ES Daily Cache
(117395852)
Subscription terms. Subscriptions to this system cost $269.00 per month.
Trendfollowing
Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and timeframes 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, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

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.
Started  $50,000  
Buy Power  $113,570  
Cash  $1  
Equity  $1  
Cumulative $  $63,570  
Total System Equity  $113,570  
Margined  $1  
Open P/L  $3,266  
Data has been delayed by 5 hours for nonsubscribers 
System developer has asked us to delay this information by 5 hours.
Trading Record
Statistics

Strategy began4/5/2018

Suggested Minimum Cap$100,000

Strategy Age (days)168.76

Age169 days ago

What it tradesFutures

# Trades26

# Profitable24

% Profitable92.30%

Avg trade duration5.8 days

Max peaktovalley drawdown44.65%

drawdown periodJune 13, 2018  June 28, 2018

Cumul. Return120.4%

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 ratio31.42:1

Sharpe Ratio2.445

Sortino Ratio3.984

Calmar Ratio14.598
 CORRELATION STATISTICS

Correlation to SP5000.54800
 Return Statistics

Ann Return (w trading costs)436.9%

Ann Return (Compnd, No Fees)483.5%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss71.50%

Chance of 20% account loss56.00%

Chance of 30% account loss32.50%

Chance of 40% account loss18.50%

Chance of 50% account loss7.50%
 Popularity

Popularity (Today)950

Popularity (Last 6 weeks)979

C2 Score53.1
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$1,045

Avg Win$2,736

# Winners24

# Losers2

% Winners92.3%
 Frequency

Avg Position Time (mins)8381.28

Avg Position Time (hrs)139.69

Avg Trade Length5.8 days

Last Trade Ago0
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean2.02214

SD0.56640

Sharpe ratio (Glass type estimate)3.57013

Sharpe ratio (Hedges UMVUE)2.84855

df4.00000

t2.30451

p0.04126

Lowerbound of 95% confidence interval for Sharpe Ratio0.41455

Upperbound of 95% confidence interval for Sharpe Ratio7.30772

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.77302

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.47013
 Statistics related to Sortino ratio

Sortino ratio18.20360

Upside Potential Ratio19.75280

Upside part of mean2.19423

Downside part of mean0.17209

Upside SD0.76489

Downside SD0.11108

N nonnegative terms4.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.17052

Mean of criterion2.02214

SD of predictor0.06282

SD of criterion0.56640

Covariance0.02612

r0.73402

b (slope, estimate of beta)6.61837

a (intercept, estimate of alpha)0.89358

Mean Square Error0.19729

DF error3.00000

t(b)1.87204

p(b)0.07897

t(a)0.97677

p(a)0.20036

Lowerbound of 95% confidence interval for beta4.63279

Upperbound of 95% confidence interval for beta17.86950

Lowerbound of 95% confidence interval for alpha2.01782

Upperbound of 95% confidence interval for alpha3.80497

Treynor index (mean / b)0.30553

Jensen alpha (a)0.89358
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.76653

SD0.50187

Sharpe ratio (Glass type estimate)3.51987

Sharpe ratio (Hedges UMVUE)2.80845

df4.00000

t2.27207

p0.04277

Lowerbound of 95% confidence interval for Sharpe Ratio0.44405

Upperbound of 95% confidence interval for Sharpe Ratio7.23710

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.79805

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.41495
 Statistics related to Sortino ratio

Sortino ratio15.36240

Upside Potential Ratio16.91160

Upside part of mean1.94467

Downside part of mean0.17814

Upside SD0.66957

Downside SD0.11499

N nonnegative terms4.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.16740

Mean of criterion1.76653

SD of predictor0.06176

SD of criterion0.50187

Covariance0.02288

r0.73827

b (slope, estimate of beta)5.99904

a (intercept, estimate of alpha)0.76228

Mean Square Error0.15279

DF error3.00000

t(b)1.89577

p(b)0.07714

t(a)0.94744

p(a)0.20666

Lowerbound of 95% confidence interval for beta4.07161

Upperbound of 95% confidence interval for beta16.06970

Lowerbound of 95% confidence interval for alpha1.79820

Upperbound of 95% confidence interval for alpha3.32275

Treynor index (mean / b)0.29447

Jensen alpha (a)0.76228
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08707

Expected Shortfall on VaR0.13948
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01630

Expected Shortfall on VaR0.04041
 ORDER STATISTICS
 Quartiles of return rates

Number of observations5.00000

Minimum0.93062

Quartile 11.10907

Median1.21528

Quartile 31.22791

Maximum1.37131

Mean of quarter 11.01985

Mean of quarter 21.21528

Mean of quarter 31.22791

Mean of quarter 41.37131

Inter Quartile Range0.11884

Number outliers low1.00000

Percentage of outliers low0.20000

Mean of outliers low0.93062

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations1.00000

Minimum0.06938

Quartile 10.06938

Median0.06938

Quartile 30.06938

Maximum0.06938

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)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 downs0.00000

Compounded annual return / Expected Shortfall lognormal35.96230

0.00000

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

Mean2.13925

SD0.86948

Sharpe ratio (Glass type estimate)2.46037

Sharpe ratio (Hedges UMVUE)2.44496

df120.00000

t1.67202

p0.42456

Lowerbound of 95% confidence interval for Sharpe Ratio0.44545

Upperbound of 95% confidence interval for Sharpe Ratio5.35620

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.45565

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.34557
 Statistics related to Sortino ratio

Sortino ratio3.98361

Upside Potential Ratio10.78260

Upside part of mean5.79036

Downside part of mean3.65111

Upside SD0.69198

Downside SD0.53701

N nonnegative terms71.00000

N negative terms50.00000
 Statistics related to linear regression on benchmark

N of observations121.00000

Mean of predictor0.18362

Mean of criterion2.13925

SD of predictor0.09704

SD of criterion0.86948

Covariance0.05001

r0.59271

b (slope, estimate of beta)5.31079

a (intercept, estimate of alpha)1.16400

Mean Square Error0.49454

DF error119.00000

t(b)8.02771

p(b)0.14611

t(a)1.11724

p(a)0.43525

Lowerbound of 95% confidence interval for beta4.00084

Upperbound of 95% confidence interval for beta6.62074

Lowerbound of 95% confidence interval for alpha0.89902

Upperbound of 95% confidence interval for alpha3.22714

Treynor index (mean / b)0.40281

Jensen alpha (a)1.16406
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.76151

SD0.86365

Sharpe ratio (Glass type estimate)2.03961

Sharpe ratio (Hedges UMVUE)2.02684

df120.00000

t1.38609

p0.43723

Lowerbound of 95% confidence interval for Sharpe Ratio0.86011

Upperbound of 95% confidence interval for Sharpe Ratio4.93101

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.86861

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.92229
 Statistics related to Sortino ratio

Sortino ratio3.07082

Upside Potential Ratio9.70941

Upside part of mean5.56961

Downside part of mean3.80809

Upside SD0.65002

Downside SD0.57363

N nonnegative terms71.00000

N negative terms50.00000
 Statistics related to linear regression on benchmark

N of observations121.00000

Mean of predictor0.17887

Mean of criterion1.76151

SD of predictor0.09708

SD of criterion0.86365

Covariance0.04995

r0.59576

b (slope, estimate of beta)5.30010

a (intercept, estimate of alpha)0.81348

Mean Square Error0.48520

DF error119.00000

t(b)8.09166

p(b)0.14454

t(a)0.78852

p(a)0.45414

Lowerbound of 95% confidence interval for beta4.00312

Upperbound of 95% confidence interval for beta6.59708

Lowerbound of 95% confidence interval for alpha1.22931

Upperbound of 95% confidence interval for alpha2.85627

Treynor index (mean / b)0.33236

Jensen alpha (a)0.81348
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07784

Expected Shortfall on VaR0.09800
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02784

Expected Shortfall on VaR0.05979
 ORDER STATISTICS
 Quartiles of return rates

Number of observations121.00000

Minimum0.81302

Quartile 10.98077

Median1.00638

Quartile 31.03067

Maximum1.22854

Mean of quarter 10.94925

Mean of quarter 20.99773

Mean of quarter 31.01863

Mean of quarter 41.06945

Inter Quartile Range0.04991

Number outliers low4.00000

Percentage of outliers low0.03306

Mean of outliers low0.85507

Number of outliers high4.00000

Percentage of outliers high0.03306

Mean of outliers high1.17512
 Risk estimates for a oneperiod 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 observations9.00000

Minimum0.00334

Quartile 10.02466

Median0.09958

Quartile 30.18092

Maximum0.34156

Mean of quarter 10.01176

Mean of quarter 20.09105

Mean of quarter 30.14894

Mean of quarter 40.28493

Inter Quartile Range0.15626

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)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 downs17.49880

Compounded annual return / Expected Shortfall lognormal50.87720
Strategy Description
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.
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
 Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
 Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been rescaled downward to make current goforward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
 All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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Finally, please note that you can restore public visibility at any time.
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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.