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SDPivot
(119508820)

Created by: SD_pivot SD_pivot
Started: 08/2018
Futures
Last trade: 9 days ago
Trading style: Futures Commodities 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 $90.00 per month.

Trading Category: Futures
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
-8.1%
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.

(100.0%)
Max Drawdown
528
Num Trades
66.7%
Win Trades
1.0 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                 +19.2%+34.7%+29.3%+39.0%(100.1%)(100.2%)
2019(30346.2%)+39.3%+4.9%                                                      (44302.6%)

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 871 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/13/18 15:50 @ESH9 E-MINI S&P 500 LONG 3 2643.12 3/15/19 9:20 2550.50 984.24%
Trade id #121490328
Max drawdown($32,637)
Time12/25/18 18:10
Quant open2
Worst price2316.75
Drawdown as % of equity-984.24%
($13,918)
Includes Typical Broker Commissions trade costs of $24.00
12/14/18 11:52 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 6650.00 12/18 18:37 6463.25 15.96%
Trade id #121504015
Max drawdown($4,975)
Time12/17/18 15:49
Quant open1
Worst price6401.25
Drawdown as % of equity-15.96%
($3,743)
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 14:36 QCLF9 CRUDE OIL LONG 2 49.01 12/18 16:01 46.18 20.41%
Trade id #121533868
Max drawdown($6,430)
Time12/18/18 14:53
Quant open2
Worst price45.79
Drawdown as % of equity-20.41%
($5,666)
Includes Typical Broker Commissions trade costs of $16.00
12/13/18 20:53 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 6686.75 12/13 22:42 6698.50 0.61%
Trade id #121493508
Max drawdown($270)
Time12/13/18 21:09
Quant open2
Worst price6680.00
Drawdown as % of equity-0.61%
$454
Includes Typical Broker Commissions trade costs of $16.00
12/13/18 12:03 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 6735.00 12/13 12:07 6747.12 n/a $235
Includes Typical Broker Commissions trade costs of $8.00
12/13/18 11:23 @ESH9 E-MINI S&P 500 LONG 1 2652.88 12/13 11:30 2658.00 0.18%
Trade id #121482680
Max drawdown($81)
Time12/13/18 11:25
Quant open1
Worst price2651.25
Drawdown as % of equity-0.18%
$248
Includes Typical Broker Commissions trade costs of $8.00
12/13/18 10:47 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 6758.50 12/13 10:57 6764.81 1.18%
Trade id #121481339
Max drawdown($540)
Time12/13/18 10:54
Quant open2
Worst price6745.00
Drawdown as % of equity-1.18%
$237
Includes Typical Broker Commissions trade costs of $16.00
12/13/18 9:52 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 6794.25 12/13 10:04 6815.00 0.66%
Trade id #121479210
Max drawdown($300)
Time12/13/18 9:56
Quant open1
Worst price6779.25
Drawdown as % of equity-0.66%
$407
Includes Typical Broker Commissions trade costs of $8.00
12/13/18 8:47 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 6794.00 12/13 9:40 6827.00 0.26%
Trade id #121476822
Max drawdown($115)
Time12/13/18 9:35
Quant open1
Worst price6788.25
Drawdown as % of equity-0.26%
$652
Includes Typical Broker Commissions trade costs of $8.00
12/12/18 14:28 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 6810.00 12/12 21:57 6810.50 2.86%
Trade id #121467337
Max drawdown($1,255)
Time12/12/18 16:03
Quant open1
Worst price6747.25
Drawdown as % of equity-2.86%
$2
Includes Typical Broker Commissions trade costs of $8.00
12/12/18 12:47 @QGF9 MINY NATURAL GAS LONG 1 4.155 12/12 21:09 4.110 0.43%
Trade id #121465910
Max drawdown($187)
Time12/12/18 16:25
Quant open1
Worst price4.080
Drawdown as % of equity-0.43%
($121)
Includes Typical Broker Commissions trade costs of $8.00
12/12/18 15:55 @ESZ8 E-MINI S&P 500 LONG 1 2654.50 12/12 21:07 2663.00 0.88%
Trade id #121469016
Max drawdown($387)
Time12/12/18 16:45
Quant open1
Worst price2646.75
Drawdown as % of equity-0.88%
$417
Includes Typical Broker Commissions trade costs of $8.00
12/11/18 23:21 @ESZ8 E-MINI S&P 500 SHORT 1 2656.00 12/12 13:11 2685.00 3.22%
Trade id #121455736
Max drawdown($1,450)
Time12/12/18 13:11
Quant open0
Worst price2685.00
Drawdown as % of equity-3.22%
($1,458)
Includes Typical Broker Commissions trade costs of $8.00
12/11/18 13:54 QGCG9 Gold 100 oz LONG 2 1247.8 12/12 11:00 1251.1 0.5%
Trade id #121449002
Max drawdown($210)
Time12/11/18 14:41
Quant open1
Worst price1246.2
Drawdown as % of equity-0.50%
$654
Includes Typical Broker Commissions trade costs of $16.00
12/11/18 16:34 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 6700.00 12/11 20:00 6740.00 1.32%
Trade id #121452001
Max drawdown($565)
Time12/11/18 16:55
Quant open1
Worst price6671.75
Drawdown as % of equity-1.32%
$792
Includes Typical Broker Commissions trade costs of $8.00
12/11/18 15:55 @ESZ8 E-MINI S&P 500 LONG 2 2633.50 12/11 19:23 2644.00 1.23%
Trade id #121451326
Max drawdown($525)
Time12/11/18 16:55
Quant open2
Worst price2628.25
Drawdown as % of equity-1.23%
$1,034
Includes Typical Broker Commissions trade costs of $16.00
12/11/18 12:07 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 6714.00 12/11 14:45 6736.50 2.98%
Trade id #121446318
Max drawdown($1,255)
Time12/11/18 14:17
Quant open1
Worst price6651.25
Drawdown as % of equity-2.98%
$442
Includes Typical Broker Commissions trade costs of $8.00
12/11/18 11:18 @ESZ8 E-MINI S&P 500 LONG 2 2647.50 12/11 13:42 2629.80 4.19%
Trade id #121444457
Max drawdown($1,825)
Time12/11/18 13:42
Quant open2
Worst price2629.25
Drawdown as % of equity-4.19%
($1,786)
Includes Typical Broker Commissions trade costs of $16.00
12/11/18 11:34 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 6727.00 12/11 11:55 6747.25 0.3%
Trade id #121445230
Max drawdown($135)
Time12/11/18 11:44
Quant open1
Worst price6720.25
Drawdown as % of equity-0.30%
$397
Includes Typical Broker Commissions trade costs of $8.00
12/7/18 10:13 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 4 6697.09 12/10 11:03 6544.08 25.07%
Trade id #121397335
Max drawdown($12,241)
Time12/10/18 11:03
Quant open0
Worst price6544.08
Drawdown as % of equity-25.07%
($12,273)
Includes Typical Broker Commissions trade costs of $32.00
12/9/18 18:00 @YMZ8 MINI DOW LONG 1 24250 12/10 11:02 23965 2.92%
Trade id #121414140
Max drawdown($1,425)
Time12/10/18 11:02
Quant open0
Worst price23965
Drawdown as % of equity-2.92%
($1,433)
Includes Typical Broker Commissions trade costs of $8.00
12/7/18 11:12 @ESZ8 E-MINI S&P 500 LONG 1 2664.00 12/7 11:16 2660.83 0.42%
Trade id #121399987
Max drawdown($237)
Time12/7/18 11:16
Quant open1
Worst price2659.25
Drawdown as % of equity-0.42%
($166)
Includes Typical Broker Commissions trade costs of $8.00
12/7/18 10:37 @ESZ8 E-MINI S&P 500 LONG 1 2669.00 12/7 10:42 2675.25 0.07%
Trade id #121398042
Max drawdown($37)
Time12/7/18 10:39
Quant open1
Worst price2668.25
Drawdown as % of equity-0.07%
$305
Includes Typical Broker Commissions trade costs of $8.00
12/7/18 6:56 @ESZ8 E-MINI S&P 500 LONG 1 2677.00 12/7 8:34 2685.67 0.28%
Trade id #121392301
Max drawdown($162)
Time12/7/18 7:08
Quant open1
Worst price2673.75
Drawdown as % of equity-0.28%
$425
Includes Typical Broker Commissions trade costs of $8.00
12/6/18 15:52 @NQZ8 E-MINI NASDAQ 100 STK IDX SHORT 1 6826.12 12/6 21:44 6821.00 1.06%
Trade id #121386733
Max drawdown($607)
Time12/6/18 19:04
Quant open-1
Worst price6856.50
Drawdown as % of equity-1.06%
$95
Includes Typical Broker Commissions trade costs of $8.00
12/6/18 15:59 @ESZ8 E-MINI S&P 500 SHORT 2 2696.00 12/6 18:18 2694.00 0.57%
Trade id #121386879
Max drawdown($325)
Time12/6/18 16:05
Quant open-2
Worst price2699.25
Drawdown as % of equity-0.57%
$184
Includes Typical Broker Commissions trade costs of $16.00
12/6/18 11:47 @ESZ8 E-MINI S&P 500 SHORT 3 2649.33 12/6 15:12 2663.54 4.49%
Trade id #121379948
Max drawdown($2,591)
Time12/6/18 15:02
Quant open-2
Worst price2675.25
Drawdown as % of equity-4.49%
($2,155)
Includes Typical Broker Commissions trade costs of $24.00
12/3/18 6:47 @YMZ8 MINI DOW LONG 3 25851 12/6 15:03 25446 13.94%
Trade id #121305652
Max drawdown($7,975)
Time12/6/18 11:29
Quant open1
Worst price24256
Drawdown as % of equity-13.94%
($6,098)
Includes Typical Broker Commissions trade costs of $24.00
12/6/18 11:07 @NQZ8 E-MINI NASDAQ 100 STK IDX SHORT 1 6671.62 12/6 11:25 6652.62 0.53%
Trade id #121378164
Max drawdown($302)
Time12/6/18 11:09
Quant open-1
Worst price6686.75
Drawdown as % of equity-0.53%
$372
Includes Typical Broker Commissions trade costs of $8.00
12/6/18 9:52 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 6677.00 12/6 10:24 6699.62 0.84%
Trade id #121374670
Max drawdown($485)
Time12/6/18 9:56
Quant open1
Worst price6652.75
Drawdown as % of equity-0.84%
$445
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    8/20/2018
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    214.7
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    528
  • # Profitable
    352
  • % Profitable
    66.70%
  • Avg trade duration
    10.0 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Dec 26, 2018 - Feb 02, 2019
  • Cumul. Return
    -8.1%
  • Avg win
    $320.20
  • Avg loss
    $610.18
  • Model Account Values (Raw)
  • Cash
    $24,069
  • Margin Used
    $0
  • Buying Power
    $24,069
  • Ratios
  • W:L ratio
    1.05:1
  • Sharpe Ratio
    1.268
  • Sortino Ratio
    2.919
  • Calmar Ratio
    0.608
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.08100
  • Return Statistics
  • Ann Return (w trading costs)
    -13.1%
  • Ann Return (Compnd, No Fees)
    52.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    786
  • 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
    $610
  • Avg Win
    $320
  • # Winners
    352
  • # Losers
    176
  • % Winners
    66.7%
  • Frequency
  • Avg Position Time (mins)
    601.80
  • Avg Position Time (hrs)
    10.03
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    8
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.48885
  • SD
    1.50503
  • Sharpe ratio (Glass type estimate)
    0.98925
  • Sharpe ratio (Hedges UMVUE)
    0.83171
  • df
    5.00000
  • t
    0.69951
  • p
    0.25772
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89157
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.77884
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98762
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.65104
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.76874
  • Upside Potential Ratio
    3.55384
  • Upside part of mean
    2.99147
  • Downside part of mean
    -1.50262
  • Upside SD
    1.16780
  • Downside SD
    0.84176
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.05894
  • Mean of criterion
    1.48885
  • SD of predictor
    0.18679
  • SD of criterion
    1.50503
  • Covariance
    0.00540
  • r
    0.01921
  • b (slope, estimate of beta)
    0.15480
  • a (intercept, estimate of alpha)
    1.49798
  • Mean Square Error
    2.83034
  • DF error
    4.00000
  • t(b)
    0.03843
  • p(b)
    0.48559
  • t(a)
    0.62650
  • p(a)
    0.28248
  • Lowerbound of 95% confidence interval for beta
    -11.03050
  • Upperbound of 95% confidence interval for beta
    11.34010
  • Lowerbound of 95% confidence interval for alpha
    -5.14190
  • Upperbound of 95% confidence interval for alpha
    8.13785
  • Treynor index (mean / b)
    9.61784
  • Jensen alpha (a)
    1.49798
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39872
  • SD
    1.67845
  • Sharpe ratio (Glass type estimate)
    0.23755
  • Sharpe ratio (Hedges UMVUE)
    0.19972
  • df
    5.00000
  • t
    0.16797
  • p
    0.43659
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.54939
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00162
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.57485
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97429
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.32960
  • Upside Potential Ratio
    2.04165
  • Upside part of mean
    2.46975
  • Downside part of mean
    -2.07103
  • Upside SD
    0.94739
  • Downside SD
    1.20969
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.07339
  • Mean of criterion
    0.39872
  • SD of predictor
    0.18560
  • SD of criterion
    1.67845
  • Covariance
    0.04058
  • r
    0.13026
  • b (slope, estimate of beta)
    1.17801
  • a (intercept, estimate of alpha)
    0.48517
  • Mean Square Error
    3.46172
  • DF error
    4.00000
  • t(b)
    0.26277
  • p(b)
    0.40285
  • t(a)
    0.18296
  • p(a)
    0.43186
  • Lowerbound of 95% confidence interval for beta
    -11.27140
  • Upperbound of 95% confidence interval for beta
    13.62740
  • Lowerbound of 95% confidence interval for alpha
    -6.87866
  • Upperbound of 95% confidence interval for alpha
    7.84900
  • Treynor index (mean / b)
    0.33847
  • Jensen alpha (a)
    0.48517
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.53408
  • Expected Shortfall on VaR
    0.61377
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.22227
  • Expected Shortfall on VaR
    0.45172
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.43688
  • Quartile 1
    0.89692
  • Median
    1.20952
  • Quartile 3
    1.45897
  • Maximum
    1.56764
  • Mean of quarter 1
    0.62667
  • Mean of quarter 2
    1.13827
  • Mean of quarter 3
    1.28078
  • Mean of quarter 4
    1.54300
  • Inter Quartile Range
    0.56205
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.64330
  • Quartile 1
    0.64330
  • Median
    0.64330
  • Quartile 3
    0.64330
  • Maximum
    0.64330
  • 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)
    0.47554
  • Compounded annual return (geometric extrapolation)
    0.53208
  • Calmar ratio (compounded annual return / max draw down)
    0.82710
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.86690
  • 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
    4.08709
  • SD
    3.20605
  • Sharpe ratio (Glass type estimate)
    1.27481
  • Sharpe ratio (Hedges UMVUE)
    1.26791
  • df
    139.00000
  • t
    0.93187
  • p
    0.44989
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41287
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95796
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41746
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.95329
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91858
  • Upside Potential Ratio
    7.99703
  • Upside part of mean
    11.19880
  • Downside part of mean
    -7.11171
  • Upside SD
    2.88237
  • Downside SD
    1.40037
  • N nonnegative terms
    86.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    140.00000
  • Mean of predictor
    -0.03373
  • Mean of criterion
    4.08709
  • SD of predictor
    0.18485
  • SD of criterion
    3.20605
  • Covariance
    0.08880
  • r
    0.14984
  • b (slope, estimate of beta)
    2.59879
  • a (intercept, estimate of alpha)
    4.17500
  • Mean Square Error
    10.12080
  • DF error
    138.00000
  • t(b)
    1.78034
  • p(b)
    0.42508
  • t(a)
    0.95920
  • p(a)
    0.45931
  • Lowerbound of 95% confidence interval for beta
    -0.28751
  • Upperbound of 95% confidence interval for beta
    5.48510
  • Lowerbound of 95% confidence interval for alpha
    -4.43112
  • Upperbound of 95% confidence interval for alpha
    12.78060
  • Treynor index (mean / b)
    1.57269
  • Jensen alpha (a)
    4.17475
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43384
  • SD
    2.67980
  • Sharpe ratio (Glass type estimate)
    0.16189
  • Sharpe ratio (Hedges UMVUE)
    0.16102
  • df
    139.00000
  • t
    0.11834
  • p
    0.49361
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.51964
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.84297
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52028
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84232
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.21280
  • Upside Potential Ratio
    4.48024
  • Upside part of mean
    9.13406
  • Downside part of mean
    -8.70022
  • Upside SD
    1.72461
  • Downside SD
    2.03874
  • N nonnegative terms
    86.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    140.00000
  • Mean of predictor
    -0.05069
  • Mean of criterion
    0.43384
  • SD of predictor
    0.18482
  • SD of criterion
    2.67980
  • Covariance
    0.03773
  • r
    0.07618
  • b (slope, estimate of beta)
    1.10460
  • a (intercept, estimate of alpha)
    0.48983
  • Mean Square Error
    7.19137
  • DF error
    138.00000
  • t(b)
    0.89756
  • p(b)
    0.46191
  • t(a)
    0.13350
  • p(a)
    0.49432
  • Lowerbound of 95% confidence interval for beta
    -1.32881
  • Upperbound of 95% confidence interval for beta
    3.53802
  • Lowerbound of 95% confidence interval for alpha
    -6.76503
  • Upperbound of 95% confidence interval for alpha
    7.74468
  • Treynor index (mean / b)
    0.39275
  • Jensen alpha (a)
    0.48983
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.23713
  • Expected Shortfall on VaR
    0.28681
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05017
  • Expected Shortfall on VaR
    0.11760
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    140.00000
  • Minimum
    0.29963
  • Quartile 1
    0.98313
  • Median
    1.01161
  • Quartile 3
    1.03560
  • Maximum
    2.99285
  • Mean of quarter 1
    0.89617
  • Mean of quarter 2
    0.99837
  • Mean of quarter 3
    1.02388
  • Mean of quarter 4
    1.14441
  • Inter Quartile Range
    0.05247
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.07857
  • Mean of outliers low
    0.74396
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.05714
  • Mean of outliers high
    1.42312
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.98405
  • VaR(95%) (moments method)
    0.09829
  • Expected Shortfall (moments method)
    6.44511
  • Extreme Value Index (regression method)
    0.84630
  • VaR(95%) (regression method)
    0.08751
  • Expected Shortfall (regression method)
    0.60946
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00424
  • Quartile 1
    0.01570
  • Median
    0.02964
  • Quartile 3
    0.04351
  • Maximum
    0.96472
  • Mean of quarter 1
    0.00713
  • Mean of quarter 2
    0.02233
  • Mean of quarter 3
    0.03202
  • Mean of quarter 4
    0.33716
  • Inter Quartile Range
    0.02781
  • 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
    0.21429
  • Mean of outliers high
    0.43396
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.48809
  • VaR(95%) (moments method)
    0.22491
  • Expected Shortfall (moments method)
    0.55896
  • Extreme Value Index (regression method)
    1.42018
  • VaR(95%) (regression method)
    0.75387
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.52370
  • Compounded annual return (geometric extrapolation)
    0.58684
  • Calmar ratio (compounded annual return / max draw down)
    0.60830
  • Compounded annual return / average of 25% largest draw downs
    1.74054
  • Compounded annual return / Expected Shortfall lognormal
    2.04610
  • 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
    3.94451
  • SD
    3.30948
  • Sharpe ratio (Glass type estimate)
    1.19188
  • Sharpe ratio (Hedges UMVUE)
    1.18499
  • df
    130.00000
  • t
    0.84279
  • p
    0.46314
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58588
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96530
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59055
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96054
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.72669
  • Upside Potential Ratio
    7.90881
  • Upside part of mean
    11.44110
  • Downside part of mean
    -7.49662
  • Upside SD
    2.97249
  • Downside SD
    1.44663
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06518
  • Mean of criterion
    3.94451
  • SD of predictor
    0.19030
  • SD of criterion
    3.30948
  • Covariance
    0.09580
  • r
    0.15211
  • b (slope, estimate of beta)
    2.64526
  • a (intercept, estimate of alpha)
    4.11692
  • Mean Square Error
    10.78220
  • DF error
    129.00000
  • t(b)
    1.74797
  • p(b)
    0.40354
  • t(a)
    0.88635
  • p(a)
    0.45052
  • Lowerbound of 95% confidence interval for beta
    -0.34890
  • Upperbound of 95% confidence interval for beta
    5.63941
  • Lowerbound of 95% confidence interval for alpha
    -5.07291
  • Upperbound of 95% confidence interval for alpha
    13.30680
  • Treynor index (mean / b)
    1.49116
  • Jensen alpha (a)
    4.11692
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06208
  • SD
    2.76345
  • Sharpe ratio (Glass type estimate)
    0.02246
  • Sharpe ratio (Hedges UMVUE)
    0.02233
  • df
    130.00000
  • t
    0.01588
  • p
    0.49930
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.74935
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79427
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.74947
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79414
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02946
  • Upside Potential Ratio
    4.39268
  • Upside part of mean
    9.25481
  • Downside part of mean
    -9.19273
  • Upside SD
    1.77185
  • Downside SD
    2.10687
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08314
  • Mean of criterion
    0.06208
  • SD of predictor
    0.19026
  • SD of criterion
    2.76345
  • Covariance
    0.04068
  • r
    0.07738
  • b (slope, estimate of beta)
    1.12386
  • a (intercept, estimate of alpha)
    0.15552
  • Mean Square Error
    7.64976
  • DF error
    129.00000
  • t(b)
    0.88148
  • p(b)
    0.45079
  • t(a)
    0.03975
  • p(a)
    0.49777
  • Lowerbound of 95% confidence interval for beta
    -1.39868
  • Upperbound of 95% confidence interval for beta
    3.64639
  • Lowerbound of 95% confidence interval for alpha
    -7.58624
  • Upperbound of 95% confidence interval for alpha
    7.89728
  • Treynor index (mean / b)
    0.05524
  • Jensen alpha (a)
    0.15552
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24466
  • Expected Shortfall on VaR
    0.29529
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05333
  • Expected Shortfall on VaR
    0.12434
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.29963
  • Quartile 1
    0.98284
  • Median
    1.01253
  • Quartile 3
    1.03449
  • Maximum
    2.99285
  • Mean of quarter 1
    0.89152
  • Mean of quarter 2
    0.99827
  • Mean of quarter 3
    1.02369
  • Mean of quarter 4
    1.14743
  • Inter Quartile Range
    0.05164
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.74396
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.46613
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.97539
  • VaR(95%) (moments method)
    0.10173
  • Expected Shortfall (moments method)
    4.35924
  • Extreme Value Index (regression method)
    0.73720
  • VaR(95%) (regression method)
    0.09739
  • Expected Shortfall (regression method)
    0.42133
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00424
  • Quartile 1
    0.01674
  • Median
    0.02964
  • Quartile 3
    0.04957
  • Maximum
    0.96472
  • Mean of quarter 1
    0.00804
  • Mean of quarter 2
    0.02233
  • Mean of quarter 3
    0.03202
  • Mean of quarter 4
    0.43396
  • Inter Quartile Range
    0.03283
  • 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
    0.16667
  • Mean of outliers high
    0.60247
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.55504
  • VaR(95%) (moments method)
    0.30909
  • Expected Shortfall (moments method)
    0.38873
  • Extreme Value Index (regression method)
    1.33807
  • VaR(95%) (regression method)
    0.93603
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09204
  • Compounded annual return (geometric extrapolation)
    0.09416
  • Calmar ratio (compounded annual return / max draw down)
    0.09760
  • Compounded annual return / average of 25% largest draw downs
    0.21697
  • Compounded annual return / Expected Shortfall lognormal
    0.31886

Strategy Description

Combining Pivot with S/D and orderflow across various instrument. Main focus will be on the eminis, crude oil and gold. Occasional Dax during EU hours. Up to 4 contract per Eminis, 1 for Dax, 6 for Oil and 6 for Gold for overnight. Maintain day trading margin for regular hour. Hard stops are deploy after full position sizing if day trading margin is used.

Sometimes hedging position are deployed, Short NQ and long ES for example. Contract size will be higher in this scenario.

Summary Statistics

Strategy began
2018-08-20
Suggested Minimum Capital
$25,000
# Trades
528
# Profitable
352
% Profitable
66.7%
Correlation S&P500
0.081
Sharpe Ratio
1.268

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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