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

THE ROLLING STONES SP500 (75421760)

Created by: MarketSignals MarketSignals
Started: 07/2012
Futures
Last trade: 4 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $99.00 per month.

17.9%
Annual Return (Compounded)
35.5%
Max Drawdown
133
Num Trades
78.9%
Win Trades
1.8 : 1
Profit Factor
65.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                          +1.8%+0.3%+0.6%+2.7%+12.4%+7.2%+27.0%
2013+5.1%(1.7%)+1.6%+2.0%(6.8%)+4.5%(0.9%)+5.5%(0.5%)+6.8%+4.5%+3.9%+25.8%
2014+5.1%+1.7%+5.1%+8.9%(0.3%)(0.3%)(5.8%)+3.4%+7.2%(3%)(6.5%)(0.9%)+14.2%
2015+19.5%+4.0%(0.5%)+1.2%+1.8%+3.3%+1.7%(2.7%)(3.9%)(4.6%)(2.5%)+7.0%+24.5%
2016(17.4%)+4.6%+9.5%(1.2%)+5.4%+2.5%(1.6%)+0.5%+2.4%(1.5%)+0.5%+0.9%+2.1%
2017+2.3%(5.2%)+2.1%+3.1%+0.3%+3.8%+0.1%(5.1%)+2.1%(0.8%)            +2.4%

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 235 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/5/17 9:22 @ESZ7 E-MINI S&P 500 SHORT 1 2538.25 10/13 6:18 2550.25 1.37%
Trade id #114035846
Max drawdown($762)
Time10/11/17 16:02
Quant open-1
Worst price2553.50
Drawdown as % of equity-1.37%
($608)
Includes Typical Broker Commissions trade costs of $8.00
10/3/17 11:21 @ESZ7 E-MINI S&P 500 LONG 1 2527.00 10/3 15:37 2531.75 0.02%
Trade id #113993557
Max drawdown($12)
Time10/3/17 11:23
Quant open1
Worst price2526.75
Drawdown as % of equity-0.02%
$230
Includes Typical Broker Commissions trade costs of $8.00
9/25/17 10:49 @ESZ7 E-MINI S&P 500 LONG 1 2494.50 9/29 15:32 2514.00 0.86%
Trade id #113839433
Max drawdown($475)
Time9/25/17 11:05
Quant open1
Worst price2485.00
Drawdown as % of equity-0.86%
$967
Includes Typical Broker Commissions trade costs of $8.00
9/13/17 9:37 @ESZ7 E-MINI S&P 500 LONG 1 2492.25 9/15 13:15 2495.00 0.48%
Trade id #113658188
Max drawdown($262)
Time9/14/17 18:03
Quant open1
Worst price2487.00
Drawdown as % of equity-0.48%
$130
Includes Typical Broker Commissions trade costs of $8.00
8/9/17 18:00 @ESU7 E-MINI S&P 500 LONG 1 2474.00 8/18 9:38 2423.00 4.59%
Trade id #113069478
Max drawdown($2,550)
Time8/18/17 9:38
Quant open0
Worst price2423.00
Drawdown as % of equity-4.59%
($2,558)
Includes Typical Broker Commissions trade costs of $8.00
7/31/17 3:13 @ESU7 E-MINI S&P 500 LONG 1 2471.50 8/7 15:52 2477.50 0.72%
Trade id #112889343
Max drawdown($412)
Time8/2/17 11:00
Quant open1
Worst price2463.25
Drawdown as % of equity-0.72%
$292
Includes Typical Broker Commissions trade costs of $8.00
7/3/17 18:58 @ESU7 E-MINI S&P 500 LONG 1 2423.75 7/10 16:52 2424.50 1.62%
Trade id #112393138
Max drawdown($925)
Time7/6/17 15:45
Quant open1
Worst price2405.25
Drawdown as % of equity-1.62%
$30
Includes Typical Broker Commissions trade costs of $8.00
6/29/17 12:09 @ESU7 E-MINI S&P 500 LONG 1 2418.50 6/30 15:33 2425.75 1.43%
Trade id #112285485
Max drawdown($812)
Time6/29/17 13:30
Quant open1
Worst price2402.25
Drawdown as % of equity-1.43%
$355
Includes Typical Broker Commissions trade costs of $8.00
6/27/17 12:51 @ESU7 E-MINI S&P 500 LONG 1 2431.75 6/28 16:04 2439.00 1.61%
Trade id #112237194
Max drawdown($900)
Time6/28/17 4:24
Quant open1
Worst price2413.75
Drawdown as % of equity-1.61%
$355
Includes Typical Broker Commissions trade costs of $8.00
6/21/17 5:13 @ESU7 E-MINI S&P 500 LONG 1 2431.75 6/23 16:13 2433.75 0.33%
Trade id #112147043
Max drawdown($187)
Time6/21/17 13:53
Quant open1
Worst price2428.00
Drawdown as % of equity-0.33%
$92
Includes Typical Broker Commissions trade costs of $8.00
6/12/17 18:00 @ESU7 E-MINI S&P 500 LONG 1 2426.75 6/19 15:44 2449.25 0.95%
Trade id #112022251
Max drawdown($525)
Time6/15/17 10:27
Quant open1
Worst price2416.25
Drawdown as % of equity-0.95%
$1,117
Includes Typical Broker Commissions trade costs of $8.00
5/17/17 10:01 @ESM7 E-MINI S&P 500 LONG 1 2372.75 5/19 15:48 2379.00 2.63%
Trade id #111640217
Max drawdown($1,412)
Time5/18/17 5:58
Quant open1
Worst price2344.50
Drawdown as % of equity-2.63%
$305
Includes Typical Broker Commissions trade costs of $8.00
4/23/17 18:36 @ESM7 E-MINI S&P 500 SHORT 1 2370.00 5/2 19:28 2385.00 2.24%
Trade id #111218883
Max drawdown($1,237)
Time4/26/17 11:29
Quant open-1
Worst price2394.75
Drawdown as % of equity-2.24%
($758)
Includes Typical Broker Commissions trade costs of $8.00
4/12/17 10:45 @ESM7 E-MINI S&P 500 LONG 1 2343.00 4/20 13:07 2353.50 1.86%
Trade id #110941161
Max drawdown($1,012)
Time4/16/17 18:01
Quant open1
Worst price2322.75
Drawdown as % of equity-1.86%
$517
Includes Typical Broker Commissions trade costs of $8.00
4/11/17 11:15 @ESM7 E-MINI S&P 500 LONG 1 2335.75 4/12 6:28 2349.50 0.09%
Trade id #110913692
Max drawdown($50)
Time4/11/17 11:28
Quant open1
Worst price2334.75
Drawdown as % of equity-0.09%
$680
Includes Typical Broker Commissions trade costs of $8.00
4/4/17 7:54 @ESM7 E-MINI S&P 500 LONG 1 2346.25 4/4 16:38 2357.50 0.14%
Trade id #110680154
Max drawdown($75)
Time4/4/17 8:07
Quant open1
Worst price2344.75
Drawdown as % of equity-0.14%
$555
Includes Typical Broker Commissions trade costs of $8.00
4/3/17 11:11 @ESM7 E-MINI S&P 500 LONG 1 2345.50 4/3 16:30 2355.75 0.51%
Trade id #110649794
Max drawdown($275)
Time4/3/17 12:04
Quant open1
Worst price2340.00
Drawdown as % of equity-0.51%
$505
Includes Typical Broker Commissions trade costs of $8.00
3/20/17 16:45 @ESM7 E-MINI S&P 500 LONG 2 2346.88 3/30 11:16 2349.62 5.18%
Trade id #110338911
Max drawdown($2,650)
Time3/27/17 2:43
Quant open1
Worst price2317.75
Drawdown as % of equity-5.18%
$259
Includes Typical Broker Commissions trade costs of $16.00
3/10/17 10:34 @ESM7 E-MINI S&P 500 LONG 1 2369.50 3/17 16:06 2375.75 1.39%
Trade id #110174243
Max drawdown($737)
Time3/14/17 10:46
Quant open1
Worst price2354.75
Drawdown as % of equity-1.39%
$305
Includes Typical Broker Commissions trade costs of $8.00
3/8/17 4:18 @ESM7 E-MINI S&P 500 LONG 1 2362.50 3/10 9:23 2372.50 1.1%
Trade id #110099121
Max drawdown($575)
Time3/9/17 14:17
Quant open1
Worst price2351.00
Drawdown as % of equity-1.10%
$492
Includes Typical Broker Commissions trade costs of $8.00
2/10/17 14:15 @ESH7 E-MINI S&P 500 SHORT 1 2314.25 2/28 19:42 2366.25 5.39%
Trade id #109470801
Max drawdown($2,825)
Time2/27/17 15:31
Quant open-1
Worst price2370.75
Drawdown as % of equity-5.39%
($2,608)
Includes Typical Broker Commissions trade costs of $8.00
1/30/17 16:14 @ESH7 E-MINI S&P 500 LONG 1 2275.75 2/3 8:58 2285.50 1.25%
Trade id #109148085
Max drawdown($675)
Time1/31/17 11:36
Quant open1
Worst price2262.25
Drawdown as % of equity-1.25%
$480
Includes Typical Broker Commissions trade costs of $8.00
1/1/17 18:20 @ESH7 E-MINI S&P 500 LONG 1 2233.75 1/3 18:00 2252.50 n/a $930
Includes Typical Broker Commissions trade costs of $8.00
11/30/16 18:27 @ESZ6 E-MINI S&P 500 LONG 1 2198.75 12/6 18:00 2211.00 1.88%
Trade id #107636700
Max drawdown($987)
Time12/4/16 18:28
Quant open1
Worst price2179.00
Drawdown as % of equity-1.88%
$605
Includes Typical Broker Commissions trade costs of $8.00
11/29/16 7:00 @ESZ6 E-MINI S&P 500 LONG 1 2203.75 11/30 4:11 2207.25 0.71%
Trade id #107568265
Max drawdown($375)
Time11/29/16 9:51
Quant open1
Worst price2196.25
Drawdown as % of equity-0.71%
$167
Includes Typical Broker Commissions trade costs of $8.00
10/31/16 16:30 @ESZ6 E-MINI S&P 500 LONG 1 2123.25 11/7 16:30 2129.00 4.36%
Trade id #106806750
Max drawdown($2,225)
Time11/4/16 16:31
Quant open1
Worst price2078.75
Drawdown as % of equity-4.36%
$280
Includes Typical Broker Commissions trade costs of $8.00
10/10/16 4:31 @ESZ6 E-MINI S&P 500 LONG 1 2150.50 10/21 16:12 2135.75 4.14%
Trade id #106324300
Max drawdown($2,137)
Time10/13/16 10:03
Quant open1
Worst price2107.75
Drawdown as % of equity-4.14%
($746)
Includes Typical Broker Commissions trade costs of $8.00
9/26/16 16:13 @ESZ6 E-MINI S&P 500 LONG 1 2140.25 9/27 15:48 2150.88 0.71%
Trade id #106080577
Max drawdown($375)
Time9/27/16 9:31
Quant open1
Worst price2132.75
Drawdown as % of equity-0.71%
$523
Includes Typical Broker Commissions trade costs of $8.00
9/13/16 8:10 @ESZ6 E-MINI S&P 500 LONG 1 2138.00 9/15 15:46 2141.67 2.93%
Trade id #105844432
Max drawdown($1,512)
Time9/14/16 22:11
Quant open1
Worst price2107.75
Drawdown as % of equity-2.93%
$175
Includes Typical Broker Commissions trade costs of $8.00
9/9/16 10:48 @ESZ6 E-MINI S&P 500 LONG 1 2146.25 9/12 15:39 2151.50 4.53%
Trade id #105738014
Max drawdown($2,300)
Time9/11/16 22:20
Quant open1
Worst price2100.25
Drawdown as % of equity-4.53%
$255
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    7/20/2012
  • Starting Unit Size
    $20,000
  • Strategy Age (days)
    1914.83
  • Age
    64 months ago
  • What it trades
    Futures
  • # Trades
    133
  • # Profitable
    105
  • % Profitable
    78.90%
  • Avg trade duration
    4.4 days
  • Max peak-to-valley drawdown
    35.46%
  • drawdown period
    Aug 20, 2015 - Feb 11, 2016
  • Annual Return (Compounded)
    17.9%
  • Avg win
    $772.72
  • Avg loss
    $1,614
  • Model Account Values (Raw)
  • Cash
    $55,916
  • Margin Used
    $0
  • Buying Power
    $55,916
  • Ratios
  • W:L ratio
    1.79:1
  • Sharpe Ratio
    0.907
  • Sortino Ratio
    1.517
  • Calmar Ratio
    0.772
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.25000
  • Return Statistics
  • Ann Return (w trading costs)
    17.9%
  • Ann Return (Compnd, No Fees)
    21.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    45.00%
  • Chance of 20% account loss
    14.50%
  • Chance of 30% account loss
    3.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    402
  • Popularity (Last 6 weeks)
    834
  • C2 Score
    65.2
  • 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
    $1,614
  • Avg Win
    $773
  • # Winners
    105
  • # Losers
    28
  • % Winners
    79.0%
  • Frequency
  • Avg Position Time (mins)
    6343.05
  • Avg Position Time (hrs)
    105.72
  • Avg Trade Length
    4.4 days
  • Last Trade Ago
    4
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18666
  • SD
    0.16478
  • Sharpe ratio (Glass type estimate)
    1.13275
  • Sharpe ratio (Hedges UMVUE)
    1.11853
  • df
    60.00000
  • t
    2.55392
  • p
    0.00660
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23577
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22648
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01057
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05612
  • Upside Potential Ratio
    3.33218
  • Upside part of mean
    0.30250
  • Downside part of mean
    -0.11584
  • Upside SD
    0.14619
  • Downside SD
    0.09078
  • N nonnegative terms
    39.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.09666
  • Mean of criterion
    0.18666
  • SD of predictor
    0.09660
  • SD of criterion
    0.16478
  • Covariance
    0.00116
  • r
    0.07298
  • b (slope, estimate of beta)
    0.12450
  • a (intercept, estimate of alpha)
    0.17462
  • Mean Square Error
    0.02747
  • DF error
    59.00000
  • t(b)
    0.56208
  • p(b)
    0.28809
  • t(a)
    2.28083
  • p(a)
    0.01309
  • Lowerbound of 95% confidence interval for beta
    -0.31871
  • Upperbound of 95% confidence interval for beta
    0.56771
  • Lowerbound of 95% confidence interval for alpha
    0.02142
  • Upperbound of 95% confidence interval for alpha
    0.32782
  • Treynor index (mean / b)
    1.49929
  • Jensen alpha (a)
    0.17462
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17185
  • SD
    0.16256
  • Sharpe ratio (Glass type estimate)
    1.05714
  • Sharpe ratio (Hedges UMVUE)
    1.04387
  • df
    60.00000
  • t
    2.38344
  • p
    0.01017
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16337
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94250
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15472
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93301
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78480
  • Upside Potential Ratio
    3.03131
  • Upside part of mean
    0.29187
  • Downside part of mean
    -0.12002
  • Upside SD
    0.13850
  • Downside SD
    0.09629
  • N nonnegative terms
    39.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.09149
  • Mean of criterion
    0.17185
  • SD of predictor
    0.09663
  • SD of criterion
    0.16256
  • Covariance
    0.00128
  • r
    0.08130
  • b (slope, estimate of beta)
    0.13677
  • a (intercept, estimate of alpha)
    0.15934
  • Mean Square Error
    0.02670
  • DF error
    59.00000
  • t(b)
    0.62653
  • p(b)
    0.26669
  • t(a)
    2.11966
  • p(a)
    0.01913
  • Lowerbound of 95% confidence interval for beta
    -0.30004
  • Upperbound of 95% confidence interval for beta
    0.57357
  • Lowerbound of 95% confidence interval for alpha
    0.00892
  • Upperbound of 95% confidence interval for alpha
    0.30976
  • Treynor index (mean / b)
    1.25652
  • Jensen alpha (a)
    0.15934
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06093
  • Expected Shortfall on VaR
    0.07903
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01722
  • Expected Shortfall on VaR
    0.03942
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    61.00000
  • Minimum
    0.84636
  • Quartile 1
    0.99230
  • Median
    1.01836
  • Quartile 3
    1.03587
  • Maximum
    1.18447
  • Mean of quarter 1
    0.96702
  • Mean of quarter 2
    1.00794
  • Mean of quarter 3
    1.02803
  • Mean of quarter 4
    1.07193
  • Inter Quartile Range
    0.04357
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01639
  • Mean of outliers low
    0.84636
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.03279
  • Mean of outliers high
    1.16406
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.79872
  • VaR(95%) (moments method)
    0.03454
  • Expected Shortfall (moments method)
    0.18249
  • Extreme Value Index (regression method)
    0.76996
  • VaR(95%) (regression method)
    0.03684
  • Expected Shortfall (regression method)
    0.17283
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00151
  • Quartile 1
    0.00788
  • Median
    0.01879
  • Quartile 3
    0.06700
  • Maximum
    0.23054
  • Mean of quarter 1
    0.00424
  • Mean of quarter 2
    0.01815
  • Mean of quarter 3
    0.05270
  • Mean of quarter 4
    0.15987
  • Inter Quartile Range
    0.05912
  • 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
    0.23054
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.02356
  • VaR(95%) (moments method)
    0.14349
  • Expected Shortfall (moments method)
    0.19271
  • Extreme Value Index (regression method)
    1.67043
  • VaR(95%) (regression method)
    0.32283
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.34634
  • Compounded annual return (geometric extrapolation)
    0.22111
  • Calmar ratio (compounded annual return / max draw down)
    0.95908
  • Compounded annual return / average of 25% largest draw downs
    1.38304
  • Compounded annual return / Expected Shortfall lognormal
    2.79779
  • 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
    0.19362
  • SD
    0.21347
  • Sharpe ratio (Glass type estimate)
    0.90700
  • Sharpe ratio (Hedges UMVUE)
    0.90650
  • df
    1352.00000
  • t
    2.06114
  • p
    0.47202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04371
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04334
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76966
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51666
  • Upside Potential Ratio
    6.04409
  • Upside part of mean
    0.77160
  • Downside part of mean
    -0.57798
  • Upside SD
    0.17141
  • Downside SD
    0.12766
  • N nonnegative terms
    342.00000
  • N negative terms
    1011.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1353.00000
  • Mean of predictor
    0.10146
  • Mean of criterion
    0.19362
  • SD of predictor
    0.12172
  • SD of criterion
    0.21347
  • Covariance
    0.00679
  • r
    0.26128
  • b (slope, estimate of beta)
    0.45826
  • a (intercept, estimate of alpha)
    0.14700
  • Mean Square Error
    0.04249
  • DF error
    1351.00000
  • t(b)
    9.94942
  • p(b)
    0.33557
  • t(a)
    1.61983
  • p(a)
    0.47198
  • Lowerbound of 95% confidence interval for beta
    0.36790
  • Upperbound of 95% confidence interval for beta
    0.54861
  • Lowerbound of 95% confidence interval for alpha
    -0.03105
  • Upperbound of 95% confidence interval for alpha
    0.32531
  • Treynor index (mean / b)
    0.42251
  • Jensen alpha (a)
    0.14713
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17118
  • SD
    0.21074
  • Sharpe ratio (Glass type estimate)
    0.81229
  • Sharpe ratio (Hedges UMVUE)
    0.81184
  • df
    1352.00000
  • t
    1.84590
  • p
    0.47493
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05088
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67517
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05119
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67486
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29481
  • Upside Potential Ratio
    5.73070
  • Upside part of mean
    0.75763
  • Downside part of mean
    -0.58645
  • Upside SD
    0.16435
  • Downside SD
    0.13221
  • N nonnegative terms
    342.00000
  • N negative terms
    1011.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1353.00000
  • Mean of predictor
    0.09402
  • Mean of criterion
    0.17118
  • SD of predictor
    0.12180
  • SD of criterion
    0.21074
  • Covariance
    0.00674
  • r
    0.26244
  • b (slope, estimate of beta)
    0.45407
  • a (intercept, estimate of alpha)
    0.12849
  • Mean Square Error
    0.04138
  • DF error
    1351.00000
  • t(b)
    9.99649
  • p(b)
    0.33487
  • t(a)
    1.43371
  • p(a)
    0.47519
  • Lowerbound of 95% confidence interval for beta
    0.36496
  • Upperbound of 95% confidence interval for beta
    0.54317
  • Lowerbound of 95% confidence interval for alpha
    -0.04732
  • Upperbound of 95% confidence interval for alpha
    0.30430
  • Treynor index (mean / b)
    0.37700
  • Jensen alpha (a)
    0.12849
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02055
  • Expected Shortfall on VaR
    0.02585
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00640
  • Expected Shortfall on VaR
    0.01400
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1353.00000
  • Minimum
    0.85081
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00022
  • Maximum
    1.17564
  • Mean of quarter 1
    0.99151
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01189
  • Inter Quartile Range
    0.00022
  • Number outliers low
    273.00000
  • Percentage of outliers low
    0.20177
  • Mean of outliers low
    0.98947
  • Number of outliers high
    327.00000
  • Percentage of outliers high
    0.24169
  • Mean of outliers high
    1.01228
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47710
  • VaR(95%) (moments method)
    0.00446
  • Expected Shortfall (moments method)
    0.01142
  • Extreme Value Index (regression method)
    0.24638
  • VaR(95%) (regression method)
    0.00839
  • Expected Shortfall (regression method)
    0.01737
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    41.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00651
  • Median
    0.01497
  • Quartile 3
    0.03999
  • Maximum
    0.28523
  • Mean of quarter 1
    0.00285
  • Mean of quarter 2
    0.01065
  • Mean of quarter 3
    0.02922
  • Mean of quarter 4
    0.12781
  • Inter Quartile Range
    0.03348
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.12195
  • Mean of outliers high
    0.19284
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.35890
  • VaR(95%) (moments method)
    0.12113
  • Expected Shortfall (moments method)
    0.22585
  • Extreme Value Index (regression method)
    -0.20953
  • VaR(95%) (regression method)
    0.13544
  • Expected Shortfall (regression method)
    0.17531
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.34775
  • Compounded annual return (geometric extrapolation)
    0.22029
  • Calmar ratio (compounded annual return / max draw down)
    0.77233
  • Compounded annual return / average of 25% largest draw downs
    1.72356
  • Compounded annual return / Expected Shortfall lognormal
    8.52167
  • 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
    0.02389
  • SD
    0.07513
  • Sharpe ratio (Glass type estimate)
    0.31798
  • Sharpe ratio (Hedges UMVUE)
    0.31614
  • df
    130.00000
  • t
    0.22484
  • p
    0.49014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.45470
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.08945
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.08821
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43531
  • Upside Potential Ratio
    5.86950
  • Upside part of mean
    0.32210
  • Downside part of mean
    -0.29822
  • Upside SD
    0.05091
  • Downside SD
    0.05488
  • N nonnegative terms
    44.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16203
  • Mean of criterion
    0.02389
  • SD of predictor
    0.07147
  • SD of criterion
    0.07513
  • Covariance
    0.00239
  • r
    0.44475
  • b (slope, estimate of beta)
    0.46749
  • a (intercept, estimate of alpha)
    -0.05186
  • Mean Square Error
    0.00456
  • DF error
    129.00000
  • t(b)
    5.63993
  • p(b)
    0.22650
  • t(a)
    -0.53760
  • p(a)
    0.53009
  • Lowerbound of 95% confidence interval for beta
    0.30349
  • Upperbound of 95% confidence interval for beta
    0.63149
  • Lowerbound of 95% confidence interval for alpha
    -0.24272
  • Upperbound of 95% confidence interval for alpha
    0.13900
  • Treynor index (mean / b)
    0.05110
  • Jensen alpha (a)
    -0.05186
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02108
  • SD
    0.07518
  • Sharpe ratio (Glass type estimate)
    0.28041
  • Sharpe ratio (Hedges UMVUE)
    0.27879
  • df
    130.00000
  • t
    0.19828
  • p
    0.49131
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49209
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.49323
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05080
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.38154
  • Upside Potential Ratio
    5.80548
  • Upside part of mean
    0.32079
  • Downside part of mean
    -0.29970
  • Upside SD
    0.05058
  • Downside SD
    0.05526
  • N nonnegative terms
    44.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15943
  • Mean of criterion
    0.02108
  • SD of predictor
    0.07158
  • SD of criterion
    0.07518
  • Covariance
    0.00240
  • r
    0.44599
  • b (slope, estimate of beta)
    0.46845
  • a (intercept, estimate of alpha)
    -0.05360
  • Mean Square Error
    0.00456
  • DF error
    129.00000
  • t(b)
    5.65952
  • p(b)
    0.22579
  • t(a)
    -0.55579
  • p(a)
    0.53110
  • Lowerbound of 95% confidence interval for beta
    0.30468
  • Upperbound of 95% confidence interval for beta
    0.63221
  • Lowerbound of 95% confidence interval for alpha
    -0.24441
  • Upperbound of 95% confidence interval for alpha
    0.13721
  • Treynor index (mean / b)
    0.04500
  • Jensen alpha (a)
    -0.05360
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00753
  • Expected Shortfall on VaR
    0.00945
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00307
  • Expected Shortfall on VaR
    0.00659
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98234
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00127
  • Maximum
    1.02188
  • Mean of quarter 1
    0.99576
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00021
  • Mean of quarter 4
    1.00482
  • Inter Quartile Range
    0.00127
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.99199
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.12977
  • Mean of outliers high
    1.00734
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20429
  • VaR(95%) (moments method)
    0.00293
  • Expected Shortfall (moments method)
    0.00546
  • Extreme Value Index (regression method)
    -0.43679
  • VaR(95%) (regression method)
    0.00499
  • Expected Shortfall (regression method)
    0.00693
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00456
  • Median
    0.00816
  • Quartile 3
    0.02071
  • Maximum
    0.04445
  • Mean of quarter 1
    0.00171
  • Mean of quarter 2
    0.00813
  • Mean of quarter 3
    0.00818
  • Mean of quarter 4
    0.03466
  • Inter Quartile Range
    0.01615
  • 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)
    0.04959
  • Compounded annual return (geometric extrapolation)
    0.05021
  • Calmar ratio (compounded annual return / max draw down)
    1.12967
  • Compounded annual return / average of 25% largest draw downs
    1.44843
  • Compounded annual return / Expected Shortfall lognormal
    5.31078

Strategy Description

The system trades up to a maximum of 3 S&P e-mini futures (Normally no more than 2 at a time). A stop loss is given with every trade. Trades are occasionally opened / closed intra-day.

We provide several systems on collective2.com

Other systems:

BOB DYLAN collective2.com/cgi-perl/system46106678
U 2 SP500 collective2.com/details/98753698






Summary Statistics

Strategy began
2012-07-20
Minimum Capital Required
$20,000
# Trades
133
# Profitable
105
% Profitable
78.9%
Correlation S&P500
0.250
Sharpe Ratio
0.907

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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