Ethos MES Day Trade
(130717313)
Subscription terms. Subscriptions to this system cost $125.00 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.
Momentum
Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).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.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2020 | +1.4% | (1.6%) | +1.7% | (2%) | - | (0.6%) | |||||||
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.
Started | $50,000 | |
Buy Power | $51,050 | |
Cash | $51,050 | |
Equity | $0 | |
Cumulative $ | $1,050 | |
Total System Equity | $51,050 | |
Margined | $0 | |
Open P/L | $0 |
Trading Record
Statistics
-
Strategy began8/20/2020
-
Suggested Minimum Cap$50,000
-
Strategy Age (days)1342.49
-
Age45 months ago
-
What it tradesFutures
-
# Trades138
-
# Profitable56
-
% Profitable40.60%
-
Avg trade duration2.5 hours
-
Max peak-to-valley drawdown9.04%
-
drawdown periodSept 17, 2020 - Oct 19, 2020
-
Annual Return (Compounded)-0.2%
-
Avg win$286.61
-
Avg loss$183.01
- Model Account Values (Raw)
-
Cash$51,050
-
Margin Used$0
-
Buying Power$51,050
- Ratios
-
W:L ratio1.07:1
-
Sharpe Ratio-0.52
-
Sortino Ratio-0.74
-
Calmar Ratio0.361
- CORRELATION STATISTICS
-
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-50.42%
-
Correlation to SP5000.03040
-
Return Percent SP500 (cumu) during strategy life49.80%
- Verified
-
C2Star0
- Return Statistics
-
Ann Return (w trading costs)-0.2%
- Slump
-
Current Slump as Pcnt Equity9.10%
- Instruments
-
Percent Trades Futures1.00%
- Slump
-
Current Slump, time of slump as pcnt of strategy life0.98%
- Return Statistics
-
Return Pcnt Since TOS Statusn/a
- Instruments
-
Short Options - Percent Covered100.00%
- Return Statistics
-
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.002%
- Instruments
-
Percent Trades Optionsn/a
-
Percent Trades Stocksn/a
-
Percent Trades Forexn/a
- Return Statistics
-
Ann Return (Compnd, No Fees)0.6%
- Risk of Ruin (Monte-Carlo)
-
Chance of 10% account loss4.00%
-
Chance of 20% account lossn/a
-
Chance of 30% account lossn/a
-
Chance of 40% account lossn/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
- Automation
-
Percentage Signals Automated99.28%
- Risk of Ruin (Monte-Carlo)
-
Chance of 50% account lossn/a
- Popularity
-
Popularity (Today)0
-
Popularity (Last 6 weeks)0
- Trading Style
-
Any stock shorts? 0/10
- Popularity
-
Popularity (7 days, Percentile 1000 scale)0
- Trades-Own-System Certification
-
Trades Own System?-
-
TOS percentn/a
- Win / Loss
-
Avg Loss$183
-
Avg Win$287
-
Sum Trade PL (losers)$15,007.000
- Age
-
Num Months filled monthly returns table45
- Win / Loss
-
Sum Trade PL (winners)$16,050.000
-
# Winners56
-
Num Months Winners2
- Dividends
-
Dividends Received in Model Acct0
- Win / Loss
-
# Losers82
-
% Winners40.6%
- Frequency
-
Avg Position Time (mins)147.65
-
Avg Position Time (hrs)2.46
-
Avg Trade Length0.1 days
-
Last Trade Ago1254
- Leverage
-
Daily leverage (average)2.56
-
Daily leverage (max)6.61
- Regression
-
Alpha-0.01
-
Beta0.01
-
Treynor Index-0.95
- Maximum Adverse Excursion (MAE)
-
MAE:Equity, average, all trades0.00
-
MAE:PL - worst single value for strategy-
-
MAE:PL (avg, winning trades)-
-
MAE:PL (avg, losing trades)-
-
MAE:PL (avg, all trades)-0.61
-
MAE:Equity, average, winning trades0.00
-
MAE:Equity, average, losing trades0.00
-
Avg(MAE) / Avg(PL) - All trades-15.268
-
MAE:Equity, losing trades only, 95th Percentile Value for this strat-
-
MAE:Equity, win trades only, 95th Percentile Value for this strat-
-
MAE:Equity, 95th Percentile Value for this strat0.00
-
Avg(MAE) / Avg(PL) - Winning trades0.715
-
Avg(MAE) / Avg(PL) - Losing trades-1.371
-
Hold-and-Hope Ratio-0.065
- Analysis based on MONTHLY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.00269
-
SD0.07356
-
Sharpe ratio (Glass type estimate)0.03662
-
Sharpe ratio (Hedges UMVUE)0.03253
-
df7.00000
-
t0.02990
-
p0.48849
-
Lowerbound of 95% confidence interval for Sharpe Ratio-2.36518
-
Upperbound of 95% confidence interval for Sharpe Ratio2.43589
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.36799
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.43304
- Statistics related to Sortino ratio
-
Sortino ratio0.07243
-
Upside Potential Ratio1.90634
-
Upside part of mean0.07091
-
Downside part of mean-0.06822
-
Upside SD0.05790
-
Downside SD0.03720
-
N nonnegative terms1.00000
-
N negative terms7.00000
- Statistics related to linear regression on benchmark
-
N of observations8.00000
-
Mean of predictor0.44989
-
Mean of criterion0.00269
-
SD of predictor0.36924
-
SD of criterion0.07356
-
Covariance-0.00634
-
r-0.23324
-
b (slope, estimate of beta)-0.04647
-
a (intercept, estimate of alpha)0.02360
-
Mean Square Error0.00597
-
DF error6.00000
-
t(b)-0.58753
-
p(b)0.71086
-
t(a)0.23343
-
p(a)0.41159
-
Lowerbound of 95% confidence interval for beta-0.24000
-
Upperbound of 95% confidence interval for beta0.14707
-
Lowerbound of 95% confidence interval for alpha-0.22379
-
Upperbound of 95% confidence interval for alpha0.27099
-
Treynor index (mean / b)-0.05797
-
Jensen alpha (a)0.02360
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.00037
-
SD0.07253
-
Sharpe ratio (Glass type estimate)0.00508
-
Sharpe ratio (Hedges UMVUE)0.00451
-
df7.00000
-
t0.00415
-
p0.49840
-
Lowerbound of 95% confidence interval for Sharpe Ratio-2.39549
-
Upperbound of 95% confidence interval for Sharpe Ratio2.40543
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.39595
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.40496
- Statistics related to Sortino ratio
-
Sortino ratio0.00978
-
Upside Potential Ratio1.83626
-
Upside part of mean0.06913
-
Downside part of mean-0.06876
-
Upside SD0.05644
-
Downside SD0.03765
-
N nonnegative terms1.00000
-
N negative terms7.00000
- Statistics related to linear regression on benchmark
-
N of observations8.00000
-
Mean of predictor0.38230
-
Mean of criterion0.00037
-
SD of predictor0.37076
-
SD of criterion0.07253
-
Covariance-0.00600
-
r-0.22316
-
b (slope, estimate of beta)-0.04366
-
a (intercept, estimate of alpha)0.01706
-
Mean Square Error0.00583
-
DF error6.00000
-
t(b)-0.56078
-
p(b)0.70237
-
t(a)0.17380
-
p(a)0.43387
-
Lowerbound of 95% confidence interval for beta-0.23415
-
Upperbound of 95% confidence interval for beta0.14683
-
Lowerbound of 95% confidence interval for alpha-0.22311
-
Upperbound of 95% confidence interval for alpha0.25722
-
Treynor index (mean / b)-0.00843
-
Jensen alpha (a)0.01706
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.03382
-
Expected Shortfall on VaR0.04221
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.01806
-
Expected Shortfall on VaR0.03168
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations8.00000
-
Minimum0.97270
-
Quartile 10.99953
-
Median1.00000
-
Quartile 31.00000
-
Maximum1.04960
-
Mean of quarter 10.98541
-
Mean of quarter 21.00000
-
Mean of quarter 31.00000
-
Mean of quarter 41.02480
-
Inter Quartile Range0.00047
-
Number outliers low2.00000
-
Percentage of outliers low0.25000
-
Mean of outliers low0.98541
-
Number of outliers high1.00000
-
Percentage of outliers high0.12500
-
Mean of outliers high1.04960
- Risk estimates for a one-period 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 observations1.00000
-
Minimum0.02913
-
Quartile 10.02913
-
Median0.02913
-
Quartile 30.02913
-
Maximum0.02913
-
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)0.02854
-
Compounded annual return (geometric extrapolation)0.02868
-
Calmar ratio (compounded annual return / max draw down)0.98457
-
Compounded annual return / average of 25% largest draw downs0.00000
-
Compounded annual return / Expected Shortfall lognormal0.67942
-
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-0.00029
-
SD0.06598
-
Sharpe ratio (Glass type estimate)-0.00435
-
Sharpe ratio (Hedges UMVUE)-0.00433
-
df193.00000
-
t-0.00374
-
p0.50017
-
Lowerbound of 95% confidence interval for Sharpe Ratio-2.28205
-
Upperbound of 95% confidence interval for Sharpe Ratio2.27336
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.28204
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.27338
- Statistics related to Sortino ratio
-
Sortino ratio-0.00648
-
Upside Potential Ratio5.43794
-
Upside part of mean0.24088
-
Downside part of mean-0.24117
-
Upside SD0.04867
-
Downside SD0.04430
-
N nonnegative terms29.00000
-
N negative terms165.00000
- Statistics related to linear regression on benchmark
-
N of observations194.00000
-
Mean of predictor0.58150
-
Mean of criterion-0.00029
-
SD of predictor0.36331
-
SD of criterion0.06598
-
Covariance0.00042
-
r0.01747
-
b (slope, estimate of beta)0.00317
-
a (intercept, estimate of alpha)-0.00200
-
Mean Square Error0.00437
-
DF error192.00000
-
t(b)0.24217
-
p(b)0.49126
-
t(a)-0.02761
-
p(a)0.50100
-
Lowerbound of 95% confidence interval for beta-0.02267
-
Upperbound of 95% confidence interval for beta0.02902
-
Lowerbound of 95% confidence interval for alpha-0.15449
-
Upperbound of 95% confidence interval for alpha0.15022
-
Treynor index (mean / b)-0.09039
-
Jensen alpha (a)-0.00213
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean-0.00245
-
SD0.06592
-
Sharpe ratio (Glass type estimate)-0.03716
-
Sharpe ratio (Hedges UMVUE)-0.03701
-
df193.00000
-
t-0.03198
-
p0.50147
-
Lowerbound of 95% confidence interval for Sharpe Ratio-2.31487
-
Upperbound of 95% confidence interval for Sharpe Ratio2.24055
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.31472
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.24069
- Statistics related to Sortino ratio
-
Sortino ratio-0.05498
-
Upside Potential Ratio5.37985
-
Upside part of mean0.23968
-
Downside part of mean-0.24213
-
Upside SD0.04836
-
Downside SD0.04455
-
N nonnegative terms29.00000
-
N negative terms165.00000
- Statistics related to linear regression on benchmark
-
N of observations194.00000
-
Mean of predictor0.51530
-
Mean of criterion-0.00245
-
SD of predictor0.36311
-
SD of criterion0.06592
-
Covariance0.00044
-
r0.01831
-
b (slope, estimate of beta)0.00332
-
a (intercept, estimate of alpha)-0.00416
-
Mean Square Error0.00437
-
DF error192.00000
-
t(b)0.25378
-
p(b)0.49084
-
t(a)-0.05400
-
p(a)0.50195
-
Lowerbound of 95% confidence interval for beta-0.02251
-
Upperbound of 95% confidence interval for beta0.02916
-
Lowerbound of 95% confidence interval for alpha-0.15622
-
Upperbound of 95% confidence interval for alpha0.14789
-
Treynor index (mean / b)-0.73681
-
Jensen alpha (a)-0.00416
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.00669
-
Expected Shortfall on VaR0.00837
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.00291
-
Expected Shortfall on VaR0.00607
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations194.00000
-
Minimum0.98211
-
Quartile 11.00000
-
Median1.00000
-
Quartile 31.00000
-
Maximum1.01866
-
Mean of quarter 10.99671
-
Mean of quarter 21.00000
-
Mean of quarter 31.00000
-
Mean of quarter 41.00370
-
Inter Quartile Range0.00000
-
Number outliers low28.00000
-
Percentage of outliers low0.14433
-
Mean of outliers low0.99425
-
Number of outliers high30.00000
-
Percentage of outliers high0.15464
-
Mean of outliers high1.00605
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)-3.56506
-
VaR(95%) (moments method)0.00163
-
Expected Shortfall (moments method)0.00166
-
Extreme Value Index (regression method)-0.04970
-
VaR(95%) (regression method)0.00337
-
Expected Shortfall (regression method)0.00598
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations4.00000
-
Minimum0.00734
-
Quartile 10.00792
-
Median0.00838
-
Quartile 30.02434
-
Maximum0.07137
-
Mean of quarter 10.00734
-
Mean of quarter 20.00811
-
Mean of quarter 30.00866
-
Mean of quarter 40.07137
-
Inter Quartile Range0.01642
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high1.00000
-
Percentage of outliers high0.25000
-
Mean of outliers high0.07137
- 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)0.02570
-
Compounded annual return (geometric extrapolation)0.02578
-
Calmar ratio (compounded annual return / max draw down)0.36128
-
Compounded annual return / average of 25% largest draw downs0.36128
-
Compounded annual return / Expected Shortfall lognormal3.07922
-
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-0.03219
-
SD0.00302
-
Sharpe ratio (Glass type estimate)-10.64030
-
Sharpe ratio (Hedges UMVUE)-10.57880
-
df130.00000
-
t-7.52380
-
p0.77539
-
Lowerbound of 95% confidence interval for Sharpe Ratio-13.68150
-
Upperbound of 95% confidence interval for Sharpe Ratio-7.56518
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-13.63430
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-7.52321
- Statistics related to Sortino ratio
-
Sortino ratio-8.91504
-
Upside Potential Ratio0.00000
-
Upside part of mean0.00000
-
Downside part of mean-0.03219
-
Upside SD0.00000
-
Downside SD0.00361
-
N nonnegative terms0.00000
-
N negative terms131.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.73555
-
Mean of criterion-0.03219
-
SD of predictor0.41715
-
SD of criterion0.00302
-
Covariance0.00006
-
r0.04946
-
b (slope, estimate of beta)0.00036
-
a (intercept, estimate of alpha)-0.03245
-
Mean Square Error0.00001
-
DF error129.00000
-
t(b)0.56244
-
p(b)0.46853
-
t(a)-7.52066
-
p(a)0.83270
-
Lowerbound of 95% confidence interval for beta-0.00090
-
Upperbound of 95% confidence interval for beta0.00162
-
Lowerbound of 95% confidence interval for alpha-0.04099
-
Upperbound of 95% confidence interval for alpha-0.02391
-
Treynor index (mean / b)-89.74240
-
Jensen alpha (a)-0.03245
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean-0.03219
-
SD0.00303
-
Sharpe ratio (Glass type estimate)-10.62990
-
Sharpe ratio (Hedges UMVUE)-10.56840
-
df130.00000
-
t-7.51647
-
p0.77520
-
Lowerbound of 95% confidence interval for Sharpe Ratio-13.67060
-
Upperbound of 95% confidence interval for Sharpe Ratio-7.55535
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-13.62350
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-7.51343
- Statistics related to Sortino ratio
-
Sortino ratio-8.90899
-
Upside Potential Ratio0.00000
-
Upside part of mean0.00000
-
Downside part of mean-0.03219
-
Upside SD0.00000
-
Downside SD0.00361
-
N nonnegative terms0.00000
-
N negative terms131.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.64839
-
Mean of criterion-0.03219
-
SD of predictor0.41676
-
SD of criterion0.00303
-
Covariance0.00006
-
r0.04860
-
b (slope, estimate of beta)0.00035
-
a (intercept, estimate of alpha)-0.03242
-
Mean Square Error0.00001
-
DF error129.00000
-
t(b)0.55263
-
p(b)0.46907
-
t(a)-7.51479
-
p(a)0.83254
-
VAR (95 Confidence Intrvl)0.00700
-
Lowerbound of 95% confidence interval for beta-0.00091
-
Upperbound of 95% confidence interval for beta0.00162
-
Lowerbound of 95% confidence interval for alpha-0.04095
-
Upperbound of 95% confidence interval for alpha-0.02388
-
Treynor index (mean / b)-91.15630
-
Jensen alpha (a)-0.03242
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.00043
-
Expected Shortfall on VaR0.00051
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.00042
-
Expected Shortfall on VaR0.00070
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations131.00000
-
Minimum0.99786
-
Quartile 11.00000
-
Median1.00000
-
Quartile 31.00000
-
Maximum1.00000
-
Mean of quarter 10.99994
-
Mean of quarter 21.00000
-
Mean of quarter 31.00000
-
Mean of quarter 41.00000
-
Inter Quartile Range0.00000
-
Number outliers low1.00000
-
Percentage of outliers low0.00763
-
Mean of outliers low0.99786
-
Number of outliers high0.00000
-
Percentage of outliers high0.00000
-
Mean of outliers high0.00000
- Risk estimates for a one-period 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
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Expected Shortfall (regression method)0.00000
- DRAW DOWN STATISTICS
- Quartiles of draw downs
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Number of observations1.00000
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Minimum0.00214
-
Quartile 10.00214
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Median0.00214
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Quartile 30.00214
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Maximum0.00214
-
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
-
Last 4 Months - Pcnt Negativen/a
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Expected Shortfall (regression method)0.00000
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Strat Max DD how much worse than SP500 max DD during strat life?-355160000
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Max Equity Drawdown (num days)32
- COMBINED STATISTICS
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Annualized return (arithmetic extrapolation)-0.00428
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Compounded annual return (geometric extrapolation)-0.00427
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Calmar ratio (compounded annual return / max draw down)-1.99786
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Compounded annual return / average of 25% largest draw downs0.00000
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Compounded annual return / Expected Shortfall lognormal-8.40177
Strategy Description
This strategy uses a multi-time analysis to determine the medium term trend, usually lasting a few weeks, and shorter term pullbacks. Trades are only placed in the direction of the medium term trend in order to maximize long term profitability and limit drawdowns. Once the strategy determines that a trend is established the algorithm uses a number of indicators to look for short term reversals. When these pullbacks reach an extreme level the strategy places a trade back in the direction of the trend.
Ethos MES Day Trade trades the front month micro ES futures contract in long and short directions. Daily losses are capped at 2% of portfolio equity. All trades are initiated with a hard stop loss at the daily loss limit but losing trades are usually sold based on a technical reversal before hitting the stop loss. I trade from the Sunday CME open till the Friday close. Trades can occur at any time, including the overnight session, so I strongly recommend that this strategy be AutoTraded.
Since this strategy also trades on TopStepTrader’s prop trading platform there are a number of rules I must follow to meet their risk requirements. All trades are closed before the end of each trading day (16:15 EST). No positions are held over the weekend or during major economic announcements such as the Federal Reserve rate decision and non-farm payroll release.
This strategy is designed to meet the strict risk requirements in the CStar program on C2 and TopStepTrader’s platform. If you are looking for a similar strategy but with more growth potential and volatility please check out my Ethos ES Day Trade strategy.
Message me on C2 or via email at [email protected] if you have any other questions about my Ethos MES Day Trade strategy.
- Strategy Type: Short term momentum
- Account Compatibility: Futures account with overnight margin (AutoTrade recommended)
- Instruments Traded: MES (S&P 500 micro futures)
- Trading Times: 24/5 (Sunday CME Open to Friday CME Close)
- Position Sizing: 2-5 contracts per trade
- Positions Held Overnight: Yes
- Positions Held Through Weekends: No
- Average Holding Time: 1 - 10 hours
- Number of Trades per Week: 2 - 4
- Update Messages: Every weekend
Latest Activity
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have 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.