Collective2 Collective2
For your consideration Orange Cat Management Followed by live capital $306,000 Hypothetical

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NDX old system

By Bot_Muncher

Futures · Started Jul 2016

hypothetical · Annual Return (Compounded)
-10.4%
Max Drawdown
23.8%
Trades
374
Win Trades
45.2%
Profit Factor
1.20
Win Months
1.6%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20164.8-17.28.50.00.00.0-5.8
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began7/25/2016
Suggested Minimum Capital$25,000
Age125 months
What it tradesFutures
# Trades374
# Profitable169
% Profitable45.2%
Avg trade duration2.4 hours
Max peak-to-valley drawdown23.8%
drawdown periodAug 02, 2016 - Sept 15, 2016
Cumul. Return-5.6%
Avg win$177
Avg loss$126

Ratios

W:L ratio1.16
Sharpe Ratio-0.37
Sortino Ratio-0.47
Calmar Ratio0.69

CORRELATION STATISTICS

Correlation to SP5000.00
Return Percent SP500 (cumu) during strategy life249.0%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-10.4%

Return Statistics

Ann Return (w trading costs)-10.4%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.5%

Slump

Current Slump as Pcnt Equity16.9%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated100.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)357
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$126
Avg Win$177
# Winners169
Sum Trade PL (losers)$25,849
Sum Trade PL (winners)$29,878
Num Months Winners2
# Losers205
% Winners45.2%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table124

Frequency

Avg Position Time (mins)146.72
Avg Position Time (hrs)2.44
Avg Trade Length0.10
Last Trade Ago3684

Regression

Alpha-0.01
Beta0
Treynor Index-65.61

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades23.53
MAE:PL (avg, all trades)-0.42
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats27.34
MAE:PL - Winning Trades - this strat Percentile of All Strats32.33
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.44
Avg(MAE) / Avg(PL) - Losing trades-1.47
Hold-and-Hope Ratio0.04

RATIO STATISTICS

Mean0.48
SD0.30
Sharpe ratio (Glass type estimate)1.61
Sharpe ratio (Hedges UMVUE)1.17
df3
t0.93
p0.21
Lowerbound of 95% confidence interval for Sharpe Ratio-2.11
Upperbound of 95% confidence interval for Sharpe Ratio5.11
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.35
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.69
Sortino ratio15.15
Upside Potential Ratio16.96
Upside part of mean0.53
Downside part of mean-0.06
Upside SD0.29
Downside SD0.03
N nonnegative terms2
N negative terms2
N of observations4
Mean of predictor0.13
Mean of criterion0.48
SD of predictor0.14
SD of criterion0.30
Covariance-0.00
r-0.04
b (slope, estimate of beta)-0.08
a (intercept, estimate of alpha)0.49
Mean Square Error0.13
DF error2
t(b)-0.05
p(b)0.52
t(a)0.75
p(a)0.27
Lowerbound of 95% confidence interval for beta-6.28
Upperbound of 95% confidence interval for beta6.12
Lowerbound of 95% confidence interval for alpha-2.32
Upperbound of 95% confidence interval for alpha3.29
Treynor index (mean / b)-6.17
Jensen alpha (a)0.49
Mean0.44
SD0.27
Sharpe ratio (Glass type estimate)1.60
Sharpe ratio (Hedges UMVUE)1.16
df3
t0.92
p0.21
Lowerbound of 95% confidence interval for Sharpe Ratio-2.12
Upperbound of 95% confidence interval for Sharpe Ratio5.10
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.36
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.68
Sortino ratio13.81
Upside Potential Ratio15.62
Upside part of mean0.50
Downside part of mean-0.06
Upside SD0.27
Downside SD0.03
N nonnegative terms2
N negative terms2
N of observations4
Mean of predictor0.12
Mean of criterion0.44
SD of predictor0.14
SD of criterion0.27
Covariance-0.00
r-0.03
b (slope, estimate of beta)-0.05
a (intercept, estimate of alpha)0.44
Mean Square Error0.11
DF error2
t(b)-0.04
p(b)0.51
t(a)0.74
p(a)0.27
Lowerbound of 95% confidence interval for beta-5.96
Upperbound of 95% confidence interval for beta5.85
Lowerbound of 95% confidence interval for alpha-2.15
Upperbound of 95% confidence interval for alpha3.04
Treynor index (mean / b)-8.06
Jensen alpha (a)0.44
VaR(95%)0.09
Expected Shortfall on VaR0.12
VaR(95%)0.01
Expected Shortfall on VaR0.02
Mean0.38
SD0.24
Sharpe ratio (Glass type estimate)1.56
Sharpe ratio (Hedges UMVUE)1.55
df142
t1.01
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio-1.49
Upperbound of 95% confidence interval for Sharpe Ratio4.60
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.49
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.60
Sortino ratio2.24
Upside Potential Ratio6.47
Upside part of mean1.09
Downside part of mean-0.71
Upside SD0.17
Downside SD0.17
N nonnegative terms34
N negative terms109
N of observations143
Mean of predictor0.11
Mean of criterion0.38
SD of predictor0.10
SD of criterion0.24
Covariance-0.00
r-0.00
b (slope, estimate of beta)-0.01
a (intercept, estimate of alpha)0.07
Mean Square Error0.06
DF error141
t(b)-0.04
p(b)0.50
t(a)1.00
p(a)0.45
Lowerbound of 95% confidence interval for beta-0.41
Upperbound of 95% confidence interval for beta0.39
Lowerbound of 95% confidence interval for alpha-0.37
Upperbound of 95% confidence interval for alpha1.13
Treynor index (mean / b)-46.20
Jensen alpha (a)0.38
Mean0.35
SD0.24
Sharpe ratio (Glass type estimate)1.43
Sharpe ratio (Hedges UMVUE)1.42
df142
t0.92
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio-1.62
Upperbound of 95% confidence interval for Sharpe Ratio4.47
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.63
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.46
Sortino ratio1.99
Upside Potential Ratio6.15
Upside part of mean1.08
Downside part of mean-0.73
Upside SD0.17
Downside SD0.18
N nonnegative terms34
N negative terms109
N of observations143
Mean of predictor0.10
Mean of criterion0.35
SD of predictor0.10
SD of criterion0.24
Covariance-0.00
r-0.00
b (slope, estimate of beta)-0.01
a (intercept, estimate of alpha)0.35
Mean Square Error0.06
DF error141
t(b)-0.03
p(b)0.50
t(a)0.92
p(a)0.45
Lowerbound of 95% confidence interval for beta-0.41
Upperbound of 95% confidence interval for beta0.40
Lowerbound of 95% confidence interval for alpha-0.40
Upperbound of 95% confidence interval for alpha1.10
Treynor index (mean / b)-66
Jensen alpha (a)0.35
VaR(95%)0.02
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.01
VAR (95 Confidence Intrvl)0.01

ORDER STATISTICS

Number of observations4
Minimum0.98
Quartile 11.00
Median1.01
Quartile 31.05
Maximum1.17
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31.01
Mean of quarter 41.17
Inter Quartile Range0.06
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.25
Mean of outliers high1.17
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations143
Minimum0.91
Quartile 11
Median1
Quartile 31
Maximum1.06
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.01
Inter Quartile Range0
Number outliers low23
Percentage of outliers low0.16
Mean of outliers low0.99
Number of outliers high34
Percentage of outliers high0.24
Mean of outliers high1.01
Extreme Value Index (moments method)0.62
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)0.58
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.03

DRAW DOWN STATISTICS

Number of observations1
Minimum0.02
Quartile 10.02
Median0.02
Quartile 30.02
Maximum0.02
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations7
Minimum0.01
Quartile 10.01
Median0.02
Quartile 30.03
Maximum0.13
Mean of quarter 10.01
Mean of quarter 20.02
Mean of quarter 30.03
Mean of quarter 40.08
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.14
Mean of outliers high0.13
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Max Equity Drawdown (num days)44
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.48
Compounded annual return (geometric extrapolation)0.56
Calmar ratio (compounded annual return / max draw down)32.64
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal4.76
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.39
Compounded annual return (geometric extrapolation)0.43
Calmar ratio (compounded annual return / max draw down)3.26
Compounded annual return / average of 25% largest draw downs5.39
Compounded annual return / Expected Shortfall lognormal16.70

Trading record

SymbolSideQtyOpenedClosedP/L
@ES Z6short1Sep 28, 2016Sep 28, 2016($33)
@YM Z6short1Sep 28, 2016Sep 28, 2016($423)
@NQ Z6long1Sep 28, 2016Sep 28, 2016$87
@TFS Z6short1Sep 28, 2016Sep 28, 2016($998)
@ES Z6short1Sep 28, 2016Sep 28, 2016$205
@ES Z6long1Sep 28, 2016Sep 28, 2016$117
@ES Z6short1Sep 28, 2016Sep 28, 2016$230
@NQ Z6short1Sep 27, 2016Sep 27, 2016($8)
@TFS Z6short1Sep 27, 2016Sep 27, 2016$292
@TFS Z6long1Sep 27, 2016Sep 27, 2016$62
@NQ Z6short1Sep 26, 2016Sep 27, 2016$192
@TFS Z6long1Sep 26, 2016Sep 26, 2016($38)
@NQ Z6short1Sep 26, 2016Sep 26, 2016($8)
@TFS Z6short1Sep 26, 2016Sep 26, 2016$332
@NQ Z6long1Sep 26, 2016Sep 26, 2016($83)
@TFS Z6short1Sep 22, 2016Sep 22, 2016($238)
@NQ Z6short1Sep 22, 2016Sep 22, 2016($178)
@NQ Z6short1Sep 22, 2016Sep 22, 2016($218)
@US Z6long1Sep 21, 2016Sep 21, 2016($102)
@YM Z6long1Sep 21, 2016Sep 21, 2016($33)
@ES Z6long1Sep 21, 2016Sep 21, 2016($46)
@NQ Z6long1Sep 21, 2016Sep 21, 2016($8)
@ES Z6short1Sep 20, 2016Sep 20, 2016($83)
@NQ Z6short1Sep 20, 2016Sep 20, 2016$202
@ME Z6long1Sep 20, 2016Sep 20, 2016($196)
@ES Z6short1Sep 19, 2016Sep 20, 2016$192
@YM Z6short1Sep 20, 2016Sep 20, 2016$82
@NQ Z6short1Sep 20, 2016Sep 20, 2016($53)
@ME Z6short1Sep 20, 2016Sep 20, 2016$48
@NQ Z6short1Sep 19, 2016Sep 19, 2016$342

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.