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These are hypothetical performance results that have certain inherent limitations. Learn more

Turning Points
(23373921)

Created by: futurm futurm
Started: 11/2006
Futures
Last trade: 4,699 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.

21.5%

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.

(32.1%)
Max Drawdown
437
Num Trades
51.9%
Win Trades
1.2 : 1
Profit Factor
14.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006                                                                      +28.2%(0.1%)+28.1%
2007+13.1%+2.3%+2.3%+9.5%+11.8%(5.1%)+2.8%+0.1%(1.8%)(11.3%)+13.9%+6.8%+50.1%
2008+0.9%(6.5%)+2.1%+18.9%(3.3%)+9.0%+15.5%+5.7%(1.2%)(2.6%)(0.1%)(2.5%)+38.1%
2009+8.1%+0.8%+0.6%(1.1%)+7.0%+1.7%+4.3%(3.4%)+2.7%(2%)(2.6%)(3.8%)+12.1%
2010+1.6%(3.6%)(1.3%)(0.6%)(2.8%)+2.9%(9.3%)+5.0%(1.7%)+3.1%+3.8%+2.0%(1.8%)
2011(2.7%)+4.9%(26.1%)+10.4%(9.3%)  -    -    -    -    -    -    -  (24.4%)
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -  (2.2%)  -    -    -    -    -    -  (2.2%)
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 72 hours.

Trading Record

This strategy has placed 357 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4748 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/12/11 20:23 @SN1 SOYBEANS LONG 1 1345 3/4 5/17 11:09 1318 4/4 8.39%
Trade id #61249365
Max drawdown($1,342)
Time5/17/11 11:09
Quant open0
Worst price1318 4/4
Drawdown as % of equity-8.39%
($1,350)
Includes Typical Broker Commissions trade costs of $8.00
3/29/11 3:30 @SBK1 Sugar #11 SHORT 1 27.15 4/8 11:32 25.81 7.46%
Trade id #59195845
Max drawdown($1,097)
Time4/4/11 8:41
Quant open-1
Worst price28.13
Drawdown as % of equity-7.46%
$1,492
Includes Typical Broker Commissions trade costs of $8.00
3/30/11 19:00 @WK1 WHEAT SHORT 1 726 3/4 3/31 10:30 756 3/4 9%
Trade id #59270096
Max drawdown($1,506)
Time3/31/11 10:30
Quant open0
Worst price756 3/4
Drawdown as % of equity-9.00%
($1,514)
Includes Typical Broker Commissions trade costs of $8.00
3/28/11 19:00 @SK1 SOYBEANS SHORT 1 1345 3/4 3/31 10:30 1382 10.83%
Trade id #59185123
Max drawdown($1,813)
Time3/31/11 10:30
Quant open0
Worst price1382
Drawdown as % of equity-10.83%
($1,821)
Includes Typical Broker Commissions trade costs of $8.00
3/23/11 19:00 @WK1 WHEAT SHORT 1 714 1/4 3/25 7:48 747 1/4 8.81%
Trade id #59062025
Max drawdown($1,650)
Time3/25/11 7:48
Quant open0
Worst price747 1/4
Drawdown as % of equity-8.81%
($1,658)
Includes Typical Broker Commissions trade costs of $8.00
3/22/11 8:09: Rescaled downward to 24.7473% of previous Model Account size
3/17/11 18:00 @BPM1 BRITISH POUND LONG 0.246999994 1.6129 3/21 8:24 1.6264 0.67%
Trade id #58895847
Max drawdown($132)
Time3/18/11 5:01
Quant open0
Worst price1.6043
Drawdown as % of equity-0.67%
$206
Includes Typical Broker Commissions trade costs of $1.98
3/16/11 18:00 @EUM1 EUROFX SHORT 0.246999994 1.39060 3/17 5:51 1.40110 1.62%
Trade id #58841648
Max drawdown($324)
Time3/17/11 5:51
Quant open0
Worst price1.40110
Drawdown as % of equity-1.62%
($326)
Includes Typical Broker Commissions trade costs of $1.98
3/16/11 17:51 @DXM1 US Dollar Index LONG 0.246999994 76.910 3/17 4:41 76.435 0.59%
Trade id #58841374
Max drawdown($117)
Time3/17/11 4:41
Quant open0
Worst price76.435
Drawdown as % of equity-0.59%
($119)
Includes Typical Broker Commissions trade costs of $1.98
3/14/11 19:00 @SMK1 SOYBEAN MEAL LONG 0.246999994 355.8 3/15 11:13 346.3 1.15%
Trade id #58722972
Max drawdown($235)
Time3/15/11 11:13
Quant open0
Worst price346.3
Drawdown as % of equity-1.15%
($237)
Includes Typical Broker Commissions trade costs of $1.98
3/10/11 18:00 @CDM1 CANADIAN DOLLAR SHORT 0.246999994 1.0229 3/14 23:46 1.0168 0.16%
Trade id #58602787
Max drawdown($33)
Time3/11/11 16:05
Quant open0
Worst price1.0283
Drawdown as % of equity-0.16%
$149
Includes Typical Broker Commissions trade costs of $1.98
3/9/11 19:16 @USM1 US T-BOND LONG 0.246999994 119 8/32 3/10 13:42 120 16/32 0.03%
Trade id #58560738
Max drawdown($5)
Time3/9/11 20:15
Quant open0
Worst price119 5/32
Drawdown as % of equity-0.03%
$306
Includes Typical Broker Commissions trade costs of $1.98
3/9/11 18:30 @USH1 US T-BOND LONG 0.246999994 120 31/32 3/9 19:12 120 26/32 n/a ($41)
Includes Typical Broker Commissions trade costs of $1.98
3/7/11 19:00 @BOK1 SOYBEAN OIL SHORT 0.246999994 59.10 3/9 10:49 57.70 0%
Trade id #58480730
Max drawdown$0
Time3/7/11 19:21
Quant open0
Worst price59.10
Drawdown as % of equity0.00%
$205
Includes Typical Broker Commissions trade costs of $1.98
3/1/11 17:36 @DXH1 US Dollar Index LONG 0.246999994 77.060 3/2 8:49 76.645 0.52%
Trade id #58302475
Max drawdown($103)
Time3/2/11 8:49
Quant open0
Worst price76.645
Drawdown as % of equity-0.52%
($105)
Includes Typical Broker Commissions trade costs of $1.98
2/24/11 18:00 @BPH1 BRITISH POUND SHORT 0.246999994 1.6135 2/25 10:03 1.6028 0.05%
Trade id #58143340
Max drawdown($9)
Time2/25/11 0:18
Quant open0
Worst price1.6159
Drawdown as % of equity-0.05%
$163
Includes Typical Broker Commissions trade costs of $1.98
2/13/11 19:00 @BOH1 SOYBEAN OIL SHORT 0.246999994 58.52 2/14 13:47 57.66 0.08%
Trade id #57804549
Max drawdown($16)
Time2/14/11 2:38
Quant open0
Worst price58.97
Drawdown as % of equity-0.08%
$125
Includes Typical Broker Commissions trade costs of $1.98
2/7/11 19:00 @BOH1 SOYBEAN OIL SHORT 0.246999994 58.43 2/9 10:32 59.27 0.63%
Trade id #57636903
Max drawdown($124)
Time2/9/11 10:32
Quant open0
Worst price59.27
Drawdown as % of equity-0.63%
($126)
Includes Typical Broker Commissions trade costs of $1.98
2/6/11 19:00 @WH1 WHEAT SHORT 0.246999994 860 2/4 2/8 10:54 870 2/4 0.62%
Trade id #57590312
Max drawdown($125)
Time2/8/11 10:54
Quant open0
Worst price870 2/4
Drawdown as % of equity-0.62%
($127)
Includes Typical Broker Commissions trade costs of $1.98
2/3/11 18:14 @EUH1 EUROFX SHORT 0.246999994 1.36180 2/7 9:52 1.35060 0.23%
Trade id #57536104
Max drawdown($44)
Time2/4/11 8:31
Quant open0
Worst price1.36760
Drawdown as % of equity-0.23%
$344
Includes Typical Broker Commissions trade costs of $1.98
2/2/11 18:00 @SFH1 SWISS FRANC SHORT 0.246999994 1.0638 2/3 10:00 1.0522 0.04%
Trade id #57487091
Max drawdown($6)
Time2/2/11 18:39
Quant open0
Worst price1.0647
Drawdown as % of equity-0.04%
$356
Includes Typical Broker Commissions trade costs of $1.98
1/31/11 16:40 @ADH1 AUSTRALIAN DOLLAR LONG 0.246999994 0.9917 2/1 5:06 1.0014 0.02%
Trade id #57387073
Max drawdown($3)
Time1/31/11 18:01
Quant open0
Worst price0.9912
Drawdown as % of equity-0.02%
$238
Includes Typical Broker Commissions trade costs of $1.98
1/26/11 18:00 @CDH1 CANADIAN DOLLAR LONG 0.246999994 1.0044 1/28 13:35 0.9977 0.87%
Trade id #57225886
Max drawdown($165)
Time1/28/11 13:35
Quant open0
Worst price0.9977
Drawdown as % of equity-0.87%
($167)
Includes Typical Broker Commissions trade costs of $1.98
1/16/11 18:00 QSIH1 Silver 5000 oz SHORT 0.246999994 28.430 1/18 10:14 29.004 3.66%
Trade id #56833061
Max drawdown($709)
Time1/18/11 10:14
Quant open0
Worst price29.004
Drawdown as % of equity-3.66%
($711)
Includes Typical Broker Commissions trade costs of $1.98
1/14/11 3:30 @SBH1 Sugar #11 SHORT 0.246999994 32.17 1/14 10:27 30.71 0.01%
Trade id #56796738
Max drawdown($2)
Time1/14/11 3:32
Quant open0
Worst price32.20
Drawdown as % of equity-0.01%
$402
Includes Typical Broker Commissions trade costs of $1.98
1/6/11 19:00 @SH1 SOYBEANS SHORT 0.246999994 1376 3/4 1/10 10:44 1376 3/4 0.09%
Trade id #56552047
Max drawdown($17)
Time1/6/11 21:14
Quant open0
Worst price1382 2/4
Drawdown as % of equity-0.09%
($2)
Includes Typical Broker Commissions trade costs of $1.98
1/3/11 19:00 @SMH1 SOYBEAN MEAL SHORT 0.246999994 366.6 1/7 12:52 362.8 0.23%
Trade id #56405688
Max drawdown($44)
Time1/5/11 11:29
Quant open0
Worst price373.8
Drawdown as % of equity-0.23%
$92
Includes Typical Broker Commissions trade costs of $1.98
1/4/11 19:00 @WH1 WHEAT SHORT 0.246999994 792 1/4 1/5 13:14 807 0.94%
Trade id #56453730
Max drawdown($182)
Time1/5/11 12:24
Quant open0
Worst price803
Drawdown as % of equity-0.94%
($184)
Includes Typical Broker Commissions trade costs of $1.98
12/15/10 18:00 @ADH1 AUSTRALIAN DOLLAR SHORT 0.246999994 0.9760 12/20 7:23 0.9834 0.93%
Trade id #55852818
Max drawdown($182)
Time12/20/10 7:23
Quant open0
Worst price0.9832
Drawdown as % of equity-0.93%
($184)
Includes Typical Broker Commissions trade costs of $1.98
12/16/10 18:01 @CDH1 CANADIAN DOLLAR SHORT 0.246999994 0.9920 12/17 10:44 0.9855 0.08%
Trade id #55895720
Max drawdown($14)
Time12/16/10 22:06
Quant open0
Worst price0.9944
Drawdown as % of equity-0.08%
$159
Includes Typical Broker Commissions trade costs of $1.98
12/6/10 18:30 @USH1 US T-BOND LONG 0.246999994 125 11/32 12/7 4:49 124 3/32 1.57%
Trade id #55541026
Max drawdown($307)
Time12/7/10 4:37
Quant open0
Worst price124 5/32
Drawdown as % of equity-1.57%
($309)
Includes Typical Broker Commissions trade costs of $1.98

Statistics

  • Strategy began
    11/12/2006
  • Suggested Minimum Cap
    $6,005
  • Strategy Age (days)
    6344.39
  • Age
    212 months ago
  • What it trades
    Futures
  • # Trades
    437
  • # Profitable
    227
  • % Profitable
    51.90%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    32.14%
  • drawdown period
    Aug 05, 2009 - April 04, 2011
  • Annual return (compounded)
    5.5%
  • Avg win
    $248.29
  • Avg loss
    $224.80
  • Model Account Values (Raw)
  • Cash
    $15,170
  • Margin Used
    $0
  • Buying Power
    $15,170
  • Ratios
  • W:L ratio
    1.19:1
  • Sharpe Ratio
    0.22
  • Sortino Ratio
    0.35
  • Calmar Ratio
    0.157
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.00540
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    134.55%
  • Return Percent SP500 (cumu) during strategy life
    280.08%
  • Return Statistics
  • Ann Return (w trading costs)
    21.5%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.84%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    52.60%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    43.75%
  • Chance of 20% account loss
    17.65%
  • Chance of 30% account loss
    16.67%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $248
  • Avg Loss
    $225
  • Sum Trade PL (losers)
    $47,207.000
  • Sum Trade PL (winners)
    $56,362.000
  • # Winners
    227
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    31
  • Age
  • Num Months filled monthly returns table
    209
  • Win / Loss
  • # Losers
    210
  • % Winners
    52.0%
  • Frequency
  • Avg Position Time (mins)
    4435.03
  • Avg Position Time (hrs)
    73.92
  • Avg Trade Length
    3.1 days
  • Last Trade Ago
    4702
  • Regression
  • Alpha
    0.01
  • Beta
    0.00
  • Treynor Index
    2.79
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -0.41
  • MAE:Equity, average, all trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    42.108
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    3.79
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    3.41
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.091
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.002
  • Hold-and-Hope Ratio
    0.024
  • 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)
    0.34800
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.06600
  • 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)
    607
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Turning Points is time tested and based on a robust methodology. A major adjustment was made 8/5/10. Only one trigger is now used. The same trigger used exclusively during the first 7 months.

Market orders. Stop loss and profit points are given.

End Of Day trading, no exceptions.

$20,000 new minimum to trade this system with one contract.





































Summary Statistics

Strategy began
2006-11-12
Suggested Minimum Capital
$6,000
# Trades
437
# Profitable
227
% Profitable
51.9%
Correlation S&P500
0.005
Sharpe Ratio
0.22
Sortino Ratio
0.35
Beta
0.00
Alpha
0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.