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ES Daily Cache
(117395852)

Created by: MARKET-TREND-SIGNALS MARKET-TREND-SIGNALS
Started: 04/2018
Futures
Last trade: Yesterday
Trading style: Futures Trend-following

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 $269.00 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.
120.4%
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.

(44.7%)
Max Drawdown
26
Num Trades
92.3%
Win Trades
31.4 : 1
Profit Factor
83.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     +1.7%+22.1%(4%)+39.4%+30.0%+2.0%                  +120.4%

Model Account Details

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

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

System developer has asked us to delay this information by 5 hours.

Trading Record

This strategy has placed 117 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/19/18 14:34 @ESZ8 E-MINI S&P 500 SHORT 2 2913.75 9/20 6:46 2918.00 0.45%
Trade id #119935865
Max drawdown($500)
Time9/20/18 5:46
Quant open-2
Worst price2918.75
Drawdown as % of equity-0.45%
($441)
Includes Typical Broker Commissions trade costs of $16.00
9/17/18 7:25 @ESZ8 E-MINI S&P 500 LONG 9 2901.67 9/19 8:20 2903.87 3.1%
Trade id #119882901
Max drawdown($3,337)
Time9/17/18 19:00
Quant open3
Worst price2883.50
Drawdown as % of equity-3.10%
$920
Includes Typical Broker Commissions trade costs of $72.00
8/30/18 8:20 @ESU8 E-MINI S&P 500 LONG 8 2903.16 9/14 16:44 2899.00 15.23%
Trade id #119659833
Max drawdown($15,265)
Time9/7/18 9:33
Quant open8
Worst price2865.00
Drawdown as % of equity-15.23%
($1,729)
Includes Typical Broker Commissions trade costs of $64.00
8/27/18 8:03 @ESU8 E-MINI S&P 500 LONG 10 2896.62 8/30 5:05 2902.78 0.03%
Trade id #119601057
Max drawdown($37)
Time8/27/18 8:05
Quant open3
Worst price2885.25
Drawdown as % of equity-0.03%
$2,995
Includes Typical Broker Commissions trade costs of $80.00
8/23/18 1:52 @ESU8 E-MINI S&P 500 LONG 6 2860.17 8/24 15:04 2874.50 1.06%
Trade id #119561773
Max drawdown($1,100)
Time8/23/18 11:41
Quant open4
Worst price2854.75
Drawdown as % of equity-1.06%
$4,252
Includes Typical Broker Commissions trade costs of $48.00
8/22/18 13:12 @ESU8 E-MINI S&P 500 SHORT 2 2863.00 8/23 1:52 2860.25 0.48%
Trade id #119554954
Max drawdown($500)
Time8/22/18 14:04
Quant open-2
Worst price2868.00
Drawdown as % of equity-0.48%
$259
Includes Typical Broker Commissions trade costs of $16.00
8/22/18 2:53 @ESU8 E-MINI S&P 500 LONG 4 2855.50 8/22 13:11 2863.00 0.49%
Trade id #119544586
Max drawdown($500)
Time8/22/18 8:42
Quant open4
Worst price2853.00
Drawdown as % of equity-0.49%
$1,468
Includes Typical Broker Commissions trade costs of $32.00
8/20/18 23:19 @ESU8 E-MINI S&P 500 LONG 3 2858.50 8/21 14:39 2869.00 0.11%
Trade id #119524261
Max drawdown($112)
Time8/20/18 23:31
Quant open3
Worst price2857.75
Drawdown as % of equity-0.11%
$1,551
Includes Typical Broker Commissions trade costs of $24.00
8/20/18 2:35 @ESU8 E-MINI S&P 500 LONG 3 2855.00 8/20 8:05 2855.50 0.04%
Trade id #119506387
Max drawdown($37)
Time8/20/18 2:38
Quant open3
Worst price2854.75
Drawdown as % of equity-0.04%
$51
Includes Typical Broker Commissions trade costs of $24.00
8/8/18 7:37 @ESU8 E-MINI S&P 500 LONG 15 2845.97 8/17 15:59 2846.95 28.11%
Trade id #119335151
Max drawdown($22,850)
Time8/15/18 10:57
Quant open10
Worst price2803.00
Drawdown as % of equity-28.11%
$618
Includes Typical Broker Commissions trade costs of $120.00
7/27/18 9:41 @ESU8 E-MINI S&P 500 LONG 10 2829.35 8/7 14:32 2845.90 17.56%
Trade id #119156488
Max drawdown($13,950)
Time7/30/18 12:50
Quant open8
Worst price2798.25
Drawdown as % of equity-17.56%
$8,195
Includes Typical Broker Commissions trade costs of $80.00
6/12/18 2:37 @ESU8 E-MINI S&P 500 LONG 66 2774.70 7/27 5:16 2777.80 64.89%
Trade id #118382624
Max drawdown($32,874)
Time6/28/18 8:37
Quant open9
Worst price2693.25
Drawdown as % of equity-64.89%
$9,697
Includes Typical Broker Commissions trade costs of $528.00
6/8/18 5:46 @ESU8 E-MINI S&P 500 LONG 4 2761.25 6/11 14:35 2790.00 0.72%
Trade id #118327729
Max drawdown($550)
Time6/8/18 5:55
Quant open4
Worst price2758.50
Drawdown as % of equity-0.72%
$5,718
Includes Typical Broker Commissions trade costs of $32.00
5/22/18 3:07 @ESM8 E-MINI S&P 500 LONG 16 2721.00 6/8 1:43 2726.53 26.71%
Trade id #118035666
Max drawdown($15,850)
Time5/29/18 11:44
Quant open9
Worst price2689.25
Drawdown as % of equity-26.71%
$4,297
Includes Typical Broker Commissions trade costs of $128.00
5/16/18 23:46 @ESM8 E-MINI S&P 500 LONG 6 2722.08 5/21 15:33 2729.00 5.82%
Trade id #117970215
Max drawdown($4,000)
Time5/18/18 10:41
Quant open6
Worst price2708.75
Drawdown as % of equity-5.82%
$2,027
Includes Typical Broker Commissions trade costs of $48.00
5/15/18 11:23 @ESM8 E-MINI S&P 500 LONG 4 2712.00 5/16 15:46 2719.00 3.45%
Trade id #117942579
Max drawdown($2,300)
Time5/15/18 15:28
Quant open4
Worst price2700.50
Drawdown as % of equity-3.45%
$1,368
Includes Typical Broker Commissions trade costs of $32.00
5/10/18 13:49 @ESM8 E-MINI S&P 500 SHORT 3 2731.08 5/15 11:22 2726.83 2.25%
Trade id #117880679
Max drawdown($1,487)
Time5/14/18 0:44
Quant open-3
Worst price2741.00
Drawdown as % of equity-2.25%
$614
Includes Typical Broker Commissions trade costs of $24.00
4/18/18 14:19 @ESM8 E-MINI S&P 500 LONG 28 2664.33 5/10 13:47 2671.07 69.02%
Trade id #117566966
Max drawdown($28,996)
Time5/3/18 10:57
Quant open8
Worst price2591.25
Drawdown as % of equity-69.02%
$9,214
Includes Typical Broker Commissions trade costs of $224.00
4/17/18 6:21 @ESM8 E-MINI S&P 500 LONG 2 2694.75 4/17 13:58 2706.00 0.4%
Trade id #117538076
Max drawdown($225)
Time4/17/18 9:38
Quant open2
Worst price2692.50
Drawdown as % of equity-0.40%
$1,109
Includes Typical Broker Commissions trade costs of $16.00
4/16/18 23:25 @ESM8 E-MINI S&P 500 LONG 2 2688.50 4/17 3:29 2689.75 0.09%
Trade id #117535516
Max drawdown($50)
Time4/16/18 23:27
Quant open2
Worst price2688.00
Drawdown as % of equity-0.09%
$109
Includes Typical Broker Commissions trade costs of $16.00
4/13/18 13:30 @ESM8 E-MINI S&P 500 LONG 4 2667.38 4/16 14:31 2682.25 4.39%
Trade id #117508078
Max drawdown($2,300)
Time4/13/18 15:20
Quant open2
Worst price2644.75
Drawdown as % of equity-4.39%
$2,943
Includes Typical Broker Commissions trade costs of $32.00
4/11/18 1:48 @ESM8 E-MINI S&P 500 LONG 6 2645.00 4/13 11:11 2652.75 6.98%
Trade id #117458785
Max drawdown($3,450)
Time4/11/18 7:21
Quant open4
Worst price2626.00
Drawdown as % of equity-6.98%
$2,277
Includes Typical Broker Commissions trade costs of $48.00
4/10/18 10:19 @ESM8 E-MINI S&P 500 LONG 1 2648.00 4/10 14:56 2656.25 1.26%
Trade id #117446773
Max drawdown($650)
Time4/10/18 12:28
Quant open1
Worst price2635.00
Drawdown as % of equity-1.26%
$405
Includes Typical Broker Commissions trade costs of $8.00
4/9/18 2:25 @ESM8 E-MINI S&P 500 LONG 1 2623.25 4/9 14:32 2644.50 1.01%
Trade id #117418961
Max drawdown($500)
Time4/9/18 9:41
Quant open1
Worst price2613.25
Drawdown as % of equity-1.01%
$1,055
Includes Typical Broker Commissions trade costs of $8.00
4/5/18 22:36 @ESM8 E-MINI S&P 500 LONG 1 2636.00 4/6 8:07 2636.50 0.62%
Trade id #117395903
Max drawdown($312)
Time4/6/18 1:35
Quant open1
Worst price2629.75
Drawdown as % of equity-0.62%
$17
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    4/5/2018
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    168.76
  • Age
    169 days ago
  • What it trades
    Futures
  • # Trades
    26
  • # Profitable
    24
  • % Profitable
    92.30%
  • Avg trade duration
    5.8 days
  • Max peak-to-valley drawdown
    44.65%
  • drawdown period
    June 13, 2018 - June 28, 2018
  • Cumul. Return
    120.4%
  • Avg win
    $2,735
  • Avg loss
    $1,045
  • Model Account Values (Raw)
  • Cash
    $113,570
  • Margin Used
    $0
  • Buying Power
    $113,570
  • Ratios
  • W:L ratio
    31.42:1
  • Sharpe Ratio
    2.445
  • Sortino Ratio
    3.984
  • Calmar Ratio
    14.598
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.54800
  • Return Statistics
  • Ann Return (w trading costs)
    436.9%
  • Ann Return (Compnd, No Fees)
    483.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    71.50%
  • Chance of 20% account loss
    56.00%
  • Chance of 30% account loss
    32.50%
  • Chance of 40% account loss
    18.50%
  • Chance of 50% account loss
    7.50%
  • Popularity
  • Popularity (Today)
    950
  • Popularity (Last 6 weeks)
    979
  • C2 Score
    53.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,045
  • Avg Win
    $2,736
  • # Winners
    24
  • # Losers
    2
  • % Winners
    92.3%
  • Frequency
  • Avg Position Time (mins)
    8381.28
  • Avg Position Time (hrs)
    139.69
  • Avg Trade Length
    5.8 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
    2.02214
  • SD
    0.56640
  • Sharpe ratio (Glass type estimate)
    3.57013
  • Sharpe ratio (Hedges UMVUE)
    2.84855
  • df
    4.00000
  • t
    2.30451
  • p
    0.04126
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41455
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.30772
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77302
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.47013
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.20360
  • Upside Potential Ratio
    19.75280
  • Upside part of mean
    2.19423
  • Downside part of mean
    -0.17209
  • Upside SD
    0.76489
  • Downside SD
    0.11108
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.17052
  • Mean of criterion
    2.02214
  • SD of predictor
    0.06282
  • SD of criterion
    0.56640
  • Covariance
    0.02612
  • r
    0.73402
  • b (slope, estimate of beta)
    6.61837
  • a (intercept, estimate of alpha)
    0.89358
  • Mean Square Error
    0.19729
  • DF error
    3.00000
  • t(b)
    1.87204
  • p(b)
    0.07897
  • t(a)
    0.97677
  • p(a)
    0.20036
  • Lowerbound of 95% confidence interval for beta
    -4.63279
  • Upperbound of 95% confidence interval for beta
    17.86950
  • Lowerbound of 95% confidence interval for alpha
    -2.01782
  • Upperbound of 95% confidence interval for alpha
    3.80497
  • Treynor index (mean / b)
    0.30553
  • Jensen alpha (a)
    0.89358
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.76653
  • SD
    0.50187
  • Sharpe ratio (Glass type estimate)
    3.51987
  • Sharpe ratio (Hedges UMVUE)
    2.80845
  • df
    4.00000
  • t
    2.27207
  • p
    0.04277
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44405
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.23710
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79805
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.41495
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.36240
  • Upside Potential Ratio
    16.91160
  • Upside part of mean
    1.94467
  • Downside part of mean
    -0.17814
  • Upside SD
    0.66957
  • Downside SD
    0.11499
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.16740
  • Mean of criterion
    1.76653
  • SD of predictor
    0.06176
  • SD of criterion
    0.50187
  • Covariance
    0.02288
  • r
    0.73827
  • b (slope, estimate of beta)
    5.99904
  • a (intercept, estimate of alpha)
    0.76228
  • Mean Square Error
    0.15279
  • DF error
    3.00000
  • t(b)
    1.89577
  • p(b)
    0.07714
  • t(a)
    0.94744
  • p(a)
    0.20666
  • Lowerbound of 95% confidence interval for beta
    -4.07161
  • Upperbound of 95% confidence interval for beta
    16.06970
  • Lowerbound of 95% confidence interval for alpha
    -1.79820
  • Upperbound of 95% confidence interval for alpha
    3.32275
  • Treynor index (mean / b)
    0.29447
  • Jensen alpha (a)
    0.76228
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08707
  • Expected Shortfall on VaR
    0.13948
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01630
  • Expected Shortfall on VaR
    0.04041
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.93062
  • Quartile 1
    1.10907
  • Median
    1.21528
  • Quartile 3
    1.22791
  • Maximum
    1.37131
  • Mean of quarter 1
    1.01985
  • Mean of quarter 2
    1.21528
  • Mean of quarter 3
    1.22791
  • Mean of quarter 4
    1.37131
  • Inter Quartile Range
    0.11884
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.93062
  • 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
    1.00000
  • Minimum
    0.06938
  • Quartile 1
    0.06938
  • Median
    0.06938
  • Quartile 3
    0.06938
  • Maximum
    0.06938
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.66903
  • Compounded annual return (geometric extrapolation)
    5.01606
  • Calmar ratio (compounded annual return / max draw down)
    72.30220
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    35.96230
  • 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
    2.13925
  • SD
    0.86948
  • Sharpe ratio (Glass type estimate)
    2.46037
  • Sharpe ratio (Hedges UMVUE)
    2.44496
  • df
    120.00000
  • t
    1.67202
  • p
    0.42456
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44545
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.35620
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45565
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.34557
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.98361
  • Upside Potential Ratio
    10.78260
  • Upside part of mean
    5.79036
  • Downside part of mean
    -3.65111
  • Upside SD
    0.69198
  • Downside SD
    0.53701
  • N nonnegative terms
    71.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    121.00000
  • Mean of predictor
    0.18362
  • Mean of criterion
    2.13925
  • SD of predictor
    0.09704
  • SD of criterion
    0.86948
  • Covariance
    0.05001
  • r
    0.59271
  • b (slope, estimate of beta)
    5.31079
  • a (intercept, estimate of alpha)
    1.16400
  • Mean Square Error
    0.49454
  • DF error
    119.00000
  • t(b)
    8.02771
  • p(b)
    0.14611
  • t(a)
    1.11724
  • p(a)
    0.43525
  • Lowerbound of 95% confidence interval for beta
    4.00084
  • Upperbound of 95% confidence interval for beta
    6.62074
  • Lowerbound of 95% confidence interval for alpha
    -0.89902
  • Upperbound of 95% confidence interval for alpha
    3.22714
  • Treynor index (mean / b)
    0.40281
  • Jensen alpha (a)
    1.16406
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.76151
  • SD
    0.86365
  • Sharpe ratio (Glass type estimate)
    2.03961
  • Sharpe ratio (Hedges UMVUE)
    2.02684
  • df
    120.00000
  • t
    1.38609
  • p
    0.43723
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86011
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.93101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86861
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.92229
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.07082
  • Upside Potential Ratio
    9.70941
  • Upside part of mean
    5.56961
  • Downside part of mean
    -3.80809
  • Upside SD
    0.65002
  • Downside SD
    0.57363
  • N nonnegative terms
    71.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    121.00000
  • Mean of predictor
    0.17887
  • Mean of criterion
    1.76151
  • SD of predictor
    0.09708
  • SD of criterion
    0.86365
  • Covariance
    0.04995
  • r
    0.59576
  • b (slope, estimate of beta)
    5.30010
  • a (intercept, estimate of alpha)
    0.81348
  • Mean Square Error
    0.48520
  • DF error
    119.00000
  • t(b)
    8.09166
  • p(b)
    0.14454
  • t(a)
    0.78852
  • p(a)
    0.45414
  • Lowerbound of 95% confidence interval for beta
    4.00312
  • Upperbound of 95% confidence interval for beta
    6.59708
  • Lowerbound of 95% confidence interval for alpha
    -1.22931
  • Upperbound of 95% confidence interval for alpha
    2.85627
  • Treynor index (mean / b)
    0.33236
  • Jensen alpha (a)
    0.81348
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07784
  • Expected Shortfall on VaR
    0.09800
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02784
  • Expected Shortfall on VaR
    0.05979
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    121.00000
  • Minimum
    0.81302
  • Quartile 1
    0.98077
  • Median
    1.00638
  • Quartile 3
    1.03067
  • Maximum
    1.22854
  • Mean of quarter 1
    0.94925
  • Mean of quarter 2
    0.99773
  • Mean of quarter 3
    1.01863
  • Mean of quarter 4
    1.06945
  • Inter Quartile Range
    0.04991
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03306
  • Mean of outliers low
    0.85507
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03306
  • Mean of outliers high
    1.17512
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51244
  • VaR(95%) (moments method)
    0.05581
  • Expected Shortfall (moments method)
    0.12448
  • Extreme Value Index (regression method)
    0.43970
  • VaR(95%) (regression method)
    0.03891
  • Expected Shortfall (regression method)
    0.06915
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00334
  • Quartile 1
    0.02466
  • Median
    0.09958
  • Quartile 3
    0.18092
  • Maximum
    0.34156
  • Mean of quarter 1
    0.01176
  • Mean of quarter 2
    0.09105
  • Mean of quarter 3
    0.14894
  • Mean of quarter 4
    0.28493
  • Inter Quartile Range
    0.15626
  • 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)
    -1.38792
  • VaR(95%) (moments method)
    0.29899
  • Expected Shortfall (moments method)
    0.30889
  • Extreme Value Index (regression method)
    0.25701
  • VaR(95%) (regression method)
    0.37524
  • Expected Shortfall (regression method)
    0.55739
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.78262
  • Compounded annual return (geometric extrapolation)
    4.98598
  • Calmar ratio (compounded annual return / max draw down)
    14.59780
  • Compounded annual return / average of 25% largest draw downs
    17.49880
  • Compounded annual return / Expected Shortfall lognormal
    50.87720

Strategy Description

With over a decade of trading experience, we developed a software system many years ago which can accurately show buying and selling signals for trading stock and futures markets. We use signals generated from this computer system for predicting the Dow Jones e-mini market trend (YM) and had set up A Strategy for YM for trading YM futures, ES Daily Cache for trading e-mini ES futures and UDOW Trend Signals for trading DJIA ETFs in an IRA friendly way. The current strategy is for trading e-mini ES futures for S&P 500. Concepts of Nobel Prize winners have been incorporated in our algorithm.

Besides issuing trading signals to our subscribers, we also trade our own account according to these signals. We recommend the use of an autotrade desk to execute trades accordingly. It will minimise the hardship of monitoring the market when one is not readily available to do the trades.

The trades can be reversed when an opposite signal is given, so the trade is almost always on.

Normally the average no. of ES contracts traded is 3 to 4 for each trade and there could be 4 trades in a day, with positions lessened closer to the end of trading days, depending on market conditions. To cater to volatile market conditions, please always reserve contingency funds for a total of 6 to 7 contracts to leverage the market. The margin required is around $50,000 on average. Please set your scaling factor as 50% or less if you wish to trade a maximum of 3 contracts only, each contract requiring margin around $8000 if you trade with Interactive Brokers.

Summary Statistics

Strategy began
2018-04-05
Suggested Minimum Capital
$100,000
# Trades
26
# Profitable
24
% Profitable
92.3%
Correlation S&P500
0.548
Sharpe Ratio
2.445

Latest Activity

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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.