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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/24/2018
Most recent certification approved 4/24/18 13:06 ET
Trades at broker Interactive Brokers (Direct Connection)
Scaling percentage used 100%
# trading signals issued by system since certification 143
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 143
Percent signals followed since 04/24/2018 100%
This information was last updated 7/18/18 0:54 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/24/2018, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

IGL CTA
(116324665)

Created by: IGL_Capital_LLC IGL_Capital_LLC
Started: 02/2018
Futures
Last trade: 5 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 $499.00 per month.

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
27.6%
Cumul. Return

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.

16.3%
Max Drawdown
117
Num Trades
81.2%
Win Trades
1.7 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       +25.2%+9.8%(8.2%)+10.6%+2.9%(11.1%)                              +27.6%

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 24 hours.

Trading Record

This strategy has placed 288 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/11/18 5:40 @ESU8 E-MINI S&P 500 SHORT 27 2774.85 7/13 1:05 2798.10 11.84%
Trade id #118860290
Max drawdown($31,393)
Time7/13/18 1:05
Quant open23
Worst price2806.59
Drawdown as % of equity-11.84%
($31,609)
Includes Typical Broker Commissions trade costs of $216.00
7/11/18 5:28 @ESU8 E-MINI S&P 500 SHORT 10 2775.00 7/11 5:37 2773.42 0.13%
Trade id #118860208
Max drawdown($375)
Time7/11/18 5:31
Quant open-10
Worst price2775.75
Drawdown as % of equity-0.13%
$709
Includes Typical Broker Commissions trade costs of $80.00
7/10/18 22:56 @ESU8 E-MINI S&P 500 SHORT 11 2778.60 7/11 1:11 2777.25 0.38%
Trade id #118856495
Max drawdown($1,133)
Time7/10/18 23:31
Quant open-8
Worst price2781.00
Drawdown as % of equity-0.38%
$654
Includes Typical Broker Commissions trade costs of $88.00
7/10/18 18:04 @ESU8 E-MINI S&P 500 SHORT 8 2782.58 7/10 18:19 2778.59 0.06%
Trade id #118853795
Max drawdown($166)
Time7/10/18 18:06
Quant open-8
Worst price2783.00
Drawdown as % of equity-0.06%
$1,531
Includes Typical Broker Commissions trade costs of $64.00
7/10/18 4:51 @ESU8 E-MINI S&P 500 SHORT 15 2790.55 7/10 8:28 2789.25 1%
Trade id #118838445
Max drawdown($2,925)
Time7/10/18 7:18
Quant open-14
Worst price2794.50
Drawdown as % of equity-1.00%
$855
Includes Typical Broker Commissions trade costs of $120.00
7/9/18 22:30 @ESU8 E-MINI S&P 500 SHORT 10 2792.63 7/10 2:12 2790.00 0.11%
Trade id #118835318
Max drawdown($333)
Time7/9/18 23:30
Quant open-8
Worst price2793.75
Drawdown as % of equity-0.11%
$1,237
Includes Typical Broker Commissions trade costs of $80.00
7/8/18 20:14 @ESU8 E-MINI S&P 500 SHORT 15 2770.59 7/9 9:35 2776.87 1.6%
Trade id #118815775
Max drawdown($4,705)
Time7/9/18 9:35
Quant open0
Worst price2776.87
Drawdown as % of equity-1.60%
($4,825)
Includes Typical Broker Commissions trade costs of $120.00
6/25/18 2:11 @ESU8 E-MINI S&P 500 SHORT 8 2745.57 6/25 3:00 2742.93 0.36%
Trade id #118614395
Max drawdown($1,072)
Time6/25/18 2:23
Quant open-8
Worst price2748.25
Drawdown as % of equity-0.36%
$991
Includes Typical Broker Commissions trade costs of $64.00
6/18/18 23:26 @ESU8 E-MINI S&P 500 SHORT 8 2756.74 6/19 1:07 2756.00 0.1%
Trade id #118497457
Max drawdown($302)
Time6/19/18 0:56
Quant open-8
Worst price2757.50
Drawdown as % of equity-0.10%
$233
Includes Typical Broker Commissions trade costs of $64.00
6/18/18 2:00 @ESU8 E-MINI S&P 500 SHORT 8 2771.50 6/18 7:51 2766.25 0.44%
Trade id #118473244
Max drawdown($1,300)
Time6/18/18 3:15
Quant open-8
Worst price2774.75
Drawdown as % of equity-0.44%
$2,036
Includes Typical Broker Commissions trade costs of $64.00
6/13/18 19:21 @ESM8 E-MINI S&P 500 SHORT 12 2776.17 6/13 23:01 2773.75 0.45%
Trade id #118427209
Max drawdown($1,316)
Time6/13/18 21:16
Quant open-8
Worst price2779.00
Drawdown as % of equity-0.45%
$1,355
Includes Typical Broker Commissions trade costs of $96.00
6/12/18 11:12 @ESM8 E-MINI S&P 500 SHORT 10 2784.50 6/13 16:36 2775.59 1.28%
Trade id #118391423
Max drawdown($3,625)
Time6/12/18 21:36
Quant open-10
Worst price2791.75
Drawdown as % of equity-1.28%
$4,376
Includes Typical Broker Commissions trade costs of $80.00
6/12/18 10:44 @ESM8 E-MINI S&P 500 LONG 35 2784.83 6/12 11:01 2784.99 0.97%
Trade id #118390260
Max drawdown($2,761)
Time6/12/18 10:56
Quant open35
Worst price2783.25
Drawdown as % of equity-0.97%
$6
Includes Typical Broker Commissions trade costs of $280.00
6/12/18 6:34 @ESM8 E-MINI S&P 500 SHORT 30 2782.73 6/12 9:53 2783.07 2.35%
Trade id #118383782
Max drawdown($6,630)
Time6/12/18 9:30
Quant open-24
Worst price2787.25
Drawdown as % of equity-2.35%
($756)
Includes Typical Broker Commissions trade costs of $240.00
6/12/18 4:55 @ESM8 E-MINI S&P 500 LONG 8 2780.82 6/12 5:13 2782.00 0.05%
Trade id #118383320
Max drawdown($129)
Time6/12/18 5:03
Quant open8
Worst price2780.50
Drawdown as % of equity-0.05%
$406
Includes Typical Broker Commissions trade costs of $64.00
6/12/18 3:41 @ESM8 E-MINI S&P 500 SHORT 8 2784.75 6/12 4:26 2781.85 0.18%
Trade id #118382988
Max drawdown($500)
Time6/12/18 4:08
Quant open-8
Worst price2786.00
Drawdown as % of equity-0.18%
$1,095
Includes Typical Broker Commissions trade costs of $64.00
6/12/18 2:31 @ESM8 E-MINI S&P 500 SHORT 8 2787.50 6/12 2:55 2786.50 0.04%
Trade id #118382396
Max drawdown($100)
Time6/12/18 2:41
Quant open-8
Worst price2787.75
Drawdown as % of equity-0.04%
$336
Includes Typical Broker Commissions trade costs of $64.00
6/11/18 18:58 @ESM8 E-MINI S&P 500 SHORT 8 2785.25 6/11 22:18 2781.50 0.25%
Trade id #118379457
Max drawdown($700)
Time6/11/18 19:15
Quant open-8
Worst price2787.00
Drawdown as % of equity-0.25%
$1,436
Includes Typical Broker Commissions trade costs of $64.00
6/11/18 10:17 @ESM8 E-MINI S&P 500 LONG 20 2782.42 6/11 11:27 2782.82 0.68%
Trade id #118369833
Max drawdown($1,917)
Time6/11/18 11:07
Quant open20
Worst price2780.50
Drawdown as % of equity-0.68%
$243
Includes Typical Broker Commissions trade costs of $160.00
6/11/18 9:57 @ESM8 E-MINI S&P 500 LONG 8 2780.57 6/11 10:12 2784.00 0.05%
Trade id #118368708
Max drawdown($129)
Time6/11/18 9:59
Quant open8
Worst price2780.25
Drawdown as % of equity-0.05%
$1,306
Includes Typical Broker Commissions trade costs of $64.00
6/11/18 9:56 EUR/USD EUR/USD LONG 2 1.18071 6/11 9:58 1.18061 0%
Trade id #118368646
Max drawdown($2)
Time6/11/18 9:58
Quant open2
Worst price1.18059
Drawdown as % of equity-0.00%
($2)
6/10/18 20:24 @ESM8 E-MINI S&P 500 SHORT 18 2777.49 6/11 9:45 2783.58 2.22%
Trade id #118359722
Max drawdown($6,312)
Time6/11/18 9:44
Quant open-18
Worst price2784.50
Drawdown as % of equity-2.22%
($5,626)
Includes Typical Broker Commissions trade costs of $144.00
6/1/18 1:33 @ESM8 E-MINI S&P 500 LONG 7 2710.00 6/1 2:46 2713.18 0.25%
Trade id #118204338
Max drawdown($700)
Time6/1/18 1:59
Quant open7
Worst price2708.00
Drawdown as % of equity-0.25%
$1,056
Includes Typical Broker Commissions trade costs of $56.00
5/31/18 22:25 @ESM8 E-MINI S&P 500 SHORT 7 2711.75 5/31 23:20 2710.44 0.09%
Trade id #118203547
Max drawdown($262)
Time5/31/18 22:35
Quant open-7
Worst price2712.50
Drawdown as % of equity-0.09%
$401
Includes Typical Broker Commissions trade costs of $56.00
5/30/18 18:22 @ESM8 E-MINI S&P 500 SHORT 12 2722.99 5/31 9:02 2721.75 0.92%
Trade id #118178360
Max drawdown($2,599)
Time5/31/18 4:30
Quant open-7
Worst price2728.25
Drawdown as % of equity-0.92%
$645
Includes Typical Broker Commissions trade costs of $96.00
5/29/18 19:27 @ESM8 E-MINI S&P 500 SHORT 19 2688.95 5/29 22:28 2686.12 2.24%
Trade id #118156699
Max drawdown($6,226)
Time5/29/18 21:42
Quant open-19
Worst price2695.50
Drawdown as % of equity-2.24%
$2,532
Includes Typical Broker Commissions trade costs of $152.00
5/28/18 18:41 @ESM8 E-MINI S&P 500 SHORT 7 2721.24 5/28 23:58 2719.50 0.28%
Trade id #118135029
Max drawdown($791)
Time5/28/18 19:18
Quant open-7
Worst price2723.50
Drawdown as % of equity-0.28%
$553
Includes Typical Broker Commissions trade costs of $56.00
5/24/18 22:48 @ESM8 E-MINI S&P 500 LONG 35 2727.60 5/27 18:00 2727.44 9.23%
Trade id #118105703
Max drawdown($24,243)
Time5/25/18 14:46
Quant open35
Worst price2713.75
Drawdown as % of equity-9.23%
($572)
Includes Typical Broker Commissions trade costs of $280.00
5/24/18 7:57 @ESM8 E-MINI S&P 500 LONG 30 2716.88 5/24 14:51 2724.25 6.58%
Trade id #118087729
Max drawdown($16,698)
Time5/24/18 11:02
Quant open30
Worst price2705.75
Drawdown as % of equity-6.58%
$10,812
Includes Typical Broker Commissions trade costs of $240.00
5/24/18 7:04 @ESM8 E-MINI S&P 500 SHORT 7 2730.25 5/24 7:38 2727.50 0.03%
Trade id #118086976
Max drawdown($87)
Time5/24/18 7:08
Quant open-7
Worst price2730.50
Drawdown as % of equity-0.03%
$907
Includes Typical Broker Commissions trade costs of $56.00

Statistics

  • Strategy began
    2/6/2018
  • Suggested Minimum Cap
    $260,000
  • Strategy Age (days)
    161.94
  • Age
    162 days ago
  • What it trades
    Futures
  • # Trades
    117
  • # Profitable
    95
  • % Profitable
    81.20%
  • Avg trade duration
    1.2 days
  • Max peak-to-valley drawdown
    16.32%
  • drawdown period
    April 16, 2018 - May 04, 2018
  • Cumul. Return
    27.6%
  • Avg win
    $1,636
  • Avg loss
    $4,103
  • Model Account Values (Raw)
  • Cash
    $265,212
  • Margin Used
    $0
  • Buying Power
    $265,212
  • Ratios
  • W:L ratio
    1.72:1
  • Sharpe Ratio
    1.983
  • Sortino Ratio
    3.107
  • Calmar Ratio
    4.035
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.09400
  • Return Statistics
  • Ann Return (w trading costs)
    71.8%
  • Ann Return (Compnd, No Fees)
    88.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.00%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    786
  • Popularity (Last 6 weeks)
    951
  • C2 Score
    76.5
  • Trades-Own-System Certification
  • Trades Own System?
    184386
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $4,103
  • Avg Win
    $1,637
  • # Winners
    95
  • # Losers
    22
  • % Winners
    81.2%
  • Frequency
  • Avg Position Time (mins)
    1751.62
  • Avg Position Time (hrs)
    29.19
  • Avg Trade Length
    1.2 days
  • Last Trade Ago
    5
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.74756
  • SD
    0.31327
  • Sharpe ratio (Glass type estimate)
    2.38634
  • Sharpe ratio (Hedges UMVUE)
    1.90402
  • df
    4.00000
  • t
    1.54037
  • p
    0.09916
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15287
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.70742
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40661
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.21465
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.76691
  • Upside Potential Ratio
    8.31610
  • Upside part of mean
    0.91870
  • Downside part of mean
    -0.17114
  • Upside SD
    0.33597
  • Downside SD
    0.11047
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.05510
  • Mean of criterion
    0.74756
  • SD of predictor
    0.10862
  • SD of criterion
    0.31327
  • Covariance
    -0.01392
  • r
    -0.40900
  • b (slope, estimate of beta)
    -1.17965
  • a (intercept, estimate of alpha)
    0.81256
  • Mean Square Error
    0.10896
  • DF error
    3.00000
  • t(b)
    -0.77631
  • p(b)
    0.75293
  • t(a)
    1.56810
  • p(a)
    0.10743
  • Lowerbound of 95% confidence interval for beta
    -6.01553
  • Upperbound of 95% confidence interval for beta
    3.65623
  • Lowerbound of 95% confidence interval for alpha
    -0.83653
  • Upperbound of 95% confidence interval for alpha
    2.46165
  • Treynor index (mean / b)
    -0.63372
  • Jensen alpha (a)
    0.81256
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.68781
  • SD
    0.30137
  • Sharpe ratio (Glass type estimate)
    2.28229
  • Sharpe ratio (Hedges UMVUE)
    1.82100
  • df
    4.00000
  • t
    1.47321
  • p
    0.10734
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.57415
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46713
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.10913
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.01586
  • Upside Potential Ratio
    7.56505
  • Upside part of mean
    0.86494
  • Downside part of mean
    -0.17712
  • Upside SD
    0.31466
  • Downside SD
    0.11433
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.05009
  • Mean of criterion
    0.68781
  • SD of predictor
    0.10962
  • SD of criterion
    0.30137
  • Covariance
    -0.01370
  • r
    -0.41460
  • b (slope, estimate of beta)
    -1.13985
  • a (intercept, estimate of alpha)
    0.74491
  • Mean Square Error
    0.10028
  • DF error
    3.00000
  • t(b)
    -0.78913
  • p(b)
    0.75617
  • t(a)
    1.50215
  • p(a)
    0.11503
  • Lowerbound of 95% confidence interval for beta
    -5.73671
  • Upperbound of 95% confidence interval for beta
    3.45700
  • Lowerbound of 95% confidence interval for alpha
    -0.83325
  • Upperbound of 95% confidence interval for alpha
    2.32307
  • Treynor index (mean / b)
    -0.60342
  • Jensen alpha (a)
    0.74491
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08221
  • Expected Shortfall on VaR
    0.11452
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01621
  • Expected Shortfall on VaR
    0.04019
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.93102
  • Quartile 1
    1.02158
  • Median
    1.09116
  • Quartile 3
    1.11692
  • Maximum
    1.16245
  • Mean of quarter 1
    0.97630
  • Mean of quarter 2
    1.09116
  • Mean of quarter 3
    1.11692
  • Mean of quarter 4
    1.16245
  • Inter Quartile Range
    0.09535
  • 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)
    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 observations
    1.00000
  • Minimum
    0.06898
  • Quartile 1
    0.06898
  • Median
    0.06898
  • Quartile 3
    0.06898
  • Maximum
    0.06898
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.83389
  • Compounded annual return (geometric extrapolation)
    1.04566
  • Calmar ratio (compounded annual return / max draw down)
    15.15850
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    9.13120
  • 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
    0.44876
  • SD
    0.22482
  • Sharpe ratio (Glass type estimate)
    1.99608
  • Sharpe ratio (Hedges UMVUE)
    1.98292
  • df
    114.00000
  • t
    1.32244
  • p
    0.43854
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97787
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.96148
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98660
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.95245
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.10682
  • Upside Potential Ratio
    8.01361
  • Upside part of mean
    1.15751
  • Downside part of mean
    -0.70875
  • Upside SD
    0.17323
  • Downside SD
    0.14444
  • N nonnegative terms
    60.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    115.00000
  • Mean of predictor
    0.07881
  • Mean of criterion
    0.44876
  • SD of predictor
    0.15519
  • SD of criterion
    0.22482
  • Covariance
    -0.00312
  • r
    -0.08943
  • b (slope, estimate of beta)
    -0.12955
  • a (intercept, estimate of alpha)
    0.45900
  • Mean Square Error
    0.05058
  • DF error
    113.00000
  • t(b)
    -0.95442
  • p(b)
    0.55685
  • t(a)
    1.35133
  • p(a)
    0.41993
  • Lowerbound of 95% confidence interval for beta
    -0.39847
  • Upperbound of 95% confidence interval for beta
    0.13937
  • Lowerbound of 95% confidence interval for alpha
    -0.21392
  • Upperbound of 95% confidence interval for alpha
    1.13185
  • Treynor index (mean / b)
    -3.46398
  • Jensen alpha (a)
    0.45897
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42344
  • SD
    0.22391
  • Sharpe ratio (Glass type estimate)
    1.89117
  • Sharpe ratio (Hedges UMVUE)
    1.87870
  • df
    114.00000
  • t
    1.25294
  • p
    0.44173
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08135
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85555
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08968
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.84708
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.87051
  • Upside Potential Ratio
    7.74731
  • Upside part of mean
    1.14285
  • Downside part of mean
    -0.71940
  • Upside SD
    0.16918
  • Downside SD
    0.14752
  • N nonnegative terms
    60.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    115.00000
  • Mean of predictor
    0.06681
  • Mean of criterion
    0.42344
  • SD of predictor
    0.15566
  • SD of criterion
    0.22391
  • Covariance
    -0.00314
  • r
    -0.09018
  • b (slope, estimate of beta)
    -0.12971
  • a (intercept, estimate of alpha)
    0.43211
  • Mean Square Error
    0.05017
  • DF error
    113.00000
  • t(b)
    -0.96253
  • p(b)
    0.55733
  • t(a)
    1.27771
  • p(a)
    0.42421
  • Lowerbound of 95% confidence interval for beta
    -0.39670
  • Upperbound of 95% confidence interval for beta
    0.13728
  • Lowerbound of 95% confidence interval for alpha
    -0.23791
  • Upperbound of 95% confidence interval for alpha
    1.10213
  • Treynor index (mean / b)
    -3.26451
  • Jensen alpha (a)
    0.43211
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02092
  • Expected Shortfall on VaR
    0.02655
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00583
  • Expected Shortfall on VaR
    0.01329
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    115.00000
  • Minimum
    0.93856
  • Quartile 1
    1.00000
  • Median
    1.00066
  • Quartile 3
    1.00489
  • Maximum
    1.07678
  • Mean of quarter 1
    0.98947
  • Mean of quarter 2
    1.00005
  • Mean of quarter 3
    1.00253
  • Mean of quarter 4
    1.01525
  • Inter Quartile Range
    0.00489
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.10435
  • Mean of outliers low
    0.97703
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    1.02929
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.84928
  • VaR(95%) (moments method)
    0.00569
  • Expected Shortfall (moments method)
    0.04589
  • Extreme Value Index (regression method)
    0.33639
  • VaR(95%) (regression method)
    0.01084
  • Expected Shortfall (regression method)
    0.02475
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00048
  • Quartile 1
    0.00115
  • Median
    0.00530
  • Quartile 3
    0.08013
  • Maximum
    0.14138
  • Mean of quarter 1
    0.00081
  • Mean of quarter 2
    0.00117
  • Mean of quarter 3
    0.00944
  • Mean of quarter 4
    0.12254
  • Inter Quartile Range
    0.07898
  • 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)
    0.49917
  • Compounded annual return (geometric extrapolation)
    0.57043
  • Calmar ratio (compounded annual return / max draw down)
    4.03465
  • Compounded annual return / average of 25% largest draw downs
    4.65503
  • Compounded annual return / Expected Shortfall lognormal
    21.48900

Strategy Description

IGL CTA is a Long/Short non-quantitative day-trading strategy on US Indexes. The strategy uses mostly US indexes futures and VIX futures from time to time.
- Who should subscribe to IGL? The system is designed for high-net-worth individuals allocating no more than 25% of their liquid wealth in an agressive, decorrelated CTA' strategy exploiting short term technical arbitrages.
- C2 Recommended Replication? It is recommended that you match the replication's rate to your desired amount allocation (i.e. the system's size is 200k and you want to allocate 100k then replicate IGL CTA at 50% in your C2 parameters). If you constraint the number of futures traded, you are de facto changing the strategy.
- Building a Postion: A full size position is 14-16x the system size. We are usually starting a position at 50% or 2-4X. You should always expect an initial position to be built up.
- Managing Losses: We are focusing on drawdowns with a maximum range of 20%. We are watching technical points that are used as either soft stop losses when the trader is in front of the screens or stop losses orders when he is not and when the market is expecting economical data.

IGL CTA performs better in a high-volatility market environment.

Summary Statistics

Strategy began
2018-02-06
Suggested Minimum Capital
$260,000
# Trades
117
# Profitable
95
% Profitable
81.2%
Correlation S&P500
-0.094
Sharpe Ratio
1.983

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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