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

Crude Oil Trader Z
(115023400)

Created by: CamVauban CamVauban
Started: 11/2017
Futures
Last trade: 2 days ago
Trading style: Futures Short Term

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $190.00 per month.

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.

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
84.5%
Annual Return (Compounded)

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 marked-to-market equity calculations.

All results are hypothetical.

(18.2%)
Max Drawdown
292
Num Trades
51.0%
Win Trades
1.4 : 1
Profit Factor
65.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                                      +0.5%+8.1%+8.7%
2018(0.4%)+33.9%(8.7%)+19.3%+14.9%+1.4%(9.5%)(3.3%)+2.1%  -  +7.1%+19.3%+93.1%
2019+3.0%+11.0%(3.1%)(7.2%)+6.6%+13.4%                                    +24.2%

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

This strategy has placed 589 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/14/19 4:31 QCLN9 CRUDE OIL LONG 2 51.92 6/14 15:59 52.50 0.04%
Trade id #124080665
Max drawdown($35)
Time6/14/19 5:48
Quant open2
Worst price51.90
Drawdown as % of equity-0.04%
$1,158
Includes Typical Broker Commissions trade costs of $16.00
6/13/19 15:29 QCLN9 CRUDE OIL LONG 2 52.20 6/13 15:59 52.17 0.16%
Trade id #124074170
Max drawdown($133)
Time6/13/19 15:41
Quant open2
Worst price52.13
Drawdown as % of equity-0.16%
($62)
Includes Typical Broker Commissions trade costs of $16.00
6/13/19 9:08 QCLN9 CRUDE OIL LONG 2 52.81 6/13 11:58 51.98 1.92%
Trade id #124064159
Max drawdown($1,659)
Time6/13/19 11:58
Quant open1
Worst price51.98
Drawdown as % of equity-1.92%
($1,675)
Includes Typical Broker Commissions trade costs of $16.00
6/12/19 7:11 QCLN9 CRUDE OIL SHORT 2 51.85 6/12 14:34 50.78 1.31%
Trade id #124046833
Max drawdown($1,103)
Time6/12/19 10:31
Quant open-2
Worst price52.40
Drawdown as % of equity-1.31%
$2,112
Includes Typical Broker Commissions trade costs of $16.00
6/11/19 2:38 QCLN9 CRUDE OIL SHORT 2 53.77 6/11 15:59 53.31 0.64%
Trade id #124022369
Max drawdown($536)
Time6/11/19 8:42
Quant open-2
Worst price54.04
Drawdown as % of equity-0.64%
$912
Includes Typical Broker Commissions trade costs of $16.00
6/7/19 6:25 QCLN9 CRUDE OIL LONG 2 53.18 6/7 11:55 54.25 1.37%
Trade id #123974424
Max drawdown($1,127)
Time6/7/19 9:26
Quant open2
Worst price52.62
Drawdown as % of equity-1.37%
$2,116
Includes Typical Broker Commissions trade costs of $16.00
6/5/19 12:21 QCLN9 CRUDE OIL LONG 2 51.16 6/5 14:08 52.21 0%
Trade id #123951333
Max drawdown($3)
Time6/5/19 12:54
Quant open2
Worst price51.16
Drawdown as % of equity-0.00%
$2,079
Includes Typical Broker Commissions trade costs of $16.00
6/5/19 3:05 QCLN9 CRUDE OIL LONG 2 53.01 6/5 10:30 52.20 2.03%
Trade id #123942929
Max drawdown($1,634)
Time6/5/19 10:30
Quant open1
Worst price52.19
Drawdown as % of equity-2.03%
($1,650)
Includes Typical Broker Commissions trade costs of $16.00
6/3/19 8:28 QCLN9 CRUDE OIL SHORT 2 54.36 6/3 11:19 53.28 0.69%
Trade id #123909712
Max drawdown($541)
Time6/3/19 8:58
Quant open-2
Worst price54.63
Drawdown as % of equity-0.69%
$2,150
Includes Typical Broker Commissions trade costs of $16.00
6/2/19 18:24 QCLN9 CRUDE OIL LONG 2 52.27 6/3 5:07 53.32 0.37%
Trade id #123903864
Max drawdown($282)
Time6/2/19 18:29
Quant open2
Worst price52.13
Drawdown as % of equity-0.37%
$2,076
Includes Typical Broker Commissions trade costs of $16.00
5/31/19 14:36 QCLN9 CRUDE OIL LONG 2 53.54 5/31 15:59 53.26 1.27%
Trade id #123893434
Max drawdown($981)
Time5/31/19 15:20
Quant open2
Worst price53.05
Drawdown as % of equity-1.27%
($584)
Includes Typical Broker Commissions trade costs of $16.00
5/31/19 6:36 QCLN9 CRUDE OIL SHORT 2 55.36 5/31 13:27 54.29 0.91%
Trade id #123885481
Max drawdown($689)
Time5/31/19 7:37
Quant open-2
Worst price55.70
Drawdown as % of equity-0.91%
$2,119
Includes Typical Broker Commissions trade costs of $16.00
5/30/19 14:26 QCLN9 CRUDE OIL LONG 2 56.59 5/30 15:59 56.51 0.68%
Trade id #123879165
Max drawdown($514)
Time5/30/19 14:55
Quant open2
Worst price56.33
Drawdown as % of equity-0.68%
($168)
Includes Typical Broker Commissions trade costs of $16.00
5/30/19 12:17 QCLN9 CRUDE OIL LONG 2 57.55 5/30 14:18 56.71 2.15%
Trade id #123877253
Max drawdown($1,666)
Time5/30/19 14:18
Quant open1
Worst price56.71
Drawdown as % of equity-2.15%
($1,682)
Includes Typical Broker Commissions trade costs of $16.00
5/30/19 11:08 QCLN9 CRUDE OIL LONG 2 58.25 5/30 12:08 57.43 2.12%
Trade id #123875354
Max drawdown($1,642)
Time5/30/19 12:08
Quant open1
Worst price57.42
Drawdown as % of equity-2.12%
($1,658)
Includes Typical Broker Commissions trade costs of $16.00
5/30/19 4:16 QCLN9 CRUDE OIL SHORT 2 59.51 5/30 11:00 58.44 n/a $2,125
Includes Typical Broker Commissions trade costs of $16.00
5/29/19 11:19 QCLN9 CRUDE OIL LONG 2 57.55 5/29 13:10 58.60 1.79%
Trade id #123861068
Max drawdown($1,332)
Time5/29/19 11:44
Quant open2
Worst price56.88
Drawdown as % of equity-1.79%
$2,092
Includes Typical Broker Commissions trade costs of $16.00
5/28/19 13:55 QCLN9 CRUDE OIL SHORT 2 59.35 5/28 15:59 58.85 0.16%
Trade id #123847895
Max drawdown($120)
Time5/28/19 13:59
Quant open-2
Worst price59.41
Drawdown as % of equity-0.16%
$990
Includes Typical Broker Commissions trade costs of $16.00
5/23/19 22:52 QCLN9 CRUDE OIL SHORT 2 58.48 5/24 15:59 58.84 1.35%
Trade id #123805368
Max drawdown($1,001)
Time5/24/19 9:12
Quant open-2
Worst price58.98
Drawdown as % of equity-1.35%
($746)
Includes Typical Broker Commissions trade costs of $16.00
5/22/19 13:39 QCLN9 CRUDE OIL LONG 2 61.18 5/22 15:59 61.26 0.12%
Trade id #123783165
Max drawdown($86)
Time5/22/19 13:43
Quant open2
Worst price61.14
Drawdown as % of equity-0.12%
$137
Includes Typical Broker Commissions trade costs of $16.00
5/21/19 21:16 QCLN9 CRUDE OIL LONG 2 62.66 5/22 10:40 61.82 2.23%
Trade id #123761222
Max drawdown($1,686)
Time5/22/19 10:40
Quant open1
Worst price61.81
Drawdown as % of equity-2.23%
($1,702)
Includes Typical Broker Commissions trade costs of $16.00
5/21/19 12:05 QCLN9 CRUDE OIL LONG 2 62.91 5/21 15:59 63.11 0.2%
Trade id #123755435
Max drawdown($149)
Time5/21/19 12:09
Quant open2
Worst price62.84
Drawdown as % of equity-0.20%
$370
Includes Typical Broker Commissions trade costs of $16.00
5/20/19 6:31 QCLN9 CRUDE OIL LONG 2 63.02 5/20 15:59 63.24 1.1%
Trade id #123734285
Max drawdown($830)
Time5/20/19 9:07
Quant open2
Worst price62.60
Drawdown as % of equity-1.10%
$442
Includes Typical Broker Commissions trade costs of $16.00
5/16/19 11:02 QCLN9 CRUDE OIL SHORT 2 63.56 5/16 15:59 63.25 0.36%
Trade id #123695864
Max drawdown($267)
Time5/16/19 11:27
Quant open-2
Worst price63.69
Drawdown as % of equity-0.36%
$587
Includes Typical Broker Commissions trade costs of $16.00
5/15/19 23:07 QCLN9 CRUDE OIL SHORT 2 62.56 5/16 10:42 63.40 2.24%
Trade id #123689087
Max drawdown($1,673)
Time5/16/19 10:42
Quant open1
Worst price63.40
Drawdown as % of equity-2.24%
($1,689)
Includes Typical Broker Commissions trade costs of $16.00
5/15/19 12:16 QCLM9 CRUDE OIL SHORT 2 62.10 5/15 15:59 62.22 0.49%
Trade id #123683150
Max drawdown($372)
Time5/15/19 15:12
Quant open-2
Worst price62.29
Drawdown as % of equity-0.49%
($249)
Includes Typical Broker Commissions trade costs of $16.00
5/13/19 9:37 QCLM9 CRUDE OIL SHORT 2 63.10 5/13 11:04 62.01 0.62%
Trade id #123642142
Max drawdown($461)
Time5/13/19 9:49
Quant open-2
Worst price63.33
Drawdown as % of equity-0.62%
$2,161
Includes Typical Broker Commissions trade costs of $16.00
5/12/19 20:13 QCLM9 CRUDE OIL LONG 2 61.36 5/13 4:51 62.41 0.17%
Trade id #123636387
Max drawdown($122)
Time5/12/19 21:01
Quant open2
Worst price61.30
Drawdown as % of equity-0.17%
$2,092
Includes Typical Broker Commissions trade costs of $16.00
5/9/19 9:15 QCLM9 CRUDE OIL LONG 2 61.61 5/9 15:59 61.57 1.94%
Trade id #123587411
Max drawdown($1,383)
Time5/9/19 10:41
Quant open2
Worst price60.92
Drawdown as % of equity-1.94%
($97)
Includes Typical Broker Commissions trade costs of $16.00
5/8/19 11:18 QCLM9 CRUDE OIL SHORT 2 62.21 5/8 15:59 61.93 0.45%
Trade id #123574911
Max drawdown($320)
Time5/8/19 11:25
Quant open-2
Worst price62.37
Drawdown as % of equity-0.45%
$548
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    11/25/2017
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    567.75
  • Age
    19 months ago
  • What it trades
    Futures
  • # Trades
    292
  • # Profitable
    149
  • % Profitable
    51.00%
  • Avg trade duration
    5.1 hours
  • Max peak-to-valley drawdown
    18.16%
  • drawdown period
    June 14, 2018 - Oct 12, 2018
  • Annual Return (Compounded)
    84.5%
  • Avg win
    $1,254
  • Avg loss
    $912.61
  • Model Account Values (Raw)
  • Cash
    $86,387
  • Margin Used
    $0
  • Buying Power
    $86,387
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    1.97
  • Sortino Ratio
    3.6
  • Calmar Ratio
    6.996
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.02810
  • Return Statistics
  • Ann Return (w trading costs)
    84.5%
  • Ann Return (Compnd, No Fees)
    97.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    21.50%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    951
  • Popularity (Last 6 weeks)
    987
  • C2 Score
    96.5
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $913
  • Avg Win
    $1,254
  • # Winners
    149
  • # Losers
    143
  • % Winners
    51.0%
  • Frequency
  • Avg Position Time (mins)
    306.83
  • Avg Position Time (hrs)
    5.11
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.44
  • Daily leverage (max)
    7.91
  • Unknown
  • Alpha
    0.17
  • Beta
    0.05
  • Treynor Index
    3.58
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73926
  • SD
    0.31020
  • Sharpe ratio (Glass type estimate)
    2.38316
  • Sharpe ratio (Hedges UMVUE)
    2.27618
  • df
    17.00000
  • t
    2.91876
  • p
    0.15381
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56834
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14202
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50239
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04997
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.96995
  • Upside Potential Ratio
    9.17806
  • Upside part of mean
    0.85132
  • Downside part of mean
    -0.11206
  • Upside SD
    0.35752
  • Downside SD
    0.09276
  • N nonnegative terms
    13.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.04814
  • Mean of criterion
    0.73926
  • SD of predictor
    0.11695
  • SD of criterion
    0.31020
  • Covariance
    0.00090
  • r
    0.02473
  • b (slope, estimate of beta)
    0.06558
  • a (intercept, estimate of alpha)
    0.73610
  • Mean Square Error
    0.10218
  • DF error
    16.00000
  • t(b)
    0.09893
  • p(b)
    0.48764
  • t(a)
    2.79954
  • p(a)
    0.21330
  • Lowerbound of 95% confidence interval for beta
    -1.33969
  • Upperbound of 95% confidence interval for beta
    1.47086
  • Lowerbound of 95% confidence interval for alpha
    0.17870
  • Upperbound of 95% confidence interval for alpha
    1.29350
  • Treynor index (mean / b)
    11.27210
  • Jensen alpha (a)
    0.73610
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67562
  • SD
    0.29165
  • Sharpe ratio (Glass type estimate)
    2.31659
  • Sharpe ratio (Hedges UMVUE)
    2.21260
  • df
    17.00000
  • t
    2.83724
  • p
    0.15950
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51203
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.06619
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44792
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.97728
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.92636
  • Upside Potential Ratio
    8.11959
  • Upside part of mean
    0.79202
  • Downside part of mean
    -0.11639
  • Upside SD
    0.32993
  • Downside SD
    0.09754
  • N nonnegative terms
    13.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.04153
  • Mean of criterion
    0.67562
  • SD of predictor
    0.11655
  • SD of criterion
    0.29165
  • Covariance
    0.00049
  • r
    0.01454
  • b (slope, estimate of beta)
    0.03639
  • a (intercept, estimate of alpha)
    0.67411
  • Mean Square Error
    0.09035
  • DF error
    16.00000
  • t(b)
    0.05817
  • p(b)
    0.49273
  • t(a)
    2.73140
  • p(a)
    0.21804
  • Lowerbound of 95% confidence interval for beta
    -1.28968
  • Upperbound of 95% confidence interval for beta
    1.36245
  • Lowerbound of 95% confidence interval for alpha
    0.15092
  • Upperbound of 95% confidence interval for alpha
    1.19731
  • Treynor index (mean / b)
    18.56750
  • Jensen alpha (a)
    0.67411
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07889
  • Expected Shortfall on VaR
    0.11031
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01349
  • Expected Shortfall on VaR
    0.03304
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.89410
  • Quartile 1
    0.99674
  • Median
    1.04243
  • Quartile 3
    1.12532
  • Maximum
    1.20645
  • Mean of quarter 1
    0.96871
  • Mean of quarter 2
    1.01342
  • Mean of quarter 3
    1.09097
  • Mean of quarter 4
    1.17794
  • Inter Quartile Range
    0.12858
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.00285
  • VaR(95%) (moments method)
    0.03118
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.88144
  • VaR(95%) (regression method)
    0.05693
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03827
  • Quartile 1
    0.05637
  • Median
    0.07448
  • Quartile 3
    0.09258
  • Maximum
    0.11069
  • Mean of quarter 1
    0.03827
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11069
  • Inter Quartile Range
    0.03621
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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)
    1.24855
  • Compounded annual return (geometric extrapolation)
    1.02088
  • Calmar ratio (compounded annual return / max draw down)
    9.22293
  • Compounded annual return / average of 25% largest draw downs
    9.22293
  • Compounded annual return / Expected Shortfall lognormal
    9.25496
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70954
  • SD
    0.25846
  • Sharpe ratio (Glass type estimate)
    2.74526
  • Sharpe ratio (Hedges UMVUE)
    2.74000
  • df
    392.00000
  • t
    3.36224
  • p
    0.00042
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.13176
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.35536
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.35176
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.09975
  • Upside Potential Ratio
    13.00520
  • Upside part of mean
    1.80944
  • Downside part of mean
    -1.09990
  • Upside SD
    0.22180
  • Downside SD
    0.13913
  • N nonnegative terms
    169.00000
  • N negative terms
    224.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    393.00000
  • Mean of predictor
    0.05391
  • Mean of criterion
    0.70954
  • SD of predictor
    0.15729
  • SD of criterion
    0.25846
  • Covariance
    0.00159
  • r
    0.03921
  • b (slope, estimate of beta)
    0.06443
  • a (intercept, estimate of alpha)
    0.70600
  • Mean Square Error
    0.06687
  • DF error
    391.00000
  • t(b)
    0.77592
  • p(b)
    0.21913
  • t(a)
    3.34333
  • p(a)
    0.00045
  • Lowerbound of 95% confidence interval for beta
    -0.09883
  • Upperbound of 95% confidence interval for beta
    0.22769
  • Lowerbound of 95% confidence interval for alpha
    0.29086
  • Upperbound of 95% confidence interval for alpha
    1.12127
  • Treynor index (mean / b)
    11.01240
  • Jensen alpha (a)
    0.70607
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67562
  • SD
    0.25630
  • Sharpe ratio (Glass type estimate)
    2.63611
  • Sharpe ratio (Hedges UMVUE)
    2.63107
  • df
    392.00000
  • t
    3.22857
  • p
    0.00067
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.02359
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24540
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02020
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.24193
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.79939
  • Upside Potential Ratio
    12.68170
  • Upside part of mean
    1.78524
  • Downside part of mean
    -1.10962
  • Upside SD
    0.21782
  • Downside SD
    0.14077
  • N nonnegative terms
    169.00000
  • N negative terms
    224.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    393.00000
  • Mean of predictor
    0.04153
  • Mean of criterion
    0.67562
  • SD of predictor
    0.15759
  • SD of criterion
    0.25630
  • Covariance
    0.00151
  • r
    0.03728
  • b (slope, estimate of beta)
    0.06062
  • a (intercept, estimate of alpha)
    0.67311
  • Mean Square Error
    0.06576
  • DF error
    391.00000
  • t(b)
    0.73762
  • p(b)
    0.23059
  • t(a)
    3.21424
  • p(a)
    0.00071
  • Lowerbound of 95% confidence interval for beta
    -0.10096
  • Upperbound of 95% confidence interval for beta
    0.22221
  • Lowerbound of 95% confidence interval for alpha
    0.26139
  • Upperbound of 95% confidence interval for alpha
    1.08483
  • Treynor index (mean / b)
    11.14440
  • Jensen alpha (a)
    0.67311
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02319
  • Expected Shortfall on VaR
    0.02962
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01049
  • Expected Shortfall on VaR
    0.02017
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    393.00000
  • Minimum
    0.95806
  • Quartile 1
    0.99428
  • Median
    1.00000
  • Quartile 3
    1.01014
  • Maximum
    1.07825
  • Mean of quarter 1
    0.98502
  • Mean of quarter 2
    0.99854
  • Mean of quarter 3
    1.00343
  • Mean of quarter 4
    1.02445
  • Inter Quartile Range
    0.01586
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.01272
  • Mean of outliers low
    0.96227
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.03308
  • Mean of outliers high
    1.04797
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.35871
  • VaR(95%) (moments method)
    0.01385
  • Expected Shortfall (moments method)
    0.01661
  • Extreme Value Index (regression method)
    -0.15602
  • VaR(95%) (regression method)
    0.01605
  • Expected Shortfall (regression method)
    0.02092
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00540
  • Median
    0.02743
  • Quartile 3
    0.05653
  • Maximum
    0.14593
  • Mean of quarter 1
    0.00260
  • Mean of quarter 2
    0.01594
  • Mean of quarter 3
    0.04632
  • Mean of quarter 4
    0.11381
  • Inter Quartile Range
    0.05113
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    0.14593
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -37.05090
  • VaR(95%) (moments method)
    0.10683
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.90191
  • VaR(95%) (regression method)
    0.09183
  • Expected Shortfall (regression method)
    0.09628
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.24855
  • Compounded annual return (geometric extrapolation)
    1.02088
  • Calmar ratio (compounded annual return / max draw down)
    6.99551
  • Compounded annual return / average of 25% largest draw downs
    8.96985
  • Compounded annual return / Expected Shortfall lognormal
    34.46860
  • 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
  • Mean
    0.55152
  • SD
    0.23135
  • Sharpe ratio (Glass type estimate)
    2.38396
  • Sharpe ratio (Hedges UMVUE)
    2.37018
  • df
    130.00000
  • t
    1.68571
  • p
    0.42687
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16639
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15692
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.09575
  • Upside Potential Ratio
    11.93870
  • Upside part of mean
    1.60763
  • Downside part of mean
    -1.05610
  • Upside SD
    0.19011
  • Downside SD
    0.13466
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16600
  • Mean of criterion
    0.55152
  • SD of predictor
    0.15928
  • SD of criterion
    0.23135
  • Covariance
    0.00082
  • r
    0.02230
  • b (slope, estimate of beta)
    0.03238
  • a (intercept, estimate of alpha)
    0.54614
  • Mean Square Error
    0.05391
  • DF error
    129.00000
  • t(b)
    0.25330
  • p(b)
    0.48581
  • t(a)
    1.65980
  • p(a)
    0.40827
  • Lowerbound of 95% confidence interval for beta
    -0.22057
  • Upperbound of 95% confidence interval for beta
    0.28534
  • Lowerbound of 95% confidence interval for alpha
    -0.10487
  • Upperbound of 95% confidence interval for alpha
    1.19716
  • Treynor index (mean / b)
    17.03050
  • Jensen alpha (a)
    0.54614
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52453
  • SD
    0.23030
  • Sharpe ratio (Glass type estimate)
    2.27754
  • Sharpe ratio (Hedges UMVUE)
    2.26437
  • df
    130.00000
  • t
    1.61046
  • p
    0.43007
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51231
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.05877
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52107
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.04981
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.84949
  • Upside Potential Ratio
    11.66700
  • Upside part of mean
    1.58973
  • Downside part of mean
    -1.06520
  • Upside SD
    0.18740
  • Downside SD
    0.13626
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15340
  • Mean of criterion
    0.52453
  • SD of predictor
    0.15878
  • SD of criterion
    0.23030
  • Covariance
    0.00083
  • r
    0.02272
  • b (slope, estimate of beta)
    0.03296
  • a (intercept, estimate of alpha)
    0.51947
  • Mean Square Error
    0.05342
  • DF error
    129.00000
  • t(b)
    0.25815
  • p(b)
    0.48554
  • t(a)
    1.58636
  • p(a)
    0.41222
  • Lowerbound of 95% confidence interval for beta
    -0.21965
  • Upperbound of 95% confidence interval for beta
    0.28557
  • Lowerbound of 95% confidence interval for alpha
    -0.12842
  • Upperbound of 95% confidence interval for alpha
    1.16736
  • Treynor index (mean / b)
    15.91440
  • Jensen alpha (a)
    0.51947
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02117
  • Expected Shortfall on VaR
    0.02696
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00941
  • Expected Shortfall on VaR
    0.01844
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95806
  • Quartile 1
    0.99387
  • Median
    1.00000
  • Quartile 3
    1.00801
  • Maximum
    1.04921
  • Mean of quarter 1
    0.98553
  • Mean of quarter 2
    0.99868
  • Mean of quarter 3
    1.00362
  • Mean of quarter 4
    1.02106
  • Inter Quartile Range
    0.01413
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96135
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.03616
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.43345
  • VaR(95%) (moments method)
    0.01400
  • Expected Shortfall (moments method)
    0.01640
  • Extreme Value Index (regression method)
    -0.04527
  • VaR(95%) (regression method)
    0.01465
  • Expected Shortfall (regression method)
    0.01951
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00340
  • Quartile 1
    0.00743
  • Median
    0.03189
  • Quartile 3
    0.10114
  • Maximum
    0.12036
  • Mean of quarter 1
    0.00391
  • Mean of quarter 2
    0.01644
  • Mean of quarter 3
    0.04734
  • Mean of quarter 4
    0.11972
  • Inter Quartile Range
    0.09371
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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)
    0.63627
  • Compounded annual return (geometric extrapolation)
    0.73747
  • Calmar ratio (compounded annual return / max draw down)
    6.12738
  • Compounded annual return / average of 25% largest draw downs
    6.16015
  • Compounded annual return / Expected Shortfall lognormal
    27.35170

Strategy Description

Daytrades NYMEX Crude Oil using Pattern Recognition algorithm. Automated on NinjaTrader platform.. Trades 22 hrs 5 days a week.

Summary Statistics

Strategy began
2017-11-25
Suggested Minimum Capital
$80,000
# Trades
292
# Profitable
149
% Profitable
51.0%
Correlation S&P500
0.028
Sharpe Ratio
1.97
Sortino Ratio
3.60
Beta
0.05
Alpha
0.17
Leverage
2.44 Average
7.91 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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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 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.