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Yugas-Futures
(117547867)

Created by: Marie-Helene Marie-Helene
Started: 04/2018
Futures
Last trade: Today
Trading style: Futures Trend-following Short Term

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 $70.00 per month.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
184.2%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(34.3%)
Max Drawdown
252
Num Trades
52.8%
Win Trades
1.5 : 1
Profit Factor
70.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     +10.0%+29.0%+2.2%(1.6%)(3.7%)(18%)+35.7%+29.7%+38.9%+175.4%
2019+3.2%                                                                  +3.2%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 43 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/16/19 11:11 @YMH9 MINI DOW LONG 1 24147 1/16 13:29 24188 n/a $197
Includes Typical Broker Commissions trade costs of $8.00
1/11/19 9:10 @YMH9 MINI DOW SHORT 1 23891 1/11 9:32 23844 0.03%
Trade id #121916728
Max drawdown($10)
Time1/11/19 9:13
Quant open-1
Worst price23893
Drawdown as % of equity-0.03%
$225
Includes Typical Broker Commissions trade costs of $8.00
1/11/19 3:00 @YMH9 MINI DOW LONG 1 23960 1/11 7:00 23924 0.74%
Trade id #121911948
Max drawdown($232)
Time1/11/19 6:56
Quant open1
Worst price23914
Drawdown as % of equity-0.74%
($193)
Includes Typical Broker Commissions trade costs of $8.00
1/9/19 3:48 @YMH9 MINI DOW LONG 1 23838 1/9 4:57 23840 0.37%
Trade id #121862164
Max drawdown($116)
Time1/9/19 4:06
Quant open1
Worst price23815
Drawdown as % of equity-0.37%
$3
Includes Typical Broker Commissions trade costs of $8.00
1/8/19 10:36 @YMH9 MINI DOW LONG 1 23620 1/8 10:51 23577 0.69%
Trade id #121843991
Max drawdown($218)
Time1/8/19 10:51
Quant open0
Worst price23577
Drawdown as % of equity-0.69%
($226)
Includes Typical Broker Commissions trade costs of $8.00
1/4/19 5:05 @YMH9 MINI DOW LONG 1 22918 1/4 5:28 22915 0.27%
Trade id #121778695
Max drawdown($85)
Time1/4/19 5:26
Quant open1
Worst price22901
Drawdown as % of equity-0.27%
($23)
Includes Typical Broker Commissions trade costs of $8.00
1/3/19 11:46 @YMH9 MINI DOW SHORT 1 22952 1/3 13:17 22758 0.9%
Trade id #121766492
Max drawdown($275)
Time1/3/19 11:51
Quant open-1
Worst price23007
Drawdown as % of equity-0.90%
$962
Includes Typical Broker Commissions trade costs of $8.00
1/3/19 11:18 @YMH9 MINI DOW SHORT 1 22804 1/3 11:37 22852 0.77%
Trade id #121765288
Max drawdown($240)
Time1/3/19 11:37
Quant open0
Worst price22852
Drawdown as % of equity-0.77%
($248)
Includes Typical Broker Commissions trade costs of $8.00
1/3/19 10:29 @YMH9 MINI DOW SHORT 1 22797 1/3 10:34 22745 n/a $252
Includes Typical Broker Commissions trade costs of $8.00
12/24/18 9:51 @YMH9 MINI DOW SHORT 1 22175 12/24 10:14 22112 0.13%
Trade id #121642009
Max drawdown($40)
Time12/24/18 9:53
Quant open-1
Worst price22183
Drawdown as % of equity-0.13%
$307
Includes Typical Broker Commissions trade costs of $8.00
12/20/18 12:39 @YMH9 MINI DOW SHORT 1 22987 12/20 14:28 22783 0.29%
Trade id #121599460
Max drawdown($85)
Time12/20/18 12:44
Quant open-1
Worst price23004
Drawdown as % of equity-0.29%
$1,012
Includes Typical Broker Commissions trade costs of $8.00
12/20/18 10:33 @YMH9 MINI DOW SHORT 1 23191 12/20 11:32 23087 1.52%
Trade id #121594502
Max drawdown($440)
Time12/20/18 10:44
Quant open-1
Worst price23279
Drawdown as % of equity-1.52%
$512
Includes Typical Broker Commissions trade costs of $8.00
12/20/18 9:55 @YMH9 MINI DOW SHORT 1 23108 12/20 9:58 23200 1.59%
Trade id #121592971
Max drawdown($460)
Time12/20/18 9:58
Quant open0
Worst price23200
Drawdown as % of equity-1.59%
($468)
Includes Typical Broker Commissions trade costs of $8.00
12/20/18 8:15 @YMH9 MINI DOW SHORT 1 23320 12/20 9:33 23227 0.52%
Trade id #121590438
Max drawdown($150)
Time12/20/18 8:26
Quant open-1
Worst price23350
Drawdown as % of equity-0.52%
$457
Includes Typical Broker Commissions trade costs of $8.00
12/20/18 3:07 @YMH9 MINI DOW SHORT 1 23171 12/20 4:38 23275 1.78%
Trade id #121588401
Max drawdown($520)
Time12/20/18 4:38
Quant open0
Worst price23275
Drawdown as % of equity-1.78%
($528)
Includes Typical Broker Commissions trade costs of $8.00
12/19/18 22:16 @YMH9 MINI DOW SHORT 1 23290 12/20 0:51 23160 0.31%
Trade id #121586630
Max drawdown($90)
Time12/19/18 22:24
Quant open-1
Worst price23308
Drawdown as % of equity-0.31%
$642
Includes Typical Broker Commissions trade costs of $8.00
12/19/18 14:55 @YMH9 MINI DOW SHORT 1 23514 12/19 15:05 23221 0.06%
Trade id #121580354
Max drawdown($15)
Time12/19/18 14:57
Quant open-1
Worst price23517
Drawdown as % of equity-0.06%
$1,457
Includes Typical Broker Commissions trade costs of $8.00
12/19/18 14:24 @YMH9 MINI DOW SHORT 1 23741 12/19 14:32 23850 1.98%
Trade id #121579293
Max drawdown($545)
Time12/19/18 14:32
Quant open0
Worst price23850
Drawdown as % of equity-1.98%
($553)
Includes Typical Broker Commissions trade costs of $8.00
12/19/18 11:55 @YMH9 MINI DOW SHORT 1 23902 12/19 12:05 23958 1%
Trade id #121574231
Max drawdown($280)
Time12/19/18 12:05
Quant open0
Worst price23958
Drawdown as % of equity-1.00%
($288)
Includes Typical Broker Commissions trade costs of $8.00
12/18/18 10:03 @YMH9 MINI DOW LONG 1 23888 12/18 11:01 23823 1.79%
Trade id #121550068
Max drawdown($510)
Time12/18/18 10:47
Quant open1
Worst price23786
Drawdown as % of equity-1.79%
($333)
Includes Typical Broker Commissions trade costs of $8.00
12/18/18 3:20 @YMH9 MINI DOW SHORT 1 23716 12/18 7:45 23840 2.15%
Trade id #121543853
Max drawdown($620)
Time12/18/18 7:45
Quant open0
Worst price23840
Drawdown as % of equity-2.15%
($628)
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:16 @YMH9 MINI DOW SHORT 1 23965 12/17 10:38 23887 0.4%
Trade id #121526886
Max drawdown($115)
Time12/17/18 10:28
Quant open-1
Worst price23988
Drawdown as % of equity-0.40%
$382
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 10:09 @YMH9 MINI DOW SHORT 1 23902 12/17 10:14 23972 1.21%
Trade id #121526552
Max drawdown($350)
Time12/17/18 10:14
Quant open0
Worst price23972
Drawdown as % of equity-1.21%
($358)
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 8:19 @YMH9 MINI DOW SHORT 1 24044 12/17 9:35 23941 0.16%
Trade id #121524025
Max drawdown($45)
Time12/17/18 8:25
Quant open-1
Worst price24053
Drawdown as % of equity-0.16%
$507
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 3:09 @YMZ8 MINI DOW SHORT 1 24116 12/17 8:19 24028 0.77%
Trade id #121521677
Max drawdown($215)
Time12/17/18 5:31
Quant open-1
Worst price24159
Drawdown as % of equity-0.77%
$432
Includes Typical Broker Commissions trade costs of $8.00
12/14/18 12:17 @YMZ8 MINI DOW SHORT 1 24179 12/14 15:03 24125 1.24%
Trade id #121504511
Max drawdown($345)
Time12/14/18 13:12
Quant open-1
Worst price24248
Drawdown as % of equity-1.24%
$262
Includes Typical Broker Commissions trade costs of $8.00
12/14/18 11:42 @YMZ8 MINI DOW SHORT 1 24253 12/14 12:00 24152 n/a $497
Includes Typical Broker Commissions trade costs of $8.00
12/14/18 11:06 @YMZ8 MINI DOW SHORT 1 24341 12/14 11:36 24265 0.13%
Trade id #121501969
Max drawdown($35)
Time12/14/18 11:08
Quant open-1
Worst price24348
Drawdown as % of equity-0.13%
$372
Includes Typical Broker Commissions trade costs of $8.00
12/14/18 5:18 @YMZ8 MINI DOW SHORT 1 24329 12/14 9:04 24398 1.43%
Trade id #121496035
Max drawdown($385)
Time12/14/18 8:54
Quant open-1
Worst price24406
Drawdown as % of equity-1.43%
($353)
Includes Typical Broker Commissions trade costs of $8.00
12/13/18 11:21 @YMZ8 MINI DOW SHORT 1 24550 12/13 11:43 24645 1.72%
Trade id #121482617
Max drawdown($475)
Time12/13/18 11:43
Quant open0
Worst price24645
Drawdown as % of equity-1.72%
($483)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    4/17/2018
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    274.12
  • Age
    9 months ago
  • What it trades
    Futures
  • # Trades
    252
  • # Profitable
    133
  • % Profitable
    52.80%
  • Avg trade duration
    3.6 hours
  • Max peak-to-valley drawdown
    34.35%
  • drawdown period
    Oct 26, 2018 - Oct 30, 2018
  • Cumul. Return
    184.2%
  • Avg win
    $483.13
  • Avg loss
    $357.42
  • Model Account Values (Raw)
  • Cash
    $31,723
  • Margin Used
    $0
  • Buying Power
    $31,723
  • Ratios
  • W:L ratio
    1.51:1
  • Sharpe Ratio
    3.191
  • Sortino Ratio
    6.839
  • Calmar Ratio
    16.012
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.04200
  • Return Statistics
  • Ann Return (w trading costs)
    294.8%
  • Ann Return (Compnd, No Fees)
    362.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.00%
  • Chance of 20% account loss
    11.50%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    896
  • Popularity (Last 6 weeks)
    969
  • C2 Score
    85.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $357
  • Avg Win
    $483
  • # Winners
    133
  • # Losers
    119
  • % Winners
    52.8%
  • Frequency
  • Avg Position Time (mins)
    213.72
  • Avg Position Time (hrs)
    3.56
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.09440
  • SD
    0.96352
  • Sharpe ratio (Glass type estimate)
    2.17370
  • Sharpe ratio (Hedges UMVUE)
    1.93069
  • df
    7.00000
  • t
    1.77482
  • p
    0.05960
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53577
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.75926
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67411
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.53549
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.03960
  • Upside Potential Ratio
    22.27830
  • Upside part of mean
    2.32838
  • Downside part of mean
    -0.23398
  • Upside SD
    1.08025
  • Downside SD
    0.10451
  • N nonnegative terms
    4.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    -0.14589
  • Mean of criterion
    2.09440
  • SD of predictor
    0.12537
  • SD of criterion
    0.96352
  • Covariance
    -0.01616
  • r
    -0.13381
  • b (slope, estimate of beta)
    -1.02838
  • a (intercept, estimate of alpha)
    1.94437
  • Mean Square Error
    1.06370
  • DF error
    6.00000
  • t(b)
    -0.33074
  • p(b)
    0.62396
  • t(a)
    1.44872
  • p(a)
    0.09879
  • Lowerbound of 95% confidence interval for beta
    -8.63669
  • Upperbound of 95% confidence interval for beta
    6.57992
  • Lowerbound of 95% confidence interval for alpha
    -1.33974
  • Upperbound of 95% confidence interval for alpha
    5.22848
  • Treynor index (mean / b)
    -2.03659
  • Jensen alpha (a)
    1.94437
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.65476
  • SD
    0.77256
  • Sharpe ratio (Glass type estimate)
    2.14192
  • Sharpe ratio (Hedges UMVUE)
    1.90246
  • df
    7.00000
  • t
    1.74887
  • p
    0.06190
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56009
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.72116
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69664
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.50155
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.47840
  • Upside Potential Ratio
    17.71460
  • Upside part of mean
    1.89381
  • Downside part of mean
    -0.23906
  • Upside SD
    0.85965
  • Downside SD
    0.10691
  • N nonnegative terms
    4.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    -0.15361
  • Mean of criterion
    1.65476
  • SD of predictor
    0.12876
  • SD of criterion
    0.77256
  • Covariance
    -0.01386
  • r
    -0.13935
  • b (slope, estimate of beta)
    -0.83610
  • a (intercept, estimate of alpha)
    1.52632
  • Mean Square Error
    0.68280
  • DF error
    6.00000
  • t(b)
    -0.34470
  • p(b)
    0.62896
  • t(a)
    1.41531
  • p(a)
    0.10336
  • Lowerbound of 95% confidence interval for beta
    -6.77130
  • Upperbound of 95% confidence interval for beta
    5.09910
  • Lowerbound of 95% confidence interval for alpha
    -1.11255
  • Upperbound of 95% confidence interval for alpha
    4.16519
  • Treynor index (mean / b)
    -1.97913
  • Jensen alpha (a)
    1.52632
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20462
  • Expected Shortfall on VaR
    0.27300
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04556
  • Expected Shortfall on VaR
    0.07256
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.94931
  • Quartile 1
    0.95768
  • Median
    1.04826
  • Quartile 3
    1.35010
  • Maximum
    1.67017
  • Mean of quarter 1
    0.95055
  • Mean of quarter 2
    0.97611
  • Mean of quarter 3
    1.20520
  • Mean of quarter 4
    1.57558
  • Inter Quartile Range
    0.39242
  • 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
    2.00000
  • Minimum
    0.04821
  • Quartile 1
    0.06010
  • Median
    0.07198
  • Quartile 3
    0.08387
  • Maximum
    0.09576
  • Mean of quarter 1
    0.04821
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09576
  • Inter Quartile Range
    0.02377
  • 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)
    3.10545
  • Compounded annual return (geometric extrapolation)
    4.37986
  • Calmar ratio (compounded annual return / max draw down)
    45.73910
  • Compounded annual return / average of 25% largest draw downs
    45.73910
  • Compounded annual return / Expected Shortfall lognormal
    16.04350
  • 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
    1.71745
  • SD
    0.53612
  • Sharpe ratio (Glass type estimate)
    3.20346
  • Sharpe ratio (Hedges UMVUE)
    3.19059
  • df
    187.00000
  • t
    2.71361
  • p
    0.37687
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.86286
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.53573
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85434
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.52684
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.83899
  • Upside Potential Ratio
    13.85800
  • Upside part of mean
    3.48011
  • Downside part of mean
    -1.76266
  • Upside SD
    0.48383
  • Downside SD
    0.25113
  • N nonnegative terms
    90.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    188.00000
  • Mean of predictor
    -0.06209
  • Mean of criterion
    1.71745
  • SD of predictor
    0.16222
  • SD of criterion
    0.53612
  • Covariance
    -0.01119
  • r
    -0.12861
  • b (slope, estimate of beta)
    -0.42503
  • a (intercept, estimate of alpha)
    1.69100
  • Mean Square Error
    0.28420
  • DF error
    186.00000
  • t(b)
    -1.76863
  • p(b)
    0.56430
  • t(a)
    2.68632
  • p(a)
    0.40337
  • Lowerbound of 95% confidence interval for beta
    -0.89912
  • Upperbound of 95% confidence interval for beta
    0.04906
  • Lowerbound of 95% confidence interval for alpha
    0.44916
  • Upperbound of 95% confidence interval for alpha
    2.93296
  • Treynor index (mean / b)
    -4.04081
  • Jensen alpha (a)
    1.69106
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.57531
  • SD
    0.51943
  • Sharpe ratio (Glass type estimate)
    3.03278
  • Sharpe ratio (Hedges UMVUE)
    3.02060
  • df
    187.00000
  • t
    2.56903
  • p
    0.38313
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.69478
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.36288
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68667
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.35453
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.11447
  • Upside Potential Ratio
    13.08200
  • Upside part of mean
    3.37040
  • Downside part of mean
    -1.79510
  • Upside SD
    0.45985
  • Downside SD
    0.25764
  • N nonnegative terms
    90.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    188.00000
  • Mean of predictor
    -0.07519
  • Mean of criterion
    1.57531
  • SD of predictor
    0.16234
  • SD of criterion
    0.51943
  • Covariance
    -0.01067
  • r
    -0.12656
  • b (slope, estimate of beta)
    -0.40496
  • a (intercept, estimate of alpha)
    1.54486
  • Mean Square Error
    0.26691
  • DF error
    186.00000
  • t(b)
    -1.74006
  • p(b)
    0.56328
  • t(a)
    2.53195
  • p(a)
    0.40873
  • Lowerbound of 95% confidence interval for beta
    -0.86409
  • Upperbound of 95% confidence interval for beta
    0.05416
  • Lowerbound of 95% confidence interval for alpha
    0.34116
  • Upperbound of 95% confidence interval for alpha
    2.74855
  • Treynor index (mean / b)
    -3.89002
  • Jensen alpha (a)
    1.54486
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04569
  • Expected Shortfall on VaR
    0.05834
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01576
  • Expected Shortfall on VaR
    0.03232
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    188.00000
  • Minimum
    0.91346
  • Quartile 1
    0.99335
  • Median
    1.00000
  • Quartile 3
    1.01464
  • Maximum
    1.18149
  • Mean of quarter 1
    0.97476
  • Mean of quarter 2
    0.99855
  • Mean of quarter 3
    1.00637
  • Mean of quarter 4
    1.04697
  • Inter Quartile Range
    0.02129
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.06383
  • Mean of outliers low
    0.94909
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.07979
  • Mean of outliers high
    1.08656
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07100
  • VaR(95%) (moments method)
    0.01953
  • Expected Shortfall (moments method)
    0.02868
  • Extreme Value Index (regression method)
    -0.09466
  • VaR(95%) (regression method)
    0.02324
  • Expected Shortfall (regression method)
    0.03193
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00222
  • Quartile 1
    0.00826
  • Median
    0.01968
  • Quartile 3
    0.08857
  • Maximum
    0.24787
  • Mean of quarter 1
    0.00533
  • Mean of quarter 2
    0.01445
  • Mean of quarter 3
    0.04656
  • Mean of quarter 4
    0.15435
  • Inter Quartile Range
    0.08032
  • 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
    0.06667
  • Mean of outliers high
    0.24787
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.15027
  • VaR(95%) (moments method)
    0.17101
  • Expected Shortfall (moments method)
    0.21037
  • Extreme Value Index (regression method)
    0.73323
  • VaR(95%) (regression method)
    0.21571
  • Expected Shortfall (regression method)
    0.66995
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.00945
  • Compounded annual return (geometric extrapolation)
    3.96899
  • Calmar ratio (compounded annual return / max draw down)
    16.01220
  • Compounded annual return / average of 25% largest draw downs
    25.71430
  • Compounded annual return / Expected Shortfall lognormal
    68.03320
  • 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
    1.60649
  • SD
    0.60819
  • Sharpe ratio (Glass type estimate)
    2.64142
  • Sharpe ratio (Hedges UMVUE)
    2.62615
  • df
    130.00000
  • t
    1.86777
  • p
    0.41917
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15378
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.42678
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16397
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.41628
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.54282
  • Upside Potential Ratio
    12.89190
  • Upside part of mean
    3.73649
  • Downside part of mean
    -2.13000
  • Upside SD
    0.54122
  • Downside SD
    0.28983
  • 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
    -0.10129
  • Mean of criterion
    1.60649
  • SD of predictor
    0.18322
  • SD of criterion
    0.60819
  • Covariance
    -0.01641
  • r
    -0.14728
  • b (slope, estimate of beta)
    -0.48890
  • a (intercept, estimate of alpha)
    1.55697
  • Mean Square Error
    0.36468
  • DF error
    129.00000
  • t(b)
    -1.69122
  • p(b)
    0.59342
  • t(a)
    1.82203
  • p(a)
    0.39959
  • Lowerbound of 95% confidence interval for beta
    -1.06086
  • Upperbound of 95% confidence interval for beta
    0.08305
  • Lowerbound of 95% confidence interval for alpha
    -0.13373
  • Upperbound of 95% confidence interval for alpha
    3.24768
  • Treynor index (mean / b)
    -3.28592
  • Jensen alpha (a)
    1.55697
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.42681
  • SD
    0.58798
  • Sharpe ratio (Glass type estimate)
    2.42664
  • Sharpe ratio (Hedges UMVUE)
    2.41262
  • df
    130.00000
  • t
    1.71590
  • p
    0.42559
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36530
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.20949
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37466
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.19989
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.79250
  • Upside Potential Ratio
    12.09240
  • Upside part of mean
    3.60010
  • Downside part of mean
    -2.17330
  • Upside SD
    0.51206
  • Downside SD
    0.29772
  • 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
    -0.11798
  • Mean of criterion
    1.42681
  • SD of predictor
    0.18335
  • SD of criterion
    0.58798
  • Covariance
    -0.01569
  • r
    -0.14554
  • b (slope, estimate of beta)
    -0.46673
  • a (intercept, estimate of alpha)
    1.37174
  • Mean Square Error
    0.34102
  • DF error
    129.00000
  • t(b)
    -1.67083
  • p(b)
    0.59233
  • t(a)
    1.65968
  • p(a)
    0.40827
  • Lowerbound of 95% confidence interval for beta
    -1.01942
  • Upperbound of 95% confidence interval for beta
    0.08595
  • Lowerbound of 95% confidence interval for alpha
    -0.26353
  • Upperbound of 95% confidence interval for alpha
    3.00701
  • Treynor index (mean / b)
    -3.05702
  • Jensen alpha (a)
    1.37174
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05286
  • Expected Shortfall on VaR
    0.06704
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01941
  • Expected Shortfall on VaR
    0.03895
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91346
  • Quartile 1
    0.99235
  • Median
    1.00000
  • Quartile 3
    1.01324
  • Maximum
    1.18149
  • Mean of quarter 1
    0.97007
  • Mean of quarter 2
    0.99789
  • Mean of quarter 3
    1.00525
  • Mean of quarter 4
    1.05172
  • Inter Quartile Range
    0.02089
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.94798
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.09049
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10257
  • VaR(95%) (moments method)
    0.02254
  • Expected Shortfall (moments method)
    0.03034
  • Extreme Value Index (regression method)
    -0.28624
  • VaR(95%) (regression method)
    0.02998
  • Expected Shortfall (regression method)
    0.03844
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00440
  • Quartile 1
    0.01073
  • Median
    0.03187
  • Quartile 3
    0.10473
  • Maximum
    0.24787
  • Mean of quarter 1
    0.00697
  • Mean of quarter 2
    0.01908
  • Mean of quarter 3
    0.05936
  • Mean of quarter 4
    0.17206
  • Inter Quartile Range
    0.09400
  • 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
    0.10000
  • Mean of outliers high
    0.24787
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.49694
  • VaR(95%) (moments method)
    0.20368
  • Expected Shortfall (moments method)
    0.21137
  • Extreme Value Index (regression method)
    0.24380
  • VaR(95%) (regression method)
    0.26526
  • Expected Shortfall (regression method)
    0.40891
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.13920
  • Compounded annual return (geometric extrapolation)
    3.28325
  • Calmar ratio (compounded annual return / max draw down)
    13.24570
  • Compounded annual return / average of 25% largest draw downs
    19.08210
  • Compounded annual return / Expected Shortfall lognormal
    48.97500

Strategy Description

SYSTEM SETUP.
. Trading with strict SL, the moment trade is taken SL is set.
. Focus is on trading YM. lot size varies between (1-3) depending on volatility, range and Stop loss.
. Trade can last from few mins to 1 day. sometimes trade can be taken overnight if risk to reward is high.
. given the current volatility suggested amount is min 20000.
. expected DD are 35%. and appx. 7 losers in a row.

SYSTEM GOAL.
My Goal is to make 200-300 points, with 1 contract per month, within the DD range, my focus is on trading just 1 contract and not scaling or compounding, its all upto the client,depending on their account size and risk tolerance to scale.In rare situations i might add up to 2 or 3 contracts depending on volatility and risk.

*TRADING IS RISKY AND NOTHING IS GUARANTEED THERE IS VERY HIGH PROBABILITY OF LOSING CAPITAL*

Summary Statistics

Strategy began
2018-04-17
Suggested Minimum Capital
$30,000
# Trades
252
# Profitable
133
% Profitable
52.8%
Correlation S&P500
-0.042
Sharpe Ratio
3.191

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.