Lindorm
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Free AutoTradeJan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2011  +28.5%  (7.5%)  +11.4%  (14%)  +7.8%  +6.1%  +5.9%  (8.6%)  +26.0%  
2012                          0.0 
2013                          0.0 
2014                          0.0 
2015                          0.0 
2016                          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.
Started  $30,000  
Buy Power  $40,303  
Cash  $1  
Equity  $1  
Cumulative $  $10,303  
Total System Equity  $40,303  
Margined  $1  
Open P/L  $0  
Data has been delayed by 2 hours for nonsubscribers 
System developer has asked us to delay this information by 2 hours.
Open positions are hidden from nonsubscribers.

Trading Record 

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Statistics
 Strategy began5/4/2011
 Starting Unit Size$30,000
 Strategy Age (days)2044.17
 Age68 months ago
 What it tradesFutures
 # Trades105
 # Profitable49
 % Profitable46.70%
 Avg trade duration1.6 hours
 Max peaktovalley drawdown25.09%
 drawdown periodJune 08, 2011  Sept 13, 2011
 Annual Return (Compounded)4.2%
 Avg win$1,185
 Avg loss$853.34
 Model Account Values (Raw)
 Cash$40,303
 Margin Used$0
 Buying Power$40,303
 Ratios
 W:L ratio1.22:1
 Sharpe Ratio0.672
 Sortino Ratio1.152
 Calmar Ratio0.658
 Return Statistics
 Ann Return (w trading costs)4.2%
 Ann Return (Compnd, No Fees)5.4%
 Risk of Ruin (MonteCarlo)
 Chance of 10% account loss100.00%
 Chance of 20% account loss100.00%
 Chance of 30% account lossn/a
 Chance of 40% account lossn/a
 Chance of 50% account lossn/a
 Popularity
 Popularity (Today)0
 Popularity (Last 6 weeks)0
 TradesOwnSystem Certification
 Trades Own System?0
 TOS percentn/a
 Subscription Price
 Billing Period (days)30
 Trial Days5
 Win / Loss
 Avg Loss$853
 Avg Win$1,186
 # Winners49
 # Losers56
 % Winners46.7%
 Frequency
 Avg Position Time (mins)93.37
 Avg Position Time (hrs)1.56
 Avg Trade Length0.1 days
 Last Trade Ago1811
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.17130
 SD0.30245
 Sharpe ratio (Glass type estimate)0.56635
 Sharpe ratio (Hedges UMVUE)0.54844
 df24.00000
 t0.81746
 p0.21085
 Lowerbound of 95% confidence interval for Sharpe Ratio0.80662
 Upperbound of 95% confidence interval for Sharpe Ratio1.92782
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.81830
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.91517
 Statistics related to Sortino ratio
 Sortino ratio1.39286
 Upside Potential Ratio2.62952
 Upside part of mean0.32338
 Downside part of mean0.15209
 Upside SD0.27412
 Downside SD0.12298
 N nonnegative terms5.00000
 N negative terms20.00000
 Statistics related to linear regression on benchmark
 N of observations25.00000
 Mean of predictor0.24410
 Mean of criterion0.17130
 SD of predictor0.21152
 SD of criterion0.30245
 Covariance0.00222
 r0.03477
 b (slope, estimate of beta)0.04971
 a (intercept, estimate of alpha)0.18343
 Mean Square Error0.09534
 DF error23.00000
 t(b)0.16684
 p(b)0.56552
 t(a)0.81181
 p(a)0.21261
 Lowerbound of 95% confidence interval for beta0.66614
 Upperbound of 95% confidence interval for beta0.56671
 Lowerbound of 95% confidence interval for alpha0.28399
 Upperbound of 95% confidence interval for alpha0.65085
 Treynor index (mean / b)3.44561
 Jensen alpha (a)0.18343
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.13176
 SD0.27498
 Sharpe ratio (Glass type estimate)0.47916
 Sharpe ratio (Hedges UMVUE)0.46400
 df24.00000
 t0.69160
 p0.24791
 Lowerbound of 95% confidence interval for Sharpe Ratio0.89032
 Upperbound of 95% confidence interval for Sharpe Ratio1.83885
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.90023
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.82823
 Statistics related to Sortino ratio
 Sortino ratio1.01400
 Upside Potential Ratio2.24604
 Upside part of mean0.29185
 Downside part of mean0.16009
 Upside SD0.23906
 Downside SD0.12994
 N nonnegative terms5.00000
 N negative terms20.00000
 Statistics related to linear regression on benchmark
 N of observations25.00000
 Mean of predictor0.22180
 Mean of criterion0.13176
 SD of predictor0.20009
 SD of criterion0.27498
 Covariance0.00023
 r0.00427
 b (slope, estimate of beta)0.00587
 a (intercept, estimate of alpha)0.13306
 Mean Square Error0.07890
 DF error23.00000
 t(b)0.02048
 p(b)0.50808
 t(a)0.64995
 p(a)0.26108
 Lowerbound of 95% confidence interval for beta0.59866
 Upperbound of 95% confidence interval for beta0.58692
 Lowerbound of 95% confidence interval for alpha0.29044
 Upperbound of 95% confidence interval for alpha0.55657
 Treynor index (mean / b)22.45250
 Jensen alpha (a)0.13306
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.11271
 Expected Shortfall on VaR0.14130
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.03856
 Expected Shortfall on VaR0.07996
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations25.00000
 Minimum0.88540
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.36043
 Mean of quarter 10.95710
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.11298
 Inter Quartile Range0.00000
 Number outliers low3.00000
 Percentage of outliers low0.12000
 Mean of outliers low0.89991
 Number of outliers high6.00000
 Percentage of outliers high0.24000
 Mean of outliers high1.11298
 Risk estimates for a oneperiod 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)3.70466
 VaR(95%) (regression method)0.19862
 Expected Shortfall (regression method)0.20109
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations2.00000
 Minimum0.07515
 Quartile 10.08629
 Median0.09744
 Quartile 30.10858
 Maximum0.11972
 Mean of quarter 10.07515
 Mean of quarter 20.00000
 Mean of quarter 30.00000
 Mean of quarter 40.11972
 Inter Quartile Range0.02228
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T
 Extreme Value Index (moments method)0.00000
 VaR(95%) (moments method)0.00000
 Expected Shortfall (moments method)0.00000
 Extreme Value Index (regression method)0.00000
 VaR(95%) (regression method)0.00000
 Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.16485
 Compounded annual return (geometric extrapolation)0.15224
 Calmar ratio (compounded annual return / max draw down)1.27169
 Compounded annual return / average of 25% largest draw downs1.27169
 Compounded annual return / Expected Shortfall lognormal1.07748
 0.00000
 0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.14489
 SD0.19157
 Sharpe ratio (Glass type estimate)0.75635
 Sharpe ratio (Hedges UMVUE)0.75559
 df741.00000
 t1.11083
 p0.13350
 Lowerbound of 95% confidence interval for Sharpe Ratio0.57897
 Upperbound of 95% confidence interval for Sharpe Ratio2.09119
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.57949
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.09066
 Statistics related to Sortino ratio
 Sortino ratio1.33739
 Upside Potential Ratio5.72075
 Upside part of mean0.61979
 Downside part of mean0.47490
 Upside SD0.15803
 Downside SD0.10834
 N nonnegative terms64.00000
 N negative terms678.00000
 Statistics related to linear regression on benchmark
 N of observations742.00000
 Mean of predictor0.24695
 Mean of criterion0.14489
 SD of predictor0.24076
 SD of criterion0.19157
 Covariance0.00140
 r0.03026
 b (slope, estimate of beta)0.02408
 a (intercept, estimate of alpha)0.15084
 Mean Square Error0.03671
 DF error740.00000
 t(b)0.82354
 p(b)0.79477
 t(a)1.15440
 p(a)0.12435
 Lowerbound of 95% confidence interval for beta0.08147
 Upperbound of 95% confidence interval for beta0.03332
 Lowerbound of 95% confidence interval for alpha0.10568
 Upperbound of 95% confidence interval for alpha0.40736
 Treynor index (mean / b)6.01786
 Jensen alpha (a)0.15084
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.12692
 SD0.18862
 Sharpe ratio (Glass type estimate)0.67289
 Sharpe ratio (Hedges UMVUE)0.67221
 df741.00000
 t0.98825
 p0.16168
 Lowerbound of 95% confidence interval for Sharpe Ratio0.66227
 Upperbound of 95% confidence interval for Sharpe Ratio2.00766
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.66275
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.00717
 Statistics related to Sortino ratio
 Sortino ratio1.15225
 Upside Potential Ratio5.51795
 Upside part of mean0.60781
 Downside part of mean0.48089
 Upside SD0.15311
 Downside SD0.11015
 N nonnegative terms64.00000
 N negative terms678.00000
 Statistics related to linear regression on benchmark
 N of observations742.00000
 Mean of predictor0.21791
 Mean of criterion0.12692
 SD of predictor0.24090
 SD of criterion0.18862
 Covariance0.00137
 r0.03024
 b (slope, estimate of beta)0.02368
 a (intercept, estimate of alpha)0.13208
 Mean Square Error0.03559
 DF error740.00000
 t(b)0.82296
 p(b)0.79460
 t(a)1.02698
 p(a)0.15238
 Lowerbound of 95% confidence interval for beta0.08016
 Upperbound of 95% confidence interval for beta0.03280
 Lowerbound of 95% confidence interval for alpha0.12041
 Upperbound of 95% confidence interval for alpha0.38457
 Treynor index (mean / b)5.36077
 Jensen alpha (a)0.13208
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.01623
 Expected Shortfall on VaR0.02039
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00454
 Expected Shortfall on VaR0.00996
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations742.00000
 Minimum0.94582
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.12579
 Mean of quarter 10.99460
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.00720
 Inter Quartile Range0.00000
 Number outliers low69.00000
 Percentage of outliers low0.09299
 Mean of outliers low0.98544
 Number of outliers high65.00000
 Percentage of outliers high0.08760
 Mean of outliers high1.02060
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)1.21009
 VaR(95%) (moments method)0.00227
 Expected Shortfall (moments method)0.00319
 Extreme Value Index (regression method)0.06209
 VaR(95%) (regression method)0.00526
 Expected Shortfall (regression method)0.01270
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations6.00000
 Minimum0.00063
 Quartile 10.00654
 Median0.04647
 Quartile 30.11772
 Maximum0.22297
 Mean of quarter 10.00128
 Mean of quarter 20.02040
 Mean of quarter 30.07254
 Mean of quarter 40.17788
 Inter Quartile Range0.11118
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T
 Extreme Value Index (moments method)0.00000
 VaR(95%) (moments method)0.00000
 Expected Shortfall (moments method)0.00000
 Extreme Value Index (regression method)0.00000
 VaR(95%) (regression method)0.00000
 Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.15922
 Compounded annual return (geometric extrapolation)0.14668
 Calmar ratio (compounded annual return / max draw down)0.65784
 Compounded annual return / average of 25% largest draw downs0.82462
 Compounded annual return / Expected Shortfall lognormal7.19360
 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
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)0.00000
 Sharpe ratio (Hedges UMVUE)0.00000
 df0.00000
 t0.00000
 p0.00000
 Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
 Upperbound of 95% confidence interval for Sharpe Ratio0.00000
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.13503
 Mean of criterion0.00995
 SD of predictor0.25278
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00000
 Mean Square Error0.00000
 DF error0.00000
 t(b)0.00000
 p(b)0.00000
 t(a)0.00000
 p(a)0.00000
 Lowerbound of 95% confidence interval for beta0.00000
 Upperbound of 95% confidence interval for beta0.00000
 Lowerbound of 95% confidence interval for alpha0.00000
 Upperbound of 95% confidence interval for alpha0.00000
 Treynor index (mean / b)0.00000
 Jensen alpha (a)0.00000
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)31576300000000000.00000
 Sharpe ratio (Hedges UMVUE)31437600000000000.00000
 df171.00000
 t22327800000000000.00000
 p1.00000
 Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
 Upperbound of 95% confidence interval for Sharpe Ratio0.00000
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation34769500000000000.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation28105800000000000.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.10308
 Mean of criterion0.00995
 SD of predictor0.25372
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00995
 Mean Square Error0.00000
 DF error170.00000
 t(b)0.00000
 p(b)0.50000
 t(a)22257100000000000.00000
 p(a)1.00000
 Lowerbound of 95% confidence interval for beta0.00000
 Upperbound of 95% confidence interval for beta0.00000
 Lowerbound of 95% confidence interval for alpha0.00995
 Upperbound of 95% confidence interval for alpha0.00995
 Treynor index (mean / b)386975000000000043026999148544000.00000
 Jensen alpha (a)0.00995
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.00003
 Expected Shortfall on VaR0.00003
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00000
 Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations172.00000
 Minimum1.00000
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.00000
 Mean of quarter 11.00000
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations0.00000
 Minimum0.00000
 Quartile 10.00000
 Median0.00000
 Quartile 30.00000
 Maximum0.00000
 Mean of quarter 10.00000
 Mean of quarter 20.00000
 Mean of quarter 30.00000
 Mean of quarter 40.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T
 Extreme Value Index (moments method)0.00000
 VaR(95%) (moments method)0.00000
 Expected Shortfall (moments method)0.00000
 Extreme Value Index (regression method)0.00000
 VaR(95%) (regression method)0.00000
 Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.00000
 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 downs0.00000
 Compounded annual return / Expected Shortfall lognormal0.00000
Strategy Description
100% mechanical system that never averages down a losing position with the hope of crawling oiut of a hole.. Profit targets and stop losses are resting with each open trade.Please be adequately capitalized before trading this or any other futures system.
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No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.
Statistics
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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.