Ninja Futures
(45975619)
Subscription terms. You can subscribe to this system for free.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2009  +1.1%  +1.1%  
2010  (11.2%)  +16.4%  +6.4%  +2.8%  +5.2%  (0.5%)  +2.0%  +2.2%  +1.0%  +0.2%  (5.9%)  +0.8%  +18.4% 
2011  (1.6%)  +5.3%  (1.9%)  +0.7%  (3.6%)  +4.9%              +3.5% 
2012                          0.0 
2013                          0.0 
2014                          0.0 
2015                          0.0 
2016                          0.0 
2017                          0.0 
2018                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  $100,000  
Buy Power  $128,114  
Cash  $1  
Equity  $1  
Cumulative $  $28,114  
Total System Equity  $128,114  
Margined  $1  
Open P/L  $0  
Data has been delayed by 2 hours for nonsubscribers 
System developer has asked us to delay this information by 2 hours.
Trading Record
Statistics

Strategy began12/21/2009

Suggested Minimum Cap$100,000

Strategy Age (days)3128.68

Age104 months ago

What it tradesFutures

# Trades225

# Profitable120

% Profitable53.30%

Avg trade duration2.1 days

Max peaktovalley drawdown12.57%

drawdown periodOct 07, 2010  Dec 17, 2010

Annual Return (Compounded)2.5%

Avg win$946.63

Avg loss$814.11
 Model Account Values (Raw)

Cash$128,114

Margin Used$0

Buying Power$128,114
 Ratios

W:L ratio1.33:1

Sharpe Ratio0.189

Sortino Ratio0.26

Calmar Ratio0.18
 Return Statistics

Ann Return (w trading costs)2.5%

Ann Return (Compnd, No Fees)2.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)0
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$814

Avg Win$947

# Winners120

# Losers105

% Winners53.3%
 Frequency

Avg Position Time (mins)3059.40

Avg Position Time (hrs)50.99

Avg Trade Length2.1 days

Last Trade Ago2578
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.02412

SD0.11408

Sharpe ratio (Glass type estimate)0.21144

Sharpe ratio (Hedges UMVUE)0.20790

df45.00000

t0.41399

p0.34042

Lowerbound of 95% confidence interval for Sharpe Ratio0.79171

Upperbound of 95% confidence interval for Sharpe Ratio1.21232

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.79408

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.20988
 Statistics related to Sortino ratio

Sortino ratio0.29423

Upside Potential Ratio1.27591

Upside part of mean0.10460

Downside part of mean0.08048

Upside SD0.07784

Downside SD0.08198

N nonnegative terms13.00000

N negative terms33.00000
 Statistics related to linear regression on benchmark

N of observations46.00000

Mean of predictor0.22061

Mean of criterion0.02412

SD of predictor0.21205

SD of criterion0.11408

Covariance0.00028

r0.01147

b (slope, estimate of beta)0.00617

a (intercept, estimate of alpha)0.02548

Mean Square Error0.01331

DF error44.00000

t(b)0.07606

p(b)0.53014

t(a)0.41383

p(a)0.34051

Lowerbound of 95% confidence interval for beta0.16961

Upperbound of 95% confidence interval for beta0.15727

Lowerbound of 95% confidence interval for alpha0.09862

Upperbound of 95% confidence interval for alpha0.14958

Treynor index (mean / b)3.91040

Jensen alpha (a)0.02548
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.01753

SD0.11638

Sharpe ratio (Glass type estimate)0.15063

Sharpe ratio (Hedges UMVUE)0.14810

df45.00000

t0.29491

p0.38471

Lowerbound of 95% confidence interval for Sharpe Ratio0.85173

Upperbound of 95% confidence interval for Sharpe Ratio1.15136

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85343

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.14962
 Statistics related to Sortino ratio

Sortino ratio0.20043

Upside Potential Ratio1.16032

Upside part of mean0.10148

Downside part of mean0.08395

Upside SD0.07501

Downside SD0.08746

N nonnegative terms13.00000

N negative terms33.00000
 Statistics related to linear regression on benchmark

N of observations46.00000

Mean of predictor0.19706

Mean of criterion0.01753

SD of predictor0.20741

SD of criterion0.11638

Covariance0.00011

r0.00467

b (slope, estimate of beta)0.00262

a (intercept, estimate of alpha)0.01805

Mean Square Error0.01385

DF error44.00000

t(b)0.03099

p(b)0.51229

t(a)0.28929

p(a)0.38686

Lowerbound of 95% confidence interval for beta0.17310

Upperbound of 95% confidence interval for beta0.16786

Lowerbound of 95% confidence interval for alpha0.10767

Upperbound of 95% confidence interval for alpha0.14376

Treynor index (mean / b)6.68747

Jensen alpha (a)0.01805
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05238

Expected Shortfall on VaR0.06551
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01895

Expected Shortfall on VaR0.04157
 ORDER STATISTICS
 Quartiles of return rates

Number of observations46.00000

Minimum0.85992

Quartile 11.00000

Median1.00000

Quartile 31.00468

Maximum1.09784

Mean of quarter 10.98069

Mean of quarter 21.00000

Mean of quarter 31.00026

Mean of quarter 41.03570

Inter Quartile Range0.00468

Number outliers low3.00000

Percentage of outliers low0.06522

Mean of outliers low0.92653

Number of outliers high10.00000

Percentage of outliers high0.21739

Mean of outliers high1.04149
 Risk estimates for a oneperiod 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)0.01944

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.06836

Quartile 10.08629

Median0.10422

Quartile 30.12215

Maximum0.14008

Mean of quarter 10.06836

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.14008

Inter Quartile Range0.03586

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)0.04963

Compounded annual return (geometric extrapolation)0.04648

Calmar ratio (compounded annual return / max draw down)0.33184

Compounded annual return / average of 25% largest draw downs0.33184

Compounded annual return / Expected Shortfall lognormal0.70953

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.03092

SD0.16345

Sharpe ratio (Glass type estimate)0.18916

Sharpe ratio (Hedges UMVUE)0.18902

df1009.00000

t0.37141

p0.49256

Lowerbound of 95% confidence interval for Sharpe Ratio0.80915

Upperbound of 95% confidence interval for Sharpe Ratio1.18741

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.80926

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.18730
 Statistics related to Sortino ratio

Sortino ratio0.26041

Upside Potential Ratio3.47557

Upside part of mean0.41266

Downside part of mean0.38174

Upside SD0.11223

Downside SD0.11873

N nonnegative terms161.00000

N negative terms849.00000
 Statistics related to linear regression on benchmark

N of observations1010.00000

Mean of predictor0.22964

Mean of criterion0.03092

SD of predictor0.24970

SD of criterion0.16345

Covariance0.00330

r0.08098

b (slope, estimate of beta)0.05301

a (intercept, estimate of alpha)0.01900

Mean Square Error0.02657

DF error1008.00000

t(b)2.57946

p(b)0.45951

t(a)0.22545

p(a)0.49645

Lowerbound of 95% confidence interval for beta0.01268

Upperbound of 95% confidence interval for beta0.09333

Lowerbound of 95% confidence interval for alpha0.14442

Upperbound of 95% confidence interval for alpha0.18191

Treynor index (mean / b)0.58328

Jensen alpha (a)0.01875
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.01727

SD0.16634

Sharpe ratio (Glass type estimate)0.10385

Sharpe ratio (Hedges UMVUE)0.10377

df1009.00000

t0.20390

p0.49591

Lowerbound of 95% confidence interval for Sharpe Ratio0.89441

Upperbound of 95% confidence interval for Sharpe Ratio1.10211

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.89448

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.10203
 Statistics related to Sortino ratio

Sortino ratio0.13720

Upside Potential Ratio3.22932

Upside part of mean0.40659

Downside part of mean0.38932

Upside SD0.10858

Downside SD0.12591

N nonnegative terms161.00000

N negative terms849.00000
 Statistics related to linear regression on benchmark

N of observations1010.00000

Mean of predictor0.19834

Mean of criterion0.01727

SD of predictor0.25005

SD of criterion0.16634

Covariance0.00330

r0.07941

b (slope, estimate of beta)0.05282

a (intercept, estimate of alpha)0.00680

Mean Square Error0.02752

DF error1008.00000

t(b)2.52903

p(b)0.46030

t(a)0.08035

p(a)0.49873

Lowerbound of 95% confidence interval for beta0.01184

Upperbound of 95% confidence interval for beta0.09381

Lowerbound of 95% confidence interval for alpha0.15921

Upperbound of 95% confidence interval for alpha0.17280

Treynor index (mean / b)0.32703

Jensen alpha (a)0.00680
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01670

Expected Shortfall on VaR0.02090
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00454

Expected Shortfall on VaR0.01018
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1010.00000

Minimum0.82860

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.13372

Mean of quarter 10.99454

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00636

Inter Quartile Range0.00000

Number outliers low152.00000

Percentage of outliers low0.15049

Mean of outliers low0.99091

Number of outliers high170.00000

Percentage of outliers high0.16832

Mean of outliers high1.00946
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.48770

VaR(95%) (moments method)0.00289

Expected Shortfall (moments method)0.00828

Extreme Value Index (regression method)0.32570

VaR(95%) (regression method)0.00495

Expected Shortfall (regression method)0.01275
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations11.00000

Minimum0.00032

Quartile 10.00746

Median0.01466

Quartile 30.03359

Maximum0.25700

Mean of quarter 10.00337

Mean of quarter 20.01232

Mean of quarter 30.02347

Mean of quarter 40.13564

Inter Quartile Range0.02613

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.18182

Mean of outliers high0.18179
 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)0.04935

Compounded annual return (geometric extrapolation)0.04622

Calmar ratio (compounded annual return / max draw down)0.17984

Compounded annual return / average of 25% largest draw downs0.34073

Compounded annual return / Expected Shortfall lognormal2.21109

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

Mean0.02791

SD0.00000

Sharpe ratio (Glass type estimate)0.00000

Sharpe ratio (Hedges UMVUE)0.00000

df0.00000

t0.00000

p0.00000

Lowerbound of 95% confidence interval for Sharpe Ratio0.00000

Upperbound of 95% confidence interval for Sharpe Ratio0.00000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Statistics related to Sortino ratio

Sortino ratio16.18640

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.02791

Upside SD0.00000

Downside SD0.00172

N nonnegative terms0.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.65913

Mean of criterion0.02791

SD of predictor0.20706

SD of criterion0.00000

Covariance0.00000

r0.00000

b (slope, estimate of beta)0.00000

a (intercept, estimate of alpha)0.00000

Mean Square Error0.00000

DF error0.00000

t(b)0.00000

p(b)0.00000

t(a)0.00000

p(a)0.00000

Lowerbound of 95% confidence interval for beta0.00000

Upperbound of 95% confidence interval for beta0.00000

Lowerbound of 95% confidence interval for alpha0.00000

Upperbound of 95% confidence interval for alpha0.00000

Treynor index (mean / b)0.00000

Jensen alpha (a)0.00000
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.02791

SD0.00000

Sharpe ratio (Glass type estimate)9748420000000000.00000

Sharpe ratio (Hedges UMVUE)9692070000000000.00000

df130.00000

t6893170000000000.00000

p1.00000

Lowerbound of 95% confidence interval for Sharpe Ratio0.00000

Upperbound of 95% confidence interval for Sharpe Ratio0.00000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation10870200000000000.00000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation8513980000000000.00000
 Statistics related to Sortino ratio

Sortino ratio16.18640

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.02791

Upside SD0.00000

Downside SD0.00172

N nonnegative terms0.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.63685

Mean of criterion0.02791

SD of predictor0.20816

SD of criterion0.00000

Covariance0.00000

r0.00000

b (slope, estimate of beta)0.00000

a (intercept, estimate of alpha)0.02791

Mean Square Error0.00000

DF error129.00000

t(b)0.00000

p(b)0.50000

t(a)6746250000000000.00000

p(a)1.00000

Lowerbound of 95% confidence interval for beta0.00000

Upperbound of 95% confidence interval for beta0.00000

Lowerbound of 95% confidence interval for alpha0.02791

Upperbound of 95% confidence interval for alpha0.02791

Treynor index (mean / b)75954000000000000115889760370688.00000

Jensen alpha (a)0.02791
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00011

Expected Shortfall on VaR0.00011
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00000

Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum1.00000

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.00000

Mean of quarter 11.00000

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00000

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 for a oneperiod 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 observations0.00000

Minimum0.00000

Quartile 10.00000

Median0.00000

Quartile 30.00000

Maximum0.00000

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)0.00000

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 downs0.00000

Compounded annual return / Expected Shortfall lognormal0.00000
Strategy Description
HISTORICAL RESULTS

Download historical system results here:
http://www.coincollector.it/NinjaPortfolio_2209177.html
http://www.en.coincollector.ea23.com//NinjaPortfolio_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://coincollectorbloguk.blogspot.com

FEEDS

To read our Blog Trading Week subscribe the following feed:
http://feeds.feedburner.com/TradingWeek
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.