Lindorm
(60505520)
Subscription terms. Subscriptions to this system cost $130.00 per month.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  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 
2017                          0.0 
2018      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.
Trading Record
Statistics

Strategy began5/4/2011

Suggested Minimum Cap$30,000

Strategy Age (days)2485.45

Age83 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)3.5%

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 Ratio0.372

Sortino Ratio0.614

Calmar Ratio0.401
 Return Statistics

Ann Return (w trading costs)3.5%

Ann Return (Compnd, No Fees)4.4%
 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 Ago2252
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.09463

SD0.27656

Sharpe ratio (Glass type estimate)0.34216

Sharpe ratio (Hedges UMVUE)0.33218

df26.00000

t0.51325

p0.30606

Lowerbound of 95% confidence interval for Sharpe Ratio0.97099

Upperbound of 95% confidence interval for Sharpe Ratio1.64885

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.97758

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.64194
 Statistics related to Sortino ratio

Sortino ratio0.67495

Upside Potential Ratio2.00163

Upside part of mean0.28063

Downside part of mean0.18600

Upside SD0.23397

Downside SD0.14020

N nonnegative terms4.00000

N negative terms23.00000
 Statistics related to linear regression on benchmark

N of observations27.00000

Mean of predictor0.28517

Mean of criterion0.09463

SD of predictor0.21094

SD of criterion0.27656

Covariance0.00749

r0.12841

b (slope, estimate of beta)0.16835

a (intercept, estimate of alpha)0.14264

Mean Square Error0.07823

DF error25.00000

t(b)0.64739

p(b)0.73836

t(a)0.71080

p(a)0.24189

Lowerbound of 95% confidence interval for beta0.70392

Upperbound of 95% confidence interval for beta0.36722

Lowerbound of 95% confidence interval for alpha0.27065

Upperbound of 95% confidence interval for alpha0.55592

Treynor index (mean / b)0.56209

Jensen alpha (a)0.14264
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05994

SD0.26283

Sharpe ratio (Glass type estimate)0.22804

Sharpe ratio (Hedges UMVUE)0.22139

df26.00000

t0.34207

p0.36752

Lowerbound of 95% confidence interval for Sharpe Ratio1.08220

Upperbound of 95% confidence interval for Sharpe Ratio1.53399

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.08663

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.52942
 Statistics related to Sortino ratio

Sortino ratio0.40060

Upside Potential Ratio1.71240

Upside part of mean0.25620

Downside part of mean0.19627

Upside SD0.21080

Downside SD0.14962

N nonnegative terms4.00000

N negative terms23.00000
 Statistics related to linear regression on benchmark

N of observations27.00000

Mean of predictor0.26098

Mean of criterion0.05994

SD of predictor0.20461

SD of criterion0.26283

Covariance0.00673

r0.12520

b (slope, estimate of beta)0.16082

a (intercept, estimate of alpha)0.10191

Mean Square Error0.07072

DF error25.00000

t(b)0.63095

p(b)0.73310

t(a)0.53819

p(a)0.29760

Lowerbound of 95% confidence interval for beta0.68578

Upperbound of 95% confidence interval for beta0.36413

Lowerbound of 95% confidence interval for alpha0.28807

Upperbound of 95% confidence interval for alpha0.49189

Treynor index (mean / b)0.37268

Jensen alpha (a)0.10191
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.11291

Expected Shortfall on VaR0.14025
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.04902

Expected Shortfall on VaR0.09916
 ORDER STATISTICS
 Quartiles of return rates

Number of observations27.00000

Minimum0.86379

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.28143

Mean of quarter 10.94786

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.09154

Inter Quartile Range0.00000

Number outliers low4.00000

Percentage of outliers low0.14815

Mean of outliers low0.90876

Number of outliers high5.00000

Percentage of outliers high0.18518

Mean of outliers high1.12815
 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)2.44617

VaR(95%) (regression method)0.13786

Expected Shortfall (regression method)0.14241
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.09463

Quartile 10.10906

Median0.12348

Quartile 30.13791

Maximum0.15233

Mean of quarter 10.09463

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.15233

Inter Quartile Range0.02885

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)0.09713

Compounded annual return (geometric extrapolation)0.09182

Calmar ratio (compounded annual return / max draw down)0.60275

Compounded annual return / average of 25% largest draw downs0.60275

Compounded annual return / Expected Shortfall lognormal0.65466

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.08073

SD0.21681

Sharpe ratio (Glass type estimate)0.37234

Sharpe ratio (Hedges UMVUE)0.37188

df604.00000

t0.56580

p0.28587

Lowerbound of 95% confidence interval for Sharpe Ratio0.91773

Upperbound of 95% confidence interval for Sharpe Ratio1.66220

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.91809

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.66184
 Statistics related to Sortino ratio

Sortino ratio0.61409

Upside Potential Ratio4.62269

Upside part of mean0.60769

Downside part of mean0.52697

Upside SD0.17226

Downside SD0.13146

N nonnegative terms62.00000

N negative terms543.00000
 Statistics related to linear regression on benchmark

N of observations605.00000

Mean of predictor0.30366

Mean of criterion0.08073

SD of predictor0.24398

SD of criterion0.21681

Covariance0.00364

r0.06873

b (slope, estimate of beta)0.06107

a (intercept, estimate of alpha)0.09900

Mean Square Error0.04686

DF error603.00000

t(b)1.69163

p(b)0.95438

t(a)0.69480

p(a)0.24372

Lowerbound of 95% confidence interval for beta0.13198

Upperbound of 95% confidence interval for beta0.00983

Lowerbound of 95% confidence interval for alpha0.18133

Upperbound of 95% confidence interval for alpha0.37987

Treynor index (mean / b)1.32182

Jensen alpha (a)0.09927
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05769

SD0.21386

Sharpe ratio (Glass type estimate)0.26974

Sharpe ratio (Hedges UMVUE)0.26941

df604.00000

t0.40990

p0.34101

Lowerbound of 95% confidence interval for Sharpe Ratio1.02025

Upperbound of 95% confidence interval for Sharpe Ratio1.55952

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.02048

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.55929
 Statistics related to Sortino ratio

Sortino ratio0.42759

Upside Potential Ratio4.39953

Upside part of mean0.59354

Downside part of mean0.53585

Upside SD0.16575

Downside SD0.13491

N nonnegative terms62.00000

N negative terms543.00000
 Statistics related to linear regression on benchmark

N of observations605.00000

Mean of predictor0.27367

Mean of criterion0.05769

SD of predictor0.24456

SD of criterion0.21386

Covariance0.00357

r0.06825

b (slope, estimate of beta)0.05968

a (intercept, estimate of alpha)0.07402

Mean Square Error0.04560

DF error603.00000

t(b)1.67986

p(b)0.95325

t(a)0.52549

p(a)0.29972

Lowerbound of 95% confidence interval for beta0.12945

Upperbound of 95% confidence interval for beta0.01009

Lowerbound of 95% confidence interval for alpha0.20261

Upperbound of 95% confidence interval for alpha0.35065

Treynor index (mean / b)0.96657

Jensen alpha (a)0.07402
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02128

Expected Shortfall on VaR0.02666
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00655

Expected Shortfall on VaR0.01430
 ORDER STATISTICS
 Quartiles of return rates

Number of observations605.00000

Minimum0.90703

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.12609

Mean of quarter 10.99238

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00934

Inter Quartile Range0.00000

Number outliers low65.00000

Percentage of outliers low0.10744

Mean of outliers low0.98217

Number of outliers high63.00000

Percentage of outliers high0.10413

Mean of outliers high1.02238
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.73184

VaR(95%) (moments method)0.00250

Expected Shortfall (moments method)0.00360

Extreme Value Index (regression method)0.11227

VaR(95%) (regression method)0.00599

Expected Shortfall (regression method)0.01438
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.00192

Quartile 10.07254

Median0.09356

Quartile 30.12713

Maximum0.22297

Mean of quarter 10.03723

Mean of quarter 20.09356

Mean of quarter 30.12713

Mean of quarter 40.22297

Inter Quartile Range0.05460

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.20000

Mean of outliers high0.22297
 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)0.09464

Compounded annual return (geometric extrapolation)0.08936

Calmar ratio (compounded annual return / max draw down)0.40078

Compounded annual return / average of 25% largest draw downs0.40078

Compounded annual return / Expected Shortfall lognormal3.35209

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

Mean0.02791

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 ratio16.18640

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.02791

Upside SD0.00000

Downside SD0.00172

N nonnegative terms0.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.60910

Mean of criterion0.02791

SD of predictor0.24783

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

Mean0.02791

SD0.00000

Sharpe ratio (Glass type estimate)9748420000000000.00000

Sharpe ratio (Hedges UMVUE)9692070000000000.00000

df130.00000

t6893170000000000.00000

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 approximation10870200000000000.00000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation8513980000000000.00000
 Statistics related to Sortino ratio

Sortino ratio16.18640

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.02791

Upside SD0.00000

Downside SD0.00172

N nonnegative terms0.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.57746

Mean of criterion0.02791

SD of predictor0.25056

SD of criterion0.00000

Covariance0.00000

r0.00000

b (slope, estimate of beta)0.00000

a (intercept, estimate of alpha)0.02791

Mean Square Error0.00000

DF error129.00000

t(b)0.00000

p(b)0.50000

t(a)6797530000000000.00000

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 alpha0.02791

Upperbound of 95% confidence interval for alpha0.02791

Treynor index (mean / b)43606399999999994447665995710464.00000

Jensen alpha (a)0.02791
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00011

Expected Shortfall on VaR0.00011
 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 observations131.00000

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.
Summary Statistics
Latest Activity
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.
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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.