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C2Star Strategy Momentum Mastery RTS C2Star: in evaluation Hypothetical

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profitable futures signals
(80109740)

Created by: STANRICHMAN STANRICHMAN
Started: 04/2013
Futures
Last trade: 4,643 days ago

Subscriptions not available

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

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

C2Star

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

You can read more about C2Star certification requirements here.

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

-
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(100.0%)
Max Drawdown
127
Num Trades
86.6%
Win Trades
0.6 : 1
Profit Factor
2.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                     +15.6%+1.5%+26.2%(91.6%)+458.5%(105.8%)(3.3%)  -    -  (104.2%)
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
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      0.0

Model Account Details

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

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

Trading Record

This strategy has placed 15 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4764 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/3/13 10:05 @ESU3 E-MINI S&P 500 SHORT 4 1622.94 9/20 12:58 1724.00 343.81%
Trade id #81832103
Max drawdown($22,062)
Time9/19/13 5:33
Quant open-4
Worst price1733.25
Drawdown as % of equity-343.81%
 ($20,245)
Includes Typical Broker Commissions trade costs of $32.00
7/3/13 10:25 @YMU3 MINI DOW SHORT 4 15038 8/21 16:06 15274 87.84%
Trade id #81832908
Max drawdown($8,110)
Time7/15/13 14:46
Quant open-4
Worst price15444
Drawdown as % of equity-87.84%
 ($4,737)
Includes Typical Broker Commissions trade costs of $32.00
7/3/13 11:14 @TFSU3 Emini Russell 2000 SHORT 4 999.18 7/15 17:32 1024.55 109.93%
Trade id #81834302
Max drawdown($10,150)
Time7/15/13 17:32
Quant open2
Worst price1042.30
Drawdown as % of equity-109.93%
 ($10,182)
Includes Typical Broker Commissions trade costs of $32.00
6/28/13 9:48 @NQU3 E-MINI NASDAQ 100 STK IDX SHORT 3 2905.50 7/15 15:18 3014.58 70.89%
Trade id #81761213
Max drawdown($6,545)
Time7/15/13 15:18
Quant open2
Worst price3076.25
Drawdown as % of equity-70.89%
 ($6,569)
Includes Typical Broker Commissions trade costs of $24.00
7/8/13 12:11 QNGQ3 Natural Gas SHORT 1 3.740 7/8 15:47 3.726 0.77%
Trade id #81892169
Max drawdown($240)
Time7/8/13 14:00
Quant open-1
Worst price3.764
Drawdown as % of equity-0.77%
 $132
Includes Typical Broker Commissions trade costs of $8.00
7/5/13 9:18 QNGQ3 Natural Gas LONG 1 3.602 7/5 9:56 3.620 0.41%
Trade id #81864294
Max drawdown($150)
Time7/5/13 9:33
Quant open1
Worst price3.587
Drawdown as % of equity-0.41%
 $172
Includes Typical Broker Commissions trade costs of $8.00
7/5/13 7:36 QNGQ3 Natural Gas SHORT 1 3.671 7/5 7:49 3.650 0.12%
Trade id #81861927
Max drawdown($40)
Time7/5/13 7:38
Quant open-1
Worst price3.675
Drawdown as % of equity-0.12%
 $202
Includes Typical Broker Commissions trade costs of $8.00
7/3/13 9:18 QNGQ3 Natural Gas LONG 1 3.583 7/3 12:00 3.605 0.24%
Trade id #81830583
Max drawdown($100)
Time7/3/13 9:21
Quant open1
Worst price3.573
Drawdown as % of equity-0.24%
 $212
Includes Typical Broker Commissions trade costs of $8.00
7/3/13 10:30 @TFSU3 Emini Russell 2000 SHORT 2 985.40 7/3 10:38 984.35 0.29%
Trade id #81833118
Max drawdown($120)
Time7/3/13 10:36
Quant open-2
Worst price986.00
Drawdown as % of equity-0.29%
 $194
Includes Typical Broker Commissions trade costs of $16.00
7/3/13 9:56 @YMU3 MINI DOW SHORT 1 14853 7/3 10:08 14825 0.08%
Trade id #81831740
Max drawdown($35)
Time7/3/13 10:01
Quant open-1
Worst price14860
Drawdown as % of equity-0.08%
 $132
Includes Typical Broker Commissions trade costs of $8.00
7/2/13 7:52 QNGQ3 Natural Gas SHORT 2 3.622 7/3 9:11 3.598 2.53%
Trade id #81806649
Max drawdown($1,030)
Time7/2/13 18:59
Quant open-2
Worst price3.673
Drawdown as % of equity-2.53%
 $454
Includes Typical Broker Commissions trade costs of $16.00
7/1/13 9:42 @TFSU3 Emini Russell 2000 SHORT 2 983.40 7/2 14:27 980.50 5.23%
Trade id #81787645
Max drawdown($2,060)
Time7/2/13 11:49
Quant open-2
Worst price993.70
Drawdown as % of equity-5.23%
 $564
Includes Typical Broker Commissions trade costs of $16.00
7/1/13 9:42 @YMU3 MINI DOW SHORT 1 14930 7/1 16:48 14879 1.04%
Trade id #81787657
Max drawdown($410)
Time7/1/13 12:18
Quant open-1
Worst price15012
Drawdown as % of equity-1.04%
 $247
Includes Typical Broker Commissions trade costs of $8.00
7/1/13 10:53 QNGQ3 Natural Gas LONG 2 3.569 7/1 14:02 3.589 1.09%
Trade id #81790615
Max drawdown($430)
Time7/1/13 11:12
Quant open1
Worst price3.538
Drawdown as % of equity-1.09%
 $384
Includes Typical Broker Commissions trade costs of $16.00
6/28/13 10:01 QNGQ3 Natural Gas SHORT 3 3.570 7/1 7:31 3.569 2.67%
Trade id #81761770
Max drawdown($1,060)
Time6/28/13 13:56
Quant open-2
Worst price3.611
Drawdown as % of equity-2.67%
 $6
Includes Typical Broker Commissions trade costs of $24.00
6/28/13 9:21 @TFSU3 Emini Russell 2000 SHORT 2 976.50 6/30 20:47 970.35 1.86%
Trade id #81759803
Max drawdown($740)
Time6/28/13 14:08
Quant open-2
Worst price980.20
Drawdown as % of equity-1.86%
 $1,214
Includes Typical Broker Commissions trade costs of $16.00
6/28/13 9:22 @YMU3 MINI DOW SHORT 1 14883 6/30 20:14 14814 1.01%
Trade id #81759809
Max drawdown($400)
Time6/28/13 11:15
Quant open-1
Worst price14963
Drawdown as % of equity-1.01%
 $337
Includes Typical Broker Commissions trade costs of $8.00
6/28/13 9:47 @ESU3 E-MINI S&P 500 SHORT 1 1600.25 6/30 20:12 1596.50 1.19%
Trade id #81761131
Max drawdown($475)
Time6/28/13 11:15
Quant open-1
Worst price1609.75
Drawdown as % of equity-1.19%
 $180
Includes Typical Broker Commissions trade costs of $8.00
6/27/13 9:50 QNGQ3 Natural Gas LONG 2 3.671 6/28 10:00 3.558 5.73%
Trade id #81737930
Max drawdown($2,390)
Time6/28/13 9:06
Quant open2
Worst price3.552
Drawdown as % of equity-5.73%
 ($2,286)
Includes Typical Broker Commissions trade costs of $16.00
6/27/13 10:39 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 2 2911.00 6/28 9:48 2891.75 2.34%
Trade id #81740044
Max drawdown($930)
Time6/28/13 9:26
Quant open2
Worst price2887.75
Drawdown as % of equity-2.34%
 ($786)
Includes Typical Broker Commissions trade costs of $16.00
6/27/13 11:17 @ESU3 E-MINI S&P 500 LONG 1 1610.50 6/28 9:46 1600.25 1.29%
Trade id #81741253
Max drawdown($513)
Time6/28/13 9:46
Quant open0
Worst price1600.25
Drawdown as % of equity-1.29%
 ($521)
Includes Typical Broker Commissions trade costs of $8.00
6/27/13 11:33 @YMU3 MINI DOW LONG 1 14957 6/27 15:41 14963 0.45%
Trade id #81741724
Max drawdown($200)
Time6/27/13 12:28
Quant open1
Worst price14917
Drawdown as % of equity-0.45%
 $22
Includes Typical Broker Commissions trade costs of $8.00
6/26/13 7:11 @YMU3 MINI DOW SHORT 2 14788 6/27 11:33 14958 4.9%
Trade id #81712465
Max drawdown($2,155)
Time6/27/13 10:36
Quant open-2
Worst price15003
Drawdown as % of equity-4.90%
 ($1,721)
Includes Typical Broker Commissions trade costs of $16.00
6/27/13 10:07 @TFSU3 Emini Russell 2000 LONG 1 968.00 6/27 10:17 969.50 0.2%
Trade id #81738755
Max drawdown($90)
Time6/27/13 10:09
Quant open1
Worst price967.10
Drawdown as % of equity-0.20%
 $142
Includes Typical Broker Commissions trade costs of $8.00
6/26/13 8:32 @NQU3 E-MINI NASDAQ 100 STK IDX SHORT 1 2876.50 6/27 9:39 2904.75 1.34%
Trade id #81713666
Max drawdown($590)
Time6/27/13 9:34
Quant open-1
Worst price2906.00
Drawdown as % of equity-1.34%
 ($573)
Includes Typical Broker Commissions trade costs of $8.00
6/26/13 11:28 QNGQ3 Natural Gas SHORT 1 3.712 6/26 12:40 3.700 0.27%
Trade id #81719267
Max drawdown($120)
Time6/26/13 11:42
Quant open-1
Worst price3.724
Drawdown as % of equity-0.27%
 $112
Includes Typical Broker Commissions trade costs of $8.00
6/26/13 8:31 @ESU3 E-MINI S&P 500 SHORT 2 1593.00 6/26 11:58 1590.50 0.96%
Trade id #81713623
Max drawdown($425)
Time6/26/13 9:34
Quant open-1
Worst price1597.75
Drawdown as % of equity-0.96%
 $234
Includes Typical Broker Commissions trade costs of $16.00
6/26/13 7:10 @TFSU3 Emini Russell 2000 SHORT 2 961.05 6/26 10:25 960.90 1.13%
Trade id #81712451
Max drawdown($500)
Time6/26/13 9:33
Quant open-1
Worst price966.50
Drawdown as % of equity-1.13%
 $14
Includes Typical Broker Commissions trade costs of $16.00
6/26/13 7:12 QNGQ3 Natural Gas SHORT 2 3.715 6/26 9:35 3.696 0.75%
Trade id #81712492
Max drawdown($330)
Time6/26/13 8:14
Quant open-1
Worst price3.735
Drawdown as % of equity-0.75%
 $354
Includes Typical Broker Commissions trade costs of $16.00
6/25/13 9:46 @YMU3 MINI DOW SHORT 1 14686 6/25 9:50 14666 0.01%
Trade id #81692349
Max drawdown($5)
Time6/25/13 9:49
Quant open-1
Worst price14687
Drawdown as % of equity-0.01%
 $92
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    4/8/2013
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    4807.11
  • Age
    160 months ago
  • What it trades
    Futures
  • # Trades
    127
  • # Profitable
    110
  • % Profitable
    86.60%
  • Avg trade duration
    2.4 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Sept 17, 2013 - Sept 25, 2013
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $291.14
  • Avg loss
    $3,217
  • Model Account Values (Raw)
  • Cash
    $2,317
  • Margin Used
    $0
  • Buying Power
    $2,317
  • Ratios
  • W:L ratio
    0.59:1
  • Sharpe Ratio
    0.24
  • Sortino Ratio
    0.39
  • Calmar Ratio
    -0.622
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -476.56%
  • Correlation to SP500
    -0.10330
  • Return Percent SP500 (cumu) during strategy life
    372.39%
  • 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
    0.98%
  • 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)
    -16.5%
  • 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
    $3,218
  • Avg Win
    $291
  • Sum Trade PL (losers)
    $54,705.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $32,025.000
  • # Winners
    110
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    17
  • % Winners
    86.6%
  • Frequency
  • Avg Position Time (mins)
    3405.40
  • Avg Position Time (hrs)
    56.76
  • Avg Trade Length
    2.4 days
  • Last Trade Ago
    4642
  • Regression
  • Alpha
    0.00
  • Beta
    -3.03
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.11
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    39.47
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    9.51
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.65
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.69
  • Avg(MAE) / Avg(PL) - All trades
    -4.854
  • 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
    1.31
  • Avg(MAE) / Avg(PL) - Winning trades
    1.442
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.231
  • Hold-and-Hope Ratio
    -0.206
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.48642
  • SD
    0.65836
  • Sharpe ratio (Glass type estimate)
    -0.73885
  • Sharpe ratio (Hedges UMVUE)
    -0.72080
  • df
    31.00000
  • t
    -1.20653
  • p
    0.88163
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.94720
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.48106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.93436
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49276
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.76930
  • Upside Potential Ratio
    0.25088
  • Upside part of mean
    0.15863
  • Downside part of mean
    -0.64505
  • Upside SD
    0.19952
  • Downside SD
    0.63230
  • N nonnegative terms
    2.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.55698
  • Mean of criterion
    -0.48642
  • SD of predictor
    0.28646
  • SD of criterion
    0.65836
  • Covariance
    0.00507
  • r
    0.02687
  • b (slope, estimate of beta)
    0.06174
  • a (intercept, estimate of alpha)
    -0.52081
  • Mean Square Error
    0.44756
  • DF error
    30.00000
  • t(b)
    0.14720
  • p(b)
    0.44198
  • t(a)
    -1.10433
  • p(a)
    0.86089
  • Lowerbound of 95% confidence interval for beta
    -0.79489
  • Upperbound of 95% confidence interval for beta
    0.91838
  • Lowerbound of 95% confidence interval for alpha
    -1.48397
  • Upperbound of 95% confidence interval for alpha
    0.44234
  • Treynor index (mean / b)
    -7.87800
  • Jensen alpha (a)
    -0.52081
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.91988
  • SD
    1.10673
  • Sharpe ratio (Glass type estimate)
    -0.83117
  • Sharpe ratio (Hedges UMVUE)
    -0.81087
  • df
    31.00000
  • t
    -1.35730
  • p
    0.90776
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.39309
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.02795
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40621
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.83073
  • Upside Potential Ratio
    0.12775
  • Upside part of mean
    0.14146
  • Downside part of mean
    -1.06135
  • Upside SD
    0.17591
  • Downside SD
    1.10731
  • N nonnegative terms
    2.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.50817
  • Mean of criterion
    -0.91988
  • SD of predictor
    0.26715
  • SD of criterion
    1.10673
  • Covariance
    0.00923
  • r
    0.03121
  • b (slope, estimate of beta)
    0.12928
  • a (intercept, estimate of alpha)
    -0.98558
  • Mean Square Error
    1.26445
  • DF error
    30.00000
  • t(b)
    0.17100
  • p(b)
    0.43268
  • t(a)
    -1.24992
  • p(a)
    0.88950
  • Lowerbound of 95% confidence interval for beta
    -1.41467
  • Upperbound of 95% confidence interval for beta
    1.67323
  • Lowerbound of 95% confidence interval for alpha
    -2.59594
  • Upperbound of 95% confidence interval for alpha
    0.62478
  • Treynor index (mean / b)
    -7.11549
  • Jensen alpha (a)
    -0.98558
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.45237
  • Expected Shortfall on VaR
    0.51761
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17999
  • Expected Shortfall on VaR
    0.38251
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.23192
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.30516
  • Mean of quarter 1
    0.79371
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.05346
  • Inter Quartile Range
    0.00000
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.09375
  • Mean of outliers low
    0.44990
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    1.21383
  • 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)
    -1.69395
  • VaR(95%) (regression method)
    0.73283
  • Expected Shortfall (regression method)
    0.86518
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.93674
  • Quartile 1
    0.93674
  • Median
    0.93674
  • Quartile 3
    0.93674
  • Maximum
    0.93674
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.34025
  • Compounded annual return (geometric extrapolation)
    -0.59015
  • Calmar ratio (compounded annual return / max draw down)
    -0.63001
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.14015
  • 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
    -0.18992
  • SD
    1.32249
  • Sharpe ratio (Glass type estimate)
    -0.14361
  • Sharpe ratio (Hedges UMVUE)
    -0.14345
  • df
    700.00000
  • t
    -0.23490
  • p
    0.59282
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34181
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05469
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34171
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05480
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.26593
  • Upside Potential Ratio
    2.21570
  • Upside part of mean
    1.58238
  • Downside part of mean
    -1.77230
  • Upside SD
    1.11202
  • Downside SD
    0.71417
  • N nonnegative terms
    47.00000
  • N negative terms
    654.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    701.00000
  • Mean of predictor
    0.62647
  • Mean of criterion
    -0.18992
  • SD of predictor
    0.37304
  • SD of criterion
    1.32249
  • Covariance
    -0.02406
  • r
    -0.04877
  • b (slope, estimate of beta)
    -0.17289
  • a (intercept, estimate of alpha)
    -0.08200
  • Mean Square Error
    1.74732
  • DF error
    699.00000
  • t(b)
    -1.29089
  • p(b)
    0.90141
  • t(a)
    -0.10045
  • p(a)
    0.53999
  • Lowerbound of 95% confidence interval for beta
    -0.43584
  • Upperbound of 95% confidence interval for beta
    0.09007
  • Lowerbound of 95% confidence interval for alpha
    -1.67678
  • Upperbound of 95% confidence interval for alpha
    1.51356
  • Treynor index (mean / b)
    1.09850
  • Jensen alpha (a)
    -0.08161
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.91691
  • SD
    1.21430
  • Sharpe ratio (Glass type estimate)
    -0.75510
  • Sharpe ratio (Hedges UMVUE)
    -0.75429
  • df
    700.00000
  • t
    -1.23513
  • p
    0.89140
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.95375
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.44405
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95317
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44459
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.93647
  • Upside Potential Ratio
    1.26650
  • Upside part of mean
    1.24005
  • Downside part of mean
    -2.15697
  • Upside SD
    0.71899
  • Downside SD
    0.97912
  • N nonnegative terms
    47.00000
  • N negative terms
    654.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    701.00000
  • Mean of predictor
    0.55690
  • Mean of criterion
    -0.91691
  • SD of predictor
    0.37097
  • SD of criterion
    1.21430
  • Covariance
    -0.01757
  • r
    -0.03900
  • b (slope, estimate of beta)
    -0.12766
  • a (intercept, estimate of alpha)
    -0.84582
  • Mean Square Error
    1.47438
  • DF error
    699.00000
  • t(b)
    -1.03192
  • p(b)
    0.84877
  • t(a)
    -1.13453
  • p(a)
    0.87152
  • Lowerbound of 95% confidence interval for beta
    -0.37056
  • Upperbound of 95% confidence interval for beta
    0.11523
  • Lowerbound of 95% confidence interval for alpha
    -2.30954
  • Upperbound of 95% confidence interval for alpha
    0.61791
  • Treynor index (mean / b)
    7.18228
  • Jensen alpha (a)
    -0.84582
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11918
  • Expected Shortfall on VaR
    0.14603
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02250
  • Expected Shortfall on VaR
    0.05071
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    701.00000
  • Minimum
    0.36391
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.63762
  • Mean of quarter 1
    0.97345
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02422
  • Inter Quartile Range
    0.00000
  • Number outliers low
    44.00000
  • Percentage of outliers low
    0.06277
  • Mean of outliers low
    0.89381
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.06705
  • Mean of outliers high
    1.09019
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.07204
  • VaR(95%) (moments method)
    0.00175
  • Expected Shortfall (moments method)
    0.00406
  • Extreme Value Index (regression method)
    0.44635
  • VaR(95%) (regression method)
    0.01094
  • Expected Shortfall (regression method)
    0.09735
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00408
  • Quartile 1
    0.01353
  • Median
    0.02241
  • Quartile 3
    0.08751
  • Maximum
    0.94748
  • Mean of quarter 1
    0.00814
  • Mean of quarter 2
    0.01885
  • Mean of quarter 3
    0.06670
  • Mean of quarter 4
    0.56173
  • Inter Quartile Range
    0.07398
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.94748
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.36591
  • VaR(95%) (moments method)
    0.35495
  • Expected Shortfall (moments method)
    0.72185
  • Extreme Value Index (regression method)
    2.12442
  • VaR(95%) (regression method)
    1.63578
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.33911
  • Compounded annual return (geometric extrapolation)
    -0.58894
  • Calmar ratio (compounded annual return / max draw down)
    -0.62158
  • Compounded annual return / average of 25% largest draw downs
    -1.04844
  • Compounded annual return / Expected Shortfall lognormal
    -4.03296
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.12280
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.51775
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.98835
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.51595
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6818660000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.11900
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    124834000000000007595551684034560.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -365868000
  • Max Equity Drawdown (num days)
    8
  • 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

This system is suitable for people with account size of $7500 to $100,000 or more.The algorithm that creates this signals is superior and executes trades at the point when the market has a high probability of reversing into a long-trend. As with all systems- there are risks but our system is built to help minimize risk associated with trading. It picks trades at the point when the market is near overbought or oversold to give you an advantage of taking quick profit at the point of reversal of the market.We trade multiple assets but mainly FUTURES.This system is great and thats why we charge weekly if profitable.COME ON BOARD AND LET'S TRY TO MAKE YOU A LOT OF MONEY WEEKLY WHILE MANAGING THE RISK ASSOCIATED WITH SAME.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2013-04-08
Suggested Minimum Capital
$25,000
# Trades
127
# Profitable
110
% Profitable
86.6%
Correlation S&P500
-0.103
Sharpe Ratio
0.24
Sortino Ratio
0.39
Beta
-3.03
Alpha
0.00

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

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