Collective2 Collective2
Featured Strategy IC Algotrading Followed by live capital $350,000 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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ZMC MS7
(81511764)

Created by: MatthewSeldin MatthewSeldin
Started: 06/2013
Futures
Last trade: 3,588 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 $199.00 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.

60.0%
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.

-
Max Drawdown
1115
Num Trades
87.2%
Win Trades
2.0 : 1
Profit Factor
7.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                   +0.1%+16.3%+6.5%+3.0%(0.3%)+10.0%+28.9%+80.7%
2014+5.8%+8.0%(5.2%)(21.7%)(4.9%)+15.4%  -    -    -    -    -    -  (7%)
2015  -    -    -    -    -    -  (0.6%)  -    -    -    -    -  (0.6%)
2016  -    -    -    -    -  +0.3%  -    -    -    -    -    -  +0.3%
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 4 hours.

Trading Record

This strategy has placed 35 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3685 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
6/13/14 0:05 @TFSU4 Emini Russell 2000 LONG 1 1155.10 6/20 0:10 1177.80 2.14%
Trade id #88090211
Max drawdown($790)
Time6/13/14 10:08
Quant open1
Worst price1147.20
Drawdown as % of equity-2.14%
 $2,262
Includes Typical Broker Commissions trade costs of $8.00
6/13/14 0:05 @ESU4 E-MINI S&P 500 SHORT 1 1922.25 6/20 0:10 1949.50 3.94%
Trade id #88090238
Max drawdown($1,500)
Time6/19/14 9:41
Quant open-1
Worst price1952.25
Drawdown as % of equity-3.94%
 ($1,371)
Includes Typical Broker Commissions trade costs of $8.00
4/11/14 14:48 @ESM4 E-MINI S&P 500 SHORT 1 1808.75 6/13 0:05 1929.75 20.48%
Trade id #87017342
Max drawdown($7,300)
Time6/9/14 11:54
Quant open-1
Worst price1954.75
Drawdown as % of equity-20.48%
 ($6,058)
Includes Typical Broker Commissions trade costs of $8.00
3/24/14 9:32 @TFSM4 Emini Russell 2000 LONG 2 1156.30 6/13 0:05 1139.90 29.27%
Trade id #86632581
Max drawdown($10,210)
Time4/15/14 13:02
Quant open1
Worst price1090.80
Drawdown as % of equity-29.27%
 ($3,296)
Includes Typical Broker Commissions trade costs of $16.00
3/20/14 10:08 @TFSM4 Emini Russell 2000 LONG 1 1192.80 3/20 10:09 1194.10 n/a $122
Includes Typical Broker Commissions trade costs of $8.00
3/14/14 14:39 @TFSM4 Emini Russell 2000 LONG 1 1178.70 3/17 7:01 1184.50 2.17%
Trade id #86487884
Max drawdown($950)
Time3/16/14 18:49
Quant open1
Worst price1169.20
Drawdown as % of equity-2.17%
 $572
Includes Typical Broker Commissions trade costs of $8.00
3/13/14 11:57 @TFSH4 Emini Russell 2000 LONG 1 1186.90 3/14 14:38 1182.50 4.08%
Trade id #86454518
Max drawdown($1,760)
Time3/14/14 8:35
Quant open1
Worst price1169.30
Drawdown as % of equity-4.08%
 ($448)
Includes Typical Broker Commissions trade costs of $8.00
3/11/14 15:48 @TFSH4 Emini Russell 2000 LONG 1 1184.10 3/11 15:50 1184.70 0.07%
Trade id #86407777
Max drawdown($30)
Time3/11/14 15:50
Quant open1
Worst price1183.80
Drawdown as % of equity-0.07%
 $52
Includes Typical Broker Commissions trade costs of $8.00
3/10/14 15:25 @TFSH4 Emini Russell 2000 LONG 1 1196.10 3/10 15:36 1197.50 0.23%
Trade id #86381895
Max drawdown($100)
Time3/10/14 15:29
Quant open1
Worst price1195.10
Drawdown as % of equity-0.23%
 $132
Includes Typical Broker Commissions trade costs of $8.00
3/6/14 14:21 QCLJ4 CRUDE OIL LONG 1 101.26 3/6 14:24 101.33 0.11%
Trade id #86330355
Max drawdown($50)
Time3/6/14 14:23
Quant open1
Worst price101.21
Drawdown as % of equity-0.11%
 $62
Includes Typical Broker Commissions trade costs of $8.00
3/5/14 11:18 QCLJ4 CRUDE OIL LONG 1 102.26 3/5 11:28 102.37 0.11%
Trade id #86302288
Max drawdown($50)
Time3/5/14 11:26
Quant open1
Worst price102.21
Drawdown as % of equity-0.11%
 $102
Includes Typical Broker Commissions trade costs of $8.00
3/4/14 13:04 @TFSH4 Emini Russell 2000 LONG 1 1211.90 3/4 13:07 1212.50 0.09%
Trade id #86281309
Max drawdown($40)
Time3/4/14 13:06
Quant open1
Worst price1211.50
Drawdown as % of equity-0.09%
 $52
Includes Typical Broker Commissions trade costs of $8.00
3/3/14 13:14 @TFSH4 Emini Russell 2000 LONG 1 1171.90 3/3 13:16 1172.80 n/a $82
Includes Typical Broker Commissions trade costs of $8.00
2/26/14 11:04 QGCJ4 Gold 100 oz LONG 1 1325.1 2/26 11:17 1325.7 0.32%
Trade id #86176584
Max drawdown($140)
Time2/26/14 11:08
Quant open1
Worst price1323.7
Drawdown as % of equity-0.32%
 $52
Includes Typical Broker Commissions trade costs of $8.00
2/25/14 9:06 @TFSH4 Emini Russell 2000 LONG 1 1172.80 2/25 9:30 1173.60 0.21%
Trade id #86149894
Max drawdown($90)
Time2/25/14 9:26
Quant open1
Worst price1171.90
Drawdown as % of equity-0.21%
 $72
Includes Typical Broker Commissions trade costs of $8.00
2/24/14 10:18 @TFSH4 Emini Russell 2000 LONG 1 1171.80 2/24 10:25 1172.30 0.14%
Trade id #86129140
Max drawdown($60)
Time2/24/14 10:23
Quant open1
Worst price1171.20
Drawdown as % of equity-0.14%
 $42
Includes Typical Broker Commissions trade costs of $8.00
2/20/14 13:44 @TFSH4 Emini Russell 2000 LONG 1 1156.20 2/20 13:46 1156.90 0.14%
Trade id #86086751
Max drawdown($60)
Time2/20/14 13:46
Quant open1
Worst price1155.60
Drawdown as % of equity-0.14%
 $62
Includes Typical Broker Commissions trade costs of $8.00
2/20/14 10:56 @TFSH4 Emini Russell 2000 LONG 1 1156.30 2/20 11:09 1157.10 0.23%
Trade id #86082845
Max drawdown($100)
Time2/20/14 10:59
Quant open1
Worst price1155.30
Drawdown as % of equity-0.23%
 $72
Includes Typical Broker Commissions trade costs of $8.00
2/18/14 9:46 @TFSH4 Emini Russell 2000 LONG 1 1154.20 2/18 10:50 1155.30 1.59%
Trade id #86034602
Max drawdown($690)
Time2/18/14 10:06
Quant open1
Worst price1147.30
Drawdown as % of equity-1.59%
 $102
Includes Typical Broker Commissions trade costs of $8.00
2/13/14 10:54 @TFSH4 Emini Russell 2000 LONG 1 1133.00 2/13 10:56 1134.20 n/a $112
Includes Typical Broker Commissions trade costs of $8.00
2/12/14 13:35 @TFSH4 Emini Russell 2000 LONG 1 1132.30 2/13 10:16 1132.80 3.11%
Trade id #85754193
Max drawdown($1,310)
Time2/13/14 9:31
Quant open1
Worst price1119.20
Drawdown as % of equity-3.11%
 $42
Includes Typical Broker Commissions trade costs of $8.00
2/12/14 12:21 @TFSH4 Emini Russell 2000 LONG 1 1129.90 2/12 13:19 1130.80 0.39%
Trade id #85752743
Max drawdown($170)
Time2/12/14 12:49
Quant open1
Worst price1128.20
Drawdown as % of equity-0.39%
 $82
Includes Typical Broker Commissions trade costs of $8.00
2/11/14 13:12 @TFSH4 Emini Russell 2000 LONG 1 1127.60 2/11 13:24 1128.20 0.07%
Trade id #85729271
Max drawdown($30)
Time2/11/14 13:14
Quant open1
Worst price1127.30
Drawdown as % of equity-0.07%
 $52
Includes Typical Broker Commissions trade costs of $8.00
2/11/14 9:53 @TFSH4 Emini Russell 2000 LONG 1 1118.10 2/11 10:09 1118.90 0.37%
Trade id #85723571
Max drawdown($160)
Time2/11/14 10:05
Quant open1
Worst price1116.50
Drawdown as % of equity-0.37%
 $72
Includes Typical Broker Commissions trade costs of $8.00
2/10/14 14:53 @TFSH4 Emini Russell 2000 LONG 1 1114.50 2/10 15:40 1115.20 0.3%
Trade id #85694439
Max drawdown($130)
Time2/10/14 15:05
Quant open1
Worst price1113.20
Drawdown as % of equity-0.30%
 $62
Includes Typical Broker Commissions trade costs of $8.00
2/10/14 9:16 @TFSH4 Emini Russell 2000 LONG 2 1112.60 2/10 14:19 1113.45 3.69%
Trade id #85686002
Max drawdown($1,580)
Time2/10/14 10:51
Quant open2
Worst price1104.70
Drawdown as % of equity-3.69%
 $154
Includes Typical Broker Commissions trade costs of $16.00
2/7/14 15:32 @TFSH4 Emini Russell 2000 LONG 1 1111.30 2/7 15:44 1112.00 0.12%
Trade id #85669092
Max drawdown($50)
Time2/7/14 15:35
Quant open1
Worst price1110.80
Drawdown as % of equity-0.12%
 $62
Includes Typical Broker Commissions trade costs of $8.00
2/7/14 14:50 QCLH4 CRUDE OIL LONG 1 99.98 2/7 15:37 100.04 0.28%
Trade id #85668253
Max drawdown($120)
Time2/7/14 14:57
Quant open1
Worst price99.86
Drawdown as % of equity-0.28%
 $52
Includes Typical Broker Commissions trade costs of $8.00
2/7/14 14:45 @TFSH4 Emini Russell 2000 LONG 1 1110.40 2/7 15:30 1110.90 0.38%
Trade id #85668159
Max drawdown($160)
Time2/7/14 14:56
Quant open1
Worst price1108.80
Drawdown as % of equity-0.38%
 $42
Includes Typical Broker Commissions trade costs of $8.00
2/7/14 13:53 QCLH4 CRUDE OIL LONG 1 99.32 2/7 14:14 99.39 0.42%
Trade id #85666565
Max drawdown($180)
Time2/7/14 14:07
Quant open1
Worst price99.14
Drawdown as % of equity-0.42%
 $62
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    6/14/2013
  • Suggested Minimum Cap
    $19,072
  • Strategy Age (days)
    3951.33
  • Age
    132 months ago
  • What it trades
    Futures
  • # Trades
    1115
  • # Profitable
    972
  • % Profitable
    87.20%
  • Avg trade duration
    10.6 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    60.1%
  • Avg win
    $30.95
  • Avg loss
    $130.63
  • Model Account Values (Raw)
  • Cash
    $37,658
  • Margin Used
    $0
  • Buying Power
    $37,658
  • Ratios
  • W:L ratio
    2.00:1
  • Sharpe Ratio
    0.26
  • Sortino Ratio
    0.44
  • Calmar Ratio
    0.865
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    42.79%
  • Correlation to SP500
    0.02790
  • Return Percent SP500 (cumu) during strategy life
    211.17%
  • Return Statistics
  • Ann Return (w trading costs)
    60.1%
  • Slump
  • Current Slump as Pcnt Equity
    24.70%
  • Instruments
  • Percent Trades Futures
    0.90%
  • 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)
    0.601%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.10%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.00%
  • Chance of 20% account loss
    13.00%
  • Chance of 30% account loss
    0.50%
  • 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
  • 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)
    860
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $131
  • Avg Win
    $31
  • Sum Trade PL (losers)
    $18,680.000
  • Age
  • Num Months filled monthly returns table
    131
  • Win / Loss
  • Sum Trade PL (winners)
    $30,081.000
  • # Winners
    972
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    7199
  • Win / Loss
  • # Losers
    143
  • % Winners
    87.2%
  • Frequency
  • Avg Position Time (mins)
    15242.80
  • Avg Position Time (hrs)
    254.05
  • Avg Trade Length
    10.6 days
  • Last Trade Ago
    3581
  • Regression
  • Alpha
    0.01
  • Beta
    0.02
  • Treynor Index
    0.53
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    8.26
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    4.72
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.18
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    7.618
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    1.334
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.543
  • Hold-and-Hope Ratio
    0.131
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.71794
  • SD
    0.44390
  • Sharpe ratio (Glass type estimate)
    1.61734
  • Sharpe ratio (Hedges UMVUE)
    1.51374
  • df
    12.00000
  • t
    1.68338
  • p
    0.28146
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40138
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57636
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46432
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49180
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.56148
  • Upside Potential Ratio
    6.07652
  • Upside part of mean
    0.95639
  • Downside part of mean
    -0.23845
  • Upside SD
    0.44729
  • Downside SD
    0.15739
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.16190
  • Mean of criterion
    0.71794
  • SD of predictor
    0.08831
  • SD of criterion
    0.44390
  • Covariance
    0.00231
  • r
    0.05891
  • b (slope, estimate of beta)
    0.29612
  • a (intercept, estimate of alpha)
    0.66999
  • Mean Square Error
    0.21421
  • DF error
    11.00000
  • t(b)
    0.19572
  • p(b)
    0.42420
  • t(a)
    1.31972
  • p(a)
    0.10687
  • Lowerbound of 95% confidence interval for beta
    -3.03391
  • Upperbound of 95% confidence interval for beta
    3.62616
  • Lowerbound of 95% confidence interval for alpha
    -0.44740
  • Upperbound of 95% confidence interval for alpha
    1.78738
  • Treynor index (mean / b)
    2.42444
  • Jensen alpha (a)
    0.66999
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62017
  • SD
    0.40260
  • Sharpe ratio (Glass type estimate)
    1.54043
  • Sharpe ratio (Hedges UMVUE)
    1.44175
  • df
    12.00000
  • t
    1.60333
  • p
    0.28998
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46755
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49105
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52768
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41119
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.69435
  • Upside Potential Ratio
    5.19399
  • Upside part of mean
    0.87192
  • Downside part of mean
    -0.25174
  • Upside SD
    0.39177
  • Downside SD
    0.16787
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.15721
  • Mean of criterion
    0.62017
  • SD of predictor
    0.08665
  • SD of criterion
    0.40260
  • Covariance
    0.00258
  • r
    0.07395
  • b (slope, estimate of beta)
    0.34360
  • a (intercept, estimate of alpha)
    0.56615
  • Mean Square Error
    0.17585
  • DF error
    11.00000
  • t(b)
    0.24594
  • p(b)
    0.40513
  • t(a)
    1.23378
  • p(a)
    0.12150
  • Lowerbound of 95% confidence interval for beta
    -2.73143
  • Upperbound of 95% confidence interval for beta
    3.41863
  • Lowerbound of 95% confidence interval for alpha
    -0.44383
  • Upperbound of 95% confidence interval for alpha
    1.57613
  • Treynor index (mean / b)
    1.80490
  • Jensen alpha (a)
    0.56615
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13019
  • Expected Shortfall on VaR
    0.17067
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03222
  • Expected Shortfall on VaR
    0.07198
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.85941
  • Quartile 1
    0.99211
  • Median
    1.05927
  • Quartile 3
    1.09441
  • Maximum
    1.38884
  • Mean of quarter 1
    0.93625
  • Mean of quarter 2
    1.04606
  • Mean of quarter 3
    1.07735
  • Mean of quarter 4
    1.22444
  • Inter Quartile Range
    0.10230
  • 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
    0.07692
  • Mean of outliers high
    1.38884
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.73910
  • VaR(95%) (moments method)
    0.02958
  • Expected Shortfall (moments method)
    0.02963
  • Extreme Value Index (regression method)
    -0.11203
  • VaR(95%) (regression method)
    0.13598
  • Expected Shortfall (regression method)
    0.19582
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00789
  • Quartile 1
    0.06344
  • Median
    0.11899
  • Quartile 3
    0.17454
  • Maximum
    0.23009
  • Mean of quarter 1
    0.00789
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23009
  • Inter Quartile Range
    0.11110
  • 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)
    0.90377
  • Compounded annual return (geometric extrapolation)
    0.87784
  • Calmar ratio (compounded annual return / max draw down)
    3.81520
  • Compounded annual return / average of 25% largest draw downs
    3.81520
  • Compounded annual return / Expected Shortfall lognormal
    5.14359
  • 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
    0.66534
  • SD
    0.31475
  • Sharpe ratio (Glass type estimate)
    2.11386
  • Sharpe ratio (Hedges UMVUE)
    2.10961
  • df
    374.00000
  • t
    2.20705
  • p
    0.01396
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22919
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99581
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22633
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99290
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.76874
  • Upside Potential Ratio
    11.13250
  • Upside part of mean
    1.96535
  • Downside part of mean
    -1.30001
  • Upside SD
    0.26253
  • Downside SD
    0.17654
  • N nonnegative terms
    179.00000
  • N negative terms
    196.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    375.00000
  • Mean of predictor
    0.16492
  • Mean of criterion
    0.66534
  • SD of predictor
    0.10417
  • SD of criterion
    0.31475
  • Covariance
    0.00436
  • r
    0.13295
  • b (slope, estimate of beta)
    0.40172
  • a (intercept, estimate of alpha)
    0.21400
  • Mean Square Error
    0.09758
  • DF error
    373.00000
  • t(b)
    2.59078
  • p(b)
    0.00498
  • t(a)
    1.99512
  • p(a)
    0.02338
  • Lowerbound of 95% confidence interval for beta
    0.09682
  • Upperbound of 95% confidence interval for beta
    0.70661
  • Lowerbound of 95% confidence interval for alpha
    0.00864
  • Upperbound of 95% confidence interval for alpha
    1.18953
  • Treynor index (mean / b)
    1.65623
  • Jensen alpha (a)
    0.59909
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61625
  • SD
    0.31046
  • Sharpe ratio (Glass type estimate)
    1.98497
  • Sharpe ratio (Hedges UMVUE)
    1.98099
  • df
    374.00000
  • t
    2.07248
  • p
    0.01945
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10112
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.86630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09842
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.86355
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.42489
  • Upside Potential Ratio
    10.73850
  • Upside part of mean
    1.93221
  • Downside part of mean
    -1.31596
  • Upside SD
    0.25467
  • Downside SD
    0.17993
  • N nonnegative terms
    179.00000
  • N negative terms
    196.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    375.00000
  • Mean of predictor
    0.15946
  • Mean of criterion
    0.61625
  • SD of predictor
    0.10429
  • SD of criterion
    0.31046
  • Covariance
    0.00435
  • r
    0.13432
  • b (slope, estimate of beta)
    0.39987
  • a (intercept, estimate of alpha)
    0.55249
  • Mean Square Error
    0.09490
  • DF error
    373.00000
  • t(b)
    2.61796
  • p(b)
    0.00460
  • t(a)
    1.86618
  • p(a)
    0.03140
  • Lowerbound of 95% confidence interval for beta
    0.09953
  • Upperbound of 95% confidence interval for beta
    0.70021
  • Lowerbound of 95% confidence interval for alpha
    -0.02965
  • Upperbound of 95% confidence interval for alpha
    1.13463
  • Treynor index (mean / b)
    1.54112
  • Jensen alpha (a)
    0.55249
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02541
  • Expected Shortfall on VaR
    0.03219
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00881
  • Expected Shortfall on VaR
    0.01862
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    375.00000
  • Minimum
    0.93008
  • Quartile 1
    0.99701
  • Median
    1.00000
  • Quartile 3
    1.00635
  • Maximum
    1.12010
  • Mean of quarter 1
    0.98555
  • Mean of quarter 2
    0.99943
  • Mean of quarter 3
    1.00218
  • Mean of quarter 4
    1.02069
  • Inter Quartile Range
    0.00933
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.06933
  • Mean of outliers low
    0.96992
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.08000
  • Mean of outliers high
    1.04034
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22531
  • VaR(95%) (moments method)
    0.01068
  • Expected Shortfall (moments method)
    0.01797
  • Extreme Value Index (regression method)
    0.18820
  • VaR(95%) (regression method)
    0.01317
  • Expected Shortfall (regression method)
    0.02212
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00041
  • Quartile 1
    0.00452
  • Median
    0.01525
  • Quartile 3
    0.03869
  • Maximum
    0.29494
  • Mean of quarter 1
    0.00208
  • Mean of quarter 2
    0.00954
  • Mean of quarter 3
    0.02138
  • Mean of quarter 4
    0.10871
  • Inter Quartile Range
    0.03416
  • 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
    0.08333
  • Mean of outliers high
    0.19296
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.51529
  • VaR(95%) (moments method)
    0.12240
  • Expected Shortfall (moments method)
    0.26519
  • Extreme Value Index (regression method)
    1.12063
  • VaR(95%) (regression method)
    0.10970
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.89814
  • Compounded annual return (geometric extrapolation)
    0.87049
  • Calmar ratio (compounded annual return / max draw down)
    2.95145
  • Compounded annual return / average of 25% largest draw downs
    8.00721
  • Compounded annual return / Expected Shortfall lognormal
    27.04460
  • 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
    0.00616
  • SD
    0.28008
  • Sharpe ratio (Glass type estimate)
    0.02200
  • Sharpe ratio (Hedges UMVUE)
    0.02190
  • df
    171.00000
  • t
    0.01556
  • p
    0.49924
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.74981
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79381
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.74990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79371
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02977
  • Upside Potential Ratio
    7.99064
  • Upside part of mean
    1.65397
  • Downside part of mean
    -1.64781
  • Upside SD
    0.18747
  • Downside SD
    0.20699
  • N nonnegative terms
    81.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.12871
  • Mean of criterion
    0.00616
  • SD of predictor
    0.10530
  • SD of criterion
    0.28008
  • Covariance
    0.01081
  • r
    0.36645
  • b (slope, estimate of beta)
    0.97468
  • a (intercept, estimate of alpha)
    -0.11929
  • Mean Square Error
    0.06831
  • DF error
    170.00000
  • t(b)
    5.13510
  • p(b)
    0.31678
  • t(a)
    -0.32202
  • p(a)
    0.51235
  • Lowerbound of 95% confidence interval for beta
    0.60000
  • Upperbound of 95% confidence interval for beta
    1.34937
  • Lowerbound of 95% confidence interval for alpha
    -0.85052
  • Upperbound of 95% confidence interval for alpha
    0.61195
  • Treynor index (mean / b)
    0.00632
  • Jensen alpha (a)
    -0.11929
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03303
  • SD
    0.28114
  • Sharpe ratio (Glass type estimate)
    -0.11747
  • Sharpe ratio (Hedges UMVUE)
    -0.11695
  • df
    171.00000
  • t
    -0.08306
  • p
    0.50404
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.88920
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65447
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.88879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65488
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.15674
  • Upside Potential Ratio
    7.76785
  • Upside part of mean
    1.63667
  • Downside part of mean
    -1.66970
  • Upside SD
    0.18491
  • Downside SD
    0.21070
  • N nonnegative terms
    81.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.12315
  • Mean of criterion
    -0.03303
  • SD of predictor
    0.10554
  • SD of criterion
    0.28114
  • Covariance
    0.01086
  • r
    0.36588
  • b (slope, estimate of beta)
    0.97465
  • a (intercept, estimate of alpha)
    -0.15305
  • Mean Square Error
    0.06886
  • DF error
    170.00000
  • t(b)
    5.12585
  • p(b)
    0.31706
  • t(a)
    -0.41160
  • p(a)
    0.51578
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    0.59930
  • Upperbound of 95% confidence interval for beta
    1.35000
  • Lowerbound of 95% confidence interval for alpha
    -0.88709
  • Upperbound of 95% confidence interval for alpha
    0.58098
  • Treynor index (mean / b)
    -0.03388
  • Jensen alpha (a)
    -0.15305
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02472
  • Expected Shortfall on VaR
    0.03086
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01132
  • Expected Shortfall on VaR
    0.02326
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.93798
  • Quartile 1
    0.99558
  • Median
    1.00000
  • Quartile 3
    1.00543
  • Maximum
    1.04362
  • Mean of quarter 1
    0.98134
  • Mean of quarter 2
    0.99956
  • Mean of quarter 3
    1.00175
  • Mean of quarter 4
    1.01754
  • Inter Quartile Range
    0.00986
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.09302
  • Mean of outliers low
    0.96880
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.07558
  • Mean of outliers high
    1.03005
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.28836
  • VaR(95%) (moments method)
    0.01398
  • Expected Shortfall (moments method)
    0.01758
  • Extreme Value Index (regression method)
    -0.03288
  • VaR(95%) (regression method)
    0.01966
  • Expected Shortfall (regression method)
    0.02848
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01203
  • Quartile 1
    0.01871
  • Median
    0.05030
  • Quartile 3
    0.13349
  • Maximum
    0.29494
  • Mean of quarter 1
    0.01203
  • Mean of quarter 2
    0.02094
  • Mean of quarter 3
    0.07967
  • Mean of quarter 4
    0.29494
  • Inter Quartile Range
    0.11478
  • 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)
    59
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02294
  • Compounded annual return (geometric extrapolation)
    -0.02281
  • Calmar ratio (compounded annual return / max draw down)
    -0.07734
  • Compounded annual return / average of 25% largest draw downs
    -0.07734
  • Compounded annual return / Expected Shortfall lognormal
    -0.73915

Strategy Description

ZMC MS7 is a short to medium term trading system. The system looks for both long and short opportunities in the TF (Russell 2000 Mini), ES (E-mini S & P 500), GC (COMEX Gold), and CL (NYMEX Crude Oil). The Foundation has previously traded futures, stocks and options, but the system has been streamlined to only trade futures and operate with less capital. Frequency of trades will depend on market conditions, but multiple trades per week is normal. Use of a low cost broker (MB Trading) will increase results. Subscriptions limited to 19 to limit slippage. Please contact with any questions. http://www.zmcsignals.com
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-06-14
Suggested Minimum Capital
$19,000
# Trades
1115
# Profitable
972
% Profitable
87.2%
Net Dividends
$7,199
Correlation S&P500
0.028
Sharpe Ratio
0.26
Sortino Ratio
0.44
Beta
0.02
Alpha
0.01

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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