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These are hypothetical performance results that have certain inherent limitations. Learn more

Discontinued, please see new system
(72525278)

Created by: UserRemoved252 UserRemoved252
Started: 04/2012
Futures
Last trade: 2,703 days ago

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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.

43.7%

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.

(68.3%)
Max Drawdown
37
Num Trades
48.6%
Win Trades
1.4 : 1
Profit Factor
16.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                     +14.4%(0.4%)+13.4%+37.4%(8.3%)(31.8%)(12.5%)(14.5%)+64.5%+36.7%
2013+0.4%  -    -    -    -    -    -    -    -    -    -    -  +0.4%
2014  -  (4.3%)(0.1%)+0.3%(0.5%)+7.8%(0.6%)(0.6%)(1.3%)  -  (0.4%)(0.7%)(0.8%)
2015(2.1%)(0.3%)(1%)+0.4%  -  +0.4%(0.6%)+0.6%+0.2%(0.5%)(1%)+0.7%(3.1%)
2016+0.1%(0.1%)+1.2%(0.2%)(0.4%)(0.2%)+0.1%(0.1%)+0.2%(0.8%)  -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -                                            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.

System developer has asked us to delay this information by 12 hours.

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
1/3/13 3:57 MTF3 CAC40 LONG 40 3714.25 1/3 10:07 3718.00 3.06%
Trade id #78450374
Max drawdown($4,300)
Time1/3/13 8:09
Quant open40
Worst price3703.50
Drawdown as % of equity-3.06%
$1,319
Includes Typical Broker Commissions trade costs of $320.00
1/2/13 3:09 MTF3 CAC40 SHORT 3 3707.50 1/2 11:38 3730.00 0.63%
Trade id #78423908
Max drawdown($891)
Time1/2/13 11:38
Quant open0
Worst price3730.00
Drawdown as % of equity-0.63%
($762)
Includes Typical Broker Commissions trade costs of $24.00
12/19/12 3:11 MTF3 CAC40 LONG 40 3658.50 12/28 3:17 3682.25 5.5%
Trade id #78227890
Max drawdown($7,000)
Time12/21/12 5:22
Quant open40
Worst price3641.00
Drawdown as % of equity-5.50%
$10,060
Includes Typical Broker Commissions trade costs of $320.00
12/17/12 14:14 MTZ2 CAC40 LONG 22 3640.50 12/20 15:59 3682.50 1.64%
Trade id #78194920
Max drawdown($1,980)
Time12/18/12 6:08
Quant open22
Worst price3631.50
Drawdown as % of equity-1.64%
$9,920
Includes Typical Broker Commissions trade costs of $176.00
12/10/12 4:51 MTZ2 CAC40 LONG 40 3572.50 12/12 5:25 3638.50 2%
Trade id #78063360
Max drawdown($1,600)
Time12/10/12 5:09
Quant open40
Worst price3568.50
Drawdown as % of equity-2.00%
$28,525
Includes Typical Broker Commissions trade costs of $320.00
11/26/12 8:44 MTZ2 CAC40 SHORT 56 3557.40 12/10 4:51 3572.70 43.46%
Trade id #77826358
Max drawdown($29,549)
Time12/7/12 8:41
Quant open-50
Worst price3616.50
Drawdown as % of equity-43.46%
($9,806)
Includes Typical Broker Commissions trade costs of $448.00
11/26/12 3:07 MTZ2 CAC40 LONG 1 3505.50 11/26 8:43 3494.50 0.21%
Trade id #77822608
Max drawdown($200)
Time11/26/12 7:45
Quant open1
Worst price3485.50
Drawdown as % of equity-0.21%
($128)
Includes Typical Broker Commissions trade costs of $8.00
11/20/12 3:08 MTZ2 CAC40 SHORT 9 3439.11 11/26 3:06 3507.33 8.51%
Trade id #77740448
Max drawdown($7,962)
Time11/26/12 3:06
Quant open1
Worst price3506.00
Drawdown as % of equity-8.51%
($6,781)
Includes Typical Broker Commissions trade costs of $72.00
11/13/12 4:05 MTZ2 CAC40 LONG 6 3372.50 11/20 3:06 3395.75 2.08%
Trade id #77609637
Max drawdown($2,075)
Time11/16/12 11:36
Quant open5
Worst price3331.00
Drawdown as % of equity-2.08%
$1,476
Includes Typical Broker Commissions trade costs of $48.00
11/9/12 3:05 MTX2 CAC40 LONG 5 3414.80 11/13 4:05 3381.00 2.13%
Trade id #77560044
Max drawdown($2,143)
Time11/13/12 4:05
Quant open0
Worst price3381.00
Drawdown as % of equity-2.13%
($1,886)
Includes Typical Broker Commissions trade costs of $40.00
11/2/12 12:38 MTX2 CAC40 SHORT 6 3501.50 11/9 3:04 3412.83 0.59%
Trade id #77454146
Max drawdown($560)
Time11/7/12 2:39
Quant open-2
Worst price3515.50
Drawdown as % of equity-0.59%
$5,765
Includes Typical Broker Commissions trade costs of $48.00
11/1/12 12:38 MTX2 CAC40 LONG 5 3471.50 11/2 12:37 3474.20 0.38%
Trade id #77431573
Max drawdown($375)
Time11/2/12 3:33
Quant open5
Worst price3464.00
Drawdown as % of equity-0.38%
$108
Includes Typical Broker Commissions trade costs of $40.00
10/26/12 3:07 MTX2 CAC40 SHORT 7 3435.00 11/1 12:36 3475.00 3.8%
Trade id #77343826
Max drawdown($3,624)
Time11/1/12 12:36
Quant open0
Worst price3475.00
Drawdown as % of equity-3.80%
($3,115)
Includes Typical Broker Commissions trade costs of $56.00
10/24/12 3:04 MTX2 CAC40 LONG 10 3424.95 10/26 3:06 3392.00 5.49%
Trade id #77297102
Max drawdown($5,595)
Time10/26/12 2:01
Quant open10
Worst price3369.00
Drawdown as % of equity-5.49%
($3,680)
Includes Typical Broker Commissions trade costs of $80.00
10/23/12 11:37 MTX2 CAC40 SHORT 1 3405.50 10/24 3:04 3422.50 0.23%
Trade id #77284718
Max drawdown($235)
Time10/24/12 2:01
Quant open-1
Worst price3429.00
Drawdown as % of equity-0.23%
($194)
Includes Typical Broker Commissions trade costs of $8.00
10/17/12 12:41 MTX2 CAC40 LONG 8 3525.42 10/23 11:37 3404.50 12.15%
Trade id #77192905
Max drawdown($12,533)
Time10/23/12 11:37
Quant open0
Worst price3404.50
Drawdown as % of equity-12.15%
($10,633)
Includes Typical Broker Commissions trade costs of $64.00
10/17/12 3:09 MTX2 CAC40 SHORT 2 3507.00 10/17 12:33 3524.50 0.39%
Trade id #77182700
Max drawdown($459)
Time10/17/12 12:33
Quant open0
Worst price3524.50
Drawdown as % of equity-0.39%
($398)
Includes Typical Broker Commissions trade costs of $16.00
10/11/12 3:06 MTV2 CAC40 LONG 3 3358.50 10/16 9:04 3465.50 0.08%
Trade id #77079011
Max drawdown($90)
Time10/11/12 3:10
Quant open3
Worst price3355.50
Drawdown as % of equity-0.08%
$3,483
Includes Typical Broker Commissions trade costs of $24.00
10/8/12 3:03 MTV2 CAC40 SHORT 6 3406.17 10/11 3:04 3379.75 0.27%
Trade id #77001908
Max drawdown($300)
Time10/8/12 10:44
Quant open-4
Worst price3428.00
Drawdown as % of equity-0.27%
$1,684
Includes Typical Broker Commissions trade costs of $48.00
10/1/12 11:38 MTV2 CAC40 LONG 6 3443.00 10/8 3:03 3417.58 1.78%
Trade id #76890930
Max drawdown($1,980)
Time10/8/12 3:03
Quant open1
Worst price3421.50
Drawdown as % of equity-1.78%
($1,714)
Includes Typical Broker Commissions trade costs of $48.00
10/1/12 3:14 MTV2 CAC40 SHORT 1 3369.00 10/1 11:35 3434.50 0.75%
Trade id #76880544
Max drawdown($845)
Time10/1/12 11:35
Quant open0
Worst price3434.50
Drawdown as % of equity-0.75%
($724)
Includes Typical Broker Commissions trade costs of $8.00
9/19/12 3:06 MTV2 CAC40 LONG 20 3496.35 10/1 3:03 3383.82 25.55%
Trade id #76677711
Max drawdown($28,905)
Time10/1/12 3:03
Quant open18
Worst price3359.50
Drawdown as % of equity-25.55%
($24,749)
Includes Typical Broker Commissions trade costs of $160.00
8/31/12 11:43 MTU2 CAC40 SHORT 14 3410.61 9/19 3:01 3525.54 15.7%
Trade id #76363068
Max drawdown($21,566)
Time9/12/12 4:51
Quant open-13
Worst price3576.50
Drawdown as % of equity-15.70%
($17,692)
Includes Typical Broker Commissions trade costs of $112.00
8/16/12 3:45 MTU2 CAC40 LONG 14 3438.29 8/31 11:37 3373.70 6.97%
Trade id #76041626
Max drawdown($11,384)
Time8/31/12 11:37
Quant open13
Worst price3408.75
Drawdown as % of equity-6.97%
($9,992)
Includes Typical Broker Commissions trade costs of $112.00
8/10/12 11:37 MTQ2 CAC40 LONG 8 3431.70 8/16 3:44 3441.83 1.02%
Trade id #75939313
Max drawdown($1,776)
Time8/13/12 11:07
Quant open8
Worst price3409.50
Drawdown as % of equity-1.02%
$821
Includes Typical Broker Commissions trade costs of $64.00
7/27/12 11:38 MTQ2 CAC40 SHORT 9 3282.52 8/3 11:49 3330.90 5%
Trade id #75614496
Max drawdown($8,593)
Time8/2/12 8:36
Quant open-9
Worst price3378.00
Drawdown as % of equity-5.00%
($4,829)
Includes Typical Broker Commissions trade costs of $72.00
7/19/12 3:13 MTQ2 CAC40 SHORT 16 3243.38 7/25 3:05 3114.22 2.59%
Trade id #75372959
Max drawdown($3,875)
Time7/19/12 12:27
Quant open-15
Worst price3272.00
Drawdown as % of equity-2.59%
$22,451
Includes Typical Broker Commissions trade costs of $128.00
7/9/12 3:12 MTN2 CAC40 LONG 15 3165.73 7/19 3:07 3239.90 4.91%
Trade id #75089625
Max drawdown($6,570)
Time7/12/12 10:28
Quant open14
Worst price3117.50
Drawdown as % of equity-4.91%
$12,035
Includes Typical Broker Commissions trade costs of $120.00
6/29/12 12:02 MTN2 CAC40 SHORT 13 3227.92 7/9 3:06 3163.50 5.95%
Trade id #74940485
Max drawdown($7,305)
Time7/5/12 7:47
Quant open-12
Worst price3290.00
Drawdown as % of equity-5.95%
$9,047
Includes Typical Broker Commissions trade costs of $104.00
6/25/12 3:04 MTN2 CAC40 LONG 12 3049.33 6/29 11:53 3179.62 5.57%
Trade id #74796165
Max drawdown($5,920)
Time6/26/12 11:12
Quant open12
Worst price3000.00
Drawdown as % of equity-5.57%
$16,987
Includes Typical Broker Commissions trade costs of $96.00

Statistics

  • Strategy began
    4/10/2012
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2968.85
  • Age
    99 months ago
  • What it trades
    Futures
  • # Trades
    37
  • # Profitable
    18
  • % Profitable
    48.60%
  • Avg trade duration
    5.3 days
  • Max peak-to-valley drawdown
    68.3%
  • drawdown period
    Aug 02, 2012 - Dec 07, 2012
  • Annual return (compounded)
    4.0%
  • Avg win
    $7,875
  • Avg loss
    $5,454
  • Model Account Values (Raw)
  • Cash
    $138,120
  • Margin Used
    $0
  • Buying Power
    $138,120
  • Ratios
  • W:L ratio
    1.37:1
  • Sharpe Ratio
    0.14
  • Sortino Ratio
    0.3
  • Calmar Ratio
    0.21
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    17.63%
  • Correlation to SP500
    -0.01380
  • Return Percent SP500 (cumu) during strategy life
    122.31%
  • Return Statistics
  • Ann Return (w trading costs)
    43.6%
  • Slump
  • Current Slump as Pcnt Equity
    0.41%
  • 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
  • Return Statistics
  • Return Pcnt Since TOS Status
    0.070%
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    74.00%
  • Chance of 20% account loss
    51.50%
  • Chance of 30% account loss
    33.00%
  • Chance of 40% account loss
    8.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    3.00%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $7,875
  • Avg Loss
    $5,454
  • Sum Trade PL (losers)
    $103,627.000
  • # Winners
    18
  • Num Months Winners
    23
  • Age
  • Num Months filled monthly returns table
    98
  • Win / Loss
  • Sum Trade PL (winners)
    $141,751.000
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    19
  • % Winners
    48.6%
  • Frequency
  • Avg Position Time (mins)
    7612.33
  • Avg Position Time (hrs)
    126.87
  • Avg Trade Length
    5.3 days
  • Last Trade Ago
    2701
  • Regression
  • Alpha
    0.01
  • Beta
    -0.02
  • Treynor Index
    -0.51
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    17.82
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.46
  • Avg(MAE) / Avg(PL) - All trades
    5.015
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    20.93
  • MAE:Equity, 95th Percentile Value for this strat
    0.46
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - Winning trades
    0.313
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.417
  • Hold-and-Hope Ratio
    0.199
  • 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)
    0.17700
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.03600
  • 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)
    127
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Summary Statistics

Strategy began
2012-04-10
Suggested Minimum Capital
$100,000
# Trades
37
# Profitable
18
% Profitable
48.6%
Correlation S&P500
-0.014
Sharpe Ratio
0.14
Sortino Ratio
0.30
Beta
-0.02
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.