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SteadyUp Emini
(116319639)

Created by: SteveY3 SteveY3
Started: 02/2018
Futures
Last trade: 2 days ago
Trading style: Futures Trend-following

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 $150.00 per month.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
121.7%
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.

(44.4%)
Max Drawdown
185
Num Trades
89.7%
Win Trades
1.5 : 1
Profit Factor
64.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       +52.8%+8.4%+11.2%(9.5%)(16.7%)+32.2%+17.5%+22.2%+20.1%+5.6%(17.5%)+176.0%
2019+0.3%(8.4%)(2.5%)                                                      (10.5%)

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 12 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
3/13/19 5:06 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7241.75 3/13 5:53 7239.75 0.07%
Trade id #122889480
Max drawdown($110)
Time3/13/19 5:48
Quant open-1
Worst price7247.25
Drawdown as % of equity-0.07%
$32
Includes Typical Broker Commissions trade costs of $8.00
12/26/18 11:17 @ESH9 E-MINI S&P 500 SHORT 282 2684.64 3/13/19 4:59 2689.36 48.58%
Trade id #121663136
Max drawdown($70,283)
Time2/25/19 11:08
Quant open-9
Worst price2814.00
Drawdown as % of equity-48.58%
($68,806)
Includes Typical Broker Commissions trade costs of $2,256.00
3/13/19 1:16 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7224.75 3/13 2:22 7226.25 0.11%
Trade id #122887919
Max drawdown($170)
Time3/13/19 2:00
Quant open-1
Worst price7233.25
Drawdown as % of equity-0.11%
($38)
Includes Typical Broker Commissions trade costs of $8.00
3/12/19 22:03 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7221.75 3/12 22:09 7215.75 0.01%
Trade id #122886914
Max drawdown($10)
Time3/12/19 22:05
Quant open-1
Worst price7222.25
Drawdown as % of equity-0.01%
$112
Includes Typical Broker Commissions trade costs of $8.00
3/12/19 21:18 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7225.50 3/12 21:39 7218.75 0.04%
Trade id #122886578
Max drawdown($60)
Time3/12/19 21:29
Quant open-1
Worst price7228.50
Drawdown as % of equity-0.04%
$127
Includes Typical Broker Commissions trade costs of $8.00
3/12/19 13:42 @ESM9 E-MINI S&P 500 SHORT 1 2800.75 3/12 14:40 2799.75 0.08%
Trade id #122882333
Max drawdown($125)
Time3/12/19 14:20
Quant open-1
Worst price2803.25
Drawdown as % of equity-0.08%
$42
Includes Typical Broker Commissions trade costs of $8.00
3/12/19 12:14 @ESM9 E-MINI S&P 500 SHORT 1 2800.50 3/12 12:35 2799.00 0.04%
Trade id #122881015
Max drawdown($62)
Time3/12/19 12:18
Quant open-1
Worst price2801.75
Drawdown as % of equity-0.04%
$67
Includes Typical Broker Commissions trade costs of $8.00
2/6/19 15:33 @YMH9 MINI DOW LONG 126 25653 3/12 3:45 25665 2.53%
Trade id #122402524
Max drawdown($4,171)
Time2/8/19 11:48
Quant open3
Worst price24862
Drawdown as % of equity-2.53%
$6,687
Includes Typical Broker Commissions trade costs of $1,008.00
2/21/19 19:26 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 7028.00 2/22 0:45 7036.50 0.11%
Trade id #122633245
Max drawdown($175)
Time2/21/19 22:02
Quant open1
Worst price7019.25
Drawdown as % of equity-0.11%
$162
Includes Typical Broker Commissions trade costs of $8.00
2/20/19 15:30 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 7068.00 2/20 21:56 7086.75 0.15%
Trade id #122608121
Max drawdown($230)
Time2/20/19 20:33
Quant open1
Worst price7056.50
Drawdown as % of equity-0.15%
$367
Includes Typical Broker Commissions trade costs of $8.00
2/20/19 14:02 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 7059.00 2/20 15:23 7072.50 0.35%
Trade id #122606107
Max drawdown($535)
Time2/20/19 14:23
Quant open1
Worst price7032.25
Drawdown as % of equity-0.35%
$262
Includes Typical Broker Commissions trade costs of $8.00
2/20/19 13:43 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 7063.50 2/20 13:49 7069.00 n/a $102
Includes Typical Broker Commissions trade costs of $8.00
2/19/19 22:41 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 7064.00 2/20 13:31 7068.00 0.34%
Trade id #122594823
Max drawdown($525)
Time2/20/19 12:56
Quant open1
Worst price7037.75
Drawdown as % of equity-0.34%
$72
Includes Typical Broker Commissions trade costs of $8.00
2/19/19 18:03 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 7063.50 2/19 18:47 7070.75 n/a $137
Includes Typical Broker Commissions trade costs of $8.00
2/17/19 18:13 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 7063.50 2/19 10:02 7068.75 0.37%
Trade id #122560526
Max drawdown($565)
Time2/19/19 9:30
Quant open1
Worst price7035.25
Drawdown as % of equity-0.37%
$97
Includes Typical Broker Commissions trade costs of $8.00
2/6/19 12:48 @YMH9 MINI DOW LONG 1 25329 2/6 15:02 25338 0.08%
Trade id #122396122
Max drawdown($120)
Time2/6/19 14:40
Quant open1
Worst price25305
Drawdown as % of equity-0.08%
$37
Includes Typical Broker Commissions trade costs of $8.00
2/6/19 12:16 @YMH9 MINI DOW LONG 1 25329 2/6 12:25 25348 0.05%
Trade id #122395171
Max drawdown($80)
Time2/6/19 12:18
Quant open1
Worst price25313
Drawdown as % of equity-0.05%
$87
Includes Typical Broker Commissions trade costs of $8.00
2/6/19 12:08 @YMH9 MINI DOW LONG 1 25325 2/6 12:15 25338 0.04%
Trade id #122394927
Max drawdown($65)
Time2/6/19 12:11
Quant open1
Worst price25312
Drawdown as % of equity-0.04%
$57
Includes Typical Broker Commissions trade costs of $8.00
2/6/19 11:25 @YMH9 MINI DOW LONG 1 25322 2/6 11:29 25338 0.07%
Trade id #122393442
Max drawdown($105)
Time2/6/19 11:27
Quant open1
Worst price25301
Drawdown as % of equity-0.07%
$72
Includes Typical Broker Commissions trade costs of $8.00
2/6/19 10:00 @YMH9 MINI DOW LONG 1 25300 2/6 10:36 25314 0.14%
Trade id #122390604
Max drawdown($215)
Time2/6/19 10:15
Quant open1
Worst price25257
Drawdown as % of equity-0.14%
$62
Includes Typical Broker Commissions trade costs of $8.00
2/6/19 6:56 @YMH9 MINI DOW LONG 1 25286 2/6 9:43 25312 n/a $122
Includes Typical Broker Commissions trade costs of $8.00
2/6/19 3:32 @YMH9 MINI DOW LONG 1 25283 2/6 6:01 25305 0.08%
Trade id #122385557
Max drawdown($130)
Time2/6/19 4:18
Quant open1
Worst price25257
Drawdown as % of equity-0.08%
$102
Includes Typical Broker Commissions trade costs of $8.00
12/18/18 21:07 @YMH9 MINI DOW LONG 67 23649 2/5/19 23:21 23672 42.73%
Trade id #121563568
Max drawdown($50,361)
Time12/25/18 18:11
Quant open6
Worst price21452
Drawdown as % of equity-42.73%
$6,889
Includes Typical Broker Commissions trade costs of $536.00
1/31/19 8:27 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6862.50 1/31 9:52 6872.50 0.28%
Trade id #122288088
Max drawdown($465)
Time1/31/19 9:17
Quant open1
Worst price6839.25
Drawdown as % of equity-0.28%
$192
Includes Typical Broker Commissions trade costs of $8.00
1/30/19 19:34 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6852.00 1/30 23:50 6873.75 0.06%
Trade id #122281314
Max drawdown($105)
Time1/30/19 19:56
Quant open1
Worst price6846.75
Drawdown as % of equity-0.06%
$427
Includes Typical Broker Commissions trade costs of $8.00
1/25/19 14:21 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 2 6739.62 1/30 18:05 6776.25 2.08%
Trade id #122190039
Max drawdown($3,555)
Time1/29/19 10:59
Quant open1
Worst price6616.75
Drawdown as % of equity-2.08%
$1,449
Includes Typical Broker Commissions trade costs of $16.00
1/25/19 13:12 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6788.25 1/25 13:25 6797.25 0.02%
Trade id #122187508
Max drawdown($25)
Time1/25/19 13:20
Quant open1
Worst price6787.00
Drawdown as % of equity-0.02%
$172
Includes Typical Broker Commissions trade costs of $8.00
1/25/19 12:46 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6789.50 1/25 12:59 6793.75 0.1%
Trade id #122186346
Max drawdown($160)
Time1/25/19 12:52
Quant open1
Worst price6781.50
Drawdown as % of equity-0.10%
$77
Includes Typical Broker Commissions trade costs of $8.00
1/20/19 18:03 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 9 6686.89 1/25 12:07 6700.69 2.31%
Trade id #122074244
Max drawdown($3,875)
Time1/23/19 12:20
Quant open1
Worst price6592.25
Drawdown as % of equity-2.31%
$2,413
Includes Typical Broker Commissions trade costs of $72.00
1/18/19 14:35 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6777.00 1/18 16:05 6787.50 0.09%
Trade id #122064591
Max drawdown($140)
Time1/18/19 14:45
Quant open1
Worst price6770.00
Drawdown as % of equity-0.09%
$202
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    2/5/2018
  • Suggested Minimum Cap
    $120,000
  • Strategy Age (days)
    411.25
  • Age
    14 months ago
  • What it trades
    Futures
  • # Trades
    185
  • # Profitable
    166
  • % Profitable
    89.70%
  • Avg trade duration
    6.1 days
  • Max peak-to-valley drawdown
    44.42%
  • drawdown period
    Nov 19, 2018 - Dec 24, 2018
  • Annual Return (Compounded)
    121.7%
  • Avg win
    $1,904
  • Avg loss
    $11,296
  • Model Account Values (Raw)
  • Cash
    $155,888
  • Margin Used
    $69,968
  • Buying Power
    $85,616
  • Ratios
  • W:L ratio
    1.47:1
  • Sharpe Ratio
    1.965
  • Sortino Ratio
    3.236
  • Calmar Ratio
    5.314
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.25600
  • Return Statistics
  • Ann Return (w trading costs)
    121.7%
  • Ann Return (Compnd, No Fees)
    166.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    73.00%
  • Chance of 20% account loss
    52.00%
  • Chance of 30% account loss
    31.50%
  • Chance of 40% account loss
    13.50%
  • Chance of 50% account loss
    8.00%
  • Popularity
  • Popularity (Today)
    691
  • Popularity (Last 6 weeks)
    903
  • C2 Score
    41.3
  • 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
    $11,296
  • Avg Win
    $1,905
  • # Winners
    166
  • # Losers
    19
  • % Winners
    89.7%
  • Frequency
  • Avg Position Time (mins)
    8850.73
  • Avg Position Time (hrs)
    147.51
  • Avg Trade Length
    6.1 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.26937
  • SD
    0.75428
  • Sharpe ratio (Glass type estimate)
    1.68288
  • Sharpe ratio (Hedges UMVUE)
    1.57508
  • df
    12.00000
  • t
    1.75159
  • p
    0.27438
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34527
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64946
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56079
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.12695
  • Upside Potential Ratio
    6.68244
  • Upside part of mean
    1.65448
  • Downside part of mean
    -0.38512
  • Upside SD
    0.77340
  • Downside SD
    0.24759
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.02672
  • Mean of criterion
    1.26937
  • SD of predictor
    0.11535
  • SD of criterion
    0.75428
  • Covariance
    0.00352
  • r
    0.04050
  • b (slope, estimate of beta)
    0.26484
  • a (intercept, estimate of alpha)
    1.26229
  • Mean Square Error
    0.61965
  • DF error
    11.00000
  • t(b)
    0.13443
  • p(b)
    0.44775
  • t(a)
    1.66502
  • p(a)
    0.06205
  • Lowerbound of 95% confidence interval for beta
    -4.07121
  • Upperbound of 95% confidence interval for beta
    4.60088
  • Lowerbound of 95% confidence interval for alpha
    -0.40633
  • Upperbound of 95% confidence interval for alpha
    2.93091
  • Treynor index (mean / b)
    4.79301
  • Jensen alpha (a)
    1.26229
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.00196
  • SD
    0.65458
  • Sharpe ratio (Glass type estimate)
    1.53070
  • Sharpe ratio (Hedges UMVUE)
    1.43264
  • df
    12.00000
  • t
    1.59320
  • p
    0.29108
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47592
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.48027
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53572
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40101
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.66482
  • Upside Potential Ratio
    5.19789
  • Upside part of mean
    1.42110
  • Downside part of mean
    -0.41914
  • Upside SD
    0.63594
  • Downside SD
    0.27340
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.02049
  • Mean of criterion
    1.00196
  • SD of predictor
    0.11555
  • SD of criterion
    0.65458
  • Covariance
    0.00014
  • r
    0.00181
  • b (slope, estimate of beta)
    0.01023
  • a (intercept, estimate of alpha)
    1.00175
  • Mean Square Error
    0.46742
  • DF error
    11.00000
  • t(b)
    0.00599
  • p(b)
    0.49766
  • t(a)
    1.52290
  • p(a)
    0.07800
  • Lowerbound of 95% confidence interval for beta
    -3.74904
  • Upperbound of 95% confidence interval for beta
    3.76950
  • Lowerbound of 95% confidence interval for alpha
    -0.44604
  • Upperbound of 95% confidence interval for alpha
    2.44954
  • Treynor index (mean / b)
    97.95480
  • Jensen alpha (a)
    1.00175
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20333
  • Expected Shortfall on VaR
    0.26206
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05228
  • Expected Shortfall on VaR
    0.11557
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.78490
  • Quartile 1
    0.99481
  • Median
    1.14377
  • Quartile 3
    1.16175
  • Maximum
    1.61950
  • Mean of quarter 1
    0.89802
  • Mean of quarter 2
    1.05723
  • Mean of quarter 3
    1.15259
  • Mean of quarter 4
    1.39462
  • Inter Quartile Range
    0.16694
  • 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
    0.07692
  • Mean of outliers high
    1.61950
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -23.71280
  • VaR(95%) (moments method)
    0.02228
  • Expected Shortfall (moments method)
    0.02228
  • Extreme Value Index (regression method)
    -0.52209
  • VaR(95%) (regression method)
    0.20450
  • Expected Shortfall (regression method)
    0.25056
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.18337
  • Quartile 1
    0.19130
  • Median
    0.19923
  • Quartile 3
    0.20717
  • Maximum
    0.21510
  • Mean of quarter 1
    0.18337
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.21510
  • Inter Quartile Range
    0.01587
  • 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)
    1.89384
  • Compounded annual return (geometric extrapolation)
    1.80069
  • Calmar ratio (compounded annual return / max draw down)
    8.37140
  • Compounded annual return / average of 25% largest draw downs
    8.37140
  • Compounded annual return / Expected Shortfall lognormal
    6.87133
  • 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
    1.08178
  • SD
    0.54902
  • Sharpe ratio (Glass type estimate)
    1.97037
  • Sharpe ratio (Hedges UMVUE)
    1.96529
  • df
    291.00000
  • t
    2.08012
  • p
    0.01919
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10530
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.83213
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10188
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.82869
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.23560
  • Upside Potential Ratio
    10.58710
  • Upside part of mean
    3.53968
  • Downside part of mean
    -2.45789
  • Upside SD
    0.43941
  • Downside SD
    0.33434
  • N nonnegative terms
    166.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    292.00000
  • Mean of predictor
    0.03577
  • Mean of criterion
    1.08178
  • SD of predictor
    0.16558
  • SD of criterion
    0.54902
  • Covariance
    0.02449
  • r
    0.26945
  • b (slope, estimate of beta)
    0.89343
  • a (intercept, estimate of alpha)
    1.05000
  • Mean Square Error
    0.28051
  • DF error
    290.00000
  • t(b)
    4.76476
  • p(b)
    0.00000
  • t(a)
    2.09241
  • p(a)
    0.01864
  • Lowerbound of 95% confidence interval for beta
    0.52438
  • Upperbound of 95% confidence interval for beta
    1.26248
  • Lowerbound of 95% confidence interval for alpha
    0.06233
  • Upperbound of 95% confidence interval for alpha
    2.03732
  • Treynor index (mean / b)
    1.21081
  • Jensen alpha (a)
    1.04983
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93255
  • SD
    0.54148
  • Sharpe ratio (Glass type estimate)
    1.72224
  • Sharpe ratio (Hedges UMVUE)
    1.71780
  • df
    291.00000
  • t
    1.81817
  • p
    0.03503
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14105
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58259
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14400
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57958
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68691
  • Upside Potential Ratio
    9.93719
  • Upside part of mean
    3.44891
  • Downside part of mean
    -2.51636
  • Upside SD
    0.41839
  • Downside SD
    0.34707
  • N nonnegative terms
    166.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    292.00000
  • Mean of predictor
    0.02208
  • Mean of criterion
    0.93255
  • SD of predictor
    0.16575
  • SD of criterion
    0.54148
  • Covariance
    0.02474
  • r
    0.27567
  • b (slope, estimate of beta)
    0.90054
  • a (intercept, estimate of alpha)
    0.91266
  • Mean Square Error
    0.27185
  • DF error
    290.00000
  • t(b)
    4.88365
  • p(b)
    0.00000
  • t(a)
    1.84787
  • p(a)
    0.03282
  • Lowerbound of 95% confidence interval for beta
    0.53761
  • Upperbound of 95% confidence interval for beta
    1.26346
  • Lowerbound of 95% confidence interval for alpha
    -0.05942
  • Upperbound of 95% confidence interval for alpha
    1.88474
  • Treynor index (mean / b)
    1.03555
  • Jensen alpha (a)
    0.91266
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05016
  • Expected Shortfall on VaR
    0.06328
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01949
  • Expected Shortfall on VaR
    0.04031
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    292.00000
  • Minimum
    0.85867
  • Quartile 1
    0.98794
  • Median
    1.00409
  • Quartile 3
    1.01959
  • Maximum
    1.19835
  • Mean of quarter 1
    0.96637
  • Mean of quarter 2
    0.99690
  • Mean of quarter 3
    1.01180
  • Mean of quarter 4
    1.04186
  • Inter Quartile Range
    0.03165
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.03082
  • Mean of outliers low
    0.91597
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.03082
  • Mean of outliers high
    1.11158
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15966
  • VaR(95%) (moments method)
    0.03102
  • Expected Shortfall (moments method)
    0.04701
  • Extreme Value Index (regression method)
    0.13173
  • VaR(95%) (regression method)
    0.03701
  • Expected Shortfall (regression method)
    0.05683
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00234
  • Quartile 1
    0.01542
  • Median
    0.06417
  • Quartile 3
    0.10101
  • Maximum
    0.30351
  • Mean of quarter 1
    0.00985
  • Mean of quarter 2
    0.04772
  • Mean of quarter 3
    0.09041
  • Mean of quarter 4
    0.23206
  • Inter Quartile Range
    0.08559
  • 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
    0.27173
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.68350
  • VaR(95%) (moments method)
    0.22552
  • Expected Shortfall (moments method)
    0.25238
  • Extreme Value Index (regression method)
    -0.93506
  • VaR(95%) (regression method)
    0.24597
  • Expected Shortfall (regression method)
    0.26361
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.71972
  • Compounded annual return (geometric extrapolation)
    1.61289
  • Calmar ratio (compounded annual return / max draw down)
    5.31417
  • Compounded annual return / average of 25% largest draw downs
    6.95015
  • Compounded annual return / Expected Shortfall lognormal
    25.48970
  • 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
    0.11092
  • SD
    0.50823
  • Sharpe ratio (Glass type estimate)
    0.21824
  • Sharpe ratio (Hedges UMVUE)
    0.21698
  • df
    130.00000
  • t
    0.15432
  • p
    0.49323
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55406
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.55495
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98891
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29895
  • Upside Potential Ratio
    7.26374
  • Upside part of mean
    2.69502
  • Downside part of mean
    -2.58411
  • Upside SD
    0.34454
  • Downside SD
    0.37102
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08173
  • Mean of criterion
    0.11092
  • SD of predictor
    0.19473
  • SD of criterion
    0.50823
  • Covariance
    0.03119
  • r
    0.31513
  • b (slope, estimate of beta)
    0.82243
  • a (intercept, estimate of alpha)
    0.17813
  • Mean Square Error
    0.23445
  • DF error
    129.00000
  • t(b)
    3.77134
  • p(b)
    0.30275
  • t(a)
    0.26005
  • p(a)
    0.48543
  • Lowerbound of 95% confidence interval for beta
    0.39097
  • Upperbound of 95% confidence interval for beta
    1.25390
  • Lowerbound of 95% confidence interval for alpha
    -1.17713
  • Upperbound of 95% confidence interval for alpha
    1.53340
  • Treynor index (mean / b)
    0.13486
  • Jensen alpha (a)
    0.17813
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01893
  • SD
    0.51357
  • Sharpe ratio (Glass type estimate)
    -0.03686
  • Sharpe ratio (Hedges UMVUE)
    -0.03665
  • df
    130.00000
  • t
    -0.02606
  • p
    0.50114
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.80867
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73495
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.80846
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73516
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.04866
  • Upside Potential Ratio
    6.78159
  • Upside part of mean
    2.63820
  • Downside part of mean
    -2.65713
  • Upside SD
    0.33228
  • Downside SD
    0.38902
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10055
  • Mean of criterion
    -0.01893
  • SD of predictor
    0.19473
  • SD of criterion
    0.51357
  • Covariance
    0.03222
  • r
    0.32217
  • b (slope, estimate of beta)
    0.84969
  • a (intercept, estimate of alpha)
    0.06651
  • Mean Square Error
    0.23821
  • DF error
    129.00000
  • t(b)
    3.86529
  • p(b)
    0.29850
  • t(a)
    0.09631
  • p(a)
    0.49460
  • Lowerbound of 95% confidence interval for beta
    0.41476
  • Upperbound of 95% confidence interval for beta
    1.28461
  • Lowerbound of 95% confidence interval for alpha
    -1.29984
  • Upperbound of 95% confidence interval for alpha
    1.43286
  • Treynor index (mean / b)
    -0.02228
  • Jensen alpha (a)
    0.06651
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05092
  • Expected Shortfall on VaR
    0.06335
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02143
  • Expected Shortfall on VaR
    0.04479
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85867
  • Quartile 1
    0.98755
  • Median
    1.00164
  • Quartile 3
    1.01516
  • Maximum
    1.12055
  • Mean of quarter 1
    0.96566
  • Mean of quarter 2
    0.99554
  • Mean of quarter 3
    1.00808
  • Mean of quarter 4
    1.03308
  • Inter Quartile Range
    0.02761
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.90323
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.09388
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44778
  • VaR(95%) (moments method)
    0.03575
  • Expected Shortfall (moments method)
    0.07267
  • Extreme Value Index (regression method)
    0.43528
  • VaR(95%) (regression method)
    0.03398
  • Expected Shortfall (regression method)
    0.06671
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00603
  • Quartile 1
    0.01811
  • Median
    0.06962
  • Quartile 3
    0.20496
  • Maximum
    0.27610
  • Mean of quarter 1
    0.01073
  • Mean of quarter 2
    0.02618
  • Mean of quarter 3
    0.11306
  • Mean of quarter 4
    0.25585
  • Inter Quartile Range
    0.18685
  • 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)
    0.00900
  • Compounded annual return (geometric extrapolation)
    0.00902
  • Calmar ratio (compounded annual return / max draw down)
    0.03266
  • Compounded annual return / average of 25% largest draw downs
    0.03524
  • Compounded annual return / Expected Shortfall lognormal
    0.14232

Strategy Description

This strategy trades emini-futures in both directions (long and short). By controlling the ratio between long and short positions it can manage to make profit from both mid-term market trending moves and intra-day market range moves as well. The major goal of this strategy is to achieve long-term stability in making profit while maintaining a low risk. The MaxDD of the strategy should be below 20%. Those two 40 % occasions seen on the performance chart were due to some experiment and test (as at those times there were no subscribers yet), the purpose of which was to confirm that the MaxDD can very well be controlled under 20%, and to some extent, it did confirmed..

Summary Statistics

Strategy began
2018-02-05
Suggested Minimum Capital
$120,000
# Trades
185
# Profitable
166
% Profitable
89.7%
Correlation S&P500
0.256
Sharpe Ratio
1.965

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

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.