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This is an archived track record. This track record was archived on 1/6/20 18:52 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Seasonal Simplicity
(100051145)

Created by: JoeQuenet JoeQuenet
Started: 06/2018
Futures
Last trade: 1,692 days ago
Trading style: Futures Commodities

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 $50.00 per month.

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.

Trading Category: Futures
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
16.7%
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.

(14.2%)
Max Drawdown
124
Num Trades
50.8%
Win Trades
1.1 : 1
Profit Factor
14.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                   +4.8%+5.2%+1.1%+0.4%+1.3%+7.8%(2.6%)+18.9%
2019(1%)+2.0%+10.8%+0.3%(2%)(0.8%)(1.8%)+0.1%  -    -    -    -  +7.2%
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 48 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/1/19 10:42 QHOF0 Heating Oil LONG 4 1.9350 8/1 10:43 1.9337 0.36%
Trade id #124717436
Max drawdown($227)
Time8/1/19 10:43
Quant open4
Worst price1.9337
Drawdown as % of equity-0.36%
($259)
Includes Typical Broker Commissions trade costs of $32.00
7/18/19 7:45 @EDZ9 EURODOLLAR SHORT 2 97.9850 8/1 10:43 97.9000 0.71%
Trade id #124512571
Max drawdown($450)
Time7/18/19 7:45
Quant open2
Worst price98.0750
Drawdown as % of equity-0.71%
$409
Includes Typical Broker Commissions trade costs of $16.00
7/18/19 7:44 @EDH0 EURODOLLAR LONG 2 98.2050 8/1 10:42 98.1400 1.62%
Trade id #124512564
Max drawdown($1,025)
Time7/18/19 7:44
Quant open2
Worst price98.0000
Drawdown as % of equity-1.62%
($341)
Includes Typical Broker Commissions trade costs of $16.00
7/17/19 7:52 QHOF0 Heating Oil SHORT 2 1.9473 8/1 10:42 1.9338 4.76%
Trade id #124491163
Max drawdown($3,015)
Time7/17/19 7:52
Quant open2
Worst price1.9832
Drawdown as % of equity-4.76%
$1,118
Includes Typical Broker Commissions trade costs of $16.00
7/17/19 7:52 QHOZ9 Heating Oil LONG 2 1.9475 8/1 10:42 1.9330 9.85%
Trade id #124491156
Max drawdown($6,241)
Time7/17/19 7:52
Quant open2
Worst price1.8732
Drawdown as % of equity-9.85%
($1,234)
Includes Typical Broker Commissions trade costs of $16.00
7/15/19 21:32 QRBU9 RBOB Gasoline SHORT 2 1.8842 8/1 10:42 1.8103 2.35%
Trade id #124469584
Max drawdown($1,478)
Time7/15/19 21:32
Quant open2
Worst price1.9018
Drawdown as % of equity-2.35%
$6,192
Includes Typical Broker Commissions trade costs of $16.00
7/15/19 21:31 QRBV9 RBOB Gasoline LONG 2 1.7305 8/1 10:42 1.6577 15.41%
Trade id #124469571
Max drawdown($9,710)
Time7/15/19 21:31
Quant open2
Worst price1.6149
Drawdown as % of equity-15.41%
($6,131)
Includes Typical Broker Commissions trade costs of $16.00
6/7/19 10:10 QNGX9 Natural Gas SHORT 1 2.451 7/23 7:53 2.407 2.28%
Trade id #123978435
Max drawdown($1,480)
Time6/7/19 10:10
Quant open1
Worst price2.599
Drawdown as % of equity-2.28%
$432
Includes Typical Broker Commissions trade costs of $8.00
5/20/19 5:34 LRCF0 Coffee Robusta Liffe SHORT 2 1376 7/17 7:33 1472 5.36%
Trade id #123733962
Max drawdown($3,480)
Time5/20/19 5:34
Quant open2
Worst price1550
Drawdown as % of equity-5.36%
($1,936)
Includes Typical Broker Commissions trade costs of $16.00
5/20/19 5:34 LRCX9 Coffee Robusta Liffe LONG 2 1358 7/17 7:33 1443 0.15%
Trade id #123733959
Max drawdown($100)
Time5/20/19 5:34
Quant open2
Worst price1353
Drawdown as % of equity-0.15%
$1,684
Includes Typical Broker Commissions trade costs of $16.00
6/20/19 7:59 @EDH0 EURODOLLAR SHORT 1 98.3800 7/9 9:06 98.1350 0.1%
Trade id #124158680
Max drawdown($62)
Time6/20/19 7:59
Quant open1
Worst price98.4050
Drawdown as % of equity-0.10%
$605
Includes Typical Broker Commissions trade costs of $8.00
6/20/19 7:56 @FVU9 US T-NOTE 5 YR LONG 2 118 19/64 7/9 9:06 117 37/64 2.59%
Trade id #124158659
Max drawdown($1,687)
Time6/20/19 7:56
Quant open2
Worst price117 29/64
Drawdown as % of equity-2.59%
($1,454)
Includes Typical Broker Commissions trade costs of $16.00
6/7/19 3:45 QWH0 Liffe Sugar White LONG 2 360.3 6/20 8:05 359.1 n/a ($136)
Includes Typical Broker Commissions trade costs of $16.00
6/7/19 3:45 QWK0 Liffe Sugar White SHORT 2 365.7 6/20 8:05 366.7 n/a ($116)
Includes Typical Broker Commissions trade costs of $16.00
6/7/19 3:45 QWQ9 Liffe Sugar White LONG 1 339.2 6/20 8:04 333.3 n/a ($303)
Includes Typical Broker Commissions trade costs of $8.00
5/19/19 18:56 QSIN9 Silver 5000 oz SHORT 2 14.415 6/5 12:56 14.785 9.36%
Trade id #123730788
Max drawdown($6,250)
Time6/5/19 9:18
Quant open-2
Worst price15.040
Drawdown as % of equity-9.36%
($3,716)
Includes Typical Broker Commissions trade costs of $16.00
5/19/19 18:55 QSIH0 Silver 5000 oz LONG 2 14.720 6/5 12:56 15.060 n/a $3,384
Includes Typical Broker Commissions trade costs of $16.00
5/17/19 13:14 @LEG0 LIVE CATTLE LONG 2 117.200 6/5 12:54 114.725 2.96%
Trade id #123716750
Max drawdown($1,980)
Time6/5/19 12:54
Quant open0
Worst price114.725
Drawdown as % of equity-2.96%
($1,996)
Includes Typical Broker Commissions trade costs of $16.00
5/17/19 13:14 @LEZ9 LIVE CATTLE SHORT 2 112.900 6/5 12:53 110.100 1.48%
Trade id #123716747
Max drawdown($980)
Time5/21/19 10:58
Quant open-2
Worst price114.125
Drawdown as % of equity-1.48%
$2,224
Includes Typical Broker Commissions trade costs of $16.00
5/17/19 13:15 @SF0 SOYBEANS LONG 2 867 6/5 12:51 912 3/4 1.34%
Trade id #123716820
Max drawdown($875)
Time5/17/19 13:15
Quant open2
Worst price858 1/4
Drawdown as % of equity-1.34%
$4,559
Includes Typical Broker Commissions trade costs of $16.00
5/17/19 13:15 @SU9 SOYBEANS SHORT 2 842 6/5 12:51 886 1/4 9.89%
Trade id #123716816
Max drawdown($6,575)
Time6/3/19 23:16
Quant open-2
Worst price907 3/4
Drawdown as % of equity-9.89%
($4,441)
Includes Typical Broker Commissions trade costs of $16.00
5/17/19 9:36: Rescaled downward to 50% of previous Model Account size
5/2/19 9:30 @LEG0 LIVE CATTLE LONG 1 119.025 5/17 9:30 116.825 1.32%
Trade id #123503772
Max drawdown($880)
Time5/17/19 9:30
Quant open0
Worst price116.825
Drawdown as % of equity-1.32%
($888)
Includes Typical Broker Commissions trade costs of $8.00
5/2/19 9:30 @LEZ9 LIVE CATTLE SHORT 1 115.825 5/17 9:30 112.925 0.16%
Trade id #123503770
Max drawdown($110)
Time5/2/19 9:32
Quant open-1
Worst price116.100
Drawdown as % of equity-0.16%
$1,152
Includes Typical Broker Commissions trade costs of $8.00
5/13/19 5:18 LRCF0 Coffee Robusta Liffe SHORT 1 1401 5/17 8:58 1362 0.16%
Trade id #123639505
Max drawdown($110)
Time5/13/19 5:18
Quant open1
Worst price1412
Drawdown as % of equity-0.16%
$382
Includes Typical Broker Commissions trade costs of $8.00
5/13/19 5:18 LRCX9 Coffee Robusta Liffe LONG 1 1384 5/17 8:58 1339 0.67%
Trade id #123639501
Max drawdown($450)
Time5/17/19 8:58
Quant open0
Worst price1339
Drawdown as % of equity-0.67%
($458)
Includes Typical Broker Commissions trade costs of $8.00
5/12/19 20:43 @SMU9 SOYBEAN MEAL SHORT 2 290.5 5/17 8:58 303.2 4.96%
Trade id #123636516
Max drawdown($3,420)
Time5/15/19 9:42
Quant open-2
Worst price307.6
Drawdown as % of equity-4.96%
($2,556)
Includes Typical Broker Commissions trade costs of $16.00
5/12/19 20:42 @SMV9 SOYBEAN MEAL LONG 1 292.5 5/17 8:57 302.0 0.53%
Trade id #123636512
Max drawdown($380)
Time5/13/19 9:33
Quant open1
Worst price288.7
Drawdown as % of equity-0.53%
$942
Includes Typical Broker Commissions trade costs of $8.00
5/12/19 20:41 @SMQ9 SOYBEAN MEAL LONG 1 288.8 5/17 8:57 301.2 0.53%
Trade id #123636510
Max drawdown($380)
Time5/13/19 9:33
Quant open1
Worst price285.0
Drawdown as % of equity-0.53%
$1,232
Includes Typical Broker Commissions trade costs of $8.00
5/1/19 22:07 @SF0 SOYBEANS LONG 1 884 1/4 5/17 8:56 872 2/4 0.88%
Trade id #123499906
Max drawdown($588)
Time5/17/19 8:56
Quant open0
Worst price872 2/4
Drawdown as % of equity-0.88%
($596)
Includes Typical Broker Commissions trade costs of $8.00
5/1/19 22:07 @SU9 SOYBEANS SHORT 1 863 1/4 5/17 8:56 849 0.07%
Trade id #123499904
Max drawdown($50)
Time5/2/19 0:42
Quant open-1
Worst price864 1/4
Drawdown as % of equity-0.07%
$705
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    6/18/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2097.72
  • Age
    70 months ago
  • What it trades
    Futures
  • # Trades
    124
  • # Profitable
    63
  • % Profitable
    50.80%
  • Avg trade duration
    31.7 days
  • Max peak-to-valley drawdown
    14.2%
  • drawdown period
    Nov 15, 2018 - Feb 11, 2019
  • Annual Return (Compounded)
    16.7%
  • Avg win
    $2,616
  • Avg loss
    $2,446
  • Model Account Values (Raw)
  • Cash
    $65,595
  • Margin Used
    $0
  • Buying Power
    $65,595
  • Ratios
  • W:L ratio
    1.10:1
  • Sharpe Ratio
    0.31
  • Sortino Ratio
    0.48
  • Calmar Ratio
    1.547
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    10.30%
  • Correlation to SP500
    0.02900
  • Return Percent SP500 (cumu) during strategy life
    85.64%
  • Return Statistics
  • Ann Return (w trading costs)
    16.7%
  • Slump
  • Current Slump as Pcnt Equity
    10.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.84%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.167%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.50%
  • Chance of 20% account loss
    7.50%
  • 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
  • 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)
    372
  • 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
    $2,446
  • Avg Win
    $2,616
  • Sum Trade PL (losers)
    $149,223.000
  • Age
  • Num Months filled monthly returns table
    70
  • Win / Loss
  • Sum Trade PL (winners)
    $164,817.000
  • # Winners
    63
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    61
  • % Winners
    50.8%
  • Frequency
  • Avg Position Time (mins)
    45605.90
  • Avg Position Time (hrs)
    760.10
  • Avg Trade Length
    31.7 days
  • Last Trade Ago
    1689
  • Leverage
  • Daily leverage (average)
    10.08
  • Daily leverage (max)
    25.92
  • Regression
  • Alpha
    0.01
  • Beta
    0.01
  • Treynor Index
    0.66
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    12.47
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    12.91
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.34
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -46.154
  • 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
    0.15
  • Avg(MAE) / Avg(PL) - Winning trades
    0.187
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.308
  • Hold-and-Hope Ratio
    -0.022
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24503
  • SD
    0.19629
  • Sharpe ratio (Glass type estimate)
    1.24828
  • Sharpe ratio (Hedges UMVUE)
    1.16832
  • df
    12.00000
  • t
    1.29926
  • p
    0.32441
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77189
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10854
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.88507
  • Upside Potential Ratio
    4.72885
  • Upside part of mean
    0.40162
  • Downside part of mean
    -0.15659
  • Upside SD
    0.18264
  • Downside SD
    0.08493
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.03406
  • Mean of criterion
    0.24503
  • SD of predictor
    0.13141
  • SD of criterion
    0.19629
  • Covariance
    0.00005
  • r
    0.00184
  • b (slope, estimate of beta)
    0.00275
  • a (intercept, estimate of alpha)
    0.24493
  • Mean Square Error
    0.04203
  • DF error
    11.00000
  • t(b)
    0.00611
  • p(b)
    0.49762
  • t(a)
    1.23971
  • p(a)
    0.12044
  • Lowerbound of 95% confidence interval for beta
    -0.98852
  • Upperbound of 95% confidence interval for beta
    0.99401
  • Lowerbound of 95% confidence interval for alpha
    -0.18992
  • Upperbound of 95% confidence interval for alpha
    0.67979
  • Treynor index (mean / b)
    89.10680
  • Jensen alpha (a)
    0.24493
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22515
  • SD
    0.19068
  • Sharpe ratio (Glass type estimate)
    1.18076
  • Sharpe ratio (Hedges UMVUE)
    1.10512
  • df
    12.00000
  • t
    1.22898
  • p
    0.33282
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78232
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09804
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82916
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.03940
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.58431
  • Upside Potential Ratio
    4.42026
  • Upside part of mean
    0.38510
  • Downside part of mean
    -0.15995
  • Upside SD
    0.17377
  • Downside SD
    0.08712
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.02586
  • Mean of criterion
    0.22515
  • SD of predictor
    0.13304
  • SD of criterion
    0.19068
  • Covariance
    -0.00009
  • r
    -0.00338
  • b (slope, estimate of beta)
    -0.00484
  • a (intercept, estimate of alpha)
    0.22528
  • Mean Square Error
    0.03966
  • DF error
    11.00000
  • t(b)
    -0.01121
  • p(b)
    0.50437
  • t(a)
    1.17531
  • p(a)
    0.13234
  • Lowerbound of 95% confidence interval for beta
    -0.95597
  • Upperbound of 95% confidence interval for beta
    0.94628
  • Lowerbound of 95% confidence interval for alpha
    -0.19659
  • Upperbound of 95% confidence interval for alpha
    0.64714
  • Treynor index (mean / b)
    -46.48260
  • Jensen alpha (a)
    0.22528
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06926
  • Expected Shortfall on VaR
    0.09024
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02569
  • Expected Shortfall on VaR
    0.04987
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.93930
  • Quartile 1
    0.98478
  • Median
    1.01474
  • Quartile 3
    1.05154
  • Maximum
    1.13381
  • Mean of quarter 1
    0.96429
  • Mean of quarter 2
    1.00209
  • Mean of quarter 3
    1.04339
  • Mean of quarter 4
    1.10071
  • Inter Quartile Range
    0.06676
  • 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)
    0.37913
  • VaR(95%) (moments method)
    0.04263
  • Expected Shortfall (moments method)
    0.08067
  • Extreme Value Index (regression method)
    4.50775
  • VaR(95%) (regression method)
    0.05585
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01522
  • Quartile 1
    0.04068
  • Median
    0.06615
  • Quartile 3
    0.07054
  • Maximum
    0.07493
  • Mean of quarter 1
    0.01522
  • Mean of quarter 2
    0.06615
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07493
  • Inter Quartile Range
    0.02985
  • 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)
    0.29114
  • Compounded annual return (geometric extrapolation)
    0.28796
  • Calmar ratio (compounded annual return / max draw down)
    3.84324
  • Compounded annual return / average of 25% largest draw downs
    3.84324
  • Compounded annual return / Expected Shortfall lognormal
    3.19106
  • 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
    0.22757
  • SD
    0.14900
  • Sharpe ratio (Glass type estimate)
    1.52731
  • Sharpe ratio (Hedges UMVUE)
    1.52340
  • df
    293.00000
  • t
    1.61789
  • p
    0.05338
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32834
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38037
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33094
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37773
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.32779
  • Upside Potential Ratio
    9.52750
  • Upside part of mean
    0.93142
  • Downside part of mean
    -0.70385
  • Upside SD
    0.11299
  • Downside SD
    0.09776
  • N nonnegative terms
    140.00000
  • N negative terms
    154.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    294.00000
  • Mean of predictor
    0.12565
  • Mean of criterion
    0.22757
  • SD of predictor
    0.16383
  • SD of criterion
    0.14900
  • Covariance
    0.00175
  • r
    0.07157
  • b (slope, estimate of beta)
    0.06509
  • a (intercept, estimate of alpha)
    0.13300
  • Mean Square Error
    0.02216
  • DF error
    292.00000
  • t(b)
    1.22612
  • p(b)
    0.11057
  • t(a)
    1.55933
  • p(a)
    0.06000
  • Lowerbound of 95% confidence interval for beta
    -0.03939
  • Upperbound of 95% confidence interval for beta
    0.16957
  • Lowerbound of 95% confidence interval for alpha
    -0.05751
  • Upperbound of 95% confidence interval for alpha
    0.49629
  • Treynor index (mean / b)
    3.49620
  • Jensen alpha (a)
    0.21939
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21640
  • SD
    0.14890
  • Sharpe ratio (Glass type estimate)
    1.45331
  • Sharpe ratio (Hedges UMVUE)
    1.44959
  • df
    293.00000
  • t
    1.53951
  • p
    0.06238
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40184
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30604
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40435
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30354
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.19196
  • Upside Potential Ratio
    9.36972
  • Upside part of mean
    0.92502
  • Downside part of mean
    -0.70862
  • Upside SD
    0.11193
  • Downside SD
    0.09872
  • N nonnegative terms
    140.00000
  • N negative terms
    154.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    294.00000
  • Mean of predictor
    0.11224
  • Mean of criterion
    0.21640
  • SD of predictor
    0.16377
  • SD of criterion
    0.14890
  • Covariance
    0.00177
  • r
    0.07239
  • b (slope, estimate of beta)
    0.06582
  • a (intercept, estimate of alpha)
    0.20901
  • Mean Square Error
    0.02213
  • DF error
    292.00000
  • t(b)
    1.24033
  • p(b)
    0.10792
  • t(a)
    1.48698
  • p(a)
    0.06905
  • Lowerbound of 95% confidence interval for beta
    -0.03862
  • Upperbound of 95% confidence interval for beta
    0.17027
  • Lowerbound of 95% confidence interval for alpha
    -0.06763
  • Upperbound of 95% confidence interval for alpha
    0.48565
  • Treynor index (mean / b)
    3.28762
  • Jensen alpha (a)
    0.20901
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01420
  • Expected Shortfall on VaR
    0.01798
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00632
  • Expected Shortfall on VaR
    0.01283
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    294.00000
  • Minimum
    0.96357
  • Quartile 1
    0.99702
  • Median
    1.00000
  • Quartile 3
    1.00544
  • Maximum
    1.03555
  • Mean of quarter 1
    0.99022
  • Mean of quarter 2
    0.99932
  • Mean of quarter 3
    1.00222
  • Mean of quarter 4
    1.01214
  • Inter Quartile Range
    0.00842
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.03741
  • Mean of outliers low
    0.97718
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.04082
  • Mean of outliers high
    1.02419
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14536
  • VaR(95%) (moments method)
    0.00842
  • Expected Shortfall (moments method)
    0.01284
  • Extreme Value Index (regression method)
    -0.16447
  • VaR(95%) (regression method)
    0.00953
  • Expected Shortfall (regression method)
    0.01256
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00044
  • Quartile 1
    0.00358
  • Median
    0.01451
  • Quartile 3
    0.03187
  • Maximum
    0.10999
  • Mean of quarter 1
    0.00199
  • Mean of quarter 2
    0.00790
  • Mean of quarter 3
    0.02035
  • Mean of quarter 4
    0.07635
  • Inter Quartile Range
    0.02829
  • 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
    0.13333
  • Mean of outliers high
    0.10596
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.01372
  • VaR(95%) (moments method)
    0.07750
  • Expected Shortfall (moments method)
    0.07798
  • Extreme Value Index (regression method)
    -2.03679
  • VaR(95%) (regression method)
    0.12027
  • Expected Shortfall (regression method)
    0.12248
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28108
  • Compounded annual return (geometric extrapolation)
    0.27674
  • Calmar ratio (compounded annual return / max draw down)
    2.51590
  • Compounded annual return / average of 25% largest draw downs
    3.62440
  • Compounded annual return / Expected Shortfall lognormal
    15.39150
  • 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
    0.19074
  • SD
    0.16431
  • Sharpe ratio (Glass type estimate)
    1.16087
  • Sharpe ratio (Hedges UMVUE)
    1.15416
  • df
    130.00000
  • t
    0.82086
  • p
    0.46410
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61670
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93410
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62119
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92952
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.76805
  • Upside Potential Ratio
    8.40603
  • Upside part of mean
    0.90685
  • Downside part of mean
    -0.71611
  • Upside SD
    0.12366
  • Downside SD
    0.10788
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32395
  • Mean of criterion
    0.19074
  • SD of predictor
    0.14801
  • SD of criterion
    0.16431
  • Covariance
    0.00091
  • r
    0.03727
  • b (slope, estimate of beta)
    0.04137
  • a (intercept, estimate of alpha)
    0.17734
  • Mean Square Error
    0.02717
  • DF error
    129.00000
  • t(b)
    0.42356
  • p(b)
    0.47628
  • t(a)
    0.75386
  • p(a)
    0.45787
  • Lowerbound of 95% confidence interval for beta
    -0.15188
  • Upperbound of 95% confidence interval for beta
    0.23462
  • Lowerbound of 95% confidence interval for alpha
    -0.28809
  • Upperbound of 95% confidence interval for alpha
    0.64276
  • Treynor index (mean / b)
    4.61048
  • Jensen alpha (a)
    0.17734
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17728
  • SD
    0.16417
  • Sharpe ratio (Glass type estimate)
    1.07987
  • Sharpe ratio (Hedges UMVUE)
    1.07362
  • df
    130.00000
  • t
    0.76358
  • p
    0.46659
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.69710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.85273
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70125
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.84850
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.62488
  • Upside Potential Ratio
    8.24205
  • Upside part of mean
    0.89922
  • Downside part of mean
    -0.72194
  • Upside SD
    0.12232
  • Downside SD
    0.10910
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31288
  • Mean of criterion
    0.17728
  • SD of predictor
    0.14781
  • SD of criterion
    0.16417
  • Covariance
    0.00091
  • r
    0.03751
  • b (slope, estimate of beta)
    0.04166
  • a (intercept, estimate of alpha)
    0.16424
  • Mean Square Error
    0.02712
  • DF error
    129.00000
  • t(b)
    0.42630
  • p(b)
    0.47613
  • t(a)
    0.69921
  • p(a)
    0.46091
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    -0.15168
  • Upperbound of 95% confidence interval for beta
    0.23500
  • Lowerbound of 95% confidence interval for alpha
    -0.30051
  • Upperbound of 95% confidence interval for alpha
    0.62900
  • Treynor index (mean / b)
    4.25558
  • Jensen alpha (a)
    0.16424
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01588
  • Expected Shortfall on VaR
    0.02003
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00689
  • Expected Shortfall on VaR
    0.01419
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96357
  • Quartile 1
    0.99823
  • Median
    1.00000
  • Quartile 3
    1.00424
  • Maximum
    1.03555
  • Mean of quarter 1
    0.98959
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00101
  • Mean of quarter 4
    1.01294
  • Inter Quartile Range
    0.00601
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98137
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.02107
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17986
  • VaR(95%) (moments method)
    0.00715
  • Expected Shortfall (moments method)
    0.01169
  • Extreme Value Index (regression method)
    -0.08426
  • VaR(95%) (regression method)
    0.00894
  • Expected Shortfall (regression method)
    0.01265
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00374
  • Quartile 1
    0.01043
  • Median
    0.01511
  • Quartile 3
    0.04883
  • Maximum
    0.10192
  • Mean of quarter 1
    0.00504
  • Mean of quarter 2
    0.01481
  • Mean of quarter 3
    0.04857
  • Mean of quarter 4
    0.07551
  • Inter Quartile Range
    0.03840
  • 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?
    -253702000
  • Max Equity Drawdown (num days)
    88
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21608
  • Compounded annual return (geometric extrapolation)
    0.22775
  • Calmar ratio (compounded annual return / max draw down)
    2.23458
  • Compounded annual return / average of 25% largest draw downs
    3.01632
  • Compounded annual return / Expected Shortfall lognormal
    11.36860

Strategy Description

Note: On 5.19.2019 the system was rescaled down to $50,000 to better accommodate those with smaller trading capital.
Seasonality is one of the most significant forces influencing commodity and futures markets and stands behind periodical price movements at specific times of the year. Seasonal behavior can be explained by many fundamental reasons, like weather cycles, trends, and patterns in consumption, important annual events and many others which cause changes in supply and demand. Although we don’t have to know all seasonal fundamentals, with enough data history, knowledge of statistics and data mining algorithms, these seasonal patterns can be identified and optimized to maximize trading success. For more detailed information on Seasonality Trading visit: www.TheSeasonalTrader.com

Important Notice: Back-testing data is hypothetical and it has not been verified by Collective2

Trade Criteria:
Analyzing over 30 years of seasonal trading history in commodity futures, we trade only those "outright" and spread trades that meet the following rules:

1) All trade have a Risk-Reward Ratio >3.5:1
2) Approximately 75% of all trades will be spreads
3) ALL trades have a MINIMUM success rate of 87% (Profitable 13 of the last 15 years)
4) ALL trades TYPICALLY last between 15-30 days
5) ALL positions will consist of 2 Contracts per side MAXIMUM. Spread trades will have a MAXIMUM of 2 contracts per leg. In the case of a "butterfly spread", each wing will consist of 2 contracts with the body consisting of 4 contracts.
6) ALL trades will be closed when the current position loss equals or exceeds the AVERAGE position loss experienced in the last 15 years of the trade's history profile.
7) ALL trades will only be entered once per season. If stopped out we will not re-enter it even though it has time (days) left.

Summary Statistics

Strategy began
2018-06-18
Suggested Minimum Capital
$60,000
# Trades
124
# Profitable
63
% Profitable
50.8%
Correlation S&P500
0.029
Sharpe Ratio
0.31
Sortino Ratio
0.48
Beta
0.01
Alpha
0.01
Leverage
10.08 Average
25.92 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.