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This is an archived track record. This track record was archived on 3/11/19 12:40 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

BspEminiSP17
(120060313)

Created by: Biks Biks
Started: 09/2018
Futures
Last trade: 9 days ago
Trading style: Futures Short Term 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 $250.00 per month.

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
-5.2%
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.

(23.3%)
Max Drawdown
249
Num Trades
57.4%
Win Trades
1.1 : 1
Profit Factor
42.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                        (1.5%)+12.3%+5.0%+1.0%+17.3%
2019(7.4%)(10.1%)(2.8%)                                                      (19.2%)

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

This strategy has placed 496 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/11/19 11:01 @ESH9 E-MINI S&P 500 LONG 1 2771.00 3/11 12:02 2776.00 n/a $242
Includes Typical Broker Commissions trade costs of $8.00
3/8/19 4:12 @ESH9 E-MINI S&P 500 LONG 1 2742.00 3/8 5:18 2734.75 1.33%
Trade id #122831311
Max drawdown($363)
Time3/8/19 5:18
Quant open0
Worst price2734.75
Drawdown as % of equity-1.33%
($371)
Includes Typical Broker Commissions trade costs of $8.00
3/7/19 14:14 @ESH9 E-MINI S&P 500 SHORT 1 2748.50 3/7 16:03 2751.00 0.46%
Trade id #122824845
Max drawdown($125)
Time3/7/19 16:03
Quant open0
Worst price2751.00
Drawdown as % of equity-0.46%
($133)
Includes Typical Broker Commissions trade costs of $8.00
3/7/19 12:45 @ESH9 E-MINI S&P 500 LONG 1 2757.50 3/7 14:14 2748.50 1.62%
Trade id #122823323
Max drawdown($450)
Time3/7/19 14:14
Quant open0
Worst price2748.50
Drawdown as % of equity-1.62%
($458)
Includes Typical Broker Commissions trade costs of $8.00
3/7/19 12:01 @ESH9 E-MINI S&P 500 SHORT 1 2751.00 3/7 12:45 2757.50 1.16%
Trade id #122822359
Max drawdown($325)
Time3/7/19 12:45
Quant open0
Worst price2757.50
Drawdown as % of equity-1.16%
($333)
Includes Typical Broker Commissions trade costs of $8.00
3/7/19 4:22 @ESH9 E-MINI S&P 500 LONG 1 2764.00 3/7 7:45 2770.00 0.09%
Trade id #122814549
Max drawdown($25)
Time3/7/19 5:22
Quant open1
Worst price2763.50
Drawdown as % of equity-0.09%
$292
Includes Typical Broker Commissions trade costs of $8.00
3/6/19 11:49 @ESH9 E-MINI S&P 500 SHORT 1 2775.25 3/6 13:15 2770.25 0.9%
Trade id #122806024
Max drawdown($250)
Time3/6/19 12:09
Quant open-1
Worst price2780.25
Drawdown as % of equity-0.90%
$242
Includes Typical Broker Commissions trade costs of $8.00
3/5/19 14:58 @ESH9 E-MINI S&P 500 LONG 1 2795.25 3/5 16:10 2790.50 1.12%
Trade id #122794277
Max drawdown($312)
Time3/5/19 16:03
Quant open1
Worst price2789.00
Drawdown as % of equity-1.12%
($246)
Includes Typical Broker Commissions trade costs of $8.00
3/5/19 13:29 @ESH9 E-MINI S&P 500 SHORT 1 2789.50 3/5 14:58 2795.25 1.06%
Trade id #122792953
Max drawdown($300)
Time3/5/19 14:56
Quant open-1
Worst price2795.50
Drawdown as % of equity-1.06%
($296)
Includes Typical Broker Commissions trade costs of $8.00
3/5/19 13:02 @ESH9 E-MINI S&P 500 LONG 1 2793.50 3/5 13:29 2789.50 0.7%
Trade id #122792529
Max drawdown($200)
Time3/5/19 13:29
Quant open0
Worst price2789.50
Drawdown as % of equity-0.70%
($208)
Includes Typical Broker Commissions trade costs of $8.00
3/4/19 13:28 @ESH9 E-MINI S&P 500 LONG 1 2778.75 3/4 13:54 2783.75 0.31%
Trade id #122777696
Max drawdown($87)
Time3/4/19 13:41
Quant open1
Worst price2777.00
Drawdown as % of equity-0.31%
$242
Includes Typical Broker Commissions trade costs of $8.00
3/1/19 15:39 @ESH9 E-MINI S&P 500 LONG 1 2803.25 3/1 16:11 2805.25 0.09%
Trade id #122756703
Max drawdown($25)
Time3/1/19 15:56
Quant open1
Worst price2802.75
Drawdown as % of equity-0.09%
$92
Includes Typical Broker Commissions trade costs of $8.00
3/1/19 11:09 @ESH9 E-MINI S&P 500 SHORT 1 2794.25 3/1 11:52 2789.25 0.18%
Trade id #122750741
Max drawdown($50)
Time3/1/19 11:11
Quant open-1
Worst price2795.25
Drawdown as % of equity-0.18%
$242
Includes Typical Broker Commissions trade costs of $8.00
2/28/19 14:10 @ESH9 E-MINI S&P 500 SHORT 1 2789.25 2/28 15:24 2787.25 0.45%
Trade id #122737230
Max drawdown($125)
Time2/28/19 14:29
Quant open-1
Worst price2791.75
Drawdown as % of equity-0.45%
$92
Includes Typical Broker Commissions trade costs of $8.00
2/28/19 11:34 @ESH9 E-MINI S&P 500 LONG 1 2790.75 2/28 14:10 2789.25 0.27%
Trade id #122734457
Max drawdown($75)
Time2/28/19 14:10
Quant open0
Worst price2789.25
Drawdown as % of equity-0.27%
($83)
Includes Typical Broker Commissions trade costs of $8.00
2/27/19 14:13 @ESH9 E-MINI S&P 500 LONG 1 2794.00 2/27 16:12 2794.50 0.86%
Trade id #122720060
Max drawdown($237)
Time2/27/19 15:54
Quant open1
Worst price2789.25
Drawdown as % of equity-0.86%
$17
Includes Typical Broker Commissions trade costs of $8.00
2/26/19 11:14 @ESH9 E-MINI S&P 500 LONG 1 2799.50 2/26 16:57 2789.50 1.8%
Trade id #122687473
Max drawdown($500)
Time2/26/19 16:57
Quant open0
Worst price2789.50
Drawdown as % of equity-1.80%
($508)
Includes Typical Broker Commissions trade costs of $8.00
2/26/19 11:00 @ESH9 E-MINI S&P 500 SHORT 1 2790.00 2/26 11:14 2799.50 1.66%
Trade id #122686984
Max drawdown($475)
Time2/26/19 11:14
Quant open0
Worst price2799.50
Drawdown as % of equity-1.66%
($483)
Includes Typical Broker Commissions trade costs of $8.00
2/25/19 12:52 @ESH9 E-MINI S&P 500 SHORT 1 2804.50 2/25 15:46 2798.50 0.09%
Trade id #122670862
Max drawdown($25)
Time2/25/19 13:06
Quant open-1
Worst price2805.00
Drawdown as % of equity-0.09%
$292
Includes Typical Broker Commissions trade costs of $8.00
2/25/19 11:07 @ESH9 E-MINI S&P 500 LONG 1 2814.00 2/25 12:52 2804.50 1.67%
Trade id #122668744
Max drawdown($475)
Time2/25/19 12:52
Quant open0
Worst price2804.50
Drawdown as % of equity-1.67%
($483)
Includes Typical Broker Commissions trade costs of $8.00
2/22/19 14:35 @ESH9 E-MINI S&P 500 SHORT 1 2786.25 2/22 16:30 2791.50 1.16%
Trade id #122649440
Max drawdown($337)
Time2/22/19 16:00
Quant open-1
Worst price2793.00
Drawdown as % of equity-1.16%
($271)
Includes Typical Broker Commissions trade costs of $8.00
2/22/19 11:13 @ESH9 E-MINI S&P 500 LONG 1 2789.50 2/22 14:35 2786.25 0.56%
Trade id #122643769
Max drawdown($163)
Time2/22/19 14:35
Quant open0
Worst price2786.25
Drawdown as % of equity-0.56%
($171)
Includes Typical Broker Commissions trade costs of $8.00
2/21/19 14:25 @ESH9 E-MINI S&P 500 SHORT 1 2770.00 2/21 15:40 2767.00 0.43%
Trade id #122628828
Max drawdown($125)
Time2/21/19 14:31
Quant open-1
Worst price2772.50
Drawdown as % of equity-0.43%
$142
Includes Typical Broker Commissions trade costs of $8.00
2/21/19 13:26 @ESH9 E-MINI S&P 500 SHORT 1 2777.75 2/21 14:23 2772.75 0.17%
Trade id #122626740
Max drawdown($50)
Time2/21/19 14:03
Quant open-1
Worst price2778.75
Drawdown as % of equity-0.17%
$242
Includes Typical Broker Commissions trade costs of $8.00
2/21/19 11:05 @ESH9 E-MINI S&P 500 LONG 1 2775.50 2/21 13:00 2781.50 0.66%
Trade id #122621937
Max drawdown($187)
Time2/21/19 11:31
Quant open1
Worst price2771.75
Drawdown as % of equity-0.66%
$292
Includes Typical Broker Commissions trade costs of $8.00
2/20/19 11:43 @ESH9 E-MINI S&P 500 LONG 1 2785.75 2/20 12:07 2781.00 0.83%
Trade id #122602938
Max drawdown($238)
Time2/20/19 12:07
Quant open0
Worst price2781.00
Drawdown as % of equity-0.83%
($246)
Includes Typical Broker Commissions trade costs of $8.00
2/20/19 11:01 @ESH9 E-MINI S&P 500 SHORT 1 2782.25 2/20 11:43 2785.75 0.6%
Trade id #122602228
Max drawdown($175)
Time2/20/19 11:43
Quant open0
Worst price2785.75
Drawdown as % of equity-0.60%
($183)
Includes Typical Broker Commissions trade costs of $8.00
2/19/19 11:15 @ESH9 E-MINI S&P 500 LONG 1 2777.25 2/19 11:59 2783.25 0.61%
Trade id #122586386
Max drawdown($175)
Time2/19/19 11:29
Quant open1
Worst price2773.75
Drawdown as % of equity-0.61%
$292
Includes Typical Broker Commissions trade costs of $8.00
2/15/19 11:11 @ESH9 E-MINI S&P 500 SHORT 1 2765.50 2/15 15:45 2773.25 1.34%
Trade id #122545112
Max drawdown($388)
Time2/15/19 15:45
Quant open0
Worst price2773.25
Drawdown as % of equity-1.34%
($396)
Includes Typical Broker Commissions trade costs of $8.00
2/14/19 15:08 @ESH9 E-MINI S&P 500 LONG 1 2754.75 2/14 15:53 2747.00 1.32%
Trade id #122531604
Max drawdown($388)
Time2/14/19 15:53
Quant open0
Worst price2747.00
Drawdown as % of equity-1.32%
($396)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    9/27/2018
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    171.89
  • Age
    175 days ago
  • What it trades
    Futures
  • # Trades
    249
  • # Profitable
    143
  • % Profitable
    57.40%
  • Avg trade duration
    1.3 hours
  • Max peak-to-valley drawdown
    23.26%
  • drawdown period
    Jan 08, 2019 - March 11, 2019
  • Cumul. Return
    -5.1%
  • Avg win
    $305.43
  • Avg loss
    $391.27
  • Model Account Values (Raw)
  • Cash
    $27,197
  • Margin Used
    $0
  • Buying Power
    $27,197
  • Ratios
  • W:L ratio
    1.05:1
  • Sharpe Ratio
    0.748
  • Sortino Ratio
    1.051
  • Calmar Ratio
    1.211
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.15300
  • Return Statistics
  • Ann Return (w trading costs)
    -10.8%
  • Ann Return (Compnd, No Fees)
    19.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    38.00%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    352
  • Popularity (Last 6 weeks)
    893
  • 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
    $391
  • Avg Win
    $305
  • # Winners
    143
  • # Losers
    106
  • % Winners
    57.4%
  • Frequency
  • Avg Position Time (mins)
    77.65
  • Avg Position Time (hrs)
    1.29
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    7
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30147
  • SD
    0.26619
  • Sharpe ratio (Glass type estimate)
    1.13253
  • Sharpe ratio (Hedges UMVUE)
    0.90363
  • df
    4.00000
  • t
    0.73104
  • p
    0.25264
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.06048
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.19835
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.19663
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00388
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.73774
  • Upside Potential Ratio
    4.88363
  • Upside part of mean
    0.53777
  • Downside part of mean
    -0.23630
  • Upside SD
    0.22833
  • Downside SD
    0.11012
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.06216
  • Mean of criterion
    0.30147
  • SD of predictor
    0.27117
  • SD of criterion
    0.26619
  • Covariance
    -0.04365
  • r
    -0.60476
  • b (slope, estimate of beta)
    -0.59365
  • a (intercept, estimate of alpha)
    0.26457
  • Mean Square Error
    0.05992
  • DF error
    3.00000
  • t(b)
    -1.31523
  • p(b)
    0.86004
  • t(a)
    0.69574
  • p(a)
    0.26832
  • Lowerbound of 95% confidence interval for beta
    -2.03009
  • Upperbound of 95% confidence interval for beta
    0.84279
  • Lowerbound of 95% confidence interval for alpha
    -0.94562
  • Upperbound of 95% confidence interval for alpha
    1.47476
  • Treynor index (mean / b)
    -0.50782
  • Jensen alpha (a)
    0.26457
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27080
  • SD
    0.25945
  • Sharpe ratio (Glass type estimate)
    1.04377
  • Sharpe ratio (Hedges UMVUE)
    0.83281
  • df
    4.00000
  • t
    0.67375
  • p
    0.26870
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.13093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.25791
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92353
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.39309
  • Upside Potential Ratio
    4.53682
  • Upside part of mean
    0.51339
  • Downside part of mean
    -0.24258
  • Upside SD
    0.21715
  • Downside SD
    0.11316
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.09262
  • Mean of criterion
    0.27080
  • SD of predictor
    0.27648
  • SD of criterion
    0.25945
  • Covariance
    -0.04349
  • r
    -0.60624
  • b (slope, estimate of beta)
    -0.56889
  • a (intercept, estimate of alpha)
    0.21811
  • Mean Square Error
    0.05676
  • DF error
    3.00000
  • t(b)
    -1.32034
  • p(b)
    0.86079
  • t(a)
    0.58751
  • p(a)
    0.29908
  • Lowerbound of 95% confidence interval for beta
    -1.94011
  • Upperbound of 95% confidence interval for beta
    0.80233
  • Lowerbound of 95% confidence interval for alpha
    -0.96337
  • Upperbound of 95% confidence interval for alpha
    1.39960
  • Treynor index (mean / b)
    -0.47602
  • Jensen alpha (a)
    0.21811
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09573
  • Expected Shortfall on VaR
    0.12326
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04068
  • Expected Shortfall on VaR
    0.06983
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.94064
  • Quartile 1
    0.96091
  • Median
    1.01970
  • Quartile 3
    1.08716
  • Maximum
    1.11721
  • Mean of quarter 1
    0.95077
  • Mean of quarter 2
    1.01970
  • Mean of quarter 3
    1.08716
  • Mean of quarter 4
    1.11721
  • Inter Quartile Range
    0.12626
  • 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
    0.09614
  • Quartile 1
    0.09614
  • Median
    0.09614
  • Quartile 3
    0.09614
  • Maximum
    0.09614
  • 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)
    0.28667
  • Compounded annual return (geometric extrapolation)
    0.31102
  • Calmar ratio (compounded annual return / max draw down)
    3.23515
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.52335
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20694
  • SD
    0.26155
  • Sharpe ratio (Glass type estimate)
    0.79120
  • Sharpe ratio (Hedges UMVUE)
    0.78598
  • df
    114.00000
  • t
    0.52418
  • p
    0.47548
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.17059
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74968
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.17413
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.74609
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10888
  • Upside Potential Ratio
    9.55589
  • Upside part of mean
    1.78332
  • Downside part of mean
    -1.57638
  • Upside SD
    0.18207
  • Downside SD
    0.18662
  • N nonnegative terms
    66.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    115.00000
  • Mean of predictor
    -0.09009
  • Mean of criterion
    0.20694
  • SD of predictor
    0.20371
  • SD of criterion
    0.26155
  • Covariance
    0.00602
  • r
    0.11297
  • b (slope, estimate of beta)
    0.14504
  • a (intercept, estimate of alpha)
    0.21200
  • Mean Square Error
    0.06813
  • DF error
    113.00000
  • t(b)
    1.20862
  • p(b)
    0.42823
  • t(a)
    0.55819
  • p(a)
    0.46663
  • Lowerbound of 95% confidence interval for beta
    -0.09271
  • Upperbound of 95% confidence interval for beta
    0.38280
  • Lowerbound of 95% confidence interval for alpha
    -0.56085
  • Upperbound of 95% confidence interval for alpha
    1.00086
  • Treynor index (mean / b)
    1.42674
  • Jensen alpha (a)
    0.22001
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17286
  • SD
    0.26217
  • Sharpe ratio (Glass type estimate)
    0.65937
  • Sharpe ratio (Hedges UMVUE)
    0.65502
  • df
    114.00000
  • t
    0.43684
  • p
    0.47956
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.30160
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.61758
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30455
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.61459
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91303
  • Upside Potential Ratio
    9.33292
  • Upside part of mean
    1.76699
  • Downside part of mean
    -1.59413
  • Upside SD
    0.18000
  • Downside SD
    0.18933
  • N nonnegative terms
    66.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    115.00000
  • Mean of predictor
    -0.11067
  • Mean of criterion
    0.17286
  • SD of predictor
    0.20368
  • SD of criterion
    0.26217
  • Covariance
    0.00601
  • r
    0.11252
  • b (slope, estimate of beta)
    0.14483
  • a (intercept, estimate of alpha)
    0.18889
  • Mean Square Error
    0.06846
  • DF error
    113.00000
  • t(b)
    1.20374
  • p(b)
    0.42852
  • t(a)
    0.47802
  • p(a)
    0.47141
  • Lowerbound of 95% confidence interval for beta
    -0.09354
  • Upperbound of 95% confidence interval for beta
    0.38320
  • Lowerbound of 95% confidence interval for alpha
    -0.59399
  • Upperbound of 95% confidence interval for alpha
    0.97177
  • Treynor index (mean / b)
    1.19356
  • Jensen alpha (a)
    0.18889
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02565
  • Expected Shortfall on VaR
    0.03220
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01262
  • Expected Shortfall on VaR
    0.02438
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    115.00000
  • Minimum
    0.94741
  • Quartile 1
    0.99061
  • Median
    1.00204
  • Quartile 3
    1.01232
  • Maximum
    1.03686
  • Mean of quarter 1
    0.97925
  • Mean of quarter 2
    0.99714
  • Mean of quarter 3
    1.00703
  • Mean of quarter 4
    1.01996
  • Inter Quartile Range
    0.02171
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00870
  • Mean of outliers low
    0.94741
  • 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)
    -0.61480
  • VaR(95%) (moments method)
    0.02086
  • Expected Shortfall (moments method)
    0.02346
  • Extreme Value Index (regression method)
    -0.36791
  • VaR(95%) (regression method)
    0.01942
  • Expected Shortfall (regression method)
    0.02268
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00222
  • Quartile 1
    0.01201
  • Median
    0.04254
  • Quartile 3
    0.08812
  • Maximum
    0.17468
  • Mean of quarter 1
    0.00602
  • Mean of quarter 2
    0.02398
  • Mean of quarter 3
    0.06682
  • Mean of quarter 4
    0.13793
  • Inter Quartile Range
    0.07612
  • 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)
    0.17959
  • Compounded annual return (geometric extrapolation)
    0.18870
  • Calmar ratio (compounded annual return / max draw down)
    1.08030
  • Compounded annual return / average of 25% largest draw downs
    1.36811
  • Compounded annual return / Expected Shortfall lognormal
    5.86013

Strategy Description

Trade E Mini SP Futures. Mainly a DAY Trading system but may occasionally hold over-night ( not over weekend ). Only high probability trades are taken. It is a "price action and pattern," based system. Hard stops are used on entering the trade. Aim is to keep the DD to minimum and see a steady growth. One contract of E Mini SP per $20000 of the balance will be traded. Example 1 contract balance $20000 - $39999, 2 c at $40000 - 59999 etc...

Summary Statistics

Strategy began
2018-09-27
Suggested Minimum Capital
$25,000
# Trades
249
# Profitable
143
% Profitable
57.4%
Correlation S&P500
0.153
Sharpe Ratio
0.748

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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