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Featured Strategy S2Prox0 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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..
(78067322)

Created by: KD KD
Started: 12/2012
Futures
Last trade: 3,879 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-92.0%
Cumul. Return

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.

(84.8%)
Max Drawdown
261
Num Trades
41.0%
Win Trades
0.7 : 1
Profit Factor
1.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                             +23.3%+23.3%
2013+14.5%(2.9%)(4.2%)(2.3%)(17.2%)(34.8%)(33.9%)(50.7%)(38.2%)  -    -    -  (88.7%)
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.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 249 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3950 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/1/13 18:00 QGCZ3 Gold 100 oz LONG 3 1384.0 9/6 7:12 1369.2 38.77%
Trade id #82789995
Max drawdown($4,440)
Time9/6/13 7:12
Quant open1
Worst price1367.3
Drawdown as % of equity-38.77%
 ($4,464)
Includes Typical Broker Commissions trade costs of $24.00
9/1/13 18:00 @EUU3 EUROFX SHORT 1 1.32120 9/6 7:11 1.31100 1.21%
Trade id #82790003
Max drawdown($187)
Time9/2/13 3:14
Quant open-1
Worst price1.32270
Drawdown as % of equity-1.21%
 $1,267
Includes Typical Broker Commissions trade costs of $8.00
9/5/13 9:51 @ESU3 E-MINI S&P 500 LONG 1 1657.00 9/5 16:05 1652.75 1.47%
Trade id #82855341
Max drawdown($225)
Time9/5/13 11:00
Quant open1
Worst price1652.50
Drawdown as % of equity-1.47%
 ($221)
Includes Typical Broker Commissions trade costs of $8.00
8/29/13 7:49 @TYZ3 US T-NOTE 10 YR LONG 1 123 63/64 9/5 1:00 122 52/64 6.8%
Trade id #82759429
Max drawdown($1,172)
Time9/5/13 1:00
Quant open0
Worst price122 52/64
Drawdown as % of equity-6.80%
 ($1,180)
Includes Typical Broker Commissions trade costs of $8.00
9/4/13 9:59 @ESU3 E-MINI S&P 500 LONG 1 1643.00 9/4 16:05 1652.50 0.15%
Trade id #82836129
Max drawdown($25)
Time9/4/13 10:01
Quant open1
Worst price1642.50
Drawdown as % of equity-0.15%
 $467
Includes Typical Broker Commissions trade costs of $8.00
9/3/13 9:48 @ESU3 E-MINI S&P 500 LONG 1 1647.25 9/3 16:05 1637.75 5.19%
Trade id #82815177
Max drawdown($825)
Time9/3/13 14:52
Quant open1
Worst price1630.75
Drawdown as % of equity-5.19%
 ($483)
Includes Typical Broker Commissions trade costs of $8.00
8/11/13 20:52 @EUU3 EUROFX LONG 1 1.33340 9/1 18:00 1.32120 12.63%
Trade id #82461725
Max drawdown($2,012)
Time8/30/13 11:10
Quant open1
Worst price1.31730
Drawdown as % of equity-12.63%
 ($1,533)
Includes Typical Broker Commissions trade costs of $8.00
8/27/13 18:00 QGCZ3 Gold 100 oz SHORT 1 1415.7 9/1 18:00 1392.8 12.1%
Trade id #82730812
Max drawdown($1,830)
Time8/28/13 2:10
Quant open-1
Worst price1434.0
Drawdown as % of equity-12.10%
 $2,282
Includes Typical Broker Commissions trade costs of $8.00
8/29/13 10:02 @ESU3 E-MINI S&P 500 LONG 1 1636.75 8/29 16:05 1636.00 0.86%
Trade id #82762094
Max drawdown($125)
Time8/29/13 15:35
Quant open1
Worst price1634.25
Drawdown as % of equity-0.86%
 ($46)
Includes Typical Broker Commissions trade costs of $8.00
6/25/13 14:00 @TYU3 US T-NOTE 10 YR LONG 1 125 39/64 8/29 7:48 125 10/64 8.32%
Trade id #81700018
Max drawdown($1,609)
Time8/23/13 7:41
Quant open1
Worst price124
Drawdown as % of equity-8.32%
 ($461)
Includes Typical Broker Commissions trade costs of $8.00
8/28/13 9:41 @ESU3 E-MINI S&P 500 SHORT 1 1629.75 8/28 16:05 1633.25 3.22%
Trade id #82742622
Max drawdown($475)
Time8/28/13 13:02
Quant open-1
Worst price1639.25
Drawdown as % of equity-3.22%
 ($183)
Includes Typical Broker Commissions trade costs of $8.00
8/27/13 9:54 @ESU3 E-MINI S&P 500 LONG 1 1642.75 8/27 16:05 1628.50 5.01%
Trade id #82721181
Max drawdown($825)
Time8/27/13 15:36
Quant open1
Worst price1626.25
Drawdown as % of equity-5.01%
 ($721)
Includes Typical Broker Commissions trade costs of $8.00
8/25/13 22:59 QGCZ3 Gold 100 oz SHORT 1 1393.7 8/27 8:02 1418.1 13.56%
Trade id #82692990
Max drawdown($2,440)
Time8/27/13 8:02
Quant open0
Worst price1418.1
Drawdown as % of equity-13.56%
 ($2,448)
Includes Typical Broker Commissions trade costs of $8.00
8/26/13 19:26 QCLV3 CRUDE OIL SHORT 1 106.25 8/27 8:00 108.07 10.51%
Trade id #82709109
Max drawdown($1,890)
Time8/27/13 7:58
Quant open-1
Worst price108.14
Drawdown as % of equity-10.51%
 ($1,828)
Includes Typical Broker Commissions trade costs of $8.00
8/26/13 10:01 @ESU3 E-MINI S&P 500 LONG 1 1662.50 8/26 16:05 1653.75 2.19%
Trade id #82699891
Max drawdown($462)
Time8/26/13 16:04
Quant open1
Worst price1653.25
Drawdown as % of equity-2.19%
 ($446)
Includes Typical Broker Commissions trade costs of $8.00
8/23/13 18:00 QGCZ3 Gold 100 oz SHORT 2 1396.0 8/25 22:59 1393.7 10.87%
Trade id #82686755
Max drawdown($2,200)
Time8/25/13 19:01
Quant open-2
Worst price1407.0
Drawdown as % of equity-10.87%
 $444
Includes Typical Broker Commissions trade costs of $16.00
8/23/13 11:00 @ESU3 E-MINI S&P 500 LONG 1 1659.00 8/23 16:05 1661.50 0.91%
Trade id #82680656
Max drawdown($175)
Time8/23/13 11:26
Quant open1
Worst price1655.50
Drawdown as % of equity-0.91%
 $117
Includes Typical Broker Commissions trade costs of $8.00
8/23/13 10:09 @ESU3 E-MINI S&P 500 SHORT 1 1652.50 8/23 11:00 1659.00 1.87%
Trade id #82679022
Max drawdown($362)
Time8/23/13 10:58
Quant open-1
Worst price1659.75
Drawdown as % of equity-1.87%
 ($333)
Includes Typical Broker Commissions trade costs of $8.00
8/22/13 9:51 @ESU3 E-MINI S&P 500 LONG 1 1648.50 8/22 16:05 1655.75 0.32%
Trade id #82657425
Max drawdown($62)
Time8/22/13 10:11
Quant open1
Worst price1647.25
Drawdown as % of equity-0.32%
 $355
Includes Typical Broker Commissions trade costs of $8.00
8/21/13 9:41 @ESU3 E-MINI S&P 500 SHORT 1 1646.00 8/21 16:05 1637.50 2.24%
Trade id #82634598
Max drawdown($437)
Time8/21/13 14:49
Quant open-1
Worst price1654.75
Drawdown as % of equity-2.24%
 $417
Includes Typical Broker Commissions trade costs of $8.00
8/15/13 18:00 QGCZ3 Gold 100 oz SHORT 2 1365.9 8/20 20:22 1369.0 17.87%
Trade id #82556763
Max drawdown($3,650)
Time8/18/13 21:57
Quant open-2
Worst price1384.1
Drawdown as % of equity-17.87%
 ($656)
Includes Typical Broker Commissions trade costs of $16.00
8/20/13 18:59 QCLV3 CRUDE OIL LONG 1 105.21 8/20 19:08 105.21 0.05%
Trade id #82624659
Max drawdown($10)
Time8/20/13 19:01
Quant open1
Worst price105.20
Drawdown as % of equity-0.05%
 ($8)
Includes Typical Broker Commissions trade costs of $8.00
8/16/13 14:00 QCLV3 CRUDE OIL LONG 1 107.18 8/20 14:04 105.15 9.68%
Trade id #82574403
Max drawdown($2,030)
Time8/20/13 14:04
Quant open0
Worst price105.15
Drawdown as % of equity-9.68%
 ($2,038)
Includes Typical Broker Commissions trade costs of $8.00
8/16/13 7:28 QCLV3 CRUDE OIL SHORT 1 107.31 8/16 14:00 107.16 2.74%
Trade id #82565567
Max drawdown($640)
Time8/16/13 11:10
Quant open-1
Worst price107.95
Drawdown as % of equity-2.74%
 $142
Includes Typical Broker Commissions trade costs of $8.00
8/11/13 20:51 QCLU3 CRUDE OIL SHORT 1 105.80 8/16 7:27 107.54 8.69%
Trade id #82461719
Max drawdown($2,070)
Time8/15/13 5:43
Quant open-1
Worst price107.87
Drawdown as % of equity-8.69%
 ($1,748)
Includes Typical Broker Commissions trade costs of $8.00
8/15/13 9:45 @ESU3 E-MINI S&P 500 SHORT 1 1666.00 8/15 16:05 1657.75 0.16%
Trade id #82544608
Max drawdown($37)
Time8/15/13 9:47
Quant open-1
Worst price1666.75
Drawdown as % of equity-0.16%
 $405
Includes Typical Broker Commissions trade costs of $8.00
8/12/13 18:00 QGCZ3 Gold 100 oz SHORT 1 1335.7 8/15 12:54 1354.3 7.81%
Trade id #82480850
Max drawdown($1,860)
Time8/15/13 12:54
Quant open0
Worst price1354.3
Drawdown as % of equity-7.81%
 ($1,868)
Includes Typical Broker Commissions trade costs of $8.00
8/14/13 9:53 @ESU3 E-MINI S&P 500 LONG 1 1689.50 8/14 16:05 1682.00 1.45%
Trade id #82521787
Max drawdown($375)
Time8/14/13 13:32
Quant open1
Worst price1682.00
Drawdown as % of equity-1.45%
 ($383)
Includes Typical Broker Commissions trade costs of $8.00
8/12/13 9:51 @ESU3 E-MINI S&P 500 LONG 1 1684.25 8/12 16:05 1686.75 0.28%
Trade id #82471371
Max drawdown($75)
Time8/12/13 13:54
Quant open1
Worst price1682.75
Drawdown as % of equity-0.28%
 $117
Includes Typical Broker Commissions trade costs of $8.00
8/7/13 9:39 @ESU3 E-MINI S&P 500 SHORT 1 1686.50 8/7 10:02 1682.75 0.58%
Trade id #82401602
Max drawdown($150)
Time8/7/13 9:47
Quant open-1
Worst price1689.50
Drawdown as % of equity-0.58%
 $180
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    12/10/2012
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    4147.34
  • Age
    138 months ago
  • What it trades
    Futures
  • # Trades
    261
  • # Profitable
    107
  • % Profitable
    41.00%
  • Avg trade duration
    3.7 days
  • Max peak-to-valley drawdown
    84.78%
  • drawdown period
    March 18, 2013 - June 21, 2014
  • Cumul. Return
    -77.1%
  • Avg win
    $1,041
  • Avg loss
    $976.29
  • Model Account Values (Raw)
  • Cash
    $11,146
  • Margin Used
    $0
  • Buying Power
    $11,146
  • Ratios
  • W:L ratio
    0.74:1
  • Sharpe Ratio
    -0.62
  • Sortino Ratio
    -0.71
  • Calmar Ratio
    -0.48
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -98.25%
  • Correlation to SP500
    0.00960
  • Return Percent SP500 (cumu) during strategy life
    250.16%
  • Return Statistics
  • Ann Return (w trading costs)
    -92.0%
  • Slump
  • Current Slump as Pcnt Equity
    929.10%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.771%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -12.4%
  • 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)
    39.00%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $1,042
  • Avg Loss
    $976
  • Sum Trade PL (losers)
    $150,349.000
  • # Winners
    107
  • Num Months Winners
    2
  • Age
  • Num Months filled monthly returns table
    137
  • Win / Loss
  • Sum Trade PL (winners)
    $111,493.000
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    154
  • % Winners
    41.0%
  • Frequency
  • Avg Position Time (mins)
    5336.75
  • Avg Position Time (hrs)
    88.95
  • Avg Trade Length
    3.7 days
  • Last Trade Ago
    3878
  • Regression
  • Alpha
    -0.05
  • Beta
    0.01
  • Treynor Index
    -3.48
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    33.19
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.49
  • Avg(MAE) / Avg(PL) - All trades
    -5.785
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    27.65
  • MAE:Equity, 95th Percentile Value for this strat
    0.14
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.462
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.154
  • Hold-and-Hope Ratio
    -0.171
  • 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)
    -0.48400
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.04100
  • 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)
    460
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Summary Statistics

Strategy began
2012-12-10
Suggested Minimum Capital
$50,000
# Trades
261
# Profitable
107
% Profitable
41.0%
Correlation S&P500
0.010
Sharpe Ratio
-0.62
Sortino Ratio
-0.71
Beta
0.01
Alpha
-0.05

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.