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RCrest Futures
(110874339)

Created by: Frank Frank
Started: 04/2017
Futures
Last trade: 7 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. Subscriptions to this system cost $149.00 per month.

7.2%
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.

(12.3%)
Max Drawdown
53
Num Trades
49.1%
Win Trades
1.7 : 1
Profit Factor
57.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                     (2.4%)+0.6%+3.1%+1.7%(3.1%)+1.0%+3.6%+4.4%+2.4%+11.6%
2018+8.4%(5.8%)(2.7%)(0.3%)(1.4%)(0.3%)+4.5%+3.4%+1.5%(6.6%)            (0.3%)

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 168 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/1/18 3:21 @JEZ8 E-MINI JAPANESE YEN SHORT 1 0.008821 10/15 4:17 0.008989 0.39%
Trade id #120111353
Max drawdown($1,087)
Time10/15/18 3:44
Quant open-1
Worst price0.008995
Drawdown as % of equity-0.39%
($1,058)
Includes Typical Broker Commissions trade costs of $8.00
9/27/18 11:59 @JEZ8 E-MINI JAPANESE YEN LONG 1 0.008870 10/1 3:21 0.008821 0.1%
Trade id #120068479
Max drawdown($312)
Time10/1/18 3:10
Quant open1
Worst price0.008820
Drawdown as % of equity-0.10%
($314)
Includes Typical Broker Commissions trade costs of $8.00
9/11/18 3:39 @JEZ8 E-MINI JAPANESE YEN SHORT 1 0.009028 9/27 11:59 0.008870 0.06%
Trade id #119792988
Max drawdown($175)
Time9/12/18 14:10
Quant open-1
Worst price0.009056
Drawdown as % of equity-0.06%
$980
Includes Typical Broker Commissions trade costs of $8.00
6/12/18 11:14 @M6BU8 E-MICRO GBP/USD SHORT 9 1.3410 9/17 9:00 1.3108 n/a $2,164
Includes Typical Broker Commissions trade costs of $72.00
6/12/18 11:13 @ESU8 E-MINI S&P 500 LONG 10 2767.10 9/14 4:28 2786.68 2.48%
Trade id #118391429
Max drawdown($6,837)
Time6/25/18 14:55
Quant open2
Worst price2700.50
Drawdown as % of equity-2.48%
$9,708
Includes Typical Broker Commissions trade costs of $80.00
6/12/18 11:17 @TYU8 US T-NOTE 10 YR SHORT 2 119 24/64 9/11 3:41 120 8/64 0.94%
Trade id #118391628
Max drawdown($2,750)
Time8/22/18 9:31
Quant open-2
Worst price120 48/64
Drawdown as % of equity-0.94%
($1,531)
Includes Typical Broker Commissions trade costs of $16.00
8/22/18 8:57 @M6EU8 E-MICRO EUR/USD SHORT 4 1.1635 9/11 3:41 1.1643 0.22%
Trade id #119546445
Max drawdown($668)
Time8/28/18 9:57
Quant open-4
Worst price1.1750
Drawdown as % of equity-0.22%
($79)
Includes Typical Broker Commissions trade costs of $32.00
9/11/18 3:40 @M6BZ8 E-MICRO GBP/USD SHORT 8 1.3121 9/11 3:40 1.3125 0.01%
Trade id #119793003
Max drawdown($26)
Time9/11/18 3:40
Quant open0
Worst price1.3125
Drawdown as % of equity-0.01%
($90)
Includes Typical Broker Commissions trade costs of $64.00
7/30/18 4:51 @JEU8 E-MINI JAPANESE YEN SHORT 1 0.009029 9/11 3:39 0.008970 0.21%
Trade id #119178968
Max drawdown($600)
Time8/20/18 21:04
Quant open-1
Worst price0.009125
Drawdown as % of equity-0.21%
$361
Includes Typical Broker Commissions trade costs of $8.00
8/12/18 18:00 @M6EU8 E-MICRO EUR/USD LONG 6 1.1390 8/22 8:57 1.1601 0.19%
Trade id #119395631
Max drawdown($552)
Time8/15/18 9:56
Quant open6
Worst price1.1327
Drawdown as % of equity-0.19%
$1,790
Includes Typical Broker Commissions trade costs of $48.00
6/12/18 11:15 @M6EU8 E-MICRO EUR/USD SHORT 4 1.1869 8/12 18:00 1.1413 n/a $2,564
Includes Typical Broker Commissions trade costs of $32.00
6/12/18 11:13 @JEU8 E-MINI JAPANESE YEN LONG 1 0.009100 7/30 4:51 0.009029 0.5%
Trade id #118391442
Max drawdown($1,437)
Time7/19/18 8:32
Quant open1
Worst price0.008870
Drawdown as % of equity-0.50%
($452)
Includes Typical Broker Commissions trade costs of $8.00
3/7/18 5:49 @TYM8 US T-NOTE 10 YR SHORT 2 120 14/64 6/12 11:17 119 46/64 0.86%
Trade id #116900622
Max drawdown($2,343)
Time5/29/18 19:51
Quant open-2
Worst price121 25/64
Drawdown as % of equity-0.86%
$984
Includes Typical Broker Commissions trade costs of $16.00
5/21/18 3:57 @M6EM8 E-MICRO EUR/USD SHORT 6 1.1754 6/12 11:15 1.1712 0.21%
Trade id #118014009
Max drawdown($597)
Time5/22/18 4:02
Quant open-4
Worst price1.1852
Drawdown as % of equity-0.21%
$323
Includes Typical Broker Commissions trade costs of $48.00
5/29/18 2:32 @M6BM8 E-MICRO GBP/USD SHORT 9 1.3305 6/12 11:14 1.3357 0.45%
Trade id #118138009
Max drawdown($1,276)
Time6/7/18 3:54
Quant open-9
Worst price1.3476
Drawdown as % of equity-0.45%
($463)
Includes Typical Broker Commissions trade costs of $72.00
3/15/18 5:13 @JEM8 E-MINI JAPANESE YEN LONG 2 0.009495 6/12 11:13 0.009078 1.84%
Trade id #117056265
Max drawdown($5,206)
Time6/12/18 11:13
Quant open1
Worst price0.009071
Drawdown as % of equity-1.84%
($5,222)
Includes Typical Broker Commissions trade costs of $16.00
3/15/18 5:12 @ESM8 E-MINI S&P 500 LONG 15 2684.58 6/12 11:12 2690.22 5.45%
Trade id #117056253
Max drawdown($15,281)
Time4/2/18 11:42
Quant open2
Worst price2572.25
Drawdown as % of equity-5.45%
$4,105
Includes Typical Broker Commissions trade costs of $120.00
3/15/18 5:15 @M6BM8 E-MICRO GBP/USD LONG 18 1.3793 5/29 2:25 1.3415 2.04%
Trade id #117056284
Max drawdown($5,650)
Time5/29/18 2:25
Quant open9
Worst price1.3305
Drawdown as % of equity-2.04%
($5,794)
Includes Typical Broker Commissions trade costs of $144.00
3/15/18 5:16 @M6EM8 E-MICRO EUR/USD LONG 6 1.2320 5/21 3:58 1.1839 1.51%
Trade id #117056293
Max drawdown($4,235)
Time5/21/18 3:58
Quant open2
Worst price1.1749
Drawdown as % of equity-1.51%
($4,283)
Includes Typical Broker Commissions trade costs of $48.00
12/11/17 10:58 @M6EH8 E-MICRO EUR/USD LONG 4 1.1875 3/15/18 5:16 1.2367 n/a $3,010
Includes Typical Broker Commissions trade costs of $32.00
12/11/17 10:57 @M6BH8 E-MICRO GBP/USD LONG 9 1.3409 3/15/18 5:15 1.3961 n/a $4,263
Includes Typical Broker Commissions trade costs of $72.00
3/2/18 6:06 @JEH8 E-MINI JAPANESE YEN LONG 2 0.009493 3/15 5:13 0.009431 0.71%
Trade id #116821219
Max drawdown($2,087)
Time3/13/18 7:03
Quant open2
Worst price0.009326
Drawdown as % of equity-0.71%
($791)
Includes Typical Broker Commissions trade costs of $16.00
12/11/17 10:54 @ESH8 E-MINI S&P 500 LONG 10 2719.50 3/15/18 5:12 2739.62 10.5%
Trade id #115291558
Max drawdown($28,575)
Time2/5/18 23:26
Quant open3
Worst price2529.00
Drawdown as % of equity-10.50%
$9,983
Includes Typical Broker Commissions trade costs of $80.00
12/11/17 10:59 @TYH8 US T-NOTE 10 YR SHORT 4 123 39/64 3/7/18 5:50 121 20/64 0.27%
Trade id #115291711
Max drawdown($750)
Time12/13/17 16:07
Quant open-3
Worst price124 42/64
Drawdown as % of equity-0.27%
$9,156
Includes Typical Broker Commissions trade costs of $32.00
12/11/17 10:55 @JEH8 E-MINI JAPANESE YEN SHORT 2 0.008869 3/2/18 6:05 0.009492 2.71%
Trade id #115291587
Max drawdown($7,788)
Time3/2/18 6:05
Quant open0
Worst price0.009492
Drawdown as % of equity-2.71%
($7,804)
Includes Typical Broker Commissions trade costs of $16.00
9/12/17 5:54 @TYZ7 US T-NOTE 10 YR SHORT 4 126 50/64 12/11 10:59 125 12/64 0.03%
Trade id #113638300
Max drawdown($63)
Time9/12/17 5:56
Quant open-4
Worst price126 51/64
Drawdown as % of equity-0.03%
$6,358
Includes Typical Broker Commissions trade costs of $32.00
11/14/17 11:01 @M6EZ7 E-MICRO EUR/USD LONG 4 1.1773 12/11 10:58 1.1796 0.1%
Trade id #114846840
Max drawdown($258)
Time11/21/17 4:40
Quant open4
Worst price1.1729
Drawdown as % of equity-0.10%
$104
Includes Typical Broker Commissions trade costs of $32.00
9/8/17 3:27 @M6BZ7 E-MICRO GBP/USD LONG 9 1.3172 12/11 10:57 1.3358 0.28%
Trade id #113595600
Max drawdown($726)
Time11/13/17 4:18
Quant open9
Worst price1.3075
Drawdown as % of equity-0.28%
$1,325
Includes Typical Broker Commissions trade costs of $72.00
9/12/17 5:54 @JEZ7 E-MINI JAPANESE YEN SHORT 3 0.009154 12/11 10:55 0.008935 0.02%
Trade id #113638298
Max drawdown($56)
Time9/12/17 5:57
Quant open-3
Worst price0.009157
Drawdown as % of equity-0.02%
$4,088
Includes Typical Broker Commissions trade costs of $24.00
9/8/17 3:17 @ESZ7 E-MINI S&P 500 LONG 12 2550.83 12/11 10:55 2600.35 n/a $29,617
Includes Typical Broker Commissions trade costs of $96.00

Statistics

  • Strategy began
    4/10/2017
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    559.96
  • Age
    19 months ago
  • What it trades
    Futures
  • # Trades
    53
  • # Profitable
    26
  • % Profitable
    49.10%
  • Avg trade duration
    52.7 days
  • Max peak-to-valley drawdown
    12.34%
  • drawdown period
    Jan 26, 2018 - Feb 06, 2018
  • Annual Return (Compounded)
    7.2%
  • Avg win
    $4,546
  • Avg loss
    $2,594
  • Model Account Values (Raw)
  • Cash
    $297,822
  • Margin Used
    $21,997
  • Buying Power
    $276,144
  • Ratios
  • W:L ratio
    1.69:1
  • Sharpe Ratio
    0.521
  • Sortino Ratio
    0.701
  • Calmar Ratio
    0.842
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.54000
  • Return Statistics
  • Ann Return (w trading costs)
    7.2%
  • Ann Return (Compnd, No Fees)
    8.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.50%
  • Chance of 20% account loss
    3.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    320
  • Popularity (Last 6 weeks)
    744
  • C2 Score
    87.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $3,139
  • Avg Win
    $4,545
  • # Winners
    26
  • # Losers
    27
  • % Winners
    49.1%
  • Frequency
  • Avg Position Time (mins)
    75849.00
  • Avg Position Time (hrs)
    1264.15
  • Avg Trade Length
    52.7 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06055
  • SD
    0.12024
  • Sharpe ratio (Glass type estimate)
    0.50352
  • Sharpe ratio (Hedges UMVUE)
    0.48092
  • df
    17.00000
  • t
    0.61668
  • p
    0.40617
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11284
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10538
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12753
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08936
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84619
  • Upside Potential Ratio
    2.79040
  • Upside part of mean
    0.19965
  • Downside part of mean
    -0.13911
  • Upside SD
    0.09403
  • Downside SD
    0.07155
  • N nonnegative terms
    9.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.07994
  • Mean of criterion
    0.06055
  • SD of predictor
    0.09696
  • SD of criterion
    0.12024
  • Covariance
    0.00887
  • r
    0.76040
  • b (slope, estimate of beta)
    0.94298
  • a (intercept, estimate of alpha)
    -0.01484
  • Mean Square Error
    0.00648
  • DF error
    16.00000
  • t(b)
    4.68337
  • p(b)
    0.11980
  • t(a)
    -0.21932
  • p(a)
    0.52737
  • Lowerbound of 95% confidence interval for beta
    0.51614
  • Upperbound of 95% confidence interval for beta
    1.36982
  • Lowerbound of 95% confidence interval for alpha
    -0.15829
  • Upperbound of 95% confidence interval for alpha
    0.12861
  • Treynor index (mean / b)
    0.06421
  • Jensen alpha (a)
    -0.01484
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05352
  • SD
    0.11942
  • Sharpe ratio (Glass type estimate)
    0.44816
  • Sharpe ratio (Hedges UMVUE)
    0.42805
  • df
    17.00000
  • t
    0.54888
  • p
    0.41624
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16559
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04898
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17871
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03480
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73300
  • Upside Potential Ratio
    2.66970
  • Upside part of mean
    0.19493
  • Downside part of mean
    -0.14141
  • Upside SD
    0.09153
  • Downside SD
    0.07302
  • N nonnegative terms
    9.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.07505
  • Mean of criterion
    0.05352
  • SD of predictor
    0.09753
  • SD of criterion
    0.11942
  • Covariance
    0.00888
  • r
    0.76198
  • b (slope, estimate of beta)
    0.93298
  • a (intercept, estimate of alpha)
    -0.01650
  • Mean Square Error
    0.00636
  • DF error
    16.00000
  • t(b)
    4.70643
  • p(b)
    0.11901
  • t(a)
    -0.24706
  • p(a)
    0.53082
  • Lowerbound of 95% confidence interval for beta
    0.51274
  • Upperbound of 95% confidence interval for beta
    1.35322
  • Lowerbound of 95% confidence interval for alpha
    -0.15804
  • Upperbound of 95% confidence interval for alpha
    0.12505
  • Treynor index (mean / b)
    0.05737
  • Jensen alpha (a)
    -0.01650
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05090
  • Expected Shortfall on VaR
    0.06440
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02702
  • Expected Shortfall on VaR
    0.04861
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.94724
  • Quartile 1
    0.98725
  • Median
    1.00211
  • Quartile 3
    1.03443
  • Maximum
    1.06862
  • Mean of quarter 1
    0.96621
  • Mean of quarter 2
    0.99531
  • Mean of quarter 3
    1.01740
  • Mean of quarter 4
    1.05017
  • Inter Quartile Range
    0.04718
  • 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)
    -3.28570
  • VaR(95%) (moments method)
    0.03217
  • Expected Shortfall (moments method)
    0.03227
  • Extreme Value Index (regression method)
    -1.08765
  • VaR(95%) (regression method)
    0.05304
  • Expected Shortfall (regression method)
    0.05697
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00964
  • Quartile 1
    0.03475
  • Median
    0.04642
  • Quartile 3
    0.05049
  • Maximum
    0.05276
  • Mean of quarter 1
    0.00964
  • Mean of quarter 2
    0.04311
  • Mean of quarter 3
    0.04973
  • Mean of quarter 4
    0.05276
  • Inter Quartile Range
    0.01574
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.25000
  • Mean of outliers low
    0.00964
  • 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)
    0.08661
  • Compounded annual return (geometric extrapolation)
    0.08484
  • Calmar ratio (compounded annual return / max draw down)
    1.60793
  • Compounded annual return / average of 25% largest draw downs
    1.60793
  • Compounded annual return / Expected Shortfall lognormal
    1.31727
  • 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
    0.06095
  • SD
    0.11677
  • Sharpe ratio (Glass type estimate)
    0.52192
  • Sharpe ratio (Hedges UMVUE)
    0.52094
  • df
    397.00000
  • t
    0.64327
  • p
    0.26021
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06903
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11224
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06970
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11157
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.70116
  • Upside Potential Ratio
    8.22799
  • Upside part of mean
    0.71519
  • Downside part of mean
    -0.65425
  • Upside SD
    0.07785
  • Downside SD
    0.08692
  • N nonnegative terms
    222.00000
  • N negative terms
    176.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    398.00000
  • Mean of predictor
    0.08462
  • Mean of criterion
    0.06095
  • SD of predictor
    0.11633
  • SD of criterion
    0.11677
  • Covariance
    0.00790
  • r
    0.58134
  • b (slope, estimate of beta)
    0.58354
  • a (intercept, estimate of alpha)
    0.01200
  • Mean Square Error
    0.00905
  • DF error
    396.00000
  • t(b)
    14.21770
  • p(b)
    0.00000
  • t(a)
    0.14974
  • p(a)
    0.44052
  • Lowerbound of 95% confidence interval for beta
    0.50285
  • Upperbound of 95% confidence interval for beta
    0.66424
  • Lowerbound of 95% confidence interval for alpha
    -0.14033
  • Upperbound of 95% confidence interval for alpha
    0.16347
  • Treynor index (mean / b)
    0.10444
  • Jensen alpha (a)
    0.01157
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05411
  • SD
    0.11708
  • Sharpe ratio (Glass type estimate)
    0.46216
  • Sharpe ratio (Hedges UMVUE)
    0.46129
  • df
    397.00000
  • t
    0.56962
  • p
    0.28463
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12862
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05247
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12925
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05183
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61688
  • Upside Potential Ratio
    8.11839
  • Upside part of mean
    0.71211
  • Downside part of mean
    -0.65800
  • Upside SD
    0.07740
  • Downside SD
    0.08772
  • N nonnegative terms
    222.00000
  • N negative terms
    176.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    398.00000
  • Mean of predictor
    0.07781
  • Mean of criterion
    0.05411
  • SD of predictor
    0.11684
  • SD of criterion
    0.11708
  • Covariance
    0.00797
  • r
    0.58272
  • b (slope, estimate of beta)
    0.58392
  • a (intercept, estimate of alpha)
    0.00868
  • Mean Square Error
    0.00908
  • DF error
    396.00000
  • t(b)
    14.26880
  • p(b)
    0.00000
  • t(a)
    0.11217
  • p(a)
    0.45537
  • Lowerbound of 95% confidence interval for beta
    0.50346
  • Upperbound of 95% confidence interval for beta
    0.66437
  • Lowerbound of 95% confidence interval for alpha
    -0.14341
  • Upperbound of 95% confidence interval for alpha
    0.16077
  • Treynor index (mean / b)
    0.09267
  • Jensen alpha (a)
    0.00868
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01162
  • Expected Shortfall on VaR
    0.01460
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00529
  • Expected Shortfall on VaR
    0.01078
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    398.00000
  • Minimum
    0.96117
  • Quartile 1
    0.99666
  • Median
    1.00078
  • Quartile 3
    1.00414
  • Maximum
    1.02038
  • Mean of quarter 1
    0.99128
  • Mean of quarter 2
    0.99907
  • Mean of quarter 3
    1.00255
  • Mean of quarter 4
    1.00847
  • Inter Quartile Range
    0.00748
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.03266
  • Mean of outliers low
    0.97884
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.02010
  • Mean of outliers high
    1.01773
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15943
  • VaR(95%) (moments method)
    0.00827
  • Expected Shortfall (moments method)
    0.01240
  • Extreme Value Index (regression method)
    0.18357
  • VaR(95%) (regression method)
    0.00871
  • Expected Shortfall (regression method)
    0.01342
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00105
  • Median
    0.00300
  • Quartile 3
    0.01771
  • Maximum
    0.10152
  • Mean of quarter 1
    0.00054
  • Mean of quarter 2
    0.00252
  • Mean of quarter 3
    0.00890
  • Mean of quarter 4
    0.06076
  • Inter Quartile Range
    0.01666
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    0.07399
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.15491
  • VaR(95%) (moments method)
    0.04828
  • Expected Shortfall (moments method)
    0.06340
  • Extreme Value Index (regression method)
    0.19755
  • VaR(95%) (regression method)
    0.07811
  • Expected Shortfall (regression method)
    0.12986
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08735
  • Compounded annual return (geometric extrapolation)
    0.08547
  • Calmar ratio (compounded annual return / max draw down)
    0.84191
  • Compounded annual return / average of 25% largest draw downs
    1.40672
  • Compounded annual return / Expected Shortfall lognormal
    5.85349
  • 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
    -0.05418
  • SD
    0.08934
  • Sharpe ratio (Glass type estimate)
    -0.60637
  • Sharpe ratio (Hedges UMVUE)
    -0.60286
  • df
    130.00000
  • t
    -0.42877
  • p
    0.51879
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.37807
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16751
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.37564
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16991
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.75587
  • Upside Potential Ratio
    7.13379
  • Upside part of mean
    0.51130
  • Downside part of mean
    -0.56547
  • Upside SD
    0.05287
  • Downside SD
    0.07167
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04972
  • Mean of criterion
    -0.05418
  • SD of predictor
    0.10785
  • SD of criterion
    0.08934
  • Covariance
    0.00646
  • r
    0.67092
  • b (slope, estimate of beta)
    0.55580
  • a (intercept, estimate of alpha)
    -0.08181
  • Mean Square Error
    0.00442
  • DF error
    129.00000
  • t(b)
    10.27630
  • p(b)
    0.10754
  • t(a)
    -0.86947
  • p(a)
    0.54854
  • Lowerbound of 95% confidence interval for beta
    0.44879
  • Upperbound of 95% confidence interval for beta
    0.66281
  • Lowerbound of 95% confidence interval for alpha
    -0.26798
  • Upperbound of 95% confidence interval for alpha
    0.10436
  • Treynor index (mean / b)
    -0.09747
  • Jensen alpha (a)
    -0.08181
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05816
  • SD
    0.08968
  • Sharpe ratio (Glass type estimate)
    -0.64846
  • Sharpe ratio (Hedges UMVUE)
    -0.64472
  • df
    130.00000
  • t
    -0.45853
  • p
    0.52009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.42018
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12567
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.41763
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12820
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.80506
  • Upside Potential Ratio
    7.05792
  • Upside part of mean
    0.50985
  • Downside part of mean
    -0.56801
  • Upside SD
    0.05269
  • Downside SD
    0.07224
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04392
  • Mean of criterion
    -0.05816
  • SD of predictor
    0.10816
  • SD of criterion
    0.08968
  • Covariance
    0.00652
  • r
    0.67207
  • b (slope, estimate of beta)
    0.55724
  • a (intercept, estimate of alpha)
    -0.08263
  • Mean Square Error
    0.00444
  • DF error
    129.00000
  • t(b)
    10.30850
  • p(b)
    0.10699
  • t(a)
    -0.87617
  • p(a)
    0.54892
  • Lowerbound of 95% confidence interval for beta
    0.45029
  • Upperbound of 95% confidence interval for beta
    0.66419
  • Lowerbound of 95% confidence interval for alpha
    -0.26923
  • Upperbound of 95% confidence interval for alpha
    0.10396
  • Treynor index (mean / b)
    -0.10436
  • Jensen alpha (a)
    -0.08263
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00929
  • Expected Shortfall on VaR
    0.01158
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00470
  • Expected Shortfall on VaR
    0.00933
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97061
  • Quartile 1
    0.99661
  • Median
    1.00052
  • Quartile 3
    1.00357
  • Maximum
    1.01056
  • Mean of quarter 1
    0.99285
  • Mean of quarter 2
    0.99885
  • Mean of quarter 3
    1.00207
  • Mean of quarter 4
    1.00589
  • Inter Quartile Range
    0.00695
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97699
  • 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)
    0.09381
  • VaR(95%) (moments method)
    0.00713
  • Expected Shortfall (moments method)
    0.00989
  • Extreme Value Index (regression method)
    0.07795
  • VaR(95%) (regression method)
    0.00641
  • Expected Shortfall (regression method)
    0.00855
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00061
  • Quartile 1
    0.00434
  • Median
    0.00870
  • Quartile 3
    0.01729
  • Maximum
    0.07210
  • Mean of quarter 1
    0.00215
  • Mean of quarter 2
    0.00643
  • Mean of quarter 3
    0.00916
  • Mean of quarter 4
    0.05677
  • Inter Quartile Range
    0.01295
  • 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
    0.25000
  • Mean of outliers high
    0.05677
  • 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)
    -0.03002
  • Compounded annual return (geometric extrapolation)
    -0.02980
  • Calmar ratio (compounded annual return / max draw down)
    -0.41326
  • Compounded annual return / average of 25% largest draw downs
    -0.52484
  • Compounded annual return / Expected Shortfall lognormal
    -2.57287

Strategy Description

The strategy of RCrest Futures is to invest globally long and short, using leverage, in a diversified range of liquid futures instruments following a systematic process based on the statistical analysis of historical data such as price, volume, volatility etc. We do make an effort to control risk through leverage and stop loss to reduce as low as possible drawdowns.

The details of 10 years backtesting results:
Annual return Drawdownd
2007 8,3% 12,7%
2008 69,3% 18,4%
2009 -11,1% 10,2%
2010 17,5% 8,1%
2011 4,6% 8%
2012 7,8% 5,6%
2013 58% 4,2%
2014 14,3% 3,3%
2015 3,6% 8,7%
2016 28,5% 8.9%
2017 24,7% 8,5%

Please take note that backtesting data is hypothetical and it has not been verified by C2. Send us a message for further information.

Summary Statistics

Strategy began
2017-04-10
Suggested Minimum Capital
$100,000
# Trades
53
# Profitable
26
% Profitable
49.1%
Correlation S&P500
0.540
Sharpe Ratio
0.521

Latest Activity

#PERSONNAME#
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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Suggested Minimum Capital

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