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Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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DIVER COMM Futures
(65557853)

Created by: Renato Renato
Started: 09/2011
Futures
Last trade: 4,347 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. You can subscribe to this system for free.

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.

-11.5%

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(37.1%)
Max Drawdown
123
Num Trades
48.8%
Win Trades
1.0 : 1
Profit Factor
2.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                        (8.5%)(21.6%)+10.9%(0.6%)(20.9%)
2012+39.1%+20.9%(8.8%)(6.4%)(20.9%)+1.5%  -    -    -    -    -    -  +15.3%
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/17/12 15:34 @ESM2 E-MINI S&P 500 LONG 2 1308.50 6/1 8:32 1303.00 2.09%
Trade id #73788617
Max drawdown($2,125)
Time5/20/12 18:39
Quant open2
Worst price1287.25
Drawdown as % of equity-2.09%
 ($566)
Includes Typical Broker Commissions trade costs of $16.00
5/29/12 3:30 @KCN2 COFFEE LONG 1 168.60 6/1 4:56 160.00 3.48%
Trade id #74058849
Max drawdown($3,225)
Time6/1/12 4:56
Quant open0
Worst price160.00
Drawdown as % of equity-3.48%
 ($3,233)
Includes Typical Broker Commissions trade costs of $8.00
5/28/12 12:53 @SN2 SOYBEANS LONG 1 1389 2/4 5/31 14:12 1340 2.62%
Trade id #74047711
Max drawdown($2,475)
Time5/31/12 14:12
Quant open0
Worst price1340
Drawdown as % of equity-2.62%
 ($2,483)
Includes Typical Broker Commissions trade costs of $8.00
5/27/12 20:15 QCLN2 CRUDE OIL LONG 2 91.60 5/30 6:57 89.00 5.13%
Trade id #74030646
Max drawdown($5,200)
Time5/30/12 6:57
Quant open1
Worst price89.00
Drawdown as % of equity-5.13%
 ($5,216)
Includes Typical Broker Commissions trade costs of $16.00
5/20/12 18:00 @WN2 WHEAT SHORT 2 700 5/23 5:05 675 2.19%
Trade id #73840308
Max drawdown($2,200)
Time5/20/12 20:52
Quant open-2
Worst price722
Drawdown as % of equity-2.19%
 $2,484
Includes Typical Broker Commissions trade costs of $16.00
5/10/12 10:24 @ESM2 E-MINI S&P 500 LONG 4 1354.44 5/15 15:09 1345.38 2.32%
Trade id #73558744
Max drawdown($2,418)
Time5/15/12 15:09
Quant open2
Worst price1330.25
Drawdown as % of equity-2.32%
 ($1,845)
Includes Typical Broker Commissions trade costs of $32.00
5/9/12 10:30 @CN2 CORN SHORT 1 618 5/10 10:30 595 0%
Trade id #73506853
Max drawdown$0
Time5/9/12 10:39
Quant open-1
Worst price618
Drawdown as % of equity0.00%
 $1,142
Includes Typical Broker Commissions trade costs of $8.00
4/16/12 9:44 @ESM2 E-MINI S&P 500 LONG 15 1382.03 5/4 11:16 1378.27 3.04%
Trade id #72687088
Max drawdown($3,287)
Time4/17/12 2:39
Quant open6
Worst price1359.25
Drawdown as % of equity-3.04%
 ($2,945)
Includes Typical Broker Commissions trade costs of $120.00
4/17/12 8:14 QCLM2 CRUDE OIL LONG 2 104.70 5/4 3:42 102.00 4.8%
Trade id #72744470
Max drawdown($5,400)
Time5/4/12 3:42
Quant open0
Worst price102.00
Drawdown as % of equity-4.80%
 ($5,416)
Includes Typical Broker Commissions trade costs of $16.00
4/26/12 8:10 QHGK2 Copper LONG 3 374.00 4/26 8:31 373.95 0.19%
Trade id #73041144
Max drawdown($225)
Time4/26/12 8:18
Quant open3
Worst price373.70
Drawdown as % of equity-0.19%
 ($61)
Includes Typical Broker Commissions trade costs of $24.00
4/23/12 9:07 @KCN2 COFFEE LONG 1 177.00 4/24 11:37 184.00 0.14%
Trade id #72923110
Max drawdown($150)
Time4/23/12 9:11
Quant open1
Worst price176.60
Drawdown as % of equity-0.14%
 $2,617
Includes Typical Broker Commissions trade costs of $8.00
4/16/12 9:19 QNGM2 Natural Gas LONG 1 2.110 4/19 10:37 2.000 0.99%
Trade id #72683098
Max drawdown($1,100)
Time4/19/12 10:37
Quant open0
Worst price2.000
Drawdown as % of equity-0.99%
 ($1,108)
Includes Typical Broker Commissions trade costs of $8.00
4/9/12 10:35 @CN2 CORN SHORT 2 648 4/18 10:31 618 2/4 0.2%
Trade id #72461740
Max drawdown($225)
Time4/9/12 10:38
Quant open-2
Worst price650 1/4
Drawdown as % of equity-0.20%
 $2,934
Includes Typical Broker Commissions trade costs of $16.00
4/2/12 13:01 @CTK2 COTTON - #2 SHORT 2 9078 4/16 21:00 8950 1.31%
Trade id #72290182
Max drawdown($1,487)
Time4/12/12 21:20
Quant open-1
Worst price9375
Drawdown as % of equity-1.31%
 $1,259
Includes Typical Broker Commissions trade costs of $16.00
4/12/12 19:34 QRBM2 RBOB Gasoline LONG 2 3.2800 4/16 10:13 3.2000 6.04%
Trade id #72610142
Max drawdown($6,720)
Time4/16/12 10:13
Quant open1
Worst price3.2000
Drawdown as % of equity-6.04%
 ($6,736)
Includes Typical Broker Commissions trade costs of $16.00
4/9/12 9:17 @GFQ2 FEEDER CATTLE LONG 3 151.200 4/12 9:16 153.500 2.25%
Trade id #72455275
Max drawdown($2,512)
Time4/11/12 10:27
Quant open3
Worst price149.525
Drawdown as % of equity-2.25%
 $3,426
Includes Typical Broker Commissions trade costs of $24.00
4/8/12 18:00 QPLJ2 PLATINUM LONG 2 1607.3 4/11 13:07 1580.0 2.45%
Trade id #72441632
Max drawdown($2,735)
Time4/11/12 13:07
Quant open1
Worst price1580.0
Drawdown as % of equity-2.45%
 ($2,751)
Includes Typical Broker Commissions trade costs of $16.00
3/20/12 7:58 QHGK2 Copper LONG 2 383.50 4/9 8:49 372.00 4.99%
Trade id #71775714
Max drawdown($5,750)
Time4/9/12 8:49
Quant open0
Worst price372.00
Drawdown as % of equity-4.99%
 ($5,766)
Includes Typical Broker Commissions trade costs of $16.00
4/8/12 18:00 QNGM2 Natural Gas LONG 1 2.200 4/8 18:01 2.200 n/a ($8)
Includes Typical Broker Commissions trade costs of $8.00
3/25/12 21:23 QPLJ2 PLATINUM LONG 2 1642.5 4/4 22:10 1590.0 4.41%
Trade id #72002541
Max drawdown($5,250)
Time4/4/12 22:10
Quant open1
Worst price1590.0
Drawdown as % of equity-4.41%
 ($5,266)
Includes Typical Broker Commissions trade costs of $16.00
4/2/12 11:01 QCLM2 CRUDE OIL LONG 1 104.65 4/4 10:57 102.00 2.13%
Trade id #72283928
Max drawdown($2,650)
Time4/4/12 10:57
Quant open0
Worst price102.00
Drawdown as % of equity-2.13%
 ($2,658)
Includes Typical Broker Commissions trade costs of $8.00
3/23/12 5:02 @CCK2 COCOA SHORT 3 2260 4/4 6:27 2147 0.5%
Trade id #71951071
Max drawdown($640)
Time3/27/12 9:51
Quant open-1
Worst price2384
Drawdown as % of equity-0.50%
 $3,376
Includes Typical Broker Commissions trade costs of $24.00
3/21/12 2:37 @SBK2 Sugar #11 SHORT 3 25.32 4/2 10:23 24.64 1.41%
Trade id #71827668
Max drawdown($1,747)
Time3/23/12 8:11
Quant open-2
Worst price26.13
Drawdown as % of equity-1.41%
 $2,250
Includes Typical Broker Commissions trade costs of $24.00
3/23/12 4:09 @GFJ2 FEEDER CATTLE LONG 2 154.200 3/30 10:05 151.000 2.55%
Trade id #71949607
Max drawdown($3,200)
Time3/30/12 10:05
Quant open1
Worst price151.000
Drawdown as % of equity-2.55%
 ($3,216)
Includes Typical Broker Commissions trade costs of $16.00
3/6/12 10:30 @WK2 WHEAT SHORT 2 645 2/4 3/29 11:30 640 0.7%
Trade id #71220293
Max drawdown($912)
Time3/18/12 19:11
Quant open-1
Worst price675 1/4
Drawdown as % of equity-0.70%
 $534
Includes Typical Broker Commissions trade costs of $16.00
3/23/12 9:55 QHOM2 Heating Oil LONG 1 3.2800 3/29 10:11 3.2100 2.35%
Trade id #71972927
Max drawdown($2,940)
Time3/29/12 10:11
Quant open0
Worst price3.2100
Drawdown as % of equity-2.35%
 ($2,948)
Includes Typical Broker Commissions trade costs of $8.00
3/23/12 12:07 @HEK2 LEAN HOGS SHORT 1 93.000 3/23 12:07 93.000 n/a ($8)
Includes Typical Broker Commissions trade costs of $8.00
2/16/12 20:14 QHGH2 Copper LONG 2 382.75 3/20 7:38 383.80 2.34%
Trade id #70727303
Max drawdown($3,162)
Time2/17/12 11:33
Quant open1
Worst price369.35
Drawdown as % of equity-2.34%
 $509
Includes Typical Broker Commissions trade costs of $16.00
3/14/12 9:36 QNGK2 Natural Gas LONG 1 2.450 3/19 10:16 2.500 0.63%
Trade id #71481513
Max drawdown($820)
Time3/15/12 8:43
Quant open1
Worst price2.368
Drawdown as % of equity-0.63%
 $492
Includes Typical Broker Commissions trade costs of $8.00
3/8/12 3:28 QHOM2 Heating Oil LONG 3 3.2787 3/15 11:28 3.2324 4.47%
Trade id #71287529
Max drawdown($5,825)
Time3/20/12 6:27
Quant open3
Worst price0.0000
Drawdown as % of equity-4.47%
 ($5,849)
Includes Typical Broker Commissions trade costs of $24.00
Next

Statistics

  • Strategy began
    9/11/2011
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4605.45
  • Age
    154 months ago
  • What it trades
    Futures
  • # Trades
    123
  • # Profitable
    60
  • % Profitable
    48.80%
  • Avg trade duration
    6.1 days
  • Max peak-to-valley drawdown
    37.1%
  • drawdown period
    Feb 24, 2012 - June 01, 2012
  • Annual return (compounded)
    -0.4%
  • Avg win
    $2,325
  • Avg loss
    $2,302
  • Model Account Values (Raw)
  • Cash
    $94,499
  • Margin Used
    $0
  • Buying Power
    $94,499
  • Ratios
  • W:L ratio
    0.96:1
  • Sharpe Ratio
    -0.1
  • Sortino Ratio
    -0.14
  • Calmar Ratio
    -0.05
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.05230
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -52.58%
  • Return Percent SP500 (cumu) during strategy life
    337.38%
  • Return Statistics
  • Ann Return (w trading costs)
    -11.5%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    52.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    92.68%
  • Chance of 20% account loss
    7.14%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $2,326
  • Avg Loss
    $2,302
  • Sum Trade PL (losers)
    $145,042.000
  • Sum Trade PL (winners)
    $139,544.000
  • # Winners
    60
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    4
  • Age
  • Num Months filled monthly returns table
    152
  • Win / Loss
  • # Losers
    63
  • % Winners
    48.8%
  • Frequency
  • Avg Position Time (mins)
    8829.78
  • Avg Position Time (hrs)
    147.16
  • Avg Trade Length
    6.1 days
  • Last Trade Ago
    4345
  • Regression
  • Alpha
    -0.01
  • Beta
    0.05
  • Treynor Index
    -0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -0.27
  • MAE:Equity, average, all trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -22.583
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    26.66
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    30.86
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.443
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.080
  • Hold-and-Hope Ratio
    -0.044
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    -0.03100
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.02800
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    98
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Discretionary system that trade Commodities futures looking for diversification, with short term focus.

Typical trade may last a few days

Entry will be based on techical elements, filtered by Fundamental and Seasonal analisys. In other words, an Techical entry signal will no be taken unless it is supported by Fundamentals and Seasonality.

Max 8 positions will be helded at the same time, being most of the time 3 or 4 positions.

It is designed for manual trading.

Entry and exit order will be generated mostly in the first and in the last stock market trading hour.
In some case, when a future has an extended trading hour some order may happen before the stock market open.

Position sizing and stop management are build in order to have a 5% of capital as maximum Risk for each position.

DIVER COMM Futures will be free in the first period of introduction.

My second system is DIVER, discrectionary and focused on stocks an etfs.

Summary Statistics

Strategy began
2011-09-11
Suggested Minimum Capital
$100,000
# Trades
123
# Profitable
60
% Profitable
48.8%
Correlation S&P500
0.052
Sharpe Ratio
-0.10
Sortino Ratio
-0.14
Beta
0.05
Alpha
-0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.