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These are hypothetical performance results that have certain inherent limitations. Learn more

RCrest Futures
(110874339)

Created by: Frank Frank
Started: 04/2017
Futures
Last trade: 8 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.

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.

5.4%
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.

(22.5%)
Max Drawdown
112
Num Trades
47.3%
Win Trades
1.3 : 1
Profit Factor
54.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                     (1.1%)+0.7%+2.9%+1.7%(2.9%)+0.8%+3.8%+4.3%+1.4%+12.0%
2018+8.5%(5.1%)(3.3%)  -  (0.1%)(0.1%)+4.1%+3.3%+1.5%(5.2%)(5.1%)(5.7%)(8.1%)
2019+6.9%(0.2%)+3.5%+3.9%(7.1%)+7.5%+0.9%+1.1%(0.1%)(4%)            +12.0%

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 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
10/7/19 6:58 @MESZ9 MICRO E-MINI S&P 500 LONG 5 2945.25 10/8 6:59 2921.00 0.23%
Trade id #125656488
Max drawdown($681)
Time10/8/19 6:22
Quant open5
Worst price2918.00
Drawdown as % of equity-0.23%
($611)
Includes Typical Broker Commissions trade costs of $4.70
10/4/19 15:30 @MESZ9 MICRO E-MINI S&P 500 LONG 5 2946.50 10/6 18:00 2935.00 0.03%
Trade id #125639129
Max drawdown($75)
Time10/4/19 15:31
Quant open5
Worst price2943.50
Drawdown as % of equity-0.03%
($293)
Includes Typical Broker Commissions trade costs of $4.70
10/2/19 9:54 @MESZ9 MICRO E-MINI S&P 500 LONG 5 2903.75 10/2 12:38 2880.50 0.2%
Trade id #125591185
Max drawdown($575)
Time10/2/19 12:36
Quant open5
Worst price2880.75
Drawdown as % of equity-0.20%
($586)
Includes Typical Broker Commissions trade costs of $4.70
9/6/19 3:36 @MESZ9 MICRO E-MINI S&P 500 LONG 5 2984.75 10/2 3:22 2928.75 0.47%
Trade id #125241788
Max drawdown($1,381)
Time10/2/19 3:22
Quant open5
Worst price2929.50
Drawdown as % of equity-0.47%
($1,405)
Includes Typical Broker Commissions trade costs of $4.70
6/14/19 9:00 @TYU9 US T-NOTE 10 YR LONG 1 127 18/64 9/6 3:37 130 39/64 0.19%
Trade id #124082815
Max drawdown($562)
Time7/16/19 0:00
Quant open1
Worst price126 46/64
Drawdown as % of equity-0.19%
$3,320
Includes Typical Broker Commissions trade costs of $8.00
9/4/19 3:59 @MESU9 MICRO E-MINI S&P 500 LONG 9 2971.94 9/6 3:36 2981.14 0.05%
Trade id #125209340
Max drawdown($135)
Time9/4/19 10:15
Quant open2
Worst price2921.50
Drawdown as % of equity-0.05%
$406
Includes Typical Broker Commissions trade costs of $8.46
7/8/19 12:05 @M6EU9 E-MICRO EUR/USD SHORT 7 1.1181 9/6 3:35 1.1048 0.13%
Trade id #124374541
Max drawdown($370)
Time7/11/19 0:00
Quant open4
Worst price1.1344
Drawdown as % of equity-0.13%
$1,160
Includes Typical Broker Commissions trade costs of $3.50
6/14/19 8:58 @M6BU9 E-MICRO GBP/USD SHORT 11 1.2581 9/6 3:35 1.2308 0.27%
Trade id #124082772
Max drawdown($780)
Time6/25/19 0:00
Quant open8
Worst price1.2831
Drawdown as % of equity-0.27%
$1,875
Includes Typical Broker Commissions trade costs of $5.50
6/14/19 8:57 @JEU9 E-MINI JAPANESE YEN LONG 1 0.009287 9/6 3:34 0.009353 0.23%
Trade id #124082751
Max drawdown($681)
Time8/1/19 0:00
Quant open1
Worst price0.009178
Drawdown as % of equity-0.23%
$405
Includes Typical Broker Commissions trade costs of $8.00
6/14/19 8:57 @ESU9 E-MINI S&P 500 LONG 6 2897.33 9/6 3:32 2934.75 3.16%
Trade id #124082741
Max drawdown($9,218)
Time8/5/19 0:00
Quant open2
Worst price2820.50
Drawdown as % of equity-3.16%
$11,177
Includes Typical Broker Commissions trade costs of $48.00
6/24/19 7:35 @M6EU9 E-MICRO EUR/USD LONG 4 1.1476 7/8 11:58 1.1270 0.35%
Trade id #124201019
Max drawdown($1,030)
Time7/8/19 11:58
Quant open4
Worst price1.1270
Drawdown as % of equity-0.35%
($1,032)
Includes Typical Broker Commissions trade costs of $2.00
6/14/19 8:59 @M6EU9 E-MICRO EUR/USD SHORT 4 1.1314 6/24 7:31 1.1476 0.28%
Trade id #124082789
Max drawdown($810)
Time6/24/19 7:31
Quant open4
Worst price1.1476
Drawdown as % of equity-0.28%
($812)
Includes Typical Broker Commissions trade costs of $2.00
5/30/19 11:09 @TYM9 US T-NOTE 10 YR LONG 1 125 29/64 6/14 9:00 126 57/64 0.01%
Trade id #123875403
Max drawdown($31)
Time5/30/19 11:17
Quant open1
Worst price125 27/64
Drawdown as % of equity-0.01%
$1,430
Includes Typical Broker Commissions trade costs of $8.00
3/13/19 12:47 @M6EM9 E-MICRO EUR/USD SHORT 4 1.1396 6/14 8:59 1.1234 0.24%
Trade id #122895875
Max drawdown($690)
Time3/20/19 15:00
Quant open-4
Worst price1.1534
Drawdown as % of equity-0.24%
$808
Includes Typical Broker Commissions trade costs of $2.00
3/13/19 12:46 @M6BM9 E-MICRO GBP/USD SHORT 8 1.3270 6/14 8:58 1.2626 0.3%
Trade id #122895858
Max drawdown($855)
Time3/13/19 16:34
Quant open-8
Worst price1.3441
Drawdown as % of equity-0.30%
$3,216
Includes Typical Broker Commissions trade costs of $4.00
3/13/19 12:45 @JEM9 E-MINI JAPANESE YEN LONG 1 0.009061 6/14 8:58 0.009218 0.26%
Trade id #122895833
Max drawdown($787)
Time4/24/19 15:09
Quant open1
Worst price0.008935
Drawdown as % of equity-0.26%
$973
Includes Typical Broker Commissions trade costs of $8.00
5/29/19 10:18 @ESM9 E-MINI S&P 500 LONG 6 2778.29 6/14 8:57 2803.62 1.01%
Trade id #123859911
Max drawdown($2,818)
Time5/31/19 6:20
Quant open2
Worst price2753.75
Drawdown as % of equity-1.01%
$7,552
Includes Typical Broker Commissions trade costs of $48.00
4/10/19 10:20 @TYM9 US T-NOTE 10 YR SHORT 1 123 54/64 5/30 11:07 125 29/64 0.71%
Trade id #123267652
Max drawdown($1,999)
Time5/29/19 11:53
Quant open-1
Worst price125 54/64
Drawdown as % of equity-0.71%
($1,617)
Includes Typical Broker Commissions trade costs of $8.00
3/7/19 16:04 @ESM9 E-MINI S&P 500 LONG 13 2842.44 5/29 10:17 2846.02 2.23%
Trade id #122826416
Max drawdown($6,369)
Time5/29/19 9:52
Quant open2
Worst price2778.75
Drawdown as % of equity-2.23%
$2,221
Includes Typical Broker Commissions trade costs of $104.00
5/10/19 12:05 @MESM9 MICRO E-MINI S&P 500 LONG 34 2833.29 5/13 11:52 2814.44 1.14%
Trade id #123622790
Max drawdown($3,205)
Time5/13/19 11:52
Quant open26
Worst price2810.50
Drawdown as % of equity-1.14%
($3,237)
Includes Typical Broker Commissions trade costs of $31.96
4/10/19 10:13 @TYM9 US T-NOTE 10 YR LONG 1 123 56/64 4/10 10:20 123 54/64 0.01%
Trade id #123267508
Max drawdown($31)
Time4/10/19 10:17
Quant open1
Worst price123 54/64
Drawdown as % of equity-0.01%
($39)
Includes Typical Broker Commissions trade costs of $8.00
3/28/19 6:58 @TYM9 US T-NOTE 10 YR SHORT 1 124 38/64 4/10 10:13 123 56/64 0.07%
Trade id #123109767
Max drawdown($187)
Time3/28/19 7:35
Quant open-1
Worst price124 50/64
Drawdown as % of equity-0.07%
$711
Includes Typical Broker Commissions trade costs of $8.00
3/13/19 12:48 @TYM9 US T-NOTE 10 YR LONG 1 122 53/64 3/28 6:58 124 38/64 0.09%
Trade id #122895893
Max drawdown($249)
Time3/14/19 12:08
Quant open1
Worst price122 37/64
Drawdown as % of equity-0.09%
$1,758
Includes Typical Broker Commissions trade costs of $8.00
2/11/19 11:22 @M6EH9 E-MICRO EUR/USD SHORT 4 1.1313 3/13 12:49 1.1310 0.23%
Trade id #122457826
Max drawdown($635)
Time2/28/19 8:31
Quant open-4
Worst price1.1440
Drawdown as % of equity-0.23%
$13
Includes Typical Broker Commissions trade costs of $2.00
12/25/18 5:50 @TYH9 US T-NOTE 10 YR LONG 1 121 35/64 3/13/19 12:48 122 35/64 0.08%
Trade id #121650970
Max drawdown($234)
Time3/3/19 18:05
Quant open1
Worst price121 20/64
Drawdown as % of equity-0.08%
$992
Includes Typical Broker Commissions trade costs of $8.00
1/28/19 7:11 @M6BH9 E-MICRO GBP/USD SHORT 8 1.3181 3/13 12:46 1.3215 0.33%
Trade id #122209730
Max drawdown($915)
Time2/27/19 10:50
Quant open-8
Worst price1.3364
Drawdown as % of equity-0.33%
($174)
Includes Typical Broker Commissions trade costs of $4.00
2/25/19 12:22 @JEH9 E-MINI JAPANESE YEN LONG 1 0.009011 3/13 12:46 0.008994 0.19%
Trade id #122670292
Max drawdown($525)
Time3/5/19 10:33
Quant open1
Worst price0.008927
Drawdown as % of equity-0.19%
($114)
Includes Typical Broker Commissions trade costs of $8.00
2/12/19 11:00 @ESH9 E-MINI S&P 500 LONG 2 2739.00 3/8 11:37 2741.50 0.36%
Trade id #122478165
Max drawdown($1,000)
Time2/15/19 2:32
Quant open2
Worst price2729.00
Drawdown as % of equity-0.36%
$234
Includes Typical Broker Commissions trade costs of $16.00
2/25/19 12:04 @JEH9 E-MINI JAPANESE YEN SHORT 1 0.009014 2/25 12:22 0.009011 0%
Trade id #122670033
Max drawdown($6)
Time2/25/19 12:07
Quant open-1
Worst price0.009015
Drawdown as % of equity-0.00%
$11
Includes Typical Broker Commissions trade costs of $8.00
12/31/18 10:42 @JEH9 E-MINI JAPANESE YEN LONG 1 0.009150 2/25/19 12:04 0.009015 0.3%
Trade id #121721262
Max drawdown($844)
Time2/25/19 12:04
Quant open0
Worst price0.009015
Drawdown as % of equity-0.30%
($852)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    4/10/2017
  • Suggested Minimum Cap
    $120,000
  • Strategy Age (days)
    921.48
  • Age
    31 months ago
  • What it trades
    Futures
  • # Trades
    112
  • # Profitable
    53
  • % Profitable
    47.30%
  • Avg trade duration
    42.8 days
  • Max peak-to-valley drawdown
    22.55%
  • drawdown period
    Jan 26, 2018 - Dec 26, 2018
  • Annual Return (Compounded)
    5.4%
  • Avg win
    $3,562
  • Avg loss
    $2,477
  • Model Account Values (Raw)
  • Cash
    $197,904
  • Margin Used
    $34,786
  • Buying Power
    $158,335
  • Ratios
  • W:L ratio
    1.33:1
  • Sharpe Ratio
    0.28
  • Sortino Ratio
    0.38
  • Calmar Ratio
    0.367
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -12.33%
  • Correlation to SP500
    0.61310
  • Return Percent SP500 (cumu) during strategy life
    26.69%
  • Return Statistics
  • Ann Return (w trading costs)
    5.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.06%
  • Instruments
  • Percent Trades Futures
    0.98%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.68%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.054%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.02%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.50%
  • Chance of 20% account loss
    5.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    358
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    177
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,500
  • Avg Win
    $3,562
  • Sum Trade PL (losers)
    $147,522.000
  • Age
  • Num Months (Age strategy)
    31
  • Win / Loss
  • Sum Trade PL (winners)
    $188,800.000
  • # Winners
    53
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    2599
  • Win / Loss
  • # Losers
    59
  • % Winners
    47.3%
  • Frequency
  • Avg Position Time (mins)
    61623.60
  • Avg Position Time (hrs)
    1027.06
  • Avg Trade Length
    42.8 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    2.99
  • Daily leverage (max)
    7.21
  • Regression
  • Alpha
    -0.00
  • Beta
    0.69
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    53.94
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    57.51
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.17
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.159
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.954
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.127
  • Hold-and-Hope Ratio
    0.262
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06563
  • SD
    0.11100
  • Sharpe ratio (Glass type estimate)
    0.59128
  • Sharpe ratio (Hedges UMVUE)
    0.57527
  • df
    28.00000
  • t
    0.91917
  • p
    0.18293
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68403
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69448
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84502
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.86421
  • Upside Potential Ratio
    2.45773
  • Upside part of mean
    0.18666
  • Downside part of mean
    -0.12102
  • Upside SD
    0.08055
  • Downside SD
    0.07595
  • N nonnegative terms
    19.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.07941
  • Mean of criterion
    0.06563
  • SD of predictor
    0.11334
  • SD of criterion
    0.11100
  • Covariance
    0.00865
  • r
    0.68754
  • b (slope, estimate of beta)
    0.67336
  • a (intercept, estimate of alpha)
    0.01216
  • Mean Square Error
    0.00674
  • DF error
    27.00000
  • t(b)
    4.91994
  • p(b)
    0.00002
  • t(a)
    0.22560
  • p(a)
    0.41160
  • Lowerbound of 95% confidence interval for beta
    0.39254
  • Upperbound of 95% confidence interval for beta
    0.95418
  • Lowerbound of 95% confidence interval for alpha
    -0.09845
  • Upperbound of 95% confidence interval for alpha
    0.12277
  • Treynor index (mean / b)
    0.09747
  • Jensen alpha (a)
    0.01216
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05935
  • SD
    0.11146
  • Sharpe ratio (Glass type estimate)
    0.53249
  • Sharpe ratio (Hedges UMVUE)
    0.51808
  • df
    28.00000
  • t
    0.82779
  • p
    0.20739
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74056
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79624
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74998
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78614
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.76078
  • Upside Potential Ratio
    2.34666
  • Upside part of mean
    0.18308
  • Downside part of mean
    -0.12373
  • Upside SD
    0.07876
  • Downside SD
    0.07802
  • N nonnegative terms
    19.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.07282
  • Mean of criterion
    0.05935
  • SD of predictor
    0.11313
  • SD of criterion
    0.11146
  • Covariance
    0.00869
  • r
    0.68925
  • b (slope, estimate of beta)
    0.67909
  • a (intercept, estimate of alpha)
    0.00990
  • Mean Square Error
    0.00676
  • DF error
    27.00000
  • t(b)
    4.94325
  • p(b)
    0.00002
  • t(a)
    0.18396
  • p(a)
    0.42771
  • Lowerbound of 95% confidence interval for beta
    0.39722
  • Upperbound of 95% confidence interval for beta
    0.96097
  • Lowerbound of 95% confidence interval for alpha
    -0.10057
  • Upperbound of 95% confidence interval for alpha
    0.12037
  • Treynor index (mean / b)
    0.08740
  • Jensen alpha (a)
    0.00990
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04685
  • Expected Shortfall on VaR
    0.05951
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01795
  • Expected Shortfall on VaR
    0.03839
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.92513
  • Quartile 1
    0.99648
  • Median
    1.01082
  • Quartile 3
    1.02809
  • Maximum
    1.05639
  • Mean of quarter 1
    0.96653
  • Mean of quarter 2
    1.00575
  • Mean of quarter 3
    1.01993
  • Mean of quarter 4
    1.04488
  • Inter Quartile Range
    0.03161
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03448
  • Mean of outliers low
    0.92513
  • 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)
    -3.77141
  • VaR(95%) (moments method)
    0.01334
  • Expected Shortfall (moments method)
    0.01336
  • Extreme Value Index (regression method)
    -0.92985
  • VaR(95%) (regression method)
    0.04463
  • Expected Shortfall (regression method)
    0.04992
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00980
  • Quartile 1
    0.03003
  • Median
    0.04138
  • Quartile 3
    0.04594
  • Maximum
    0.11546
  • Mean of quarter 1
    0.01992
  • Mean of quarter 2
    0.04138
  • Mean of quarter 3
    0.04594
  • Mean of quarter 4
    0.11546
  • Inter Quartile Range
    0.01590
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.11546
  • 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)
    0.09714
  • Compounded annual return (geometric extrapolation)
    0.09118
  • Calmar ratio (compounded annual return / max draw down)
    0.78968
  • Compounded annual return / average of 25% largest draw downs
    0.78968
  • Compounded annual return / Expected Shortfall lognormal
    1.53219
  • 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
    0.05248
  • SD
    0.15216
  • Sharpe ratio (Glass type estimate)
    0.34490
  • Sharpe ratio (Hedges UMVUE)
    0.34451
  • df
    653.00000
  • t
    0.54492
  • p
    0.29300
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89587
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58548
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89617
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58518
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46830
  • Upside Potential Ratio
    7.38244
  • Upside part of mean
    0.82733
  • Downside part of mean
    -0.77485
  • Upside SD
    0.10281
  • Downside SD
    0.11207
  • N nonnegative terms
    347.00000
  • N negative terms
    307.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    654.00000
  • Mean of predictor
    0.07633
  • Mean of criterion
    0.05248
  • SD of predictor
    0.13740
  • SD of criterion
    0.15216
  • Covariance
    0.01343
  • r
    0.64254
  • b (slope, estimate of beta)
    0.71159
  • a (intercept, estimate of alpha)
    -0.00200
  • Mean Square Error
    0.01362
  • DF error
    652.00000
  • t(b)
    21.41160
  • p(b)
    0.00000
  • t(a)
    -0.02479
  • p(a)
    0.50988
  • Lowerbound of 95% confidence interval for beta
    0.64633
  • Upperbound of 95% confidence interval for beta
    0.77685
  • Lowerbound of 95% confidence interval for alpha
    -0.14694
  • Upperbound of 95% confidence interval for alpha
    0.14328
  • Treynor index (mean / b)
    0.07375
  • Jensen alpha (a)
    -0.00183
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04082
  • SD
    0.15316
  • Sharpe ratio (Glass type estimate)
    0.26649
  • Sharpe ratio (Hedges UMVUE)
    0.26619
  • df
    653.00000
  • t
    0.42104
  • p
    0.33693
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97422
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50702
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97443
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50681
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.35597
  • Upside Potential Ratio
    7.16941
  • Upside part of mean
    0.82205
  • Downside part of mean
    -0.78124
  • Upside SD
    0.10139
  • Downside SD
    0.11466
  • N nonnegative terms
    347.00000
  • N negative terms
    307.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    654.00000
  • Mean of predictor
    0.06686
  • Mean of criterion
    0.04082
  • SD of predictor
    0.13772
  • SD of criterion
    0.15316
  • Covariance
    0.01360
  • r
    0.64467
  • b (slope, estimate of beta)
    0.71695
  • a (intercept, estimate of alpha)
    -0.00712
  • Mean Square Error
    0.01373
  • DF error
    652.00000
  • t(b)
    21.53300
  • p(b)
    0.00000
  • t(a)
    -0.09591
  • p(a)
    0.53819
  • Lowerbound of 95% confidence interval for beta
    0.65157
  • Upperbound of 95% confidence interval for beta
    0.78233
  • Lowerbound of 95% confidence interval for alpha
    -0.15281
  • Upperbound of 95% confidence interval for alpha
    0.13858
  • Treynor index (mean / b)
    0.05693
  • Jensen alpha (a)
    -0.00712
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01529
  • Expected Shortfall on VaR
    0.01917
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00646
  • Expected Shortfall on VaR
    0.01351
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    654.00000
  • Minimum
    0.90060
  • Quartile 1
    0.99627
  • Median
    1.00077
  • Quartile 3
    1.00472
  • Maximum
    1.07381
  • Mean of quarter 1
    0.99000
  • Mean of quarter 2
    0.99845
  • Mean of quarter 3
    1.00266
  • Mean of quarter 4
    1.01012
  • Inter Quartile Range
    0.00845
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.03058
  • Mean of outliers low
    0.97324
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.01988
  • Mean of outliers high
    1.02700
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28345
  • VaR(95%) (moments method)
    0.00978
  • Expected Shortfall (moments method)
    0.01632
  • Extreme Value Index (regression method)
    0.22728
  • VaR(95%) (regression method)
    0.00915
  • Expected Shortfall (regression method)
    0.01435
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00041
  • Quartile 1
    0.00276
  • Median
    0.00823
  • Quartile 3
    0.01959
  • Maximum
    0.19359
  • Mean of quarter 1
    0.00172
  • Mean of quarter 2
    0.00575
  • Mean of quarter 3
    0.01421
  • Mean of quarter 4
    0.07815
  • Inter Quartile Range
    0.01682
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.17857
  • Mean of outliers high
    0.09693
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.35879
  • VaR(95%) (moments method)
    0.06454
  • Expected Shortfall (moments method)
    0.08039
  • Extreme Value Index (regression method)
    0.35358
  • VaR(95%) (regression method)
    0.10623
  • Expected Shortfall (regression method)
    0.21241
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07497
  • Compounded annual return (geometric extrapolation)
    0.07114
  • Calmar ratio (compounded annual return / max draw down)
    0.36748
  • Compounded annual return / average of 25% largest draw downs
    0.91032
  • Compounded annual return / Expected Shortfall lognormal
    3.71104
  • 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
    -0.01881
  • SD
    0.10054
  • Sharpe ratio (Glass type estimate)
    -0.18704
  • Sharpe ratio (Hedges UMVUE)
    -0.18596
  • df
    130.00000
  • t
    -0.13226
  • p
    0.50580
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.95870
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58511
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.95785
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58594
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24969
  • Upside Potential Ratio
    8.13359
  • Upside part of mean
    0.61258
  • Downside part of mean
    -0.63139
  • Upside SD
    0.06604
  • Downside SD
    0.07531
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03685
  • Mean of criterion
    -0.01881
  • SD of predictor
    0.14177
  • SD of criterion
    0.10054
  • Covariance
    0.01068
  • r
    0.74908
  • b (slope, estimate of beta)
    0.53125
  • a (intercept, estimate of alpha)
    -0.03838
  • Mean Square Error
    0.00447
  • DF error
    129.00000
  • t(b)
    12.84250
  • p(b)
    0.07253
  • t(a)
    -0.40586
  • p(a)
    0.52273
  • Lowerbound of 95% confidence interval for beta
    0.44941
  • Upperbound of 95% confidence interval for beta
    0.61309
  • Lowerbound of 95% confidence interval for alpha
    -0.22550
  • Upperbound of 95% confidence interval for alpha
    0.14873
  • Treynor index (mean / b)
    -0.03540
  • Jensen alpha (a)
    -0.03838
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02383
  • SD
    0.10072
  • Sharpe ratio (Glass type estimate)
    -0.23660
  • Sharpe ratio (Hedges UMVUE)
    -0.23523
  • df
    130.00000
  • t
    -0.16730
  • p
    0.50734
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.00820
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53572
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.00719
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53672
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.31430
  • Upside Potential Ratio
    8.04955
  • Upside part of mean
    0.61035
  • Downside part of mean
    -0.63418
  • Upside SD
    0.06573
  • Downside SD
    0.07582
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02683
  • Mean of criterion
    -0.02383
  • SD of predictor
    0.14225
  • SD of criterion
    0.10072
  • Covariance
    0.01074
  • r
    0.74931
  • b (slope, estimate of beta)
    0.53055
  • a (intercept, estimate of alpha)
    -0.03807
  • Mean Square Error
    0.00448
  • DF error
    129.00000
  • t(b)
    12.85140
  • p(b)
    0.07244
  • t(a)
    -0.40196
  • p(a)
    0.52251
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.44887
  • Upperbound of 95% confidence interval for beta
    0.61224
  • Lowerbound of 95% confidence interval for alpha
    -0.22544
  • Upperbound of 95% confidence interval for alpha
    0.14930
  • Treynor index (mean / b)
    -0.04492
  • Jensen alpha (a)
    -0.03807
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01027
  • Expected Shortfall on VaR
    0.01284
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00571
  • Expected Shortfall on VaR
    0.01077
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97887
  • Quartile 1
    0.99695
  • Median
    0.99950
  • Quartile 3
    1.00397
  • Maximum
    1.01496
  • Mean of quarter 1
    0.99237
  • Mean of quarter 2
    0.99830
  • Mean of quarter 3
    1.00219
  • Mean of quarter 4
    1.00734
  • Inter Quartile Range
    0.00702
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97967
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01496
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13462
  • VaR(95%) (moments method)
    0.00735
  • Expected Shortfall (moments method)
    0.01078
  • Extreme Value Index (regression method)
    -0.10413
  • VaR(95%) (regression method)
    0.00748
  • Expected Shortfall (regression method)
    0.00974
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00036
  • Quartile 1
    0.00263
  • Median
    0.00962
  • Quartile 3
    0.03446
  • Maximum
    0.06666
  • Mean of quarter 1
    0.00138
  • Mean of quarter 2
    0.00491
  • Mean of quarter 3
    0.01365
  • Mean of quarter 4
    0.05242
  • Inter Quartile Range
    0.03184
  • 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)
    -1.71675
  • VaR(95%) (moments method)
    0.06088
  • Expected Shortfall (moments method)
    0.06215
  • Extreme Value Index (regression method)
    0.01967
  • VaR(95%) (regression method)
    0.07000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.08767
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -21
  • Max Equity Drawdown (num days)
    334
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00408
  • Compounded annual return (geometric extrapolation)
    0.00408
  • Calmar ratio (compounded annual return / max draw down)
    0.06126
  • Compounded annual return / average of 25% largest draw downs
    0.07789
  • Compounded annual return / Expected Shortfall lognormal
    0.31801

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. Cash will be invested in short term Treasury bonds reduce by the margin required to implement the strategy. 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%
2018 -8.5% 22.5%

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
$120,000
# Trades
112
# Profitable
53
% Profitable
47.3%
Net Dividends
Correlation S&P500
0.613
Sharpe Ratio
0.28
Sortino Ratio
0.38
Beta
0.69
Alpha
-0.00
Leverage
2.99 Average
7.21 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.