Collective2 Collective2
Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Ninja Futures
(45975619)

Created by: MicheleGiardina MicheleGiardina
Started: 12/2009
Futures
Last trade: 4,899 days ago

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

1.3%
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.

(13.0%)
Max Drawdown
225
Num Trades
53.3%
Win Trades
1.3 : 1
Profit Factor
6.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009                                                                             +1.0%+1.0%
2010(11.3%)+16.3%+6.3%+2.7%+5.1%(0.7%)+1.9%+2.1%+0.9%  -  (6.1%)+0.7%+16.7%
2011(1.7%)+5.3%(2.1%)+0.6%(3.8%)+4.9%  -    -    -    -    -    -  +2.9%
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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.

System developer has asked us to delay this information by 2 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/23/11 3:02 @QMQ1 MINY CRUDE OIL SHORT 1 93.925 6/24 11:08 90.900 0.05%
Trade id #62786988
Max drawdown($62)
Time6/23/11 4:44
Quant open-1
Worst price94.050
Drawdown as % of equity-0.05%
 $1,505
Includes Typical Broker Commissions trade costs of $8.00
6/23/11 8:24 @USU1 US T-BOND LONG 1 126 8/32 6/24 11:07 126 18/32 0.22%
Trade id #62796482
Max drawdown($281)
Time6/24/11 2:22
Quant open1
Worst price125 31/32
Drawdown as % of equity-0.22%
 $304
Includes Typical Broker Commissions trade costs of $8.00
6/23/11 9:42 @TFSU1 Emini Russell 2000 SHORT 1 780.60 6/23 12:57 791.10 0.82%
Trade id #62801790
Max drawdown($1,050)
Time6/23/11 12:57
Quant open0
Worst price791.10
Drawdown as % of equity-0.82%
 ($1,058)
Includes Typical Broker Commissions trade costs of $8.00
6/1/11 15:43 @USU1 US T-BOND LONG 2 125 4/32 6/20 8:28 125 4/32 1.93%
Trade id #61967358
Max drawdown($2,437)
Time6/14/11 14:46
Quant open1
Worst price123 26/32
Drawdown as % of equity-1.93%
 ($16)
Includes Typical Broker Commissions trade costs of $16.00
5/20/11 9:56 @QMN1 MINY CRUDE OIL SHORT 5 100.250 6/13 5:12 100.220 2.04%
Trade id #61612060
Max drawdown($2,512)
Time5/25/11 13:20
Quant open-1
Worst price101.625
Drawdown as % of equity-2.04%
 $35
Includes Typical Broker Commissions trade costs of $40.00
6/9/11 10:54 @TFSU1 Emini Russell 2000 LONG 1 791.30 6/10 10:09 779.40 0.94%
Trade id #62289504
Max drawdown($1,190)
Time6/10/11 10:09
Quant open0
Worst price779.40
Drawdown as % of equity-0.94%
 ($1,198)
Includes Typical Broker Commissions trade costs of $8.00
6/1/11 12:13 @ESM1 E-MINI S&P 500 SHORT 1 1323.50 6/3 9:57 1300.25 0.12%
Trade id #61957703
Max drawdown($150)
Time6/1/11 12:41
Quant open-1
Worst price1326.50
Drawdown as % of equity-0.12%
 $1,155
Includes Typical Broker Commissions trade costs of $8.00
6/1/11 12:13 @TFSM1 Emini Russell 2000 SHORT 1 832.50 6/1 16:06 820.60 0.07%
Trade id #61957891
Max drawdown($90)
Time6/1/11 12:17
Quant open-1
Worst price833.40
Drawdown as % of equity-0.07%
 $1,182
Includes Typical Broker Commissions trade costs of $8.00
5/25/11 15:04 @ESM1 E-MINI S&P 500 LONG 1 1321.50 5/27 8:45 1329.75 0.37%
Trade id #61769191
Max drawdown($450)
Time5/26/11 10:13
Quant open1
Worst price1312.50
Drawdown as % of equity-0.37%
 $405
Includes Typical Broker Commissions trade costs of $8.00
5/25/11 11:36 @TFSM1 Emini Russell 2000 LONG 1 818.40 5/26 14:32 829.90 0.21%
Trade id #61762125
Max drawdown($260)
Time5/26/11 9:31
Quant open1
Worst price815.80
Drawdown as % of equity-0.21%
 $1,142
Includes Typical Broker Commissions trade costs of $8.00
5/18/11 10:49 @ESM1 E-MINI S&P 500 LONG 1 1333.50 5/23 12:00 1313.00 0.89%
Trade id #61525917
Max drawdown($1,112)
Time5/23/11 11:36
Quant open1
Worst price1311.25
Drawdown as % of equity-0.89%
 ($1,033)
Includes Typical Broker Commissions trade costs of $8.00
5/19/11 10:40 @QMN1 MINY CRUDE OIL LONG 1 100.300 5/19 18:33 99.200 0.66%
Trade id #61569272
Max drawdown($837)
Time5/19/11 14:57
Quant open1
Worst price98.625
Drawdown as % of equity-0.66%
 ($558)
Includes Typical Broker Commissions trade costs of $8.00
5/18/11 10:49 @QMM1 MINY CRUDE OIL LONG 1 99.575 5/19 9:00 99.975 0.18%
Trade id #61525910
Max drawdown($225)
Time5/18/11 11:21
Quant open1
Worst price99.125
Drawdown as % of equity-0.18%
 $192
Includes Typical Broker Commissions trade costs of $8.00
5/18/11 10:49 @TFSM1 Emini Russell 2000 LONG 1 827.40 5/19 6:27 836.50 0.17%
Trade id #61525941
Max drawdown($210)
Time5/18/11 11:25
Quant open1
Worst price825.30
Drawdown as % of equity-0.17%
 $902
Includes Typical Broker Commissions trade costs of $8.00
5/16/11 14:41 @QMM1 MINY CRUDE OIL SHORT 1 96.900 5/18 10:45 99.575 1.06%
Trade id #61442974
Max drawdown($1,338)
Time5/18/11 10:45
Quant open0
Worst price99.575
Drawdown as % of equity-1.06%
 ($1,346)
Includes Typical Broker Commissions trade costs of $8.00
5/11/11 9:34 @ESM1 E-MINI S&P 500 LONG 1 1349.75 5/16 15:47 1324.75 0.99%
Trade id #60924522
Max drawdown($1,250)
Time5/16/11 15:47
Quant open0
Worst price1324.75
Drawdown as % of equity-0.99%
 ($1,258)
Includes Typical Broker Commissions trade costs of $8.00
5/10/11 18:30 @TYM1 US T-NOTE 10 YR SHORT 2 121 57/64 5/10 19:29 121 57/64 0.02%
Trade id #60791496
Max drawdown($30)
Time5/10/11 18:32
Quant open-2
Worst price121 58/64
Drawdown as % of equity-0.02%
 ($16)
Includes Typical Broker Commissions trade costs of $16.00
5/9/11 16:10 @TFSM1 Emini Russell 2000 LONG 1 841.00 5/10 15:07 853.00 0.13%
Trade id #60690744
Max drawdown($170)
Time5/10/11 0:53
Quant open1
Worst price839.30
Drawdown as % of equity-0.13%
 $1,192
Includes Typical Broker Commissions trade costs of $8.00
4/20/11 10:03 @ESM1 E-MINI S&P 500 LONG 1 1326.75 4/27 8:54 1345.50 0.12%
Trade id #59992026
Max drawdown($150)
Time4/20/11 13:20
Quant open1
Worst price1323.75
Drawdown as % of equity-0.12%
 $930
Includes Typical Broker Commissions trade costs of $8.00
4/18/11 8:26 @QMM1 MINY CRUDE OIL SHORT 1 108.625 4/25 8:53 113.250 1.84%
Trade id #59895346
Max drawdown($2,313)
Time4/25/11 8:53
Quant open0
Worst price113.250
Drawdown as % of equity-1.84%
 ($2,321)
Includes Typical Broker Commissions trade costs of $8.00
4/20/11 10:03 @TFSM1 Emini Russell 2000 LONG 1 834.20 4/25 3:43 844.20 0.17%
Trade id #59992159
Max drawdown($210)
Time4/20/11 13:26
Quant open1
Worst price832.10
Drawdown as % of equity-0.17%
 $992
Includes Typical Broker Commissions trade costs of $8.00
4/18/11 10:19 @TFSM1 Emini Russell 2000 SHORT 1 818.70 4/20 10:02 834.20 1.5%
Trade id #59905213
Max drawdown($1,890)
Time4/20/11 7:23
Quant open-1
Worst price837.60
Drawdown as % of equity-1.50%
 ($1,558)
Includes Typical Broker Commissions trade costs of $8.00
4/13/11 9:56 @ESM1 E-MINI S&P 500 LONG 1 1314.75 4/18 10:02 1294.25 0.83%
Trade id #59752280
Max drawdown($1,075)
Time4/18/11 10:02
Quant open1
Worst price1293.25
Drawdown as % of equity-0.83%
 ($1,033)
Includes Typical Broker Commissions trade costs of $8.00
4/18/11 8:28 @EUM1 EUROFX LONG 1 1.42720 4/18 10:00 1.42390 0.32%
Trade id #59895433
Max drawdown($413)
Time4/18/11 10:00
Quant open0
Worst price1.42390
Drawdown as % of equity-0.32%
 ($421)
Includes Typical Broker Commissions trade costs of $8.00
4/14/11 12:18 @QMK1 MINY CRUDE OIL LONG 1 108.400 4/17 18:03 109.275 0.46%
Trade id #59807904
Max drawdown($587)
Time4/15/11 8:59
Quant open1
Worst price107.225
Drawdown as % of equity-0.46%
 $430
Includes Typical Broker Commissions trade costs of $8.00
4/5/11 12:50 QGCM1 Gold 100 oz LONG 1 1452.4 4/15 12:24 1485.3 0.58%
Trade id #59466292
Max drawdown($740)
Time4/12/11 10:09
Quant open1
Worst price1445.0
Drawdown as % of equity-0.58%
 $3,282
Includes Typical Broker Commissions trade costs of $8.00
3/31/11 8:54 @QMK1 MINY CRUDE OIL LONG 1 105.550 4/6 10:38 108.200 0.03%
Trade id #59284161
Max drawdown($37)
Time3/31/11 9:00
Quant open1
Worst price105.475
Drawdown as % of equity-0.03%
 $1,317
Includes Typical Broker Commissions trade costs of $8.00
3/30/11 2:28 @QMK1 MINY CRUDE OIL SHORT 1 104.600 3/31 8:51 105.550 0.38%
Trade id #59231950
Max drawdown($475)
Time3/31/11 8:51
Quant open0
Worst price105.550
Drawdown as % of equity-0.38%
 ($483)
Includes Typical Broker Commissions trade costs of $8.00
3/28/11 9:33 @QMJ1 MINY CRUDE OIL SHORT 1 102.325 3/30 2:25 102.325 n/a ($8)
Includes Typical Broker Commissions trade costs of $8.00
3/17/11 6:29 @QMJ1 MINY CRUDE OIL LONG 1 99.675 3/20 19:07 102.775 0.14%
Trade id #58864523
Max drawdown($175)
Time3/17/11 6:42
Quant open1
Worst price99.325
Drawdown as % of equity-0.14%
 $1,542
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    12/21/2009
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5448.38
  • Age
    182 months ago
  • What it trades
    Futures
  • # Trades
    225
  • # Profitable
    120
  • % Profitable
    53.30%
  • Avg trade duration
    2.1 days
  • Max peak-to-valley drawdown
    12.97%
  • drawdown period
    Oct 07, 2010 - Dec 17, 2010
  • Annual Return (Compounded)
    1.3%
  • Avg win
    $946.63
  • Avg loss
    $814.11
  • Model Account Values (Raw)
  • Cash
    $128,111
  • Margin Used
    $0
  • Buying Power
    $128,111
  • Ratios
  • W:L ratio
    1.33:1
  • Sharpe Ratio
    -0.12
  • Sortino Ratio
    -0.2
  • Calmar Ratio
    0.14
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -408.08%
  • Correlation to SP500
    -0.00400
  • Return Percent SP500 (cumu) during strategy life
    431.14%
  • Return Statistics
  • Ann Return (w trading costs)
    1.3%
  • Slump
  • Current Slump as Pcnt Equity
    4.50%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.013%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $814
  • Avg Win
    $947
  • Sum Trade PL (losers)
    $85,482.000
  • Age
  • Num Months filled monthly returns table
    180
  • Win / Loss
  • Sum Trade PL (winners)
    $113,596.000
  • # Winners
    120
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    105
  • % Winners
    53.3%
  • Frequency
  • Avg Position Time (mins)
    3059.40
  • Avg Position Time (hrs)
    50.99
  • Avg Trade Length
    2.1 days
  • Last Trade Ago
    4898
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.00
  • Treynor Index
    1.48
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    29.44
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    18.82
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.04
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    7.061
  • 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 strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.466
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.184
  • Hold-and-Hope Ratio
    0.139
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04059
  • SD
    0.10068
  • Sharpe ratio (Glass type estimate)
    0.40316
  • Sharpe ratio (Hedges UMVUE)
    0.39792
  • df
    58.00000
  • t
    0.89395
  • p
    0.18752
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48550
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.28839
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48896
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28480
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.57493
  • Upside Potential Ratio
    1.24235
  • Upside part of mean
    0.08771
  • Downside part of mean
    -0.04712
  • Upside SD
    0.07154
  • Downside SD
    0.07060
  • N nonnegative terms
    54.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    59.00000
  • Mean of predictor
    0.36220
  • Mean of criterion
    0.04059
  • SD of predictor
    0.26623
  • SD of criterion
    0.10068
  • Covariance
    -0.00061
  • r
    -0.02262
  • b (slope, estimate of beta)
    -0.00855
  • a (intercept, estimate of alpha)
    0.04369
  • Mean Square Error
    0.01031
  • DF error
    57.00000
  • t(b)
    -0.17080
  • p(b)
    0.56751
  • t(a)
    0.88704
  • p(a)
    0.18939
  • Lowerbound of 95% confidence interval for beta
    -0.10883
  • Upperbound of 95% confidence interval for beta
    0.09172
  • Lowerbound of 95% confidence interval for alpha
    -0.05494
  • Upperbound of 95% confidence interval for alpha
    0.14231
  • Treynor index (mean / b)
    -4.74552
  • Jensen alpha (a)
    0.04369
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03542
  • SD
    0.10266
  • Sharpe ratio (Glass type estimate)
    0.34508
  • Sharpe ratio (Hedges UMVUE)
    0.34060
  • df
    58.00000
  • t
    0.76518
  • p
    0.22363
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54253
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.22977
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54549
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22669
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46941
  • Upside Potential Ratio
    1.12986
  • Upside part of mean
    0.08527
  • Downside part of mean
    -0.04984
  • Upside SD
    0.06906
  • Downside SD
    0.07547
  • N nonnegative terms
    54.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    59.00000
  • Mean of predictor
    0.32489
  • Mean of criterion
    0.03542
  • SD of predictor
    0.25346
  • SD of criterion
    0.10266
  • Covariance
    -0.00039
  • r
    -0.01490
  • b (slope, estimate of beta)
    -0.00603
  • a (intercept, estimate of alpha)
    0.03739
  • Mean Square Error
    0.01072
  • DF error
    57.00000
  • t(b)
    -0.11247
  • p(b)
    0.54458
  • t(a)
    0.75008
  • p(a)
    0.22815
  • Lowerbound of 95% confidence interval for beta
    -0.11344
  • Upperbound of 95% confidence interval for beta
    0.10138
  • Lowerbound of 95% confidence interval for alpha
    -0.06242
  • Upperbound of 95% confidence interval for alpha
    0.13719
  • Treynor index (mean / b)
    -5.87192
  • Jensen alpha (a)
    0.03739
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04476
  • Expected Shortfall on VaR
    0.05646
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00122
  • Expected Shortfall on VaR
    0.00628
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    59.00000
  • Minimum
    0.85992
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.09784
  • Mean of quarter 1
    0.98455
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02875
  • Inter Quartile Range
    0.00000
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.08475
  • Mean of outliers low
    0.95367
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.22034
  • Mean of outliers high
    1.03317
  • 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)
    1.21135
  • VaR(95%) (regression method)
    0.01211
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06836
  • Quartile 1
    0.08629
  • Median
    0.10422
  • Quartile 3
    0.12215
  • Maximum
    0.14008
  • Mean of quarter 1
    0.06836
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14008
  • Inter Quartile Range
    0.03586
  • 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)
    0.03870
  • Compounded annual return (geometric extrapolation)
    0.03606
  • Calmar ratio (compounded annual return / max draw down)
    0.25742
  • Compounded annual return / average of 25% largest draw downs
    0.25742
  • Compounded annual return / Expected Shortfall lognormal
    0.63870
  • 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
    0.04606
  • SD
    0.14462
  • Sharpe ratio (Glass type estimate)
    0.31848
  • Sharpe ratio (Hedges UMVUE)
    0.31830
  • df
    1289.00000
  • t
    0.70669
  • p
    0.48747
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56495
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20181
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56508
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20167
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43964
  • Upside Potential Ratio
    3.11763
  • Upside part of mean
    0.32662
  • Downside part of mean
    -0.28056
  • Upside SD
    0.09965
  • Downside SD
    0.10476
  • N nonnegative terms
    1138.00000
  • N negative terms
    152.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1290.00000
  • Mean of predictor
    0.37611
  • Mean of criterion
    0.04606
  • SD of predictor
    0.30043
  • SD of criterion
    0.14462
  • Covariance
    0.00257
  • r
    0.05906
  • b (slope, estimate of beta)
    0.02843
  • a (intercept, estimate of alpha)
    0.03500
  • Mean Square Error
    0.02086
  • DF error
    1288.00000
  • t(b)
    2.12343
  • p(b)
    0.47047
  • t(a)
    0.54173
  • p(a)
    0.49245
  • Lowerbound of 95% confidence interval for beta
    0.00216
  • Upperbound of 95% confidence interval for beta
    0.05470
  • Lowerbound of 95% confidence interval for alpha
    -0.09270
  • Upperbound of 95% confidence interval for alpha
    0.16343
  • Treynor index (mean / b)
    1.61995
  • Jensen alpha (a)
    0.03537
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03537
  • SD
    0.14717
  • Sharpe ratio (Glass type estimate)
    0.24036
  • Sharpe ratio (Hedges UMVUE)
    0.24022
  • df
    1289.00000
  • t
    0.53335
  • p
    0.49054
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64300
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.12368
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64312
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12356
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.31833
  • Upside Potential Ratio
    2.89646
  • Upside part of mean
    0.32187
  • Downside part of mean
    -0.28649
  • Upside SD
    0.09643
  • Downside SD
    0.11113
  • N nonnegative terms
    1138.00000
  • N negative terms
    152.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1290.00000
  • Mean of predictor
    0.33032
  • Mean of criterion
    0.03537
  • SD of predictor
    0.30287
  • SD of criterion
    0.14717
  • Covariance
    0.00257
  • r
    0.05768
  • b (slope, estimate of beta)
    0.02803
  • a (intercept, estimate of alpha)
    0.02612
  • Mean Square Error
    0.02160
  • DF error
    1288.00000
  • t(b)
    2.07366
  • p(b)
    0.47116
  • t(a)
    0.39336
  • p(a)
    0.49452
  • Lowerbound of 95% confidence interval for beta
    0.00151
  • Upperbound of 95% confidence interval for beta
    0.05455
  • Lowerbound of 95% confidence interval for alpha
    -0.10413
  • Upperbound of 95% confidence interval for alpha
    0.15636
  • Treynor index (mean / b)
    1.26200
  • Jensen alpha (a)
    0.02612
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01471
  • Expected Shortfall on VaR
    0.01844
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00059
  • Expected Shortfall on VaR
    0.00221
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1290.00000
  • Minimum
    0.82860
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.13372
  • Mean of quarter 1
    0.99572
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00498
  • Inter Quartile Range
    0.00000
  • Number outliers low
    152.00000
  • Percentage of outliers low
    0.11783
  • Mean of outliers low
    0.99091
  • Number of outliers high
    170.00000
  • Percentage of outliers high
    0.13178
  • Mean of outliers high
    1.00946
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48770
  • VaR(95%) (moments method)
    0.00225
  • Expected Shortfall (moments method)
    0.00704
  • Extreme Value Index (regression method)
    0.32570
  • VaR(95%) (regression method)
    0.00371
  • Expected Shortfall (regression method)
    0.01091
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00746
  • Median
    0.01466
  • Quartile 3
    0.03359
  • Maximum
    0.25700
  • Mean of quarter 1
    0.00337
  • Mean of quarter 2
    0.01232
  • Mean of quarter 3
    0.02347
  • Mean of quarter 4
    0.13564
  • Inter Quartile Range
    0.02613
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.18179
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.79273
  • VaR(95%) (moments method)
    0.12008
  • Expected Shortfall (moments method)
    0.12166
  • Extreme Value Index (regression method)
    0.25049
  • VaR(95%) (regression method)
    0.26979
  • Expected Shortfall (regression method)
    0.49788
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03864
  • Compounded annual return (geometric extrapolation)
    0.03601
  • Calmar ratio (compounded annual return / max draw down)
    0.14011
  • Compounded annual return / average of 25% largest draw downs
    0.26546
  • Compounded annual return / Expected Shortfall lognormal
    1.95248
  • 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
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.50339
  • Mean of criterion
    0.00000
  • SD of predictor
    0.41396
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.41743
  • Mean of criterion
    0.00000
  • SD of predictor
    0.41610
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -342090000
  • Max Equity Drawdown (num days)
    71
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

----------------------------------
HISTORICAL RESULTS
----------------------------------
Download historical system results here:
http://www.coincollector.it/Ninja-Portfolio_2209177.html
http://www.en.coincollector.ea23.com//Ninja-Portfolio_2192509.html

--------------------------------
SYSTEM FEATURES
--------------------------------
Ninja Futures Portfolio working with our pattern recognition system Ninja on some commodity markets. This trading system works completely automatically searching for specific patterns around markets, those highly profitable patterns with a good success percentage.

------------------------------------------
ADDITIONAL INFORMATION
------------------------------------------
Subscribe our Blog "Trading Weeks" here:
http://tradingweeks.blogspot.com

See other our C2 trading systems here:
http://coincollector-blog-uk.blogspot.com

-----------
FEEDS
-----------
To read our Blog Trading Week subscribe the following feed:
http://feeds.feedburner.com/TradingWeek

Summary Statistics

Strategy began
2009-12-21
Suggested Minimum Capital
$25,000
# Trades
225
# Profitable
120
% Profitable
53.3%
Correlation S&P500
-0.004
Sharpe Ratio
-0.12
Sortino Ratio
-0.20
Beta
-0.00
Alpha
-0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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