Collective2 Collective2
Featured Strategy S2Prox0 +53.2% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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Buzo Principle
(39098424)

Created by: francoDelores francoDelores
Started: 03/2009
Futures
Last trade: 4,054 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 $135.00 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.

-
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(100.0%)
Max Drawdown
1261
Num Trades
46.8%
Win Trades
1.0 : 1
Profit Factor
15.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009              +7.0%+26.1%+11.5%+3.8%(9.6%)+1.3%+4.4%+8.8%(2.8%)+0.5%+58.6%
2010+3.5%(1.1%)(1.7%)+0.2%+0.6%+1.3%(4.1%)+2.2%(4.2%)+1.4%(6%)+0.3%(7.6%)
2011(0.3%)+1.5%+4.5%(9.5%)+12.2%(3.2%)+7.3%+12.0%(0.9%)+10.7%+2.9%+1.8%+43.7%
2012+0.4%+0.7%(1.8%)(0.6%)+4.9%+8.0%(4.3%)+2.9%+4.4%(0.3%)(1.5%)(3.9%)+8.5%
2013(35.7%)(16.9%)(109.7%)  -    -    -    -    -    -    -    -    -  (105.2%)
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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 1,111 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4277 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/31/12 8:41 @ESH3 E-MINI S&P 500 SHORT 18 1477.25 3/15/13 11:50 1550.47 165.82%
Trade id #78395348
Max drawdown($68,000)
Time3/11/13 17:15
Quant open-17
Worst price1557.25
Drawdown as % of equity-165.82%
 ($66,044)
Includes Typical Broker Commissions trade costs of $144.00
1/24/13 10:06 @YMH3 MINI DOW SHORT 3 13800 3/12 17:16 14475 28.21%
Trade id #78826934
Max drawdown($10,125)
Time3/12/13 17:16
Quant open0
Worst price14475
Drawdown as % of equity-28.21%
 ($10,149)
Includes Typical Broker Commissions trade costs of $24.00
12/24/12 2:33 @ESH3 E-MINI S&P 500 SHORT 2 1418.00 12/27 12:02 1406.00 0.7%
Trade id #78295675
Max drawdown($750)
Time12/26/12 6:01
Quant open-2
Worst price1425.50
Drawdown as % of equity-0.70%
 $1,184
Includes Typical Broker Commissions trade costs of $16.00
12/3/12 15:44 @ESZ2 E-MINI S&P 500 LONG 2 1410.50 12/3 16:41 1418.00 0.33%
Trade id #77955888
Max drawdown($350)
Time12/3/12 16:00
Quant open2
Worst price1407.00
Drawdown as % of equity-0.33%
 $734
Includes Typical Broker Commissions trade costs of $16.00
11/23/12 12:59 @ESZ2 E-MINI S&P 500 SHORT 3 1407.00 11/25 18:00 1402.50 0%
Trade id #77810300
Max drawdown$0
Time11/23/12 13:01
Quant open-3
Worst price1407.00
Drawdown as % of equity0.00%
 $651
Includes Typical Broker Commissions trade costs of $24.00
11/20/12 14:06 @ADZ2 AUSTRALIAN DOLLAR SHORT 4 1.0347 11/25 18:00 1.0377 2.05%
Trade id #77754641
Max drawdown($2,190)
Time11/23/12 12:25
Quant open-2
Worst price1.0456
Drawdown as % of equity-2.05%
 ($1,252)
Includes Typical Broker Commissions trade costs of $32.00
11/18/12 18:00 @ADZ2 AUSTRALIAN DOLLAR SHORT 4 1.0350 11/20 7:33 1.0365 1.99%
Trade id #77709437
Max drawdown($2,120)
Time11/19/12 19:15
Quant open-4
Worst price1.0403
Drawdown as % of equity-1.99%
 ($632)
Includes Typical Broker Commissions trade costs of $32.00
11/18/12 23:35 @ESZ2 E-MINI S&P 500 SHORT 2 1363.50 11/19 6:54 1369.00 0.51%
Trade id #77712990
Max drawdown($550)
Time11/19/12 6:54
Quant open0
Worst price1369.00
Drawdown as % of equity-0.51%
 ($566)
Includes Typical Broker Commissions trade costs of $16.00
11/15/12 11:48 @YMZ2 MINI DOW LONG 3 12468 11/16 12:00 12540 0.32%
Trade id #77674497
Max drawdown($340)
Time11/16/12 10:07
Quant open2
Worst price12434
Drawdown as % of equity-0.32%
 $1,056
Includes Typical Broker Commissions trade costs of $24.00
11/15/12 11:46 @ESZ2 E-MINI S&P 500 LONG 2 1347.50 11/16 8:35 1357.00 0.28%
Trade id #77674426
Max drawdown($300)
Time11/16/12 5:15
Quant open2
Worst price1344.50
Drawdown as % of equity-0.28%
 $934
Includes Typical Broker Commissions trade costs of $16.00
11/11/12 23:01 @ESZ2 E-MINI S&P 500 LONG 2 1376.75 11/13 3:17 1368.00 0.82%
Trade id #77583037
Max drawdown($875)
Time11/13/12 3:17
Quant open1
Worst price1367.00
Drawdown as % of equity-0.82%
 ($891)
Includes Typical Broker Commissions trade costs of $16.00
11/9/12 8:05 @YMZ2 MINI DOW LONG 2 12694 11/12 7:28 12800 0.22%
Trade id #77563867
Max drawdown($240)
Time11/9/12 8:13
Quant open2
Worst price12670
Drawdown as % of equity-0.22%
 $1,044
Includes Typical Broker Commissions trade costs of $16.00
11/8/12 16:35 @ESZ2 E-MINI S&P 500 LONG 2 1376.25 11/9 7:33 1369.00 0.67%
Trade id #77552007
Max drawdown($725)
Time11/9/12 7:33
Quant open0
Worst price1369.00
Drawdown as % of equity-0.67%
 ($741)
Includes Typical Broker Commissions trade costs of $16.00
11/8/12 4:58 @ESZ2 E-MINI S&P 500 LONG 2 1388.00 11/8 12:46 1382.75 0.49%
Trade id #77537023
Max drawdown($525)
Time11/8/12 12:46
Quant open0
Worst price1382.75
Drawdown as % of equity-0.49%
 ($541)
Includes Typical Broker Commissions trade costs of $16.00
11/6/12 0:37 @ESZ2 E-MINI S&P 500 SHORT 2 1414.00 11/6 22:42 1414.75 1.43%
Trade id #77486265
Max drawdown($1,525)
Time11/6/12 12:05
Quant open-2
Worst price1429.25
Drawdown as % of equity-1.43%
 ($91)
Includes Typical Broker Commissions trade costs of $16.00
11/5/12 15:36 @ADZ2 AUSTRALIAN DOLLAR SHORT 2 1.0326 11/5 18:40 1.0346 0.36%
Trade id #77479923
Max drawdown($390)
Time11/5/12 18:40
Quant open1
Worst price1.0346
Drawdown as % of equity-0.36%
 ($406)
Includes Typical Broker Commissions trade costs of $16.00
11/2/12 8:30 @YMZ2 MINI DOW LONG 2 13127 11/2 8:43 13196 n/a $674
Includes Typical Broker Commissions trade costs of $16.00
10/30/12 9:06 @ESZ2 E-MINI S&P 500 SHORT 2 1412.00 10/31 1:36 1408.00 0.05%
Trade id #77386498
Max drawdown($50)
Time10/30/12 18:01
Quant open-2
Worst price1412.50
Drawdown as % of equity-0.05%
 $384
Includes Typical Broker Commissions trade costs of $16.00
10/23/12 3:31 @ESZ2 E-MINI S&P 500 LONG 2 1422.00 10/23 6:36 1415.75 0.58%
Trade id #77276442
Max drawdown($625)
Time10/23/12 6:36
Quant open0
Worst price1415.75
Drawdown as % of equity-0.58%
 ($641)
Includes Typical Broker Commissions trade costs of $16.00
10/23/12 3:17 @YMZ2 MINI DOW LONG 2 13250 10/23 6:35 13199 0.47%
Trade id #77276072
Max drawdown($510)
Time10/23/12 6:35
Quant open0
Worst price13199
Drawdown as % of equity-0.47%
 ($526)
Includes Typical Broker Commissions trade costs of $16.00
10/22/12 11:22 @ESZ2 E-MINI S&P 500 LONG 2 1422.50 10/22 16:39 1432.50 0.53%
Trade id #77259960
Max drawdown($575)
Time10/22/12 13:42
Quant open2
Worst price1416.75
Drawdown as % of equity-0.53%
 $984
Includes Typical Broker Commissions trade costs of $16.00
10/22/12 9:46 @YMZ2 MINI DOW LONG 2 13243 10/22 13:40 13181 0.57%
Trade id #77257364
Max drawdown($620)
Time10/22/12 13:40
Quant open0
Worst price13181
Drawdown as % of equity-0.57%
 ($636)
Includes Typical Broker Commissions trade costs of $16.00
10/18/12 12:00 @ESZ2 E-MINI S&P 500 SHORT 1 1459.00 10/18 16:13 1451.50 0.03%
Trade id #77213060
Max drawdown($37)
Time10/18/12 12:05
Quant open-1
Worst price1459.75
Drawdown as % of equity-0.03%
 $367
Includes Typical Broker Commissions trade costs of $8.00
10/18/12 10:00 @YMZ2 MINI DOW SHORT 2 13510 10/18 16:13 13479 0.19%
Trade id #77209881
Max drawdown($200)
Time10/18/12 12:05
Quant open-2
Worst price13530
Drawdown as % of equity-0.19%
 $294
Includes Typical Broker Commissions trade costs of $16.00
10/10/12 23:08 @ESZ2 E-MINI S&P 500 SHORT 2 1427.00 10/11 8:25 1433.50 0.6%
Trade id #77072917
Max drawdown($650)
Time10/11/12 8:25
Quant open0
Worst price1433.50
Drawdown as % of equity-0.60%
 ($666)
Includes Typical Broker Commissions trade costs of $16.00
10/10/12 12:35 @ESZ2 E-MINI S&P 500 LONG 1 1429.00 10/10 16:48 1425.50 0.2%
Trade id #77061032
Max drawdown($212)
Time10/10/12 16:44
Quant open1
Worst price1424.75
Drawdown as % of equity-0.20%
 ($183)
Includes Typical Broker Commissions trade costs of $8.00
10/9/12 10:50 @YMZ2 MINI DOW LONG 1 13461 10/9 16:51 13421 0.27%
Trade id #77034224
Max drawdown($290)
Time10/9/12 16:01
Quant open1
Worst price13403
Drawdown as % of equity-0.27%
 ($208)
Includes Typical Broker Commissions trade costs of $8.00
10/4/12 7:21 @YMZ2 MINI DOW LONG 1 13469 10/5 9:29 13560 0.1%
Trade id #76954987
Max drawdown($110)
Time10/4/12 9:46
Quant open1
Worst price13447
Drawdown as % of equity-0.10%
 $447
Includes Typical Broker Commissions trade costs of $8.00
10/1/12 9:38 @YMZ2 MINI DOW SHORT 1 13450 10/1 15:20 13430 0.35%
Trade id #76886978
Max drawdown($380)
Time10/1/12 11:15
Quant open-1
Worst price13526
Drawdown as % of equity-0.35%
 $92
Includes Typical Broker Commissions trade costs of $8.00
10/1/12 10:00 @ESZ2 E-MINI S&P 500 SHORT 1 1446.00 10/1 15:17 1438.50 0.26%
Trade id #76887805
Max drawdown($275)
Time10/1/12 10:09
Quant open-1
Worst price1451.50
Drawdown as % of equity-0.26%
 $367
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    3/7/2009
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    5517.03
  • Age
    184 months ago
  • What it trades
    Futures
  • # Trades
    1261
  • # Profitable
    590
  • % Profitable
    46.80%
  • Avg trade duration
    9.9 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    March 08, 2013 - March 15, 2013
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $452.56
  • Avg loss
    $393.35
  • Model Account Values (Raw)
  • Cash
    $33,054
  • Margin Used
    $0
  • Buying Power
    $33,054
  • Ratios
  • W:L ratio
    1.01:1
  • Sharpe Ratio
    -0.5
  • Sortino Ratio
    -0.56
  • Calmar Ratio
    0.018
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -761.57%
  • Correlation to SP500
    -0.01630
  • Return Percent SP500 (cumu) during strategy life
    626.86%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.97%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.76%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.03%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $393
  • Avg Win
    $453
  • Sum Trade PL (losers)
    $263,941.000
  • Age
  • Num Months filled monthly returns table
    49
  • Win / Loss
  • Sum Trade PL (winners)
    $267,013.000
  • # Winners
    590
  • Num Months Winners
    29
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    671
  • % Winners
    46.8%
  • Frequency
  • Avg Position Time (mins)
    595.25
  • Avg Position Time (hrs)
    9.92
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    4048
  • Regression
  • Alpha
    0.00
  • Beta
    -0.06
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    48.21
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    42.79
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.24
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -21.133
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.454
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.203
  • Hold-and-Hope Ratio
    -0.047
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07262
  • SD
    0.30636
  • Sharpe ratio (Glass type estimate)
    0.23703
  • Sharpe ratio (Hedges UMVUE)
    0.23459
  • df
    73.00000
  • t
    0.58862
  • p
    0.27897
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55397
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.02644
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55559
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02477
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29503
  • Upside Potential Ratio
    1.09561
  • Upside part of mean
    0.26967
  • Downside part of mean
    -0.19705
  • Upside SD
    0.18012
  • Downside SD
    0.24614
  • N nonnegative terms
    58.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    74.00000
  • Mean of predictor
    0.33230
  • Mean of criterion
    0.07262
  • SD of predictor
    0.23388
  • SD of criterion
    0.30636
  • Covariance
    0.00055
  • r
    0.00772
  • b (slope, estimate of beta)
    0.01011
  • a (intercept, estimate of alpha)
    0.06926
  • Mean Square Error
    0.09515
  • DF error
    72.00000
  • t(b)
    0.06551
  • p(b)
    0.47398
  • t(a)
    0.51533
  • p(a)
    0.30395
  • Lowerbound of 95% confidence interval for beta
    -0.29762
  • Upperbound of 95% confidence interval for beta
    0.31784
  • Lowerbound of 95% confidence interval for alpha
    -0.19865
  • Upperbound of 95% confidence interval for alpha
    0.33717
  • Treynor index (mean / b)
    7.18106
  • Jensen alpha (a)
    0.06926
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01251
  • SD
    0.37686
  • Sharpe ratio (Glass type estimate)
    0.03319
  • Sharpe ratio (Hedges UMVUE)
    0.03285
  • df
    73.00000
  • t
    0.08243
  • p
    0.46726
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75618
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.82239
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75643
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82213
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03730
  • Upside Potential Ratio
    0.76061
  • Upside part of mean
    0.25511
  • Downside part of mean
    -0.24260
  • Upside SD
    0.16621
  • Downside SD
    0.33540
  • N nonnegative terms
    58.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    74.00000
  • Mean of predictor
    0.30264
  • Mean of criterion
    0.01251
  • SD of predictor
    0.22513
  • SD of criterion
    0.37686
  • Covariance
    -0.00024
  • r
    -0.00280
  • b (slope, estimate of beta)
    -0.00469
  • a (intercept, estimate of alpha)
    0.01393
  • Mean Square Error
    0.14399
  • DF error
    72.00000
  • t(b)
    -0.02378
  • p(b)
    0.50945
  • t(a)
    0.08491
  • p(a)
    0.46629
  • Lowerbound of 95% confidence interval for beta
    -0.39795
  • Upperbound of 95% confidence interval for beta
    0.38857
  • Lowerbound of 95% confidence interval for alpha
    -0.31311
  • Upperbound of 95% confidence interval for alpha
    0.34097
  • Treynor index (mean / b)
    -2.66623
  • Jensen alpha (a)
    0.01393
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16297
  • Expected Shortfall on VaR
    0.19953
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01830
  • Expected Shortfall on VaR
    0.05107
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    74.00000
  • Minimum
    0.46568
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.02476
  • Maximum
    1.26756
  • Mean of quarter 1
    0.93604
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00735
  • Mean of quarter 4
    1.08056
  • Inter Quartile Range
    0.02476
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.09459
  • Mean of outliers low
    0.84252
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.10811
  • Mean of outliers high
    1.13595
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67257
  • VaR(95%) (moments method)
    0.00884
  • Expected Shortfall (moments method)
    0.03531
  • Extreme Value Index (regression method)
    1.10651
  • VaR(95%) (regression method)
    0.05346
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00289
  • Quartile 1
    0.01589
  • Median
    0.03763
  • Quartile 3
    0.04836
  • Maximum
    0.69360
  • Mean of quarter 1
    0.00840
  • Mean of quarter 2
    0.02710
  • Mean of quarter 3
    0.04313
  • Mean of quarter 4
    0.26912
  • Inter Quartile Range
    0.03247
  • 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
    0.09091
  • Mean of outliers high
    0.69360
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.23671
  • VaR(95%) (moments method)
    0.28154
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    5.42067
  • VaR(95%) (regression method)
    1.91471
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01300
  • Compounded annual return (geometric extrapolation)
    0.01259
  • Calmar ratio (compounded annual return / max draw down)
    0.01815
  • Compounded annual return / average of 25% largest draw downs
    0.04678
  • Compounded annual return / Expected Shortfall lognormal
    0.06309
  • 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
    0.06396
  • SD
    0.32003
  • Sharpe ratio (Glass type estimate)
    0.19986
  • Sharpe ratio (Hedges UMVUE)
    0.19977
  • df
    1635.00000
  • t
    0.49943
  • p
    0.49214
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58453
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.98422
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58460
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98415
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28382
  • Upside Potential Ratio
    4.14164
  • Upside part of mean
    0.93340
  • Downside part of mean
    -0.86944
  • Upside SD
    0.22712
  • Downside SD
    0.22537
  • N nonnegative terms
    1209.00000
  • N negative terms
    427.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1636.00000
  • Mean of predictor
    0.37770
  • Mean of criterion
    0.06396
  • SD of predictor
    0.31878
  • SD of criterion
    0.32003
  • Covariance
    0.00938
  • r
    0.09196
  • b (slope, estimate of beta)
    0.09232
  • a (intercept, estimate of alpha)
    0.02900
  • Mean Square Error
    0.10162
  • DF error
    1634.00000
  • t(b)
    3.73328
  • p(b)
    0.45402
  • t(a)
    0.22745
  • p(a)
    0.49719
  • Lowerbound of 95% confidence interval for beta
    0.04382
  • Upperbound of 95% confidence interval for beta
    0.14083
  • Lowerbound of 95% confidence interval for alpha
    -0.22179
  • Upperbound of 95% confidence interval for alpha
    0.27998
  • Treynor index (mean / b)
    0.69281
  • Jensen alpha (a)
    0.02909
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01235
  • SD
    0.32258
  • Sharpe ratio (Glass type estimate)
    0.03830
  • Sharpe ratio (Hedges UMVUE)
    0.03828
  • df
    1635.00000
  • t
    0.09570
  • p
    0.49849
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74605
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.82264
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82263
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05130
  • Upside Potential Ratio
    3.77662
  • Upside part of mean
    0.90952
  • Downside part of mean
    -0.89717
  • Upside SD
    0.21447
  • Downside SD
    0.24083
  • N nonnegative terms
    1209.00000
  • N negative terms
    427.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1636.00000
  • Mean of predictor
    0.32691
  • Mean of criterion
    0.01235
  • SD of predictor
    0.31791
  • SD of criterion
    0.32258
  • Covariance
    0.00895
  • r
    0.08731
  • b (slope, estimate of beta)
    0.08859
  • a (intercept, estimate of alpha)
    -0.01661
  • Mean Square Error
    0.10333
  • DF error
    1634.00000
  • t(b)
    3.54274
  • p(b)
    0.45635
  • t(a)
    -0.12884
  • p(a)
    0.50159
  • Lowerbound of 95% confidence interval for beta
    0.03954
  • Upperbound of 95% confidence interval for beta
    0.13764
  • Lowerbound of 95% confidence interval for alpha
    -0.26943
  • Upperbound of 95% confidence interval for alpha
    0.23621
  • Treynor index (mean / b)
    0.13945
  • Jensen alpha (a)
    -0.01661
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03220
  • Expected Shortfall on VaR
    0.04020
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00439
  • Expected Shortfall on VaR
    0.01161
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1636.00000
  • Minimum
    0.80225
  • Quartile 1
    0.99950
  • Median
    1.00000
  • Quartile 3
    1.00100
  • Maximum
    1.24649
  • Mean of quarter 1
    0.98674
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00007
  • Mean of quarter 4
    1.01418
  • Inter Quartile Range
    0.00150
  • Number outliers low
    284.00000
  • Percentage of outliers low
    0.17359
  • Mean of outliers low
    0.98161
  • Number of outliers high
    309.00000
  • Percentage of outliers high
    0.18887
  • Mean of outliers high
    1.01809
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.00678
  • VaR(95%) (moments method)
    0.00806
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.53792
  • VaR(95%) (regression method)
    0.00936
  • Expected Shortfall (regression method)
    0.02656
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    63.00000
  • Minimum
    0.00048
  • Quartile 1
    0.00671
  • Median
    0.01900
  • Quartile 3
    0.04497
  • Maximum
    0.70316
  • Mean of quarter 1
    0.00332
  • Mean of quarter 2
    0.01433
  • Mean of quarter 3
    0.03034
  • Mean of quarter 4
    0.12883
  • Inter Quartile Range
    0.03827
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.21454
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.53921
  • VaR(95%) (moments method)
    0.13240
  • Expected Shortfall (moments method)
    0.31210
  • Extreme Value Index (regression method)
    0.45900
  • VaR(95%) (regression method)
    0.12386
  • Expected Shortfall (regression method)
    0.25193
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01284
  • Compounded annual return (geometric extrapolation)
    0.01243
  • Calmar ratio (compounded annual return / max draw down)
    0.01768
  • Compounded annual return / average of 25% largest draw downs
    0.09649
  • Compounded annual return / Expected Shortfall lognormal
    0.30920
  • 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
    0.00000
  • 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
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.54677
  • Mean of criterion
    0.00000
  • SD of predictor
    0.41028
  • 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
    0.00000
  • 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
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.46218
  • Mean of criterion
    0.00000
  • SD of predictor
    0.41259
  • 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
  • VAR (95 Confidence Intrvl)
    0.03200
  • 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
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -346041000
  • Max Equity Drawdown (num days)
    7
  • 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

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

S&P, DOW, currencies trading, & NYMEX OIL

Discretionary Day-trading 1-3 contracts:- using partial entry & exit strategies

Most trades are limits at specific levels, especially on the DOW and E-mini futures

Most of the currency trades can be at market prices.

A partial Entry system means that contract/s can be added to losing positions. Stops are optimised and remain at $700 per contract, with a max position of 4 contracts due to the increase in equity since the start.

Note: that means I could have a 4 contract position in both the DOW and S&P at the same time

Exits are limit prices and/or time based with the first profit objective around 70-80 points using a 1 contract partial exit strategy (or can be sooner if profit objective hasn't been reached during a 4 hour period.

Looking for 5- trades per week.

I'm not concerned about the expectancy of the system. All I'm concerned about is protecting the initial starting capital, and trying to achieve a 1.25% Weekly return on the account size with minimal drawdowns.

This is a discretionary method using chart-reading skills:- support/resistance.

Summary Statistics

Strategy began
2009-03-07
Suggested Minimum Capital
$30,000
# Trades
1261
# Profitable
590
% Profitable
46.8%
Correlation S&P500
-0.016
Sharpe Ratio
-0.50
Sortino Ratio
-0.56
Beta
-0.06
Alpha
0.00

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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