3
    0.12092
  • Maximum
    0.14880
  • Mean of quarter 1
    0.03729
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14880
  • Inter Quartile Range
    0.05575
  • 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)
    0.11295
  • Compounded annual return (geometric extrapolation)
    0.10099
  • Calmar ratio (compounded annual return / max draw down)
    0.67872
  • Compounded annual return / average of 25% largest draw downs
    0.67872
  • Compounded annual return / Expected Shortfall lognormal
    1.23647
  • 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
    0.09525
  • SD
    0.14041
  • Sharpe ratio (Glass type estimate)
    0.67837
  • Sharpe ratio (Hedges UMVUE)
    0.67792
  • df
    1126.00000
  • t
    1.22786
  • p
    0.48172
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40496
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76145
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40529
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76112
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15250
  • Upside Potential Ratio
    5.57887
  • Upside part of mean
    0.46107
  • Downside part of mean
    -0.36582
  • Upside SD
    0.11355
  • Downside SD
    0.08264
  • N nonnegative terms
    132.00000
  • N negative terms
    995.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1127.00000
  • Mean of predictor
    0.14718
  • Mean of criterion
    0.09525
  • SD of predictor
    0.14114
  • SD of criterion
    0.14041
  • Covariance
    -0.00020
  • r
    -0.01009
  • b (slope, estimate of beta)
    -0.01004
  • a (intercept, estimate of alpha)
    0.05500
  • Mean Square Error
    0.01973
  • DF error
    1125.00000
  • t(b)
    -0.33837
  • p(b)
    0.50642
  • t(a)
    1.24444
  • p(a)
    0.47640
  • Lowerbound of 95% confidence interval for beta
    -0.06823
  • Upperbound of 95% confidence interval for beta
    0.04816
  • Lowerbound of 95% confidence interval for alpha
    -0.05578
  • Upperbound of 95% confidence interval for alpha
    0.24923
  • Treynor index (mean / b)
    -9.49125
  • Jensen alpha (a)
    0.09673
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08549
  • SD
    0.13927
  • Sharpe ratio (Glass type estimate)
    0.61388
  • Sharpe ratio (Hedges UMVUE)
    0.61347
  • df
    1126.00000
  • t
    1.11114
  • p
    0.48345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46939
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69689
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46966
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69661
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01784
  • Upside Potential Ratio
    5.41442
  • Upside part of mean
    0.45479
  • Downside part of mean
    -0.36930
  • Upside SD
    0.11110
  • Downside SD
    0.08400
  • N nonnegative terms
    132.00000
  • N negative terms
    995.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1127.00000
  • Mean of predictor
    0.13718
  • Mean of criterion
    0.08549
  • SD of predictor
    0.14131
  • SD of criterion
    0.13927
  • Covariance
    -0.00021
  • r
    -0.01057
  • b (slope, estimate of beta)
    -0.01042
  • a (intercept, estimate of alpha)
    0.08692
  • Mean Square Error
    0.01941
  • DF error
    1125.00000
  • t(b)
    -0.35457
  • p(b)
    0.50673
  • t(a)
    1.12773
  • p(a)
    0.47861
  • Lowerbound of 95% confidence interval for beta
    -0.06807
  • Upperbound of 95% confidence interval for beta
    0.04723
  • Lowerbound of 95% confidence interval for alpha
    -0.06431
  • Upperbound of 95% confidence interval for alpha
    0.23816
  • Treynor index (mean / b)
    -8.20632
  • Jensen alpha (a)
    0.08692
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01203
  • Expected Shortfall on VaR
    0.01512
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00342
  • Expected Shortfall on VaR
    0.00752
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1127.00000
  • Minimum
    0.93409
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.07576
  • Mean of quarter 1
    0.99585
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00537
  • Inter Quartile Range
    0.00000
  • Number outliers low
    136.00000
  • Percentage of outliers low
    0.12067
  • Mean of outliers low
    0.99140
  • Number of outliers high
    133.00000
  • Percentage of outliers high
    0.11801
  • Mean of outliers high
    1.01139
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27538
  • VaR(95%) (moments method)
    0.00257
  • Expected Shortfall (moments method)
    0.00572
  • Extreme Value Index (regression method)
    0.06393
  • VaR(95%) (regression method)
    0.00423
  • Expected Shortfall (regression method)
    0.00881
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00080
  • Quartile 1
    0.00572
  • Median
    0.01087
  • Quartile 3
    0.03719
  • Maximum
    0.19687
  • Mean of quarter 1
    0.00323
  • Mean of quarter 2
    0.00796
  • Mean of quarter 3
    0.02314
  • Mean of quarter 4
    0.10092
  • Inter Quartile Range
    0.03147
  • 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
    0.11111
  • Mean of outliers high
    0.15601
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.14860
  • VaR(95%) (moments method)
    0.09346
  • Expected Shortfall (moments method)
    0.09507
  • Extreme Value Index (regression method)
    -0.01405
  • VaR(95%) (regression method)
    0.15048
  • Expected Shortfall (regression method)
    0.21665
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11205
  • Compounded annual return (geometric extrapolation)
    0.10015
  • Calmar ratio (compounded annual return / max draw down)
    0.50869
  • Compounded annual return / average of 25% largest draw downs
    0.99239
  • Compounded annual return / Expected Shortfall lognormal
    6.62324
  • 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
    -0.00995
  • 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
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.21339
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.11035
  • 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
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -31576300000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -31437600000000000.00000
  • df
    171.00000
  • t
    -22327800000000000.00000
  • 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
    -34769500000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -28105800000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.20727
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.11029
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -22148400000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01200
  • 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
    -0.00995
  • Upperbound of 95% confidence interval for alpha
    -0.00995
  • Treynor index (mean / b)
    -33786899999999998634833572003840.00000
  • Jensen alpha (a)
    -0.00995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • 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
    172.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    55
  • 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

Turning Points is a time tested, robust, manually traded mechanical system that uses a little discretion at times.

We will always use tight stops. At times we will have a profit point but most trades will be allowed to run some. We may also add to positions at times.

If you are interested in the evolution of "New Turning Points" it all started with the creation of the original "Turning Point" system developed for Collective2 on the fly a number of years back. "Turning Points" was quickly successful as it acquired thirteen subscribers in the first three weeks and went on to become one of Collective2's best for a number of years. It was then followed by "Turning Point" which was also quickly successful but struggled some for a while before some major adjustments were made which are evident by the final hard up move. The adjustments came from my personal trading system and are being continued here with "New Turning Points". The "New Turning Points" methodology has been developed and refined for over twenty years, it is unique and very robust as we will be trading many futures instruments in both bull and bear markets as well as during sideways movement. The major improvement was in applying proprietary time/price studies. Time/price studies show prices moving into red zones which indicate a major direction change, "Turning Points". Once into a red zone we look for prices to set up for a reversal. We will also take short quicker trades in either direction before reaching a red zone as the setups will be the same.

Summary Statistics

Strategy began
2012-11-30
Suggested Minimum Capital
$50,000
# Trades
190
# Profitable
96
% Profitable
50.5%
Correlation S&P500
-0.001
Sharpe Ratio
0.02
Sortino Ratio
0.03
Beta
-0.00
Alpha
0.00

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.