THE ROLLING STONES SP500
(75421760)
Subscription terms. Subscriptions to this system cost $99.00 per month.
Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2012  +2.2%  +0.3%  +0.6%  +2.6%  +12.4%  +7.1%  +27.5%  
2013  +5.0%  (1.7%)  +1.6%  +2.0%  (6.8%)  +4.5%  (0.9%)  +5.5%  (0.5%)  +6.8%  +4.5%  +3.8%  +25.7% 
2014  +5.1%  +1.7%  +5.1%  +8.9%  (0.3%)  (0.3%)  (5.8%)  +3.3%  +7.2%  (3%)  (6.5%)  (0.9%)  +14.1% 
2015  +19.4%  +4.0%  (0.5%)  +1.2%  +1.8%  +3.3%  +1.7%  (2.7%)  (3.9%)  (4.6%)  (2.5%)  +7.0%  +24.4% 
2016  (17.3%)  +4.5%  +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%  +1.9%  +1.6%  +2.2%  +9.2% 
2018  (1.6%)  (3.1%)  (0.6%)  (13.4%)  +4.2%  (3.2%)  +3.3%  (14.5%) 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $20,000  
Buy Power  $52,836  
Cash  $52,836  
Equity  $0  
Cumulative $  $32,836  
Total System Equity  $52,836  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began7/20/2012

Suggested Minimum Cap$45,000

Strategy Age (days)2188.29

Age73 months ago

What it tradesFutures

# Trades158

# Profitable123

% Profitable77.80%

Avg trade duration4.1 days

Max peaktovalley drawdown35.39%

drawdown periodAug 20, 2015  Feb 11, 2016

Annual Return (Compounded)13.8%

Avg win$730.00

Avg loss$1,627
 Model Account Values (Raw)

Cash$52,836

Margin Used$0

Buying Power$52,836
 Ratios

W:L ratio1.58:1

Sharpe Ratio0.769

Sortino Ratio1.259

Calmar Ratio0.627
 CORRELATION STATISTICS

Correlation to SP5000.23700
 Return Statistics

Ann Return (w trading costs)13.8%

Ann Return (Compnd, No Fees)17.6%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss46.00%

Chance of 20% account loss20.50%

Chance of 30% account loss10.00%

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)472

Popularity (Last 6 weeks)720

C2 Score61.5
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days30
 Win / Loss

Avg Loss$1,627

Avg Win$730

# Winners123

# Losers35

% Winners77.8%
 Frequency

Avg Position Time (mins)5841.23

Avg Position Time (hrs)97.35

Avg Trade Length4.1 days

Last Trade Ago5
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.15299

SD0.16725

Sharpe ratio (Glass type estimate)0.91475

Sharpe ratio (Hedges UMVUE)0.90477

df69.00000

t2.20934

p0.01524

Lowerbound of 95% confidence interval for Sharpe Ratio0.08588

Upperbound of 95% confidence interval for Sharpe Ratio1.73724

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.07935

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.73020
 Statistics related to Sortino ratio

Sortino ratio1.50189

Upside Potential Ratio2.79566

Upside part of mean0.28478

Downside part of mean0.13179

Upside SD0.13837

Downside SD0.10187

N nonnegative terms45.00000

N negative terms25.00000
 Statistics related to linear regression on benchmark

N of observations70.00000

Mean of predictor0.09744

Mean of criterion0.15299

SD of predictor0.09460

SD of criterion0.16725

Covariance0.00183

r0.11582

b (slope, estimate of beta)0.20476

a (intercept, estimate of alpha)0.13304

Mean Square Error0.02800

DF error68.00000

t(b)0.96154

p(b)0.16984

t(a)1.83944

p(a)0.03511

Lowerbound of 95% confidence interval for beta0.22017

Upperbound of 95% confidence interval for beta0.62969

Lowerbound of 95% confidence interval for alpha0.01128

Upperbound of 95% confidence interval for alpha0.27736

Treynor index (mean / b)0.74719

Jensen alpha (a)0.13304
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.13812

SD0.16655

Sharpe ratio (Glass type estimate)0.82931

Sharpe ratio (Hedges UMVUE)0.82026

df69.00000

t2.00296

p0.02456

Lowerbound of 95% confidence interval for Sharpe Ratio0.00322

Upperbound of 95% confidence interval for Sharpe Ratio1.64958

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00270

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.64322
 Statistics related to Sortino ratio

Sortino ratio1.27650

Upside Potential Ratio2.54355

Upside part of mean0.27522

Downside part of mean0.13710

Upside SD0.13124

Downside SD0.10820

N nonnegative terms45.00000

N negative terms25.00000
 Statistics related to linear regression on benchmark

N of observations70.00000

Mean of predictor0.09245

Mean of criterion0.13812

SD of predictor0.09453

SD of criterion0.16655

Covariance0.00197

r0.12500

b (slope, estimate of beta)0.22023

a (intercept, estimate of alpha)0.11776

Mean Square Error0.02771

DF error68.00000

t(b)1.03891

p(b)0.15126

t(a)1.64353

p(a)0.05244

Lowerbound of 95% confidence interval for beta0.20277

Upperbound of 95% confidence interval for beta0.64323

Lowerbound of 95% confidence interval for alpha0.02522

Upperbound of 95% confidence interval for alpha0.26073

Treynor index (mean / b)0.62716

Jensen alpha (a)0.11776
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.06534

Expected Shortfall on VaR0.08378
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01948

Expected Shortfall on VaR0.04451
 ORDER STATISTICS
 Quartiles of return rates

Number of observations70.00000

Minimum0.84636

Quartile 10.99217

Median1.01777

Quartile 31.03583

Maximum1.18447

Mean of quarter 10.96151

Mean of quarter 21.00700

Mean of quarter 31.02605

Mean of quarter 41.06592

Inter Quartile Range0.04366

Number outliers low2.00000

Percentage of outliers low0.02857

Mean of outliers low0.85851

Number of outliers high2.00000

Percentage of outliers high0.02857

Mean of outliers high1.16406
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.75811

VaR(95%) (moments method)0.03701

Expected Shortfall (moments method)0.16773

Extreme Value Index (regression method)0.58724

VaR(95%) (regression method)0.04281

Expected Shortfall (regression method)0.12367
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations10.00000

Minimum0.00151

Quartile 10.01029

Median0.02859

Quartile 30.08365

Maximum0.23054

Mean of quarter 10.00424

Mean of quarter 20.01815

Mean of quarter 30.05270

Mean of quarter 40.15797

Inter Quartile Range0.07336

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.10000

Mean of outliers high0.23054
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)5.66905

VaR(95%) (moments method)0.16770

Expected Shortfall (moments method)0.16772

Extreme Value Index (regression method)0.76661

VaR(95%) (regression method)0.25748

Expected Shortfall (regression method)0.28482
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.28011

Compounded annual return (geometric extrapolation)0.18060

Calmar ratio (compounded annual return / max draw down)0.78339

Compounded annual return / average of 25% largest draw downs1.14329

Compounded annual return / Expected Shortfall lognormal2.15558

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.15724

SD0.20439

Sharpe ratio (Glass type estimate)0.76935

Sharpe ratio (Hedges UMVUE)0.76898

df1545.00000

t1.86887

p0.46978

Lowerbound of 95% confidence interval for Sharpe Ratio0.03808

Upperbound of 95% confidence interval for Sharpe Ratio1.57654

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.03833

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.57628
 Statistics related to Sortino ratio

Sortino ratio1.25885

Upside Potential Ratio5.81912

Upside part of mean0.72687

Downside part of mean0.56963

Upside SD0.16198

Downside SD0.12491

N nonnegative terms391.00000

N negative terms1155.00000
 Statistics related to linear regression on benchmark

N of observations1546.00000

Mean of predictor0.10247

Mean of criterion0.15724

SD of predictor0.12424

SD of criterion0.20439

Covariance0.00631

r0.24858

b (slope, estimate of beta)0.40894

a (intercept, estimate of alpha)0.11500

Mean Square Error0.03922

DF error1544.00000

t(b)10.08430

p(b)0.37571

t(a)1.41295

p(a)0.48203

Lowerbound of 95% confidence interval for beta0.32940

Upperbound of 95% confidence interval for beta0.48849

Lowerbound of 95% confidence interval for alpha0.04478

Upperbound of 95% confidence interval for alpha0.27546

Treynor index (mean / b)0.38452

Jensen alpha (a)0.11534
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.13666

SD0.20199

Sharpe ratio (Glass type estimate)0.67658

Sharpe ratio (Hedges UMVUE)0.67626

df1545.00000

t1.64353

p0.47341

Lowerbound of 95% confidence interval for Sharpe Ratio0.13070

Upperbound of 95% confidence interval for Sharpe Ratio1.48369

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.13095

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.48346
 Statistics related to Sortino ratio

Sortino ratio1.05792

Upside Potential Ratio5.53015

Upside part of mean0.71439

Downside part of mean0.57772

Upside SD0.15542

Downside SD0.12918

N nonnegative terms391.00000

N negative terms1155.00000
 Statistics related to linear regression on benchmark

N of observations1546.00000

Mean of predictor0.09472

Mean of criterion0.13666

SD of predictor0.12440

SD of criterion0.20199

Covariance0.00627

r0.24949

b (slope, estimate of beta)0.40508

a (intercept, estimate of alpha)0.09829

Mean Square Error0.03828

DF error1544.00000

t(b)10.12350

p(b)0.37526

t(a)1.21895

p(a)0.48450

Lowerbound of 95% confidence interval for beta0.32660

Upperbound of 95% confidence interval for beta0.48357

Lowerbound of 95% confidence interval for alpha0.05988

Upperbound of 95% confidence interval for alpha0.25646

Treynor index (mean / b)0.33737

Jensen alpha (a)0.09829
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01981

Expected Shortfall on VaR0.02489
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00631

Expected Shortfall on VaR0.01379
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1546.00000

Minimum0.85081

Quartile 11.00000

Median1.00000

Quartile 31.00022

Maximum1.17564

Mean of quarter 10.99163

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.01119

Inter Quartile Range0.00022

Number outliers low310.00000

Percentage of outliers low0.20052

Mean of outliers low0.98956

Number of outliers high375.00000

Percentage of outliers high0.24256

Mean of outliers high1.01154
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.41069

VaR(95%) (moments method)0.00430

Expected Shortfall (moments method)0.00997

Extreme Value Index (regression method)0.24637

VaR(95%) (regression method)0.00854

Expected Shortfall (regression method)0.01771
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations45.00000

Minimum0.00005

Quartile 10.00607

Median0.01331

Quartile 30.03999

Maximum0.28523

Mean of quarter 10.00230

Mean of quarter 20.00967

Mean of quarter 30.02793

Mean of quarter 40.13335

Inter Quartile Range0.03392

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high6.00000

Percentage of outliers high0.13333

Mean of outliers high0.19216
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.26112

VaR(95%) (moments method)0.11904

Expected Shortfall (moments method)0.20138

Extreme Value Index (regression method)0.27511

VaR(95%) (regression method)0.15245

Expected Shortfall (regression method)0.19462
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.27807

Compounded annual return (geometric extrapolation)0.17888

Calmar ratio (compounded annual return / max draw down)0.62716

Compounded annual return / average of 25% largest draw downs1.34146

Compounded annual return / Expected Shortfall lognormal7.18618

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

Mean0.25774

SD0.14218

Sharpe ratio (Glass type estimate)1.81276

Sharpe ratio (Hedges UMVUE)1.80228

df130.00000

t1.28182

p0.55586

Lowerbound of 95% confidence interval for Sharpe Ratio4.58992

Upperbound of 95% confidence interval for Sharpe Ratio0.97118

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.58273

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.97817
 Statistics related to Sortino ratio

Sortino ratio2.07278

Upside Potential Ratio3.37992

Upside part of mean0.42028

Downside part of mean0.67802

Upside SD0.06966

Downside SD0.12435

N nonnegative terms29.00000

N negative terms102.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00245

Mean of criterion0.25774

SD of predictor0.16558

SD of criterion0.14218

Covariance0.00402

r0.17082

b (slope, estimate of beta)0.14668

a (intercept, estimate of alpha)0.25810

Mean Square Error0.01978

DF error129.00000

t(b)1.96904

p(b)0.39179

t(a)1.29773

p(a)0.57211

Lowerbound of 95% confidence interval for beta0.00071

Upperbound of 95% confidence interval for beta0.29406

Lowerbound of 95% confidence interval for alpha0.65160

Upperbound of 95% confidence interval for alpha0.13540

Treynor index (mean / b)1.75721

Jensen alpha (a)0.25810
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.26805

SD0.14397

Sharpe ratio (Glass type estimate)1.86176

Sharpe ratio (Hedges UMVUE)1.85100

df130.00000

t1.31647

p0.55735

Lowerbound of 95% confidence interval for Sharpe Ratio4.63928

Upperbound of 95% confidence interval for Sharpe Ratio0.92278

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.63192

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.92992
 Statistics related to Sortino ratio

Sortino ratio2.11485

Upside Potential Ratio3.29666

Upside part of mean0.41783

Downside part of mean0.68588

Upside SD0.06914

Downside SD0.12674

N nonnegative terms29.00000

N negative terms102.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.01124

Mean of criterion0.26805

SD of predictor0.16638

SD of criterion0.14397

Covariance0.00404

r0.16877

b (slope, estimate of beta)0.14604

a (intercept, estimate of alpha)0.26640

Mean Square Error0.02029

DF error129.00000

t(b)1.94473

p(b)0.39307

t(a)1.32231

p(a)0.57346

Lowerbound of 95% confidence interval for beta0.00254

Upperbound of 95% confidence interval for beta0.29462

Lowerbound of 95% confidence interval for alpha0.66501

Upperbound of 95% confidence interval for alpha0.13220

Treynor index (mean / b)1.83542

Jensen alpha (a)0.26640
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01553

Expected Shortfall on VaR0.01918
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00773

Expected Shortfall on VaR0.01630
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.94083

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.02138

Mean of quarter 10.99006

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00646

Inter Quartile Range0.00000

Number outliers low29.00000

Percentage of outliers low0.22137

Mean of outliers low0.98869

Number of outliers high29.00000

Percentage of outliers high0.22137

Mean of outliers high1.00735
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.47744

VaR(95%) (moments method)0.00301

Expected Shortfall (moments method)0.00321

Extreme Value Index (regression method)0.03147

VaR(95%) (regression method)0.01107

Expected Shortfall (regression method)0.01871
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00752

Quartile 10.05181

Median0.09610

Quartile 30.14039

Maximum0.18468

Mean of quarter 10.00752

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.18468

Inter Quartile Range0.08858

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.22628

Compounded annual return (geometric extrapolation)0.21348

Calmar ratio (compounded annual return / max draw down)1.15596

Compounded annual return / average of 25% largest draw downs1.15596

Compounded annual return / Expected Shortfall lognormal11.13120
Strategy Description
We provide several systems on collective2.com
Other systems:
BOB DYLAN collective2.com/cgiperl/system46106678
U 2 SP500 collective2.com/details/98753698
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.