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

EMini Swing and Day
(91328127)

Created by: MrPVoodoo MrPVoodoo
Started: 12/2014
Futures
Last trade: 1,563 days ago
Subscriptions not currently available.

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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.

7.9%
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.

(33.9%)
Max Drawdown
1207
Num Trades
54.5%
Win Trades
1.2 : 1
Profit Factor
36.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                                             +6.3%+6.3%
2015+19.9%+2.7%+3.5%  -  +1.9%  -  +3.7%(6.2%)+9.8%+3.1%+6.7%+2.1%+55.9%
2016+7.4%+3.0%(12.3%)+1.8%+1.0%+0.5%(0.6%)+1.1%+5.0%+3.1%+2.1%(7.7%)+2.7%
2017+3.2%+0.7%+3.0%+0.9%+2.1%+1.0%+0.2%+1.8%(3%)+1.7%(5.3%)+4.2%+10.4%
2018(8.2%)(4%)(0.4%)+9.5%  -    -    -  +0.7%+0.4%(16.4%)+23.6%+4.6%+5.2%
2019+1.3%(0.2%)+2.1%(1.4%)+4.0%+3.8%+3.5%+3.8%(8.5%)(8.2%)(1.7%)+13.3%+10.4%
2020(9%)  -    -    -    -    -    -    -    -    -    -    -  (9%)
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 233 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2292 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/8/19 2:30 @YMZ9 MINI DOW SHORT 1 27646 12/17 11:42 28303 1%
Trade id #126125124
Max drawdown$1,009
Time12/3/19 10:51
Quant open
Worst price28337
Drawdown as % of equity1.00%
($3,293)
Includes Typical Broker Commissions trade costs of $8.00
11/7/19 13:37 @ESZ9 E-MINI S&P 500 SHORT 1 3089.25 11/7 16:59 3086.00 0%
Trade id #126117616
Max drawdown$5
Time11/7/19 15:22
Quant open
Worst price3086.75
Drawdown as % of equity0.00%
$155
Includes Typical Broker Commissions trade costs of $8.00
11/7/19 2:21 @ESZ9 E-MINI S&P 500 LONG 1 3082.00 11/7 13:37 3089.25 0.01%
Trade id #126104450
Max drawdown$8
Time11/7/19 2:33
Quant open
Worst price3084.25
Drawdown as % of equity0.01%
$355
Includes Typical Broker Commissions trade costs of $8.00
11/6/19 15:59 @ESZ9 E-MINI S&P 500 LONG 1 3074.25 11/6 18:00 3077.00 0%
Trade id #126100440
Max drawdown$1
Time11/6/19 16:00
Quant open
Worst price3072.75
Drawdown as % of equity0.00%
$130
Includes Typical Broker Commissions trade costs of $8.00
11/6/19 4:50 @YMZ9 MINI DOW SHORT 1 27404 11/6 16:59 27448 0.08%
Trade id #126087399
Max drawdown$77
Time11/6/19 11:53
Quant open
Worst price27444
Drawdown as % of equity0.08%
($228)
Includes Typical Broker Commissions trade costs of $8.00
11/5/19 0:41 @YMZ9 MINI DOW SHORT 1 27429 11/5 16:59 27425 0.08%
Trade id #126070272
Max drawdown$77
Time11/5/19 10:49
Quant open
Worst price27478
Drawdown as % of equity0.08%
$12
Includes Typical Broker Commissions trade costs of $8.00
11/1/19 3:12 XGZ9 DAX INDEX LONG 2 12929.50 11/1 7:32 12898.00 0.11%
Trade id #126034146
Max drawdown$94
Time11/1/19 3:17
Quant open
Worst price12888.50
Drawdown as % of equity0.11%
($1,773)
Includes Typical Broker Commissions trade costs of $16.00
10/31/19 6:03 XGZ9 DAX INDEX SHORT 2 12813.50 10/31 16:59 12892.00 0.17%
Trade id #126016938
Max drawdown$152
Time10/31/19 6:09
Quant open
Worst price12898.00
Drawdown as % of equity0.17%
($4,393)
Includes Typical Broker Commissions trade costs of $16.00
10/31/19 7:57 QCLZ9 CRUDE OIL SHORT 2 54.30 10/31 16:57 54.12 0%
Trade id #126017949
Max drawdown$0
Time10/31/19 10:25
Quant open
Worst price54.29
Drawdown as % of equity0.00%
$344
Includes Typical Broker Commissions trade costs of $16.00
10/31/19 4:53 QCLZ9 CRUDE OIL LONG 1 55.48 10/31 7:57 54.30 0%
Trade id #126016242
Max drawdown$1
Time10/31/19 5:02
Quant open
Worst price54.36
Drawdown as % of equity0.00%
($1,188)
Includes Typical Broker Commissions trade costs of $8.00
10/31/19 5:18 XGZ9 DAX INDEX SHORT 2 12822.25 10/31 5:51 12803.50 0.03%
Trade id #126016538
Max drawdown$25
Time10/31/19 5:21
Quant open
Worst price12835.00
Drawdown as % of equity0.03%
$1,030
Includes Typical Broker Commissions trade costs of $16.00
10/31/19 4:16 XGZ9 DAX INDEX LONG 2 12931.00 10/31 4:26 12932.50 0.04%
Trade id #126016006
Max drawdown$35
Time10/31/19 4:17
Quant open
Worst price12914.00
Drawdown as % of equity0.04%
$68
Includes Typical Broker Commissions trade costs of $16.00
10/30/19 14:15 @ESZ9 E-MINI S&P 500 LONG 1 3034.00 10/30 18:00 3051.00 0.01%
Trade id #126009308
Max drawdown$9
Time10/30/19 14:18
Quant open
Worst price3027.75
Drawdown as % of equity0.01%
$842
Includes Typical Broker Commissions trade costs of $8.00
10/30/19 12:42 @YMZ9 MINI DOW LONG 1 27052 10/30 17:01 27178 0.09%
Trade id #126008016
Max drawdown$94
Time10/30/19 12:43
Quant open
Worst price26960
Drawdown as % of equity0.09%
$622
Includes Typical Broker Commissions trade costs of $8.00
10/30/19 5:31 QCLZ9 CRUDE OIL LONG 3 55.30 10/30 16:59 54.88 0%
Trade id #126001384
Max drawdown$2
Time10/30/19 7:48
Quant open
Worst price54.42
Drawdown as % of equity0.00%
($1,264)
Includes Typical Broker Commissions trade costs of $24.00
10/30/19 14:51 XGZ9 DAX INDEX LONG 2 12914.50 10/30 15:37 12923.50 0.04%
Trade id #126010196
Max drawdown$34
Time10/30/19 14:51
Quant open
Worst price12905.00
Drawdown as % of equity0.04%
$485
Includes Typical Broker Commissions trade costs of $16.00
10/30/19 9:35 @ESZ9 E-MINI S&P 500 SHORT 1 3033.00 10/30 14:15 3034.00 0%
Trade id #126003550
Max drawdown$2
Time10/30/19 10:05
Quant open
Worst price3034.50
Drawdown as % of equity0.00%
($58)
Includes Typical Broker Commissions trade costs of $8.00
10/30/19 3:00 XGZ9 DAX INDEX SHORT 2 12911.00 10/30 5:01 12901.00 0.07%
Trade id #126000181
Max drawdown$62
Time10/30/19 3:09
Quant open
Worst price12930.50
Drawdown as % of equity0.07%
$540
Includes Typical Broker Commissions trade costs of $16.00
10/29/19 13:01 XGZ9 DAX INDEX LONG 2 12945.00 10/29 20:10 12933.50 0.07%
Trade id #125991954
Max drawdown$61
Time10/29/19 13:02
Quant open
Worst price12916.00
Drawdown as % of equity0.07%
($655)
Includes Typical Broker Commissions trade costs of $16.00
10/29/19 14:58 @ESZ9 E-MINI S&P 500 SHORT 1 3036.00 10/29 16:59 3036.50 0%
Trade id #125994379
Max drawdown$1
Time10/29/19 15:42
Quant open
Worst price3035.25
Drawdown as % of equity0.00%
($33)
Includes Typical Broker Commissions trade costs of $8.00
10/29/19 14:31 QCLZ9 CRUDE OIL SHORT 1 55.55 10/29 16:47 55.49 0%
Trade id #125993892
Max drawdown$0
Time10/29/19 15:47
Quant open
Worst price55.52
Drawdown as % of equity0.00%
$52
Includes Typical Broker Commissions trade costs of $8.00
10/29/19 0:32 QCLZ9 CRUDE OIL SHORT 2 55.56 10/29 10:49 55.06 0%
Trade id #125981802
Max drawdown$0
Time10/29/19 9:02
Quant open
Worst price55.07
Drawdown as % of equity0.00%
$984
Includes Typical Broker Commissions trade costs of $16.00
10/29/19 0:01 @YMZ9 MINI DOW SHORT 1 27050 10/29 10:42 27087 0.09%
Trade id #125981622
Max drawdown$84
Time10/29/19 8:03
Quant open
Worst price27073
Drawdown as % of equity0.09%
($193)
Includes Typical Broker Commissions trade costs of $8.00
10/29/19 3:00 XGZ9 DAX INDEX SHORT 2 12936.50 10/29 4:46 12914.00 0.02%
Trade id #125982378
Max drawdown$20
Time10/29/19 4:02
Quant open
Worst price12936.50
Drawdown as % of equity0.02%
$1,230
Includes Typical Broker Commissions trade costs of $16.00
10/28/19 9:33 @ESZ9 E-MINI S&P 500 LONG 1 3037.00 10/28 18:00 3037.50 0.01%
Trade id #125972701
Max drawdown$8
Time10/28/19 10:34
Quant open
Worst price3034.50
Drawdown as % of equity0.01%
$17
Includes Typical Broker Commissions trade costs of $8.00
10/28/19 8:56 @YMZ9 MINI DOW LONG 1 27042 10/28 17:00 27040 0.15%
Trade id #125972267
Max drawdown$144
Time10/28/19 9:49
Quant open
Worst price26976
Drawdown as % of equity0.15%
($18)
Includes Typical Broker Commissions trade costs of $8.00
10/28/19 3:52 XGZ9 DAX INDEX SHORT 2 12890.50 10/28 16:59 12952.25 0.19%
Trade id #125970119
Max drawdown$173
Time10/28/19 4:02
Quant open
Worst price12973.50
Drawdown as % of equity0.19%
($3,443)
Includes Typical Broker Commissions trade costs of $16.00
10/28/19 12:29 QCLZ9 CRUDE OIL SHORT 2 55.77 10/28 16:57 55.80 0%
Trade id #125976211
Max drawdown$0
Time10/28/19 12:31
Quant open
Worst price55.93
Drawdown as % of equity0.00%
($76)
Includes Typical Broker Commissions trade costs of $16.00
10/28/19 3:49 XGZ9 DAX INDEX LONG 2 12899.00 10/28 3:52 12891.50 0.01%
Trade id #125970076
Max drawdown$7
Time10/28/19 3:49
Quant open
Worst price12894.00
Drawdown as % of equity0.01%
($432)
Includes Typical Broker Commissions trade costs of $16.00
10/24/19 18:00 @ESZ9 E-MINI S&P 500 SHORT 1 3003.75 10/25 16:59 3020.25 0.02%
Trade id #125941081
Max drawdown$24
Time10/24/19 19:51
Quant open
Worst price3025.00
Drawdown as % of equity0.02%
($833)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    12/15/2014
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3384.1
  • Age
    113 months ago
  • What it trades
    Futures
  • # Trades
    1207
  • # Profitable
    658
  • % Profitable
    54.50%
  • Avg trade duration
    1.5 days
  • Max peak-to-valley drawdown
    33.87%
  • drawdown period
    Aug 31, 2017 - Oct 29, 2018
  • Annual Return (Compounded)
    7.9%
  • Avg win
    $1,072
  • Avg loss
    $1,069
  • Model Account Values (Raw)
  • Cash
    $218,590
  • Margin Used
    $0
  • Buying Power
    $218,590
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    0.28
  • Sortino Ratio
    0.46
  • Calmar Ratio
    0.439
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -60.89%
  • Correlation to SP500
    0.20000
  • Return Percent SP500 (cumu) during strategy life
    163.92%
  • Return Statistics
  • Ann Return (w trading costs)
    7.9%
  • Slump
  • Current Slump as Pcnt Equity
    17.50%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.49%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.079%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    77.50%
  • Chance of 20% account loss
    60.50%
  • Chance of 30% account loss
    44.50%
  • Chance of 40% account loss
    24.50%
  • Chance of 60% account loss (Monte Carlo)
    7.00%
  • 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
    98.63%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    9.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,070
  • Avg Win
    $1,073
  • Sum Trade PL (losers)
    $587,381.000
  • Age
  • Num Months filled monthly returns table
    112
  • Win / Loss
  • Sum Trade PL (winners)
    $705,976.000
  • # Winners
    658
  • Num Months Winners
    41
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    549
  • % Winners
    54.5%
  • Frequency
  • Avg Position Time (mins)
    2127.15
  • Avg Position Time (hrs)
    35.45
  • Avg Trade Length
    1.5 days
  • Last Trade Ago
    1527
  • Regression
  • Alpha
    0.02
  • Beta
    0.33
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    44.24
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    38.99
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    -
  • Avg(MAE) / Avg(PL) - All trades
    0.000
  • 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
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.000
  • Avg(MAE) / Avg(PL) - Losing trades
    -
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12486
  • SD
    0.19191
  • Sharpe ratio (Glass type estimate)
    0.65063
  • Sharpe ratio (Hedges UMVUE)
    0.64331
  • df
    67.00000
  • t
    1.54880
  • p
    0.06307
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18240
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18721
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47384
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16041
  • Upside Potential Ratio
    2.56700
  • Upside part of mean
    0.27621
  • Downside part of mean
    -0.15135
  • Upside SD
    0.16127
  • Downside SD
    0.10760
  • N nonnegative terms
    35.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    68.00000
  • Mean of predictor
    0.12410
  • Mean of criterion
    0.12486
  • SD of predictor
    0.18441
  • SD of criterion
    0.19191
  • Covariance
    0.00005
  • r
    0.00132
  • b (slope, estimate of beta)
    0.00137
  • a (intercept, estimate of alpha)
    0.12469
  • Mean Square Error
    0.03739
  • DF error
    66.00000
  • t(b)
    0.01071
  • p(b)
    0.49574
  • t(a)
    1.50652
  • p(a)
    0.06835
  • Lowerbound of 95% confidence interval for beta
    -0.25438
  • Upperbound of 95% confidence interval for beta
    0.25712
  • Lowerbound of 95% confidence interval for alpha
    -0.04056
  • Upperbound of 95% confidence interval for alpha
    0.28994
  • Treynor index (mean / b)
    91.02110
  • Jensen alpha (a)
    0.12469
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10650
  • SD
    0.18758
  • Sharpe ratio (Glass type estimate)
    0.56775
  • Sharpe ratio (Hedges UMVUE)
    0.56137
  • df
    67.00000
  • t
    1.35151
  • p
    0.09054
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26325
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26745
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39019
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94284
  • Upside Potential Ratio
    2.33426
  • Upside part of mean
    0.26366
  • Downside part of mean
    -0.15716
  • Upside SD
    0.15118
  • Downside SD
    0.11295
  • N nonnegative terms
    35.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    68.00000
  • Mean of predictor
    0.10719
  • Mean of criterion
    0.10650
  • SD of predictor
    0.17940
  • SD of criterion
    0.18758
  • Covariance
    0.00025
  • r
    0.00753
  • b (slope, estimate of beta)
    0.00788
  • a (intercept, estimate of alpha)
    0.10565
  • Mean Square Error
    0.03572
  • DF error
    66.00000
  • t(b)
    0.06120
  • p(b)
    0.47569
  • t(a)
    1.31115
  • p(a)
    0.09718
  • Lowerbound of 95% confidence interval for beta
    -0.24907
  • Upperbound of 95% confidence interval for beta
    0.26482
  • Lowerbound of 95% confidence interval for alpha
    -0.05523
  • Upperbound of 95% confidence interval for alpha
    0.26653
  • Treynor index (mean / b)
    13.52070
  • Jensen alpha (a)
    0.10565
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07706
  • Expected Shortfall on VaR
    0.09753
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02803
  • Expected Shortfall on VaR
    0.05942
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    68.00000
  • Minimum
    0.86354
  • Quartile 1
    0.99926
  • Median
    1.00555
  • Quartile 3
    1.02932
  • Maximum
    1.19752
  • Mean of quarter 1
    0.95377
  • Mean of quarter 2
    1.00059
  • Mean of quarter 3
    1.01749
  • Mean of quarter 4
    1.07908
  • Inter Quartile Range
    0.03007
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.10294
  • Mean of outliers low
    0.91257
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10294
  • Mean of outliers high
    1.12938
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.63489
  • VaR(95%) (moments method)
    0.02130
  • Expected Shortfall (moments method)
    0.07223
  • Extreme Value Index (regression method)
    0.10961
  • VaR(95%) (regression method)
    0.04527
  • Expected Shortfall (regression method)
    0.07773
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00297
  • Quartile 1
    0.01594
  • Median
    0.03323
  • Quartile 3
    0.12545
  • Maximum
    0.13646
  • Mean of quarter 1
    0.00859
  • Mean of quarter 2
    0.03254
  • Mean of quarter 3
    0.11376
  • Mean of quarter 4
    0.13619
  • Inter Quartile Range
    0.10951
  • 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)
    -864.32400
  • VaR(95%) (moments method)
    0.13576
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -5.28281
  • VaR(95%) (regression method)
    0.15920
  • Expected Shortfall (regression method)
    0.15920
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20148
  • Compounded annual return (geometric extrapolation)
    0.14385
  • Calmar ratio (compounded annual return / max draw down)
    1.05421
  • Compounded annual return / average of 25% largest draw downs
    1.05629
  • Compounded annual return / Expected Shortfall lognormal
    1.47500
  • 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
    0.16206
  • SD
    0.34476
  • Sharpe ratio (Glass type estimate)
    0.47005
  • Sharpe ratio (Hedges UMVUE)
    0.46982
  • df
    1496.00000
  • t
    1.12358
  • p
    0.48548
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35014
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29011
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35031
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28994
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78513
  • Upside Potential Ratio
    5.18062
  • Upside part of mean
    1.06931
  • Downside part of mean
    -0.90726
  • Upside SD
    0.27618
  • Downside SD
    0.20641
  • N nonnegative terms
    466.00000
  • N negative terms
    1031.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1497.00000
  • Mean of predictor
    0.16675
  • Mean of criterion
    0.16206
  • SD of predictor
    0.22594
  • SD of criterion
    0.34476
  • Covariance
    0.01603
  • r
    0.20573
  • b (slope, estimate of beta)
    0.31391
  • a (intercept, estimate of alpha)
    0.11000
  • Mean Square Error
    0.11391
  • DF error
    1495.00000
  • t(b)
    8.12840
  • p(b)
    0.36996
  • t(a)
    0.77621
  • p(a)
    0.48722
  • Lowerbound of 95% confidence interval for beta
    0.23816
  • Upperbound of 95% confidence interval for beta
    0.38967
  • Lowerbound of 95% confidence interval for alpha
    -0.16753
  • Upperbound of 95% confidence interval for alpha
    0.38695
  • Treynor index (mean / b)
    0.51624
  • Jensen alpha (a)
    0.10971
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10539
  • SD
    0.33342
  • Sharpe ratio (Glass type estimate)
    0.31609
  • Sharpe ratio (Hedges UMVUE)
    0.31593
  • df
    1496.00000
  • t
    0.75555
  • p
    0.49023
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50399
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13607
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50410
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13596
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48666
  • Upside Potential Ratio
    4.78050
  • Upside part of mean
    1.03525
  • Downside part of mean
    -0.92986
  • Upside SD
    0.25345
  • Downside SD
    0.21656
  • N nonnegative terms
    466.00000
  • N negative terms
    1031.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1497.00000
  • Mean of predictor
    0.14167
  • Mean of criterion
    0.10539
  • SD of predictor
    0.22295
  • SD of criterion
    0.33342
  • Covariance
    0.01557
  • r
    0.20941
  • b (slope, estimate of beta)
    0.31317
  • a (intercept, estimate of alpha)
    0.06102
  • Mean Square Error
    0.10636
  • DF error
    1495.00000
  • t(b)
    8.28049
  • p(b)
    0.36767
  • t(a)
    0.44691
  • p(a)
    0.49264
  • Lowerbound of 95% confidence interval for beta
    0.23899
  • Upperbound of 95% confidence interval for beta
    0.38736
  • Lowerbound of 95% confidence interval for alpha
    -0.20681
  • Upperbound of 95% confidence interval for alpha
    0.32886
  • Treynor index (mean / b)
    0.33652
  • Jensen alpha (a)
    0.06102
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03293
  • Expected Shortfall on VaR
    0.04119
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00952
  • Expected Shortfall on VaR
    0.02110
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1497.00000
  • Minimum
    0.83379
  • Quartile 1
    0.99924
  • Median
    1.00000
  • Quartile 3
    1.00171
  • Maximum
    1.40104
  • Mean of quarter 1
    0.98653
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00021
  • Mean of quarter 4
    1.01626
  • Inter Quartile Range
    0.00247
  • Number outliers low
    214.00000
  • Percentage of outliers low
    0.14295
  • Mean of outliers low
    0.97807
  • Number of outliers high
    222.00000
  • Percentage of outliers high
    0.14830
  • Mean of outliers high
    1.02508
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.05109
  • VaR(95%) (moments method)
    0.00862
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.54255
  • VaR(95%) (regression method)
    0.00985
  • Expected Shortfall (regression method)
    0.02815
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    44.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00635
  • Median
    0.01374
  • Quartile 3
    0.04286
  • Maximum
    0.32502
  • Mean of quarter 1
    0.00271
  • Mean of quarter 2
    0.00949
  • Mean of quarter 3
    0.02668
  • Mean of quarter 4
    0.14965
  • Inter Quartile Range
    0.03650
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.15909
  • Mean of outliers high
    0.20164
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.07824
  • VaR(95%) (moments method)
    0.12854
  • Expected Shortfall (moments method)
    0.18912
  • Extreme Value Index (regression method)
    -0.36003
  • VaR(95%) (regression method)
    0.15798
  • Expected Shortfall (regression method)
    0.19548
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19982
  • Compounded annual return (geometric extrapolation)
    0.14259
  • Calmar ratio (compounded annual return / max draw down)
    0.43871
  • Compounded annual return / average of 25% largest draw downs
    0.95283
  • Compounded annual return / Expected Shortfall lognormal
    3.46209
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.63180
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38710
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.55667
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38746
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6839510000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.03300
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    921045000000000120899596921602048.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • 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?
    -422495000
  • Max Equity Drawdown (num days)
    424
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

System from: http://tradingmaestro.com
A full time futures trader and indicator & strategy developer.

Small FAQ at:
http://pvoodooatc2.blogspot.com/2015/02/emini-swing-tm.html

Summary Statistics

Strategy began
2014-12-15
Suggested Minimum Capital
$100,000
# Trades
1207
# Profitable
658
% Profitable
54.5%
Correlation S&P500
0.200
Sharpe Ratio
0.28
Sortino Ratio
0.46
Beta
0.33
Alpha
0.02

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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