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DUFU
(118881930)

Created by: TaylorWhite TaylorWhite
Started: 07/2018
Futures
Last trade: 6 days ago
Trading style: Futures Financials / Indexes

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 $148.00 per month.

Trading Category: Futures
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
128.2%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(35.5%)
Max Drawdown
638
Num Trades
49.1%
Win Trades
1.5 : 1
Profit Factor
70.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                          +77.9%+14.8%+17.9%+1.9%+18.2%+4.8%+204.0%
2019+2.5%(7.7%)(14.4%)(7.3%)                                                (24.9%)

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.

Trading Record

This strategy has placed 644 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/18/19 3:45 @SK9 SOYBEANS SHORT 1 879 1/4 4/18 20:00 881 2/4 0.4%
Trade id #123353285
Max drawdown($137)
Time4/18/19 13:34
Quant open-1
Worst price882
Drawdown as % of equity-0.40%
($121)
Includes Typical Broker Commissions trade costs of $8.00
4/18/19 9:32 @ESM9 E-MINI S&P 500 SHORT 1 2906.25 4/18 9:45 2908.00 0.47%
Trade id #123356866
Max drawdown($162)
Time4/18/19 9:44
Quant open-1
Worst price2909.50
Drawdown as % of equity-0.47%
($96)
Includes Typical Broker Commissions trade costs of $8.00
4/18/19 9:32 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7698.75 4/18 9:44 7700.25 0.62%
Trade id #123356861
Max drawdown($215)
Time4/18/19 9:36
Quant open-1
Worst price7709.50
Drawdown as % of equity-0.62%
($38)
Includes Typical Broker Commissions trade costs of $8.00
4/18/19 9:32 @YMM9 MINI DOW SHORT 1 26507 4/18 9:36 26542 0.65%
Trade id #123356872
Max drawdown($225)
Time4/18/19 9:36
Quant open-1
Worst price26552
Drawdown as % of equity-0.65%
($183)
Includes Typical Broker Commissions trade costs of $8.00
4/18/19 3:51 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7666.25 4/18 5:22 7677.00 0.63%
Trade id #123353382
Max drawdown($220)
Time4/18/19 5:22
Quant open-1
Worst price7677.25
Drawdown as % of equity-0.63%
($223)
Includes Typical Broker Commissions trade costs of $8.00
4/18/19 3:46 @ESM9 E-MINI S&P 500 SHORT 1 2893.25 4/18 4:18 2893.25 0.07%
Trade id #123353294
Max drawdown($25)
Time4/18/19 3:48
Quant open-1
Worst price2893.75
Drawdown as % of equity-0.07%
($8)
Includes Typical Broker Commissions trade costs of $8.00
4/9/19 12:26 @SBN9 Sugar #11 LONG 1 12.90 4/18 3:44 12.51 1.26%
Trade id #123256606
Max drawdown($448)
Time4/17/19 12:57
Quant open1
Worst price12.50
Drawdown as % of equity-1.26%
($445)
Includes Typical Broker Commissions trade costs of $8.00
4/18/19 1:53 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7666.00 4/18 2:13 7670.50 0.33%
Trade id #123352491
Max drawdown($115)
Time4/18/19 2:06
Quant open-1
Worst price7671.75
Drawdown as % of equity-0.33%
($98)
Includes Typical Broker Commissions trade costs of $8.00
4/18/19 1:55 DXMM9 MINI-DAX INDEX SHORT 2 12136.0 4/18 2:12 12144.0 0.29%
Trade id #123352498
Max drawdown($101)
Time4/18/19 2:10
Quant open-2
Worst price12145.0
Drawdown as % of equity-0.29%
($106)
Includes Typical Broker Commissions trade costs of $16.00
4/18/19 2:00 EXM9 DJ EURO STOXX 50 SHORT 2 3396.00 4/18 2:12 3397.00 0.07%
Trade id #123352541
Max drawdown($23)
Time4/18/19 2:12
Quant open0
Worst price3397.00
Drawdown as % of equity-0.07%
($39)
Includes Typical Broker Commissions trade costs of $16.00
4/17/19 14:29 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7679.50 4/17 14:45 7690.75 0.66%
Trade id #123347842
Max drawdown($235)
Time4/17/19 14:39
Quant open-1
Worst price7691.25
Drawdown as % of equity-0.66%
($233)
Includes Typical Broker Commissions trade costs of $8.00
4/17/19 3:47 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7692.25 4/17 4:19 7697.50 0.31%
Trade id #123337461
Max drawdown($110)
Time4/17/19 4:17
Quant open-1
Worst price7697.75
Drawdown as % of equity-0.31%
($113)
Includes Typical Broker Commissions trade costs of $8.00
4/10/19 23:19 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7636.75 4/11 4:59 7635.25 0.42%
Trade id #123275941
Max drawdown($150)
Time4/11/19 3:03
Quant open-1
Worst price7644.25
Drawdown as % of equity-0.42%
$22
Includes Typical Broker Commissions trade costs of $8.00
4/9/19 12:23 QMGCM9 E-Micro Gold LONG 4 1310.5 4/10 19:59 1311.9 0.26%
Trade id #123256571
Max drawdown($94)
Time4/10/19 8:35
Quant open2
Worst price1304.7
Drawdown as % of equity-0.26%
$22
Includes Typical Broker Commissions trade costs of $32.00
4/9/19 12:29 @CTN9 COTTON - #2 LONG 1 7850 4/10 11:17 7813 0.56%
Trade id #123256656
Max drawdown($200)
Time4/9/19 12:36
Quant open1
Worst price7810
Drawdown as % of equity-0.56%
($193)
Includes Typical Broker Commissions trade costs of $8.00
4/8/19 9:28 @QOM9 miNY Gold LONG 2 1305.38 4/9 12:18 1308.75 1.36%
Trade id #123237329
Max drawdown($462)
Time4/8/19 11:21
Quant open2
Worst price1300.75
Drawdown as % of equity-1.36%
$322
Includes Typical Broker Commissions trade costs of $16.00
4/9/19 9:21 @YMM9 MINI DOW SHORT 2 26253 4/9 9:57 26136 0.09%
Trade id #123252043
Max drawdown($30)
Time4/9/19 9:23
Quant open-2
Worst price26256
Drawdown as % of equity-0.09%
$1,159
Includes Typical Broker Commissions trade costs of $16.00
4/9/19 9:20 @ESM9 E-MINI S&P 500 SHORT 2 2889.75 4/9 9:57 2883.25 0.07%
Trade id #123252029
Max drawdown($25)
Time4/9/19 9:22
Quant open-2
Worst price2890.00
Drawdown as % of equity-0.07%
$634
Includes Typical Broker Commissions trade costs of $16.00
4/9/19 9:21 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 2 7602.00 4/9 9:41 7603.00 0.18%
Trade id #123252059
Max drawdown($60)
Time4/9/19 9:23
Quant open-2
Worst price7603.50
Drawdown as % of equity-0.18%
($56)
Includes Typical Broker Commissions trade costs of $16.00
4/9/19 8:31 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7600.75 4/9 9:16 7606.00 0.38%
Trade id #123251366
Max drawdown($130)
Time4/9/19 9:15
Quant open-1
Worst price7607.25
Drawdown as % of equity-0.38%
($113)
Includes Typical Broker Commissions trade costs of $8.00
4/9/19 8:31 @YMM9 MINI DOW SHORT 2 26270 4/9 9:16 26265 0.1%
Trade id #123251361
Max drawdown($35)
Time4/9/19 8:34
Quant open-1
Worst price26284
Drawdown as % of equity-0.10%
$29
Includes Typical Broker Commissions trade costs of $16.00
4/9/19 8:31 @ESM9 E-MINI S&P 500 SHORT 2 2891.00 4/9 9:16 2891.25 0.11%
Trade id #123251356
Max drawdown($37)
Time4/9/19 8:34
Quant open-1
Worst price2892.25
Drawdown as % of equity-0.11%
($41)
Includes Typical Broker Commissions trade costs of $16.00
4/8/19 22:01 @ESM9 E-MINI S&P 500 SHORT 1 2893.00 4/9 7:11 2896.00 0.7%
Trade id #123247810
Max drawdown($237)
Time4/9/19 5:36
Quant open-1
Worst price2897.75
Drawdown as % of equity-0.70%
($158)
Includes Typical Broker Commissions trade costs of $8.00
4/8/19 9:37 @ESM9 E-MINI S&P 500 SHORT 1 2886.50 4/8 10:01 2886.25 0.22%
Trade id #123238159
Max drawdown($75)
Time4/8/19 9:58
Quant open-1
Worst price2888.00
Drawdown as % of equity-0.22%
$5
Includes Typical Broker Commissions trade costs of $8.00
4/8/19 9:37 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7575.25 4/8 10:01 7571.50 0.26%
Trade id #123238150
Max drawdown($90)
Time4/8/19 9:41
Quant open-1
Worst price7579.75
Drawdown as % of equity-0.26%
$67
Includes Typical Broker Commissions trade costs of $8.00
4/8/19 4:02 QGCM9 Gold 100 oz LONG 1 1301.2 4/8 9:08 1306.3 0.21%
Trade id #123234677
Max drawdown($70)
Time4/8/19 4:19
Quant open1
Worst price1300.5
Drawdown as % of equity-0.21%
$502
Includes Typical Broker Commissions trade costs of $8.00
4/7/19 22:31 @YMM9 MINI DOW SHORT 1 26340 4/8 3:41 26342 0.18%
Trade id #123232387
Max drawdown($60)
Time4/7/19 22:44
Quant open-1
Worst price26352
Drawdown as % of equity-0.18%
($18)
Includes Typical Broker Commissions trade costs of $8.00
4/7/19 22:31 @ESM9 E-MINI S&P 500 SHORT 1 2892.50 4/8 3:40 2892.50 0.15%
Trade id #123232392
Max drawdown($50)
Time4/7/19 22:44
Quant open-1
Worst price2893.50
Drawdown as % of equity-0.15%
($8)
Includes Typical Broker Commissions trade costs of $8.00
4/5/19 11:56 @YMM9 MINI DOW LONG 2 26423 4/5 12:26 26427 0.3%
Trade id #123221484
Max drawdown($100)
Time4/5/19 12:01
Quant open2
Worst price26413
Drawdown as % of equity-0.30%
$24
Includes Typical Broker Commissions trade costs of $16.00
4/4/19 10:54 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 2 7572.50 4/4 11:14 7554.75 2.12%
Trade id #123201856
Max drawdown($730)
Time4/4/19 11:14
Quant open2
Worst price7554.25
Drawdown as % of equity-2.12%
($726)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    7/12/2018
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    286.08
  • Age
    10 months ago
  • What it trades
    Futures
  • # Trades
    638
  • # Profitable
    313
  • % Profitable
    49.10%
  • Avg trade duration
    3.2 hours
  • Max peak-to-valley drawdown
    35.54%
  • drawdown period
    Feb 09, 2019 - April 08, 2019
  • Cumul. Return
    128.2%
  • Avg win
    $196.23
  • Avg loss
    $122.63
  • Model Account Values (Raw)
  • Cash
    $34,341
  • Margin Used
    $0
  • Buying Power
    $34,341
  • Ratios
  • W:L ratio
    1.54:1
  • Sharpe Ratio
    2.488
  • Sortino Ratio
    11.385
  • Calmar Ratio
    11.508
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.03200
  • Return Statistics
  • Ann Return (w trading costs)
    182.9%
  • Ann Return (Compnd, No Fees)
    251.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    47.00%
  • Chance of 20% account loss
    22.50%
  • Chance of 30% account loss
    6.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    947
  • C2 Score
    54.1
  • 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
    $123
  • Avg Win
    $196
  • # Winners
    313
  • # Losers
    325
  • % Winners
    49.1%
  • Frequency
  • Avg Position Time (mins)
    192.60
  • Avg Position Time (hrs)
    3.21
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    6
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.80912
  • SD
    1.18773
  • Sharpe ratio (Glass type estimate)
    1.52317
  • Sharpe ratio (Hedges UMVUE)
    1.37497
  • df
    8.00000
  • t
    1.31910
  • p
    0.11182
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89818
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.86022
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98635
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.73629
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.15250
  • Upside Potential Ratio
    11.70700
  • Upside part of mean
    2.08612
  • Downside part of mean
    -0.27700
  • Upside SD
    1.22268
  • Downside SD
    0.17819
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.02771
  • Mean of criterion
    1.80912
  • SD of predictor
    0.11285
  • SD of criterion
    1.18773
  • Covariance
    -0.01424
  • r
    -0.10621
  • b (slope, estimate of beta)
    -1.11785
  • a (intercept, estimate of alpha)
    1.84010
  • Mean Square Error
    1.59405
  • DF error
    7.00000
  • t(b)
    -0.28260
  • p(b)
    0.60717
  • t(a)
    1.25862
  • p(a)
    0.12426
  • Lowerbound of 95% confidence interval for beta
    -10.47130
  • Upperbound of 95% confidence interval for beta
    8.23560
  • Lowerbound of 95% confidence interval for alpha
    -1.61698
  • Upperbound of 95% confidence interval for alpha
    5.29717
  • Treynor index (mean / b)
    -1.61839
  • Jensen alpha (a)
    1.84010
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.31866
  • SD
    0.84800
  • Sharpe ratio (Glass type estimate)
    1.55503
  • Sharpe ratio (Hedges UMVUE)
    1.40373
  • df
    8.00000
  • t
    1.34670
  • p
    0.10749
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87183
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89613
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96165
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.76911
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.94806
  • Upside Potential Ratio
    8.49504
  • Upside part of mean
    1.61226
  • Downside part of mean
    -0.29360
  • Upside SD
    0.86492
  • Downside SD
    0.18979
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.02201
  • Mean of criterion
    1.31866
  • SD of predictor
    0.11232
  • SD of criterion
    0.84800
  • Covariance
    -0.01487
  • r
    -0.15613
  • b (slope, estimate of beta)
    -1.17870
  • a (intercept, estimate of alpha)
    1.34460
  • Mean Square Error
    0.80180
  • DF error
    7.00000
  • t(b)
    -0.41820
  • p(b)
    0.65583
  • t(a)
    1.29811
  • p(a)
    0.11769
  • Lowerbound of 95% confidence interval for beta
    -7.84342
  • Upperbound of 95% confidence interval for beta
    5.48602
  • Lowerbound of 95% confidence interval for alpha
    -1.10472
  • Upperbound of 95% confidence interval for alpha
    3.79392
  • Treynor index (mean / b)
    -1.11874
  • Jensen alpha (a)
    1.34460
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.25380
  • Expected Shortfall on VaR
    0.32368
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02886
  • Expected Shortfall on VaR
    0.06918
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.86503
  • Quartile 1
    1.01705
  • Median
    1.03782
  • Quartile 3
    1.17110
  • Maximum
    2.02299
  • Mean of quarter 1
    0.93799
  • Mean of quarter 2
    1.02876
  • Mean of quarter 3
    1.14816
  • Mean of quarter 4
    1.60500
  • Inter Quartile Range
    0.15405
  • 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
    0.11111
  • Mean of outliers high
    2.02299
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.34946
  • VaR(95%) (regression method)
    0.18168
  • Expected Shortfall (regression method)
    0.19285
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.19390
  • Quartile 1
    0.19390
  • Median
    0.19390
  • Quartile 3
    0.19390
  • Maximum
    0.19390
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    2.32720
  • Compounded annual return (geometric extrapolation)
    2.84421
  • Calmar ratio (compounded annual return / max draw down)
    14.66840
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.78701
  • 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
    1.41030
  • SD
    0.56474
  • Sharpe ratio (Glass type estimate)
    2.49726
  • Sharpe ratio (Hedges UMVUE)
    2.48788
  • df
    200.00000
  • t
    2.18731
  • p
    0.42358
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24321
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.74521
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23695
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.73882
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.38500
  • Upside Potential Ratio
    17.57100
  • Upside part of mean
    2.17658
  • Downside part of mean
    -0.76628
  • Upside SD
    0.55641
  • Downside SD
    0.12387
  • N nonnegative terms
    106.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    201.00000
  • Mean of predictor
    0.04682
  • Mean of criterion
    1.41030
  • SD of predictor
    0.16244
  • SD of criterion
    0.56474
  • Covariance
    -0.00719
  • r
    -0.07836
  • b (slope, estimate of beta)
    -0.27242
  • a (intercept, estimate of alpha)
    1.42300
  • Mean Square Error
    0.31856
  • DF error
    199.00000
  • t(b)
    -1.10880
  • p(b)
    0.54983
  • t(a)
    2.20801
  • p(a)
    0.40195
  • Lowerbound of 95% confidence interval for beta
    -0.75692
  • Upperbound of 95% confidence interval for beta
    0.21207
  • Lowerbound of 95% confidence interval for alpha
    0.15213
  • Upperbound of 95% confidence interval for alpha
    2.69397
  • Treynor index (mean / b)
    -5.17684
  • Jensen alpha (a)
    1.42305
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.27217
  • SD
    0.50015
  • Sharpe ratio (Glass type estimate)
    2.54357
  • Sharpe ratio (Hedges UMVUE)
    2.53402
  • df
    200.00000
  • t
    2.22788
  • p
    0.42219
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28895
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.79202
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28259
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.78545
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.11480
  • Upside Potential Ratio
    16.26900
  • Upside part of mean
    2.04620
  • Downside part of mean
    -0.77403
  • Upside SD
    0.48915
  • Downside SD
    0.12577
  • N nonnegative terms
    106.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    201.00000
  • Mean of predictor
    0.03368
  • Mean of criterion
    1.27217
  • SD of predictor
    0.16246
  • SD of criterion
    0.50015
  • Covariance
    -0.00660
  • r
    -0.08129
  • b (slope, estimate of beta)
    -0.25026
  • a (intercept, estimate of alpha)
    1.28060
  • Mean Square Error
    0.24975
  • DF error
    199.00000
  • t(b)
    -1.15050
  • p(b)
    0.55169
  • t(a)
    2.24427
  • p(a)
    0.40039
  • Lowerbound of 95% confidence interval for beta
    -0.67919
  • Upperbound of 95% confidence interval for beta
    0.17868
  • Lowerbound of 95% confidence interval for alpha
    0.15538
  • Upperbound of 95% confidence interval for alpha
    2.40582
  • Treynor index (mean / b)
    -5.08348
  • Jensen alpha (a)
    1.28060
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04493
  • Expected Shortfall on VaR
    0.05712
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00635
  • Expected Shortfall on VaR
    0.01377
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    201.00000
  • Minimum
    0.94558
  • Quartile 1
    0.99807
  • Median
    1.00055
  • Quartile 3
    1.00497
  • Maximum
    1.39935
  • Mean of quarter 1
    0.98892
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00246
  • Mean of quarter 4
    1.03112
  • Inter Quartile Range
    0.00690
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.09453
  • Mean of outliers low
    0.97832
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.07960
  • Mean of outliers high
    1.07910
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65578
  • VaR(95%) (moments method)
    0.00951
  • Expected Shortfall (moments method)
    0.03173
  • Extreme Value Index (regression method)
    0.26659
  • VaR(95%) (regression method)
    0.01038
  • Expected Shortfall (regression method)
    0.01914
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00187
  • Median
    0.00522
  • Quartile 3
    0.01387
  • Maximum
    0.23198
  • Mean of quarter 1
    0.00101
  • Mean of quarter 2
    0.00344
  • Mean of quarter 3
    0.01153
  • Mean of quarter 4
    0.06987
  • Inter Quartile Range
    0.01200
  • 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
    0.09524
  • Mean of outliers high
    0.13667
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.79369
  • VaR(95%) (moments method)
    0.06244
  • Expected Shortfall (moments method)
    0.32552
  • Extreme Value Index (regression method)
    1.20255
  • VaR(95%) (regression method)
    0.08178
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.23051
  • Compounded annual return (geometric extrapolation)
    2.66958
  • Calmar ratio (compounded annual return / max draw down)
    11.50770
  • Compounded annual return / average of 25% largest draw downs
    38.20920
  • Compounded annual return / Expected Shortfall lognormal
    46.73690
  • 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
    0.09065
  • SD
    0.27866
  • Sharpe ratio (Glass type estimate)
    0.32533
  • Sharpe ratio (Hedges UMVUE)
    0.32345
  • df
    130.00000
  • t
    0.23004
  • p
    0.48991
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.44737
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09681
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.44864
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09553
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65431
  • Upside Potential Ratio
    7.08040
  • Upside part of mean
    0.98099
  • Downside part of mean
    -0.89033
  • Upside SD
    0.24061
  • Downside SD
    0.13855
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10517
  • Mean of criterion
    0.09065
  • SD of predictor
    0.18317
  • SD of criterion
    0.27866
  • Covariance
    -0.00547
  • r
    -0.10711
  • b (slope, estimate of beta)
    -0.16295
  • a (intercept, estimate of alpha)
    0.10779
  • Mean Square Error
    0.07735
  • DF error
    129.00000
  • t(b)
    -1.22357
  • p(b)
    0.56806
  • t(a)
    0.27388
  • p(a)
    0.48466
  • Lowerbound of 95% confidence interval for beta
    -0.42644
  • Upperbound of 95% confidence interval for beta
    0.10054
  • Lowerbound of 95% confidence interval for alpha
    -0.67091
  • Upperbound of 95% confidence interval for alpha
    0.88650
  • Treynor index (mean / b)
    -0.55634
  • Jensen alpha (a)
    0.10779
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05393
  • SD
    0.26885
  • Sharpe ratio (Glass type estimate)
    0.20059
  • Sharpe ratio (Hedges UMVUE)
    0.19943
  • df
    130.00000
  • t
    0.14184
  • p
    0.49378
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.57169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97214
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.57248
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97134
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.38291
  • Upside Potential Ratio
    6.77358
  • Upside part of mean
    0.95398
  • Downside part of mean
    -0.90005
  • Upside SD
    0.22783
  • Downside SD
    0.14084
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08852
  • Mean of criterion
    0.05393
  • SD of predictor
    0.18301
  • SD of criterion
    0.26885
  • Covariance
    -0.00540
  • r
    -0.10965
  • b (slope, estimate of beta)
    -0.16107
  • a (intercept, estimate of alpha)
    0.06819
  • Mean Square Error
    0.07197
  • DF error
    129.00000
  • t(b)
    -1.25290
  • p(b)
    0.56966
  • t(a)
    0.17965
  • p(a)
    0.48993
  • Lowerbound of 95% confidence interval for beta
    -0.41543
  • Upperbound of 95% confidence interval for beta
    0.09329
  • Lowerbound of 95% confidence interval for alpha
    -0.68278
  • Upperbound of 95% confidence interval for alpha
    0.81915
  • Treynor index (mean / b)
    -0.33481
  • Jensen alpha (a)
    0.06819
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02675
  • Expected Shortfall on VaR
    0.03346
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00796
  • Expected Shortfall on VaR
    0.01681
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94558
  • Quartile 1
    0.99777
  • Median
    1.00000
  • Quartile 3
    1.00259
  • Maximum
    1.14396
  • Mean of quarter 1
    0.98730
  • Mean of quarter 2
    0.99943
  • Mean of quarter 3
    1.00129
  • Mean of quarter 4
    1.01381
  • Inter Quartile Range
    0.00482
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.97857
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.05311
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54710
  • VaR(95%) (moments method)
    0.01027
  • Expected Shortfall (moments method)
    0.02694
  • Extreme Value Index (regression method)
    0.17784
  • VaR(95%) (regression method)
    0.01058
  • Expected Shortfall (regression method)
    0.01780
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00197
  • Median
    0.00318
  • Quartile 3
    0.01386
  • Maximum
    0.23198
  • Mean of quarter 1
    0.00099
  • Mean of quarter 2
    0.00253
  • Mean of quarter 3
    0.00747
  • Mean of quarter 4
    0.07305
  • Inter Quartile Range
    0.01189
  • 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
    0.07143
  • Mean of outliers high
    0.23198
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.09529
  • VaR(95%) (moments method)
    0.07729
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.36428
  • VaR(95%) (regression method)
    0.13328
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08353
  • Compounded annual return (geometric extrapolation)
    0.08528
  • Calmar ratio (compounded annual return / max draw down)
    0.36760
  • Compounded annual return / average of 25% largest draw downs
    1.16733
  • Compounded annual return / Expected Shortfall lognormal
    2.54835

Strategy Description

Trading System: Trend-Trading, follow the major trend, if it's wrong, stop loss immediately, if it's right, hold the position, let profit fly. the most important thing is Profit and Loss Ratio, seek for the optimal ratio in trading, keep this way up, even though the winning rate is low, but the profit is good. by the way, This is a conservative system and no martingale.

Summary Statistics

Strategy began
2018-07-12
Suggested Minimum Capital
$30,000
# Trades
638
# Profitable
313
% Profitable
49.1%
Correlation S&P500
-0.032
Sharpe Ratio
2.488

Latest Activity

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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.