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HT-TradingAdvice
(29562250)

Created by: AlexBertolino AlexBertolino
Started: 12/2007
Futures
Last trade: 3,836 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 $89.00 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.

-0.7%
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.

(26.9%)
Max Drawdown
93
Num Trades
50.5%
Win Trades
1.0 : 1
Profit Factor
13.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007                                                                             +4.4%+4.4%
2008+0.5%+6.0%(3.9%)+2.5%(0.7%)+0.8%+9.3%(1.8%)(7.9%)+4.8%+2.7%+0.8%+12.7%
2009+3.6%(8.4%)(2.7%)(0.9%)(11.4%)(4.2%)  -    -    -    -    -    -  (22.2%)
2010  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -  (0.1%)  -    -  +0.1%  -  +0.1%+0.1%+0.1%  -    -  +0.1%+0.2%
2015+0.2%  -  +0.1%  -    -    -    -    -    -  +0.1%+0.1%(0.1%)+0.3%
2016  -    -  (0.1%)  -    -    -    -    -    -  +0.1%  -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  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 50 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/8/09 3:20 @ESM9 E-MINI S&P 500 SHORT 1 933.00 6/8 15:31 943.00 1.84%
Trade id #40838710
Max drawdown($500)
Time6/8/09 15:24
Quant open-1
Worst price941.25
Drawdown as % of equity-1.84%
($508)
Includes Typical Broker Commissions trade costs of $8.00
6/5/09 7:17 @ESM9 E-MINI S&P 500 LONG 1 946.00 6/5 10:10 936.00 1.82%
Trade id #40817804
Max drawdown($500)
Time6/5/09 10:08
Quant open1
Worst price936.75
Drawdown as % of equity-1.82%
($508)
Includes Typical Broker Commissions trade costs of $8.00
5/29/09 2:38 @ESM9 E-MINI S&P 500 LONG 1 909.00 5/29 13:17 906.75 1.22%
Trade id #40701267
Max drawdown($337)
Time5/29/09 9:50
Quant open1
Worst price902.25
Drawdown as % of equity-1.22%
($121)
Includes Typical Broker Commissions trade costs of $8.00
5/24/09 22:41 @ESM9 E-MINI S&P 500 SHORT 1 881.75 5/26 10:04 893.75 2.35%
Trade id #40608890
Max drawdown($662)
Time5/26/09 10:03
Quant open-1
Worst price895.00
Drawdown as % of equity-2.35%
($608)
Includes Typical Broker Commissions trade costs of $8.00
5/20/09 9:33 @ESM9 E-MINI S&P 500 LONG 1 916.00 5/20 15:23 904.00 2.08%
Trade id #40541296
Max drawdown($600)
Time5/20/09 15:22
Quant open1
Worst price904.25
Drawdown as % of equity-2.08%
($608)
Includes Typical Broker Commissions trade costs of $8.00
5/15/09 14:44 @ESM9 E-MINI S&P 500 SHORT 1 878.50 5/18 7:40 891.50 2.24%
Trade id #40471121
Max drawdown($650)
Time5/18/09 5:52
Quant open-1
Worst price889.25
Drawdown as % of equity-2.24%
($658)
Includes Typical Broker Commissions trade costs of $8.00
5/11/09 18:02 @ESM9 E-MINI S&P 500 SHORT 1 905.50 5/12 4:19 914.50 1.5%
Trade id #40340445
Max drawdown($450)
Time5/12/09 4:17
Quant open-1
Worst price913.75
Drawdown as % of equity-1.50%
($458)
Includes Typical Broker Commissions trade costs of $8.00
5/1/09 10:19 @ESM9 E-MINI S&P 500 SHORT 1 863.00 5/1 13:32 874.75 1.93%
Trade id #40171568
Max drawdown($588)
Time5/1/09 13:30
Quant open-1
Worst price874.50
Drawdown as % of equity-1.93%
($596)
Includes Typical Broker Commissions trade costs of $8.00
4/29/09 5:46 @ESM9 E-MINI S&P 500 LONG 1 861.75 4/29 14:17 870.25 0.87%
Trade id #40121654
Max drawdown($262)
Time4/29/09 8:31
Quant open1
Worst price856.50
Drawdown as % of equity-0.87%
$417
Includes Typical Broker Commissions trade costs of $8.00
4/22/09 20:56 @ESM9 E-MINI S&P 500 SHORT 1 835.00 4/23 5:46 847.00 1.98%
Trade id #40015635
Max drawdown($600)
Time4/23/09 5:30
Quant open-1
Worst price846.50
Drawdown as % of equity-1.98%
($608)
Includes Typical Broker Commissions trade costs of $8.00
4/15/09 20:08 @ESM9 E-MINI S&P 500 LONG 1 850.75 4/16 14:50 861.00 1.76%
Trade id #39889962
Max drawdown($525)
Time4/16/09 4:04
Quant open1
Worst price840.25
Drawdown as % of equity-1.76%
$505
Includes Typical Broker Commissions trade costs of $8.00
3/31/09 20:01 @ESM9 E-MINI S&P 500 SHORT 1 783.50 4/1 10:21 793.83 1.71%
Trade id #39629946
Max drawdown($525)
Time4/1/09 10:20
Quant open-1
Worst price794.00
Drawdown as % of equity-1.71%
($525)
Includes Typical Broker Commissions trade costs of $8.00
3/25/09 10:04 @ESM9 E-MINI S&P 500 LONG 1 820.25 3/25 13:23 808.00 1.96%
Trade id #39499841
Max drawdown($613)
Time3/25/09 13:19
Quant open1
Worst price808.50
Drawdown as % of equity-1.96%
($621)
Includes Typical Broker Commissions trade costs of $8.00
2/26/09 15:19 @ESH9 E-MINI S&P 500 SHORT 1 751.00 2/27 7:26 743.00 1.21%
Trade id #38841416
Max drawdown($375)
Time2/26/09 15:50
Quant open-1
Worst price758.50
Drawdown as % of equity-1.21%
$392
Includes Typical Broker Commissions trade costs of $8.00
2/26/09 1:37 @EUH9 EUROFX SHORT 1 1.26840 2/26 4:04 1.27410 2.49%
Trade id #38801244
Max drawdown($787)
Time2/26/09 3:51
Quant open-1
Worst price1.27470
Drawdown as % of equity-2.49%
($721)
Includes Typical Broker Commissions trade costs of $8.00
2/25/09 15:15 @ESH9 E-MINI S&P 500 LONG 1 775.00 2/25 16:01 762.00 2.01%
Trade id #38792963
Max drawdown($650)
Time2/25/09 15:58
Quant open1
Worst price763.00
Drawdown as % of equity-2.01%
($658)
Includes Typical Broker Commissions trade costs of $8.00
2/23/09 3:02 BLH9 EUREX BOBL SHORT 1 116.840 2/24 2:07 117.180 1.13%
Trade id #38657401
Max drawdown($371)
Time2/23/09 10:44
Quant open-1
Worst price117.195
Drawdown as % of equity-1.13%
($379)
Includes Typical Broker Commissions trade costs of $8.00
2/15/09 18:00 @ESH9 E-MINI S&P 500 SHORT 1 815.50 2/16 11:23 808.50 0.5%
Trade id #38458789
Max drawdown($162)
Time2/16/09 4:03
Quant open-1
Worst price818.75
Drawdown as % of equity-0.50%
$342
Includes Typical Broker Commissions trade costs of $8.00
2/4/09 19:27 @ESH9 E-MINI S&P 500 SHORT 1 823.75 2/5 11:04 836.17 1.94%
Trade id #38230904
Max drawdown($637)
Time2/5/09 10:57
Quant open-1
Worst price836.50
Drawdown as % of equity-1.94%
($629)
Includes Typical Broker Commissions trade costs of $8.00
2/4/09 19:53 @EUH9 EUROFX SHORT 1 1.28040 2/5 4:34 1.28670 2.37%
Trade id #38231106
Max drawdown($788)
Time2/5/09 4:33
Quant open-1
Worst price1.28620
Drawdown as % of equity-2.37%
($796)
Includes Typical Broker Commissions trade costs of $8.00
1/26/09 9:40 @ESH9 E-MINI S&P 500 LONG 1 836.25 1/26 10:02 844.50 0%
Trade id #37984070
Max drawdown$0
Time1/26/09 9:42
Quant open1
Worst price836.25
Drawdown as % of equity0.00%
$405
Includes Typical Broker Commissions trade costs of $8.00
1/23/09 4:30 @ESH9 E-MINI S&P 500 SHORT 1 807.25 1/23 11:14 821.25 2.06%
Trade id #37923405
Max drawdown($700)
Time1/23/09 11:05
Quant open-1
Worst price819.75
Drawdown as % of equity-2.06%
($708)
Includes Typical Broker Commissions trade costs of $8.00
1/23/09 2:34 @EUH9 EUROFX SHORT 1 1.28950 1/23 2:52 1.28440 0%
Trade id #37920509
Max drawdown$0
Time1/23/09 2:36
Quant open-1
Worst price1.28950
Drawdown as % of equity0.00%
$630
Includes Typical Broker Commissions trade costs of $8.00
1/22/09 2:01 BLH9 EUREX BOBL SHORT 1 116.515 1/22 2:26 116.390 0.14%
Trade id #37872086
Max drawdown($45)
Time1/22/09 2:14
Quant open-1
Worst price116.560
Drawdown as % of equity-0.14%
$128
Includes Typical Broker Commissions trade costs of $8.00
1/9/09 9:53 @ESH9 E-MINI S&P 500 SHORT 1 891.25 1/11 18:00 881.20 1.07%
Trade id #37591476
Max drawdown($350)
Time1/9/09 14:46
Quant open-1
Worst price898.25
Drawdown as % of equity-1.07%
$495
Includes Typical Broker Commissions trade costs of $8.00
1/9/09 9:26 @EUH9 EUROFX SHORT 1 1.35000 1/9 10:31 1.34405 0.23%
Trade id #37589221
Max drawdown($75)
Time1/9/09 9:28
Quant open-1
Worst price1.35060
Drawdown as % of equity-0.23%
$736
Includes Typical Broker Commissions trade costs of $8.00
1/8/09 4:39 BLH9 EUREX BOBL SHORT 1 115.510 1/8 6:40 115.850 1.14%
Trade id #37555695
Max drawdown($371)
Time1/8/09 6:22
Quant open-1
Worst price115.795
Drawdown as % of equity-1.14%
($379)
Includes Typical Broker Commissions trade costs of $8.00
12/7/08 22:40 @MEZ8 E-MINI EURO FX LONG 1 1.2778 12/8 2:12 1.2833 0.7%
Trade id #37007603
Max drawdown($225)
Time12/8/08 0:05
Quant open1
Worst price1.2742
Drawdown as % of equity-0.70%
$336
Includes Typical Broker Commissions trade costs of $8.00
11/19/08 9:11 @MEZ8 E-MINI EURO FX LONG 1 1.2686 11/19 9:18 1.2741 0%
Trade id #36577018
Max drawdown$0
Time11/19/08 9:13
Quant open1
Worst price1.2686
Drawdown as % of equity0.00%
$336
Includes Typical Broker Commissions trade costs of $8.00
11/11/08 7:18 @ESZ8 E-MINI S&P 500 SHORT 1 905.25 11/11 9:48 894.12 0.4%
Trade id #36358964
Max drawdown($125)
Time11/11/08 8:48
Quant open-1
Worst price907.75
Drawdown as % of equity-0.40%
$548
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    12/11/2007
  • Suggested Minimum Cap
    $25,893
  • Strategy Age (days)
    4374.03
  • Age
    146 months ago
  • What it trades
    Futures
  • # Trades
    93
  • # Profitable
    47
  • % Profitable
    50.50%
  • Avg trade duration
    17.9 hours
  • Max peak-to-valley drawdown
    26.88%
  • drawdown period
    Aug 11, 2008 - March 14, 2014
  • Annual Return (Compounded)
    -0.7%
  • Avg win
    $498.28
  • Avg loss
    $492.37
  • Model Account Values (Raw)
  • Cash
    $26,663
  • Margin Used
    $0
  • Buying Power
    $26,663
  • Ratios
  • W:L ratio
    1.03:1
  • Sharpe Ratio
    -0.44
  • Sortino Ratio
    -0.6
  • Calmar Ratio
    -0.069
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -120.62%
  • Correlation to SP500
    -0.01040
  • Return Percent SP500 (cumu) during strategy life
    112.90%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.36%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.007%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 100% 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 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $492
  • Avg Win
    $498
  • Sum Trade PL (losers)
    $22,649.000
  • Age
  • Num Months (Age strategy)
    145
  • Win / Loss
  • Sum Trade PL (winners)
    $23,419.000
  • # Winners
    47
  • Num Months Winners
    31
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    46
  • % Winners
    50.5%
  • Frequency
  • Avg Position Time (mins)
    1074.47
  • Avg Position Time (hrs)
    17.91
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    3829
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    2.63
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    19.27
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    7.12
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.23
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -279.376
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.389
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.046
  • Hold-and-Hope Ratio
    -0.004
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03938
  • SD
    0.08514
  • Sharpe ratio (Glass type estimate)
    -0.46250
  • Sharpe ratio (Hedges UMVUE)
    -0.45688
  • df
    62.00000
  • t
    -1.05971
  • p
    0.85331
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31990
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.39857
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31605
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40229
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55917
  • Upside Potential Ratio
    0.80143
  • Upside part of mean
    0.05644
  • Downside part of mean
    -0.09582
  • Upside SD
    0.04800
  • Downside SD
    0.07042
  • N nonnegative terms
    9.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    63.00000
  • Mean of predictor
    0.14691
  • Mean of criterion
    -0.03938
  • SD of predictor
    0.24605
  • SD of criterion
    0.08514
  • Covariance
    -0.00206
  • r
    -0.09855
  • b (slope, estimate of beta)
    -0.03410
  • a (intercept, estimate of alpha)
    -0.03437
  • Mean Square Error
    0.00730
  • DF error
    61.00000
  • t(b)
    -0.77347
  • p(b)
    0.77889
  • t(a)
    -0.90828
  • p(a)
    0.81635
  • Lowerbound of 95% confidence interval for beta
    -0.12226
  • Upperbound of 95% confidence interval for beta
    0.05406
  • Lowerbound of 95% confidence interval for alpha
    -0.11003
  • Upperbound of 95% confidence interval for alpha
    0.04129
  • Treynor index (mean / b)
    1.15472
  • Jensen alpha (a)
    -0.03437
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04300
  • SD
    0.08651
  • Sharpe ratio (Glass type estimate)
    -0.49702
  • Sharpe ratio (Hedges UMVUE)
    -0.49098
  • df
    62.00000
  • t
    -1.13881
  • p
    0.87042
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35488
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.36479
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35073
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36877
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.58926
  • Upside Potential Ratio
    0.75643
  • Upside part of mean
    0.05519
  • Downside part of mean
    -0.09819
  • Upside SD
    0.04685
  • Downside SD
    0.07297
  • N nonnegative terms
    9.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    63.00000
  • Mean of predictor
    0.11577
  • Mean of criterion
    -0.04300
  • SD of predictor
    0.24880
  • SD of criterion
    0.08651
  • Covariance
    -0.00176
  • r
    -0.08194
  • b (slope, estimate of beta)
    -0.02849
  • a (intercept, estimate of alpha)
    -0.03970
  • Mean Square Error
    0.00756
  • DF error
    61.00000
  • t(b)
    -0.64212
  • p(b)
    0.73840
  • t(a)
    -1.03698
  • p(a)
    0.84808
  • Lowerbound of 95% confidence interval for beta
    -0.11721
  • Upperbound of 95% confidence interval for beta
    0.06023
  • Lowerbound of 95% confidence interval for alpha
    -0.11625
  • Upperbound of 95% confidence interval for alpha
    0.03685
  • Treynor index (mean / b)
    1.50913
  • Jensen alpha (a)
    -0.03970
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04368
  • Expected Shortfall on VaR
    0.05356
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02535
  • Expected Shortfall on VaR
    0.05086
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    63.00000
  • Minimum
    0.91050
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00021
  • Maximum
    1.05895
  • Mean of quarter 1
    0.97592
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00003
  • Mean of quarter 4
    1.02029
  • Inter Quartile Range
    0.00021
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.19048
  • Mean of outliers low
    0.96791
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.23810
  • Mean of outliers high
    1.02163
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.03574
  • VaR(95%) (moments method)
    0.00603
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.07337
  • VaR(95%) (regression method)
    0.02748
  • Expected Shortfall (regression method)
    0.04678
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.04438
  • Quartile 1
    0.04671
  • Median
    0.05250
  • Quartile 3
    0.09706
  • Maximum
    0.21569
  • Mean of quarter 1
    0.04438
  • Mean of quarter 2
    0.04749
  • Mean of quarter 3
    0.05752
  • Mean of quarter 4
    0.21569
  • Inter Quartile Range
    0.05035
  • 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
    0.25000
  • Mean of outliers high
    0.21569
  • 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)
    -0.01451
  • Compounded annual return (geometric extrapolation)
    -0.01498
  • Calmar ratio (compounded annual return / max draw down)
    -0.06943
  • Compounded annual return / average of 25% largest draw downs
    -0.06943
  • Compounded annual return / Expected Shortfall lognormal
    -0.27959
  • 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
    -0.01174
  • SD
    0.25006
  • Sharpe ratio (Glass type estimate)
    -0.04696
  • Sharpe ratio (Hedges UMVUE)
    -0.04694
  • df
    1383.00000
  • t
    -0.10794
  • p
    0.50185
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89973
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80581
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89971
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80583
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.06853
  • Upside Potential Ratio
    3.64036
  • Upside part of mean
    0.62382
  • Downside part of mean
    -0.63556
  • Upside SD
    0.18199
  • Downside SD
    0.17136
  • N nonnegative terms
    195.00000
  • N negative terms
    1189.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1384.00000
  • Mean of predictor
    0.30708
  • Mean of criterion
    -0.01174
  • SD of predictor
    0.60981
  • SD of criterion
    0.25006
  • Covariance
    -0.02618
  • r
    -0.17167
  • b (slope, estimate of beta)
    -0.07040
  • a (intercept, estimate of alpha)
    0.01000
  • Mean Square Error
    0.06073
  • DF error
    1382.00000
  • t(b)
    -6.47812
  • p(b)
    0.58584
  • t(a)
    0.09204
  • p(a)
    0.49876
  • Lowerbound of 95% confidence interval for beta
    -0.09171
  • Upperbound of 95% confidence interval for beta
    -0.04908
  • Lowerbound of 95% confidence interval for alpha
    -0.20056
  • Upperbound of 95% confidence interval for alpha
    0.22031
  • Treynor index (mean / b)
    0.16682
  • Jensen alpha (a)
    0.00987
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04290
  • SD
    0.24970
  • Sharpe ratio (Glass type estimate)
    -0.17182
  • Sharpe ratio (Hedges UMVUE)
    -0.17173
  • df
    1383.00000
  • t
    -0.39491
  • p
    0.50676
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02459
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.68099
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02452
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68106
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24183
  • Upside Potential Ratio
    3.42682
  • Upside part of mean
    0.60796
  • Downside part of mean
    -0.65087
  • Upside SD
    0.17560
  • Downside SD
    0.17741
  • N nonnegative terms
    195.00000
  • N negative terms
    1189.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1384.00000
  • Mean of predictor
    0.12858
  • Mean of criterion
    -0.04290
  • SD of predictor
    0.59373
  • SD of criterion
    0.24970
  • Covariance
    -0.02557
  • r
    -0.17251
  • b (slope, estimate of beta)
    -0.07255
  • a (intercept, estimate of alpha)
    -0.03358
  • Mean Square Error
    0.06054
  • DF error
    1382.00000
  • t(b)
    -6.51067
  • p(b)
    0.58625
  • t(a)
    -0.31361
  • p(a)
    0.50422
  • Lowerbound of 95% confidence interval for beta
    -0.09441
  • Upperbound of 95% confidence interval for beta
    -0.05069
  • Lowerbound of 95% confidence interval for alpha
    -0.24360
  • Upperbound of 95% confidence interval for alpha
    0.17644
  • Treynor index (mean / b)
    0.59136
  • Jensen alpha (a)
    -0.03358
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02521
  • Expected Shortfall on VaR
    0.03146
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00767
  • Expected Shortfall on VaR
    0.01697
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1384.00000
  • Minimum
    0.87426
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.12752
  • Mean of quarter 1
    0.99065
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00960
  • Inter Quartile Range
    0.00000
  • Number outliers low
    241.00000
  • Percentage of outliers low
    0.17413
  • Mean of outliers low
    0.98658
  • Number of outliers high
    275.00000
  • Percentage of outliers high
    0.19870
  • Mean of outliers high
    1.01207
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.50809
  • VaR(95%) (moments method)
    0.00286
  • Expected Shortfall (moments method)
    0.00497
  • 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
    9.00000
  • Minimum
    0.03046
  • Quartile 1
    0.07171
  • Median
    0.07339
  • Quartile 3
    0.10942
  • Maximum
    0.21695
  • Mean of quarter 1
    0.05389
  • Mean of quarter 2
    0.07323
  • Mean of quarter 3
    0.09521
  • Mean of quarter 4
    0.18653
  • Inter Quartile Range
    0.03771
  • 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
    0.21695
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.97215
  • VaR(95%) (moments method)
    0.18045
  • Expected Shortfall (moments method)
    0.18060
  • Extreme Value Index (regression method)
    -0.61824
  • VaR(95%) (regression method)
    0.23939
  • Expected Shortfall (regression method)
    0.26388
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01442
  • Compounded annual return (geometric extrapolation)
    -0.01488
  • Calmar ratio (compounded annual return / max draw down)
    -0.06861
  • Compounded annual return / average of 25% largest draw downs
    -0.07980
  • Compounded annual return / Expected Shortfall lognormal
    -0.47309
  • 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
    0.66426
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.32199
  • 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
    0.61003
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.33131
  • 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)
    -6822270000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02500
  • 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)
    104952000000000009700266316136448.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -243437000
  • Max Equity Drawdown (num days)
    2041
  • 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

I usually trade on the daily charts so my signals are often sent when markets are closed or few minutes after open. I always place a stop loss and a take profit. Its not necessary to watch intraday market movements. Ive studied with Joe Ross and my trading is related to this knowledge. My preferred futures are: e-miniSp500, EuroFx, EuroBobl.
At the moment i use only 1 futures contract to trade the various markets but the subscriber can trade multiple contracts on the same basis of the TS.
I always set a stop loss and a Take Profit.


My Italian blog:

www.hypertrader.eu




Summary Statistics

Strategy began
2007-12-11
Suggested Minimum Capital
$25,800
# Trades
93
# Profitable
47
% Profitable
50.5%
Correlation S&P500
-0.010
Sharpe Ratio
-0.44
Sortino Ratio
-0.60
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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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.