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This is an archived track record. This track record was archived on 10/22/18 13:59 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Quant Invest
(109496813)

Created by: AndresPadrones AndresPadrones
Started: 02/2017
Futures
Last trade: 1,984 days ago
Trading style: Equity Momentum Short-term Reversal

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 $149.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
-2.0%
Annual Return (Compounded)

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 marked-to-market equity calculations.

All results are hypothetical.

(37.4%)
Max Drawdown
1208
Num Trades
52.5%
Win Trades
1.1 : 1
Profit Factor
14.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017       +8.5%+0.8%(3.9%)+4.9%+12.6%(10.5%)+19.1%+3.2%+5.4%+3.3%(9%)+35.2%
2018(5.7%)+9.7%(5.7%)+2.9%(2.7%)(4.5%)+4.3%(8.5%)+2.9%(23.9%)  -    -  (30.3%)
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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 2,459 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/22/18 3:50 DXMZ8 MINI-DAX INDEX LONG 1 11630.0 10/22 6:15 11597.0 n/a ($198)
Includes Typical Broker Commissions trade costs of $8.00
10/22/18 2:15 DXMZ8 MINI-DAX INDEX LONG 1 11618.0 10/22 2:44 11649.0 n/a $171
Includes Typical Broker Commissions trade costs of $8.00
10/19/18 16:45 QCLZ8 CRUDE OIL SHORT 1 69.45 10/21 18:00 69.60 0.35%
Trade id #120450642
Max drawdown($150)
Time10/19/18 16:51
Quant open-1
Worst price69.60
Drawdown as % of equity-0.35%
($158)
Includes Typical Broker Commissions trade costs of $8.00
10/19/18 15:04 QHOX8 Heating Oil LONG 1 2.3068 10/19 16:39 2.3099 0.02%
Trade id #120448612
Max drawdown($8)
Time10/19/18 15:09
Quant open1
Worst price2.3066
Drawdown as % of equity-0.02%
$122
Includes Typical Broker Commissions trade costs of $8.00
10/19/18 12:01 QRBX8 RBOB Gasoline LONG 1 1.9294 10/19 15:00 1.9167 2.06%
Trade id #120443373
Max drawdown($894)
Time10/19/18 14:26
Quant open1
Worst price1.9081
Drawdown as % of equity-2.06%
($541)
Includes Typical Broker Commissions trade costs of $8.00
10/19/18 9:31 @ESZ8 E-MINI S&P 500 SHORT 1 2779.00 10/19 9:41 2789.00 1.14%
Trade id #120438028
Max drawdown($500)
Time10/19/18 9:41
Quant open0
Worst price2789.00
Drawdown as % of equity-1.14%
($508)
Includes Typical Broker Commissions trade costs of $8.00
10/18/18 12:00 QRBX8 RBOB Gasoline LONG 1 1.9018 10/18 19:00 1.8898 1.21%
Trade id #120422001
Max drawdown($537)
Time10/18/18 14:29
Quant open1
Worst price1.8890
Drawdown as % of equity-1.21%
($512)
Includes Typical Broker Commissions trade costs of $8.00
10/18/18 12:05 @TYZ8 US T-NOTE 10 YR LONG 1 118 6/64 10/18 18:00 118 4/64 0.07%
Trade id #120422088
Max drawdown($32)
Time10/18/18 18:00
Quant open0
Worst price118 4/64
Drawdown as % of equity-0.07%
($40)
Includes Typical Broker Commissions trade costs of $8.00
10/18/18 15:20 QHOX8 Heating Oil LONG 1 2.3002 10/18 16:57 2.3006 0.08%
Trade id #120426053
Max drawdown($33)
Time10/18/18 15:33
Quant open1
Worst price2.2994
Drawdown as % of equity-0.08%
$9
Includes Typical Broker Commissions trade costs of $8.00
10/18/18 16:06 @ESZ8 E-MINI S&P 500 LONG 1 2775.50 10/18 16:55 2775.00 0.42%
Trade id #120427199
Max drawdown($187)
Time10/18/18 16:14
Quant open1
Worst price2771.75
Drawdown as % of equity-0.42%
($33)
Includes Typical Broker Commissions trade costs of $8.00
10/18/18 9:30 @HEZ8 LEAN HOGS SHORT 1 53.625 10/18 10:36 53.500 0.31%
Trade id #120417210
Max drawdown($140)
Time10/18/18 9:32
Quant open-1
Worst price53.975
Drawdown as % of equity-0.31%
$42
Includes Typical Broker Commissions trade costs of $8.00
10/16/18 15:39 @TYZ8 US T-NOTE 10 YR LONG 1 118 13/64 10/17 1:12 118 8/64 0.28%
Trade id #120386891
Max drawdown($124)
Time10/16/18 21:15
Quant open1
Worst price118 5/64
Drawdown as % of equity-0.28%
($86)
Includes Typical Broker Commissions trade costs of $8.00
10/16/18 13:45 DXMZ8 MINI-DAX INDEX LONG 1 11780.0 10/16 15:39 11789.0 0.16%
Trade id #120384868
Max drawdown($69)
Time10/16/18 15:05
Quant open1
Worst price11768.0
Drawdown as % of equity-0.16%
$44
Includes Typical Broker Commissions trade costs of $8.00
10/16/18 13:04 @TYZ8 US T-NOTE 10 YR LONG 1 118 13/64 10/16 15:07 118 13/64 0.14%
Trade id #120384356
Max drawdown($62)
Time10/16/18 14:05
Quant open1
Worst price118 9/64
Drawdown as % of equity-0.14%
($8)
Includes Typical Broker Commissions trade costs of $8.00
10/16/18 9:31 @ESZ8 E-MINI S&P 500 SHORT 1 2772.00 10/16 10:01 2781.25 1.03%
Trade id #120377483
Max drawdown($463)
Time10/16/18 10:01
Quant open0
Worst price2781.25
Drawdown as % of equity-1.03%
($471)
Includes Typical Broker Commissions trade costs of $8.00
10/15/18 22:30 @ESZ8 E-MINI S&P 500 LONG 1 2759.25 10/15 23:30 2754.25 0.55%
Trade id #120369691
Max drawdown($250)
Time10/15/18 23:30
Quant open0
Worst price2754.25
Drawdown as % of equity-0.55%
($258)
Includes Typical Broker Commissions trade costs of $8.00
10/15/18 16:12 QHGZ8 Copper LONG 1 277.75 10/15 19:45 278.60 0.3%
Trade id #120363786
Max drawdown($137)
Time10/15/18 16:36
Quant open1
Worst price277.20
Drawdown as % of equity-0.30%
$205
Includes Typical Broker Commissions trade costs of $8.00
10/14/18 21:00 @JYZ8 JAPANESE YEN LONG 1 0.008972 10/15 5:00 0.008998 0.48%
Trade id #120341713
Max drawdown($212)
Time10/14/18 22:00
Quant open1
Worst price0.008955
Drawdown as % of equity-0.48%
$317
Includes Typical Broker Commissions trade costs of $8.00
10/12/18 15:17 QCLX8 CRUDE OIL LONG 1 71.54 10/12 16:45 71.49 0.18%
Trade id #120331742
Max drawdown($80)
Time10/12/18 16:17
Quant open1
Worst price71.46
Drawdown as % of equity-0.18%
($58)
Includes Typical Broker Commissions trade costs of $8.00
10/12/18 9:32 @HEZ8 LEAN HOGS SHORT 1 54.325 10/12 10:00 55.800 1.31%
Trade id #120320484
Max drawdown($590)
Time10/12/18 10:00
Quant open0
Worst price55.800
Drawdown as % of equity-1.31%
($598)
Includes Typical Broker Commissions trade costs of $8.00
10/12/18 8:31 @QMX8 MINY CRUDE OIL SHORT 1 71.850 10/12 10:00 71.325 0.11%
Trade id #120318987
Max drawdown($50)
Time10/12/18 9:04
Quant open-1
Worst price71.950
Drawdown as % of equity-0.11%
$255
Includes Typical Broker Commissions trade costs of $8.00
10/12/18 9:31 @ESZ8 E-MINI S&P 500 SHORT 1 2776.00 10/12 9:34 2771.50 0.08%
Trade id #120320372
Max drawdown($37)
Time10/12/18 9:33
Quant open-1
Worst price2776.75
Drawdown as % of equity-0.08%
$217
Includes Typical Broker Commissions trade costs of $8.00
10/12/18 8:30 @QMX8 MINY CRUDE OIL LONG 1 71.850 10/12 8:31 71.825 0.03%
Trade id #120318968
Max drawdown($13)
Time10/12/18 8:31
Quant open0
Worst price71.825
Drawdown as % of equity-0.03%
($21)
Includes Typical Broker Commissions trade costs of $8.00
10/12/18 8:28 @QMX8 MINY CRUDE OIL LONG 1 71.875 10/12 8:28 71.875 n/a ($8)
Includes Typical Broker Commissions trade costs of $8.00
10/11/18 15:00 QHOX8 Heating Oil LONG 1 2.3260 10/11 15:10 2.3295 0.09%
Trade id #120308897
Max drawdown($42)
Time10/11/18 15:02
Quant open1
Worst price2.3250
Drawdown as % of equity-0.09%
$139
Includes Typical Broker Commissions trade costs of $8.00
10/11/18 10:00 @QMX8 MINY CRUDE OIL LONG 1 72.150 10/11 10:00 72.050 0.11%
Trade id #120298169
Max drawdown($50)
Time10/11/18 10:00
Quant open0
Worst price72.050
Drawdown as % of equity-0.11%
($58)
Includes Typical Broker Commissions trade costs of $8.00
10/11/18 8:40 @QMX8 MINY CRUDE OIL LONG 1 72.350 10/11 8:41 72.375 n/a $5
Includes Typical Broker Commissions trade costs of $8.00
10/10/18 18:15 @ESZ8 E-MINI S&P 500 LONG 2 2778.12 10/10 19:31 2775.38 0.6%
Trade id #120286792
Max drawdown($275)
Time10/10/18 19:31
Quant open1
Worst price2775.25
Drawdown as % of equity-0.60%
($291)
Includes Typical Broker Commissions trade costs of $16.00
10/10/18 9:45 @ESZ8 E-MINI S&P 500 LONG 2 2832.62 10/10 16:35 2782.62 10.97%
Trade id #120272896
Max drawdown($5,000)
Time10/10/18 16:35
Quant open1
Worst price2778.75
Drawdown as % of equity-10.97%
($5,016)
Includes Typical Broker Commissions trade costs of $16.00
10/10/18 15:00 QHOX8 Heating Oil LONG 1 2.3910 10/10 15:50 2.3846 0.56%
Trade id #120283125
Max drawdown($269)
Time10/10/18 15:50
Quant open0
Worst price2.3846
Drawdown as % of equity-0.56%
($277)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    2/13/2017
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    2593.39
  • Age
    87 months ago
  • What it trades
    Futures
  • # Trades
    1208
  • # Profitable
    634
  • % Profitable
    52.50%
  • Avg trade duration
    7.5 hours
  • Max peak-to-valley drawdown
    37.42%
  • drawdown period
    Dec 07, 2017 - Oct 22, 2018
  • Annual Return (Compounded)
    -2.0%
  • Avg win
    $233.68
  • Avg loss
    $235.39
  • Model Account Values (Raw)
  • Cash
    $43,036
  • Margin Used
    $0
  • Buying Power
    $43,036
  • Ratios
  • W:L ratio
    1.10:1
  • Sharpe Ratio
    -0.19
  • Sortino Ratio
    -0.25
  • Calmar Ratio
    0.834
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -21.80%
  • Correlation to SP500
    0.02850
  • Return Percent SP500 (cumu) during strategy life
    125.54%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.0%
  • Slump
  • Current Slump as Pcnt Equity
    62.20%
  • Instruments
  • Percent Trades Futures
    0.98%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.89%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.020%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.02%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.00%
  • Chance of 20% account loss
    9.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    81.80%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    538
  • Popularity (Last 6 weeks)
    827
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    748
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $235
  • Avg Win
    $234
  • Sum Trade PL (losers)
    $135,112.000
  • Age
  • Num Months filled monthly returns table
    86
  • Win / Loss
  • Sum Trade PL (winners)
    $148,155.000
  • # Winners
    634
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    574
  • % Winners
    52.5%
  • Frequency
  • Avg Position Time (mins)
    448.07
  • Avg Position Time (hrs)
    7.47
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    1978
  • Regression
  • Alpha
    -0.01
  • Beta
    0.02
  • Treynor Index
    -0.41
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    46.54
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    51.49
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.37
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -1256.090
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.533
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.293
  • Hold-and-Hope Ratio
    -0.001
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21254
  • SD
    0.20162
  • Sharpe ratio (Glass type estimate)
    1.05419
  • Sharpe ratio (Hedges UMVUE)
    1.01193
  • df
    19.00000
  • t
    1.36095
  • p
    0.31311
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51319
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53997
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56383
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63277
  • Upside Potential Ratio
    2.95414
  • Upside part of mean
    0.38455
  • Downside part of mean
    -0.17201
  • Upside SD
    0.15949
  • Downside SD
    0.13017
  • N nonnegative terms
    14.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.07935
  • Mean of criterion
    0.21254
  • SD of predictor
    0.08062
  • SD of criterion
    0.20162
  • Covariance
    0.00545
  • r
    0.33530
  • b (slope, estimate of beta)
    0.83847
  • a (intercept, estimate of alpha)
    0.14600
  • Mean Square Error
    0.03808
  • DF error
    18.00000
  • t(b)
    1.50997
  • p(b)
    0.33235
  • t(a)
    0.92729
  • p(a)
    0.39324
  • Lowerbound of 95% confidence interval for beta
    -0.32815
  • Upperbound of 95% confidence interval for beta
    2.00510
  • Lowerbound of 95% confidence interval for alpha
    -0.18479
  • Upperbound of 95% confidence interval for alpha
    0.47680
  • Treynor index (mean / b)
    0.25349
  • Jensen alpha (a)
    0.14600
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19072
  • SD
    0.20508
  • Sharpe ratio (Glass type estimate)
    0.92995
  • Sharpe ratio (Hedges UMVUE)
    0.89267
  • df
    19.00000
  • t
    1.20056
  • p
    0.33296
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62809
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65181
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43715
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36723
  • Upside Potential Ratio
    2.66393
  • Upside part of mean
    0.37160
  • Downside part of mean
    -0.18088
  • Upside SD
    0.15339
  • Downside SD
    0.13949
  • N nonnegative terms
    14.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.07585
  • Mean of criterion
    0.19072
  • SD of predictor
    0.08045
  • SD of criterion
    0.20508
  • Covariance
    0.00604
  • r
    0.36625
  • b (slope, estimate of beta)
    0.93367
  • a (intercept, estimate of alpha)
    0.11990
  • Mean Square Error
    0.03844
  • DF error
    18.00000
  • t(b)
    1.66991
  • p(b)
    0.31687
  • t(a)
    0.76039
  • p(a)
    0.41179
  • Lowerbound of 95% confidence interval for beta
    -0.24099
  • Upperbound of 95% confidence interval for beta
    2.10833
  • Lowerbound of 95% confidence interval for alpha
    -0.21138
  • Upperbound of 95% confidence interval for alpha
    0.45117
  • Treynor index (mean / b)
    0.20427
  • Jensen alpha (a)
    0.11990
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07826
  • Expected Shortfall on VaR
    0.10056
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02230
  • Expected Shortfall on VaR
    0.05244
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.84947
  • Quartile 1
    0.99608
  • Median
    1.01928
  • Quartile 3
    1.05747
  • Maximum
    1.10626
  • Mean of quarter 1
    0.94605
  • Mean of quarter 2
    1.00902
  • Mean of quarter 3
    1.04225
  • Mean of quarter 4
    1.08284
  • Inter Quartile Range
    0.06139
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.84947
  • 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)
    -3.15004
  • VaR(95%) (moments method)
    0.02512
  • Expected Shortfall (moments method)
    0.02530
  • Extreme Value Index (regression method)
    0.85342
  • VaR(95%) (regression method)
    0.04270
  • Expected Shortfall (regression method)
    0.32610
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03551
  • Quartile 1
    0.03808
  • Median
    0.04065
  • Quartile 3
    0.10803
  • Maximum
    0.17541
  • Mean of quarter 1
    0.03551
  • Mean of quarter 2
    0.04065
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.17541
  • Inter Quartile Range
    0.06995
  • 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)
    0.26377
  • Compounded annual return (geometric extrapolation)
    0.24436
  • Calmar ratio (compounded annual return / max draw down)
    1.39308
  • Compounded annual return / average of 25% largest draw downs
    1.39308
  • Compounded annual return / Expected Shortfall lognormal
    2.42998
  • 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
    0.20051
  • SD
    0.16813
  • Sharpe ratio (Glass type estimate)
    1.19256
  • Sharpe ratio (Hedges UMVUE)
    1.19051
  • df
    437.00000
  • t
    1.54194
  • p
    0.06191
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32602
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70984
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32741
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.70844
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71325
  • Upside Potential Ratio
    9.21725
  • Upside part of mean
    1.07873
  • Downside part of mean
    -0.87822
  • Upside SD
    0.12108
  • Downside SD
    0.11703
  • N nonnegative terms
    238.00000
  • N negative terms
    200.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    438.00000
  • Mean of predictor
    0.07949
  • Mean of criterion
    0.20051
  • SD of predictor
    0.11276
  • SD of criterion
    0.16813
  • Covariance
    0.00101
  • r
    0.05303
  • b (slope, estimate of beta)
    0.07907
  • a (intercept, estimate of alpha)
    0.13100
  • Mean Square Error
    0.02825
  • DF error
    436.00000
  • t(b)
    1.10887
  • p(b)
    0.13405
  • t(a)
    1.49258
  • p(a)
    0.06814
  • Lowerbound of 95% confidence interval for beta
    -0.06108
  • Upperbound of 95% confidence interval for beta
    0.21922
  • Lowerbound of 95% confidence interval for alpha
    -0.06153
  • Upperbound of 95% confidence interval for alpha
    0.44997
  • Treynor index (mean / b)
    2.53577
  • Jensen alpha (a)
    0.19422
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18626
  • SD
    0.16860
  • Sharpe ratio (Glass type estimate)
    1.10474
  • Sharpe ratio (Hedges UMVUE)
    1.10285
  • df
    437.00000
  • t
    1.42839
  • p
    0.07695
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41347
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62180
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41478
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62048
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.56823
  • Upside Potential Ratio
    9.02031
  • Upside part of mean
    1.07137
  • Downside part of mean
    -0.88511
  • Upside SD
    0.11995
  • Downside SD
    0.11877
  • N nonnegative terms
    238.00000
  • N negative terms
    200.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    438.00000
  • Mean of predictor
    0.07309
  • Mean of criterion
    0.18626
  • SD of predictor
    0.11323
  • SD of criterion
    0.16860
  • Covariance
    0.00110
  • r
    0.05736
  • b (slope, estimate of beta)
    0.08541
  • a (intercept, estimate of alpha)
    0.18002
  • Mean Square Error
    0.02840
  • DF error
    436.00000
  • t(b)
    1.19972
  • p(b)
    0.11545
  • t(a)
    1.38011
  • p(a)
    0.08413
  • Lowerbound of 95% confidence interval for beta
    -0.05451
  • Upperbound of 95% confidence interval for beta
    0.22534
  • Lowerbound of 95% confidence interval for alpha
    -0.07635
  • Upperbound of 95% confidence interval for alpha
    0.43639
  • Treynor index (mean / b)
    2.18075
  • Jensen alpha (a)
    0.18002
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01629
  • Expected Shortfall on VaR
    0.02055
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00725
  • Expected Shortfall on VaR
    0.01473
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    438.00000
  • Minimum
    0.93286
  • Quartile 1
    0.99523
  • Median
    1.00089
  • Quartile 3
    1.00641
  • Maximum
    1.03869
  • Mean of quarter 1
    0.98845
  • Mean of quarter 2
    0.99847
  • Mean of quarter 3
    1.00344
  • Mean of quarter 4
    1.01314
  • Inter Quartile Range
    0.01118
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.02283
  • Mean of outliers low
    0.96957
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.01598
  • Mean of outliers high
    1.02994
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15454
  • VaR(95%) (moments method)
    0.01123
  • Expected Shortfall (moments method)
    0.01659
  • Extreme Value Index (regression method)
    0.02924
  • VaR(95%) (regression method)
    0.01074
  • Expected Shortfall (regression method)
    0.01465
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00060
  • Quartile 1
    0.01037
  • Median
    0.02332
  • Quartile 3
    0.04749
  • Maximum
    0.19528
  • Mean of quarter 1
    0.00314
  • Mean of quarter 2
    0.01704
  • Mean of quarter 3
    0.03482
  • Mean of quarter 4
    0.09649
  • Inter Quartile Range
    0.03712
  • 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
    0.08696
  • Mean of outliers high
    0.16270
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14699
  • VaR(95%) (moments method)
    0.10321
  • Expected Shortfall (moments method)
    0.14922
  • Extreme Value Index (regression method)
    0.64866
  • VaR(95%) (regression method)
    0.11135
  • Expected Shortfall (regression method)
    0.28239
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25753
  • Compounded annual return (geometric extrapolation)
    0.23883
  • Calmar ratio (compounded annual return / max draw down)
    1.22303
  • Compounded annual return / average of 25% largest draw downs
    2.47531
  • Compounded annual return / Expected Shortfall lognormal
    11.62020
  • 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
    -0.31845
  • SD
    0.17762
  • Sharpe ratio (Glass type estimate)
    -1.79287
  • Sharpe ratio (Hedges UMVUE)
    -1.78251
  • df
    130.00000
  • t
    -1.26775
  • p
    0.55525
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.56984
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.99088
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.56277
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99775
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.12781
  • Upside Potential Ratio
    5.02576
  • Upside part of mean
    0.75216
  • Downside part of mean
    -1.07061
  • Upside SD
    0.09642
  • Downside SD
    0.14966
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04157
  • Mean of criterion
    -0.31845
  • SD of predictor
    0.10803
  • SD of criterion
    0.17762
  • Covariance
    0.00546
  • r
    0.28478
  • b (slope, estimate of beta)
    0.46825
  • a (intercept, estimate of alpha)
    -0.33792
  • Mean Square Error
    0.02922
  • DF error
    129.00000
  • t(b)
    3.37423
  • p(b)
    0.32118
  • t(a)
    -1.39754
  • p(a)
    0.57755
  • Lowerbound of 95% confidence interval for beta
    0.19369
  • Upperbound of 95% confidence interval for beta
    0.74282
  • Lowerbound of 95% confidence interval for alpha
    -0.81631
  • Upperbound of 95% confidence interval for alpha
    0.14048
  • Treynor index (mean / b)
    -0.68009
  • Jensen alpha (a)
    -0.33792
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.33453
  • SD
    0.17982
  • Sharpe ratio (Glass type estimate)
    -1.86040
  • Sharpe ratio (Hedges UMVUE)
    -1.84964
  • df
    130.00000
  • t
    -1.31550
  • p
    0.55731
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.63790
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.92413
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.63055
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93127
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.18771
  • Upside Potential Ratio
    4.88826
  • Upside part of mean
    0.74749
  • Downside part of mean
    -1.08202
  • Upside SD
    0.09556
  • Downside SD
    0.15291
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03575
  • Mean of criterion
    -0.33453
  • SD of predictor
    0.10834
  • SD of criterion
    0.17982
  • Covariance
    0.00577
  • r
    0.29622
  • b (slope, estimate of beta)
    0.49165
  • a (intercept, estimate of alpha)
    -0.35211
  • Mean Square Error
    0.02973
  • DF error
    129.00000
  • t(b)
    3.52248
  • p(b)
    0.31422
  • t(a)
    -1.44378
  • p(a)
    0.58007
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.21550
  • Upperbound of 95% confidence interval for beta
    0.76780
  • Lowerbound of 95% confidence interval for alpha
    -0.83463
  • Upperbound of 95% confidence interval for alpha
    0.13041
  • Treynor index (mean / b)
    -0.68043
  • Jensen alpha (a)
    -0.35211
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01936
  • Expected Shortfall on VaR
    0.02389
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00974
  • Expected Shortfall on VaR
    0.01976
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93286
  • Quartile 1
    0.99458
  • Median
    0.99957
  • Quartile 3
    1.00384
  • Maximum
    1.03262
  • Mean of quarter 1
    0.98650
  • Mean of quarter 2
    0.99752
  • Mean of quarter 3
    1.00145
  • Mean of quarter 4
    1.01017
  • Inter Quartile Range
    0.00926
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.96009
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02477
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28092
  • VaR(95%) (moments method)
    0.01343
  • Expected Shortfall (moments method)
    0.02212
  • Extreme Value Index (regression method)
    0.35724
  • VaR(95%) (regression method)
    0.01410
  • Expected Shortfall (regression method)
    0.02511
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00079
  • Quartile 1
    0.01060
  • Median
    0.02824
  • Quartile 3
    0.05133
  • Maximum
    0.19528
  • Mean of quarter 1
    0.00570
  • Mean of quarter 2
    0.02824
  • Mean of quarter 3
    0.05133
  • Mean of quarter 4
    0.19528
  • Inter Quartile Range
    0.04073
  • 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
    0.20000
  • Mean of outliers high
    0.19528
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -37
  • Max Equity Drawdown (num days)
    319
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.28428
  • Compounded annual return (geometric extrapolation)
    -0.26408
  • Calmar ratio (compounded annual return / max draw down)
    -1.35227
  • Compounded annual return / average of 25% largest draw downs
    -1.35227
  • Compounded annual return / Expected Shortfall lognormal
    -11.05220

Strategy Description

30k Futures Portfolio is a portfolio than combines 11 trading systems working over S&P500 futures and commodities:

- Five over E-mini S&P500 futures
- Two over Soybeans futures
- One over Bund futures
- One over E-mini DAX futures
- One over Crude Oil futures
- One over Natural Gas futures

It includes the five trading systems of 25k E-mini S&P500 Portfolio also published in Collective2 (https://www.collective2.com/details/102237387)

Portfolio is designed to work with starting account size of 30.000 USD.

You can obtain backtesting information here:
http://www.sistemasdebolsa.com/30k-futures-portfolio/

https://forums.collective2.com/t/new-30k-futures-portfolio-strategy/9318

Summary Statistics

Strategy began
2017-02-13
Suggested Minimum Capital
$30,000
# Trades
1208
# Profitable
634
% Profitable
52.5%
Correlation S&P500
0.029
Sharpe Ratio
-0.19
Sortino Ratio
-0.25
Beta
0.02
Alpha
-0.01

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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