Freestyle ES/GC Trading (64925125)
Subscriptions not available
No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.
Subscription terms. There is a free trial period of 7 days. After that, subscriptions cost $75.00 per month.
Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade Freestyle ES/GC Trading.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2011  +13.5%  (40.9%)  +1.4%      (32%)  
2012                          0.0 
2013                          0.0 
2014                          0.0 
2015                          0.0 
2016                          0.0 
2017            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  $22,515  
Cash  $22,515  
Equity  $0  
Cumulative $  ($7,484)  
Total System Equity  $22,515  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began8/23/2011

Starting Unit Size$30,000

Strategy Age (days)2094.68

Age70 months ago

What it tradesFutures

# Trades44

# Profitable38

% Profitable86.40%

Avg trade duration9.3 hours

Max peaktovalley drawdown57.64%

drawdown periodSept 21, 2011  Sept 26, 2011

Annual Return (Compounded)6.5%

Avg win$798.55

Avg loss$6,304
 Model Account Values (Raw)

Cash$22,515

Margin Used$0

Buying Power$22,515
 Ratios

W:L ratio0.80:1

Sharpe Ratio0.336

Sortino Ratio0.4

Calmar Ratio0.283
 Return Statistics

Ann Return (w trading costs)6.5%

Ann Return (Compnd, No Fees)4.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss100.00%

Chance of 30% account loss100.00%

Chance of 40% account loss100.00%

Chance of 50% account loss100.00%
 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 Days7
 Win / Loss

Avg Loss$6,305

Avg Win$799

# Winners38

# Losers6

% Winners86.4%
 Frequency

Avg Position Time (mins)557.08

Avg Position Time (hrs)9.29

Avg Trade Length0.4 days

Last Trade Ago2030
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.14281

SD0.24048

Sharpe ratio (Glass type estimate)0.59386

Sharpe ratio (Hedges UMVUE)0.57126

df20.00000

t0.78561

p0.58651

Lowerbound of 95% confidence interval for Sharpe Ratio2.07946

Upperbound of 95% confidence interval for Sharpe Ratio0.90622

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.06339

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.92087
 Statistics related to Sortino ratio

Sortino ratio0.68284

Upside Potential Ratio0.41266

Upside part of mean0.08631

Downside part of mean0.22912

Upside SD0.11417

Downside SD0.20915

N nonnegative terms1.00000

N negative terms20.00000
 Statistics related to linear regression on benchmark

N of observations21.00000

Mean of predictor0.40082

Mean of criterion0.14281

SD of predictor0.22120

SD of criterion0.24048

Covariance0.01247

r0.23435

b (slope, estimate of beta)0.25478

a (intercept, estimate of alpha)0.04069

Mean Square Error0.05753

DF error19.00000

t(b)1.05079

p(b)0.64782

t(a)0.19779

p(a)0.52885

Lowerbound of 95% confidence interval for beta0.76228

Upperbound of 95% confidence interval for beta0.25271

Lowerbound of 95% confidence interval for alpha0.47127

Upperbound of 95% confidence interval for alpha0.38989

Treynor index (mean / b)0.56053

Jensen alpha (a)0.04069
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.17396

SD0.25800

Sharpe ratio (Glass type estimate)0.67426

Sharpe ratio (Hedges UMVUE)0.64860

df20.00000

t0.89197

p0.59780

Lowerbound of 95% confidence interval for Sharpe Ratio2.16214

Upperbound of 95% confidence interval for Sharpe Ratio0.83000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.14377

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.84656
 Statistics related to Sortino ratio

Sortino ratio0.74429

Upside Potential Ratio0.34364

Upside part of mean0.08032

Downside part of mean0.25428

Upside SD0.10625

Downside SD0.23372

N nonnegative terms1.00000

N negative terms20.00000
 Statistics related to linear regression on benchmark

N of observations21.00000

Mean of predictor0.37245

Mean of criterion0.17396

SD of predictor0.21192

SD of criterion0.25800

Covariance0.01260

r0.23038

b (slope, estimate of beta)0.28047

a (intercept, estimate of alpha)0.06950

Mean Square Error0.06635

DF error19.00000

t(b)1.03197

p(b)0.64536

t(a)0.31668

p(a)0.54609

Lowerbound of 95% confidence interval for beta0.84933

Upperbound of 95% confidence interval for beta0.28838

Lowerbound of 95% confidence interval for alpha0.52882

Upperbound of 95% confidence interval for alpha0.38982

Treynor index (mean / b)0.62023

Jensen alpha (a)0.06950
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.12803

Expected Shortfall on VaR0.15443
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.06457

Expected Shortfall on VaR0.13531
 ORDER STATISTICS
 Quartiles of return rates

Number of observations21.00000

Minimum0.77598

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.15187

Mean of quarter 10.93594

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.03037

Inter Quartile Range0.00000

Number outliers low2.00000

Percentage of outliers low0.09524

Mean of outliers low0.80781

Number of outliers high1.00000

Percentage of outliers high0.04762

Mean of outliers high1.15187
 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)2.33244

VaR(95%) (regression method)0.31991

Expected Shortfall (regression method)0.34377
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.34845

Quartile 10.34845

Median0.34845

Quartile 30.34845

Maximum0.34845

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)0.14257

Compounded annual return (geometric extrapolation)0.15127

Calmar ratio (compounded annual return / max draw down)0.43411

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal0.97950

0.00000

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

Mean0.04872

SD0.47329

Sharpe ratio (Glass type estimate)0.10294

Sharpe ratio (Hedges UMVUE)0.10282

df626.00000

t0.13898

p0.55524

Lowerbound of 95% confidence interval for Sharpe Ratio1.55471

Upperbound of 95% confidence interval for Sharpe Ratio1.34882

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.55458

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.34895
 Statistics related to Sortino ratio

Sortino ratio0.13234

Upside Potential Ratio1.81108

Upside part of mean0.66675

Downside part of mean0.71547

Upside SD0.29685

Downside SD0.36815

N nonnegative terms23.00000

N negative terms604.00000
 Statistics related to linear regression on benchmark

N of observations627.00000

Mean of predictor0.41675

Mean of criterion0.04872

SD of predictor0.24171

SD of criterion0.47329

Covariance0.00303

r0.02651

b (slope, estimate of beta)0.05191

a (intercept, estimate of alpha)0.07000

Mean Square Error0.22420

DF error625.00000

t(b)0.66298

p(b)0.25379

t(a)0.19973

p(a)0.57912

Lowerbound of 95% confidence interval for beta0.10185

Upperbound of 95% confidence interval for beta0.20566

Lowerbound of 95% confidence interval for alpha0.76207

Upperbound of 95% confidence interval for alpha0.62136

Treynor index (mean / b)0.93860

Jensen alpha (a)0.07035
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.16742

SD0.49709

Sharpe ratio (Glass type estimate)0.33680

Sharpe ratio (Hedges UMVUE)0.33640

df626.00000

t0.45470

p0.67526

Lowerbound of 95% confidence interval for Sharpe Ratio1.78856

Upperbound of 95% confidence interval for Sharpe Ratio1.11519

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.78827

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.11548
 Statistics related to Sortino ratio

Sortino ratio0.40027

Upside Potential Ratio1.50221

Upside part of mean0.62833

Downside part of mean0.79575

Upside SD0.26803

Downside SD0.41827

N nonnegative terms23.00000

N negative terms604.00000
 Statistics related to linear regression on benchmark

N of observations627.00000

Mean of predictor0.38731

Mean of criterion0.16742

SD of predictor0.24192

SD of criterion0.49709

Covariance0.00264

r0.02197

b (slope, estimate of beta)0.04514

a (intercept, estimate of alpha)0.18490

Mean Square Error0.24738

DF error625.00000

t(b)0.54933

p(b)0.29149

t(a)0.50004

p(a)0.69139

Lowerbound of 95% confidence interval for beta0.11622

Upperbound of 95% confidence interval for beta0.20650

Lowerbound of 95% confidence interval for alpha0.91105

Upperbound of 95% confidence interval for alpha0.54125

Treynor index (mean / b)3.70899

Jensen alpha (a)0.18490
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.04359

Expected Shortfall on VaR0.05420
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00706

Expected Shortfall on VaR0.01604
 ORDER STATISTICS
 Quartiles of return rates

Number of observations627.00000

Minimum0.71782

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.31774

Mean of quarter 10.99181

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00774

Inter Quartile Range0.00000

Number outliers low14.00000

Percentage of outliers low0.02233

Mean of outliers low0.90810

Number of outliers high23.00000

Percentage of outliers high0.03668

Mean of outliers high1.05287
 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)0.52380

VaR(95%) (regression method)0.02005

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00438

Quartile 10.01940

Median0.07209

Quartile 30.15029

Maximum0.51506

Mean of quarter 10.00965

Mean of quarter 20.03281

Mean of quarter 30.11137

Mean of quarter 40.33916

Inter Quartile Range0.13090

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.16667

Mean of outliers high0.51506
 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)0.13689

Compounded annual return (geometric extrapolation)0.14570

Calmar ratio (compounded annual return / max draw down)0.28287

Compounded annual return / average of 25% largest draw downs0.42958

Compounded annual return / Expected Shortfall lognormal2.68830

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 predictor0.29389

Mean of criterion0.00995

SD of predictor0.25487

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 predictor0.26129

Mean of criterion0.00995

SD of predictor0.25605

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)22228600000000000.00000

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)295044000000000030342777325748224.00000

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
Faq1. What's your educational background?
Master in Electrical Engineering, Master in Bio Engieering, PhD Candidate ABD (all but dissertation) in Electrical Engineering.
2. What's your trading experience
More than 11 years' personal trading experience. 3 years' trader and partner of a stock trading firm.
3. What's your trading methodology/philosophy?
Enter conservatively, exit aggressively. The system is mainly based on pattern analysis. Correlation analysis, fuzzy decision are also applied into the system development.
4. How's the system risk/drawdown control?
The system uses different size based on the confidence lelvel, trading plan. Average down is used when appropriate.
5. How's the customer relationship?
I will do my best to answer subscriber's question promptly.
Summary Statistics
Latest Subscribers
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.
Not available
This feature isn't available under your current Trade Leader Plan.
Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
Strategy is no longer visible
This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
This strategy is no longer visible to the public. No subscribers will be allowed.
You can restore public visibility at any time.