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MICRO TRADES
(122115528)

Created by: MICROTRADES MICROTRADES
Started: 01/2019
Futures
Last trade: 74 days ago

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 $200.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

-19.7%
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.

(30.6%)
Max Drawdown
116
Num Trades
76.7%
Win Trades
0.8 : 1
Profit Factor
33.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019+7.8%(2.8%)+3.4%(24.4%)(2%)  -                                      (19.7%)

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 188 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/1/19 12:03 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 2 7481.50 4/3 16:00 7564.62 26.37%
Trade id #123154454
Max drawdown($3,460)
Time4/2/19 21:49
Quant open-2
Worst price7568.00
Drawdown as % of equity-26.37%
($3,341)
Includes Typical Broker Commissions trade costs of $16.00
4/1/19 10:53 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7458.25 4/1 11:02 7467.75 0.1%
Trade id #123152451
Max drawdown($15)
Time4/1/19 10:55
Quant open1
Worst price7457.50
Drawdown as % of equity-0.10%
$182
Includes Typical Broker Commissions trade costs of $8.00
3/31/19 23:31 @ESM9 E-MINI S&P 500 SHORT 1 2857.00 4/1 2:54 2855.75 0.26%
Trade id #123145302
Max drawdown($37)
Time3/31/19 23:38
Quant open-1
Worst price2857.75
Drawdown as % of equity-0.26%
$55
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 10:30 @ESM9 E-MINI S&P 500 LONG 0.250000000 2837.00 3/31 23:17 2858.00 4.36%
Trade id #123031503
Max drawdown($593)
Time3/25/19 14:28
Quant open0
Worst price2789.50
Drawdown as % of equity-4.36%
$261
Includes Typical Broker Commissions trade costs of $2.00
3/22/19 10:00 @ESM9 E-MINI S&P 500 LONG 0.250000000 2833.50 3/22 10:19 2840.25 0.01%
Trade id #123030380
Max drawdown($1)
Time3/22/19 10:06
Quant open0
Worst price2831.25
Drawdown as % of equity-0.01%
$82
Includes Typical Broker Commissions trade costs of $2.00
3/21/19 14:03 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 0.250000000 7496.50 3/22 8:19 7491.50 0.09%
Trade id #123018334
Max drawdown($12)
Time3/21/19 20:17
Quant open0
Worst price7544.75
Drawdown as % of equity-0.09%
$23
Includes Typical Broker Commissions trade costs of $2.00
3/21/19 14:08 @ESM9 E-MINI S&P 500 SHORT 0.250000000 2857.50 3/22 5:21 2848.50 0.04%
Trade id #123018427
Max drawdown($5)
Time3/21/19 15:09
Quant open0
Worst price2866.00
Drawdown as % of equity-0.04%
$111
Includes Typical Broker Commissions trade costs of $2.00
3/19/19 13:52 @ESM9 E-MINI S&P 500 SHORT 0.250000000 2846.75 3/19 13:59 2846.50 0%
Trade id #122974802
Max drawdown($0)
Time3/19/19 13:54
Quant open0
Worst price2847.50
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commissions trade costs of $2.00
3/6/19 9:42 @ESH9 E-MINI S&P 500 SHORT 0.250000000 2786.25 3/6 9:52 2782.75 0.01%
Trade id #122802822
Max drawdown($0)
Time3/6/19 9:45
Quant open0
Worst price2787.50
Drawdown as % of equity-0.01%
$42
Includes Typical Broker Commissions trade costs of $2.00
3/5/19 10:07 @ESH9 E-MINI S&P 500 SHORT 0.250000000 2791.25 3/5 10:11 2788.00 n/a $39
Includes Typical Broker Commissions trade costs of $2.00
3/4/19 9:32 @ESH9 E-MINI S&P 500 SHORT 0.250000000 2815.75 3/4 10:13 2810.25 0.01%
Trade id #122770960
Max drawdown($1)
Time3/4/19 9:43
Quant open0
Worst price2817.50
Drawdown as % of equity-0.01%
$67
Includes Typical Broker Commissions trade costs of $2.00
3/1/19 9:34 @ESH9 E-MINI S&P 500 SHORT 0.250000000 2806.00 3/1 10:03 2804.12 0.01%
Trade id #122747655
Max drawdown($1)
Time3/1/19 9:46
Quant open0
Worst price2808.25
Drawdown as % of equity-0.01%
$21
Includes Typical Broker Commissions trade costs of $2.00
2/28/19 9:30 @ESH9 E-MINI S&P 500 SHORT 0.250000000 2788.00 2/28 10:08 2785.50 0.02%
Trade id #122730814
Max drawdown($3)
Time2/28/19 9:48
Quant open0
Worst price2793.25
Drawdown as % of equity-0.02%
$29
Includes Typical Broker Commissions trade costs of $2.00
2/27/19 14:47 @ESH9 E-MINI S&P 500 SHORT 0.250000000 2794.00 2/27 15:07 2792.75 0%
Trade id #122720820
Max drawdown($0)
Time2/27/19 14:52
Quant open0
Worst price2794.75
Drawdown as % of equity-0.00%
$14
Includes Typical Broker Commissions trade costs of $2.00
2/27/19 10:36 @ESH9 E-MINI S&P 500 LONG 0.250000000 2778.33 2/27 10:41 2781.50 n/a $38
Includes Typical Broker Commissions trade costs of $2.00
2/25/19 10:59 @NQH9 E-MINI NASDAQ 100 STK IDX SHORT 0.250000000 7163.34 2/25 11:25 7158.45 0.01%
Trade id #122668523
Max drawdown($1)
Time2/25/19 11:08
Quant open0
Worst price7168.50
Drawdown as % of equity-0.01%
$22
Includes Typical Broker Commissions trade costs of $2.00
2/25/19 9:36 @NQH9 E-MINI NASDAQ 100 STK IDX SHORT 0.250000000 7158.46 2/25 9:56 7153.12 0.02%
Trade id #122666685
Max drawdown($2)
Time2/25/19 9:46
Quant open0
Worst price7167.75
Drawdown as % of equity-0.02%
$25
Includes Typical Broker Commissions trade costs of $2.00
2/21/19 15:34 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 0.250000000 7019.22 2/21 15:39 7022.07 0.01%
Trade id #122631073
Max drawdown($0)
Time2/21/19 15:36
Quant open0
Worst price7016.50
Drawdown as % of equity-0.01%
$12
Includes Typical Broker Commissions trade costs of $2.00
2/21/19 14:45 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 0.500000000 7027.37 2/21 15:09 7029.69 0.03%
Trade id #122629467
Max drawdown($4)
Time2/21/19 14:53
Quant open0
Worst price7015.25
Drawdown as % of equity-0.03%
$19
Includes Typical Broker Commissions trade costs of $4.00
2/21/19 14:27 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 0.250000000 7033.88 2/21 14:33 7034.05 0%
Trade id #122628879
Max drawdown($0)
Time2/21/19 14:29
Quant open0
Worst price7032.50
Drawdown as % of equity-0.00%
($1)
Includes Typical Broker Commissions trade costs of $2.00
2/21/19 12:31 @NQH9 E-MINI NASDAQ 100 STK IDX SHORT 0.250000000 7062.75 2/21 13:17 7064.02 0.01%
Trade id #122624904
Max drawdown($1)
Time2/21/19 12:34
Quant open0
Worst price7069.50
Drawdown as % of equity-0.01%
($8)
Includes Typical Broker Commissions trade costs of $2.00
2/21/19 9:31 @ESH9 E-MINI S&P 500 LONG 0.250000000 2780.25 2/21 11:16 2775.73 0.05%
Trade id #122618156
Max drawdown($7)
Time2/21/19 10:13
Quant open0
Worst price2769.00
Drawdown as % of equity-0.05%
($58)
Includes Typical Broker Commissions trade costs of $2.00
2/21/19 9:36 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 0.250000000 7052.61 2/21 11:15 7041.22 0.09%
Trade id #122618502
Max drawdown($11)
Time2/21/19 10:15
Quant open0
Worst price7005.00
Drawdown as % of equity-0.09%
($59)
Includes Typical Broker Commissions trade costs of $2.00
2/20/19 8:45 @ESH9 E-MINI S&P 500 LONG 0.250000000 2778.00 2/20 9:23 2779.97 0%
Trade id #122598944
Max drawdown($0)
Time2/20/19 8:47
Quant open0
Worst price2777.75
Drawdown as % of equity-0.00%
$23
Includes Typical Broker Commissions trade costs of $2.00
2/19/19 13:32 @NQH9 E-MINI NASDAQ 100 STK IDX SHORT 0.250000000 7074.26 2/19 13:53 7075.75 0.01%
Trade id #122589211
Max drawdown($1)
Time2/19/19 13:48
Quant open0
Worst price7079.50
Drawdown as % of equity-0.01%
($9)
Includes Typical Broker Commissions trade costs of $2.00
2/19/19 10:34 @NQH9 E-MINI NASDAQ 100 STK IDX SHORT 0.250000000 7065.92 2/19 11:33 7068.50 0.02%
Trade id #122585497
Max drawdown($2)
Time2/19/19 11:08
Quant open0
Worst price7075.00
Drawdown as % of equity-0.02%
($15)
Includes Typical Broker Commissions trade costs of $2.00
2/19/19 10:11 @ESH9 E-MINI S&P 500 LONG 0.250000000 2775.80 2/19 10:21 2776.05 0%
Trade id #122585055
Max drawdown($0)
Time2/19/19 10:20
Quant open0
Worst price2775.75
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commissions trade costs of $2.00
2/19/19 10:05 @ESH9 E-MINI S&P 500 LONG 0.250000000 2775.74 2/19 10:07 2775.25 0%
Trade id #122584942
Max drawdown($0)
Time2/19/19 10:07
Quant open0
Worst price2774.75
Drawdown as % of equity-0.00%
($8)
Includes Typical Broker Commissions trade costs of $2.00
2/15/19 14:45 @ESH9 E-MINI S&P 500 LONG 0.250000000 2770.00 2/15 14:52 2769.75 0%
Trade id #122551934
Max drawdown($0)
Time2/15/19 14:48
Quant open0
Worst price2769.50
Drawdown as % of equity-0.00%
($5)
Includes Typical Broker Commissions trade costs of $2.00
2/15/19 14:38 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 0.250000000 7047.65 2/15 14:43 7048.55 0%
Trade id #122551831
Max drawdown($0)
Time2/15/19 14:42
Quant open0
Worst price7047.00
Drawdown as % of equity-0.00%
$3
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    1/22/2019
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    140.06
  • Age
    145 days ago
  • What it trades
    Futures
  • # Trades
    116
  • # Profitable
    89
  • % Profitable
    76.70%
  • Avg trade duration
    3.1 hours
  • Max peak-to-valley drawdown
    30.65%
  • drawdown period
    Feb 13, 2019 - April 03, 2019
  • Cumul. Return
    -19.7%
  • Avg win
    $40.28
  • Avg loss
    $175.74
  • Model Account Values (Raw)
  • Cash
    $11,340
  • Margin Used
    $0
  • Buying Power
    $11,340
  • Ratios
  • W:L ratio
    0.76:1
  • Sharpe Ratio
    -1.4
  • Sortino Ratio
    -1.45
  • Calmar Ratio
    -1.487
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.00990
  • Return Statistics
  • Ann Return (w trading costs)
    -42.8%
  • Ann Return (Compnd, No Fees)
    -21.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    92.00%
  • Chance of 20% account loss
    23.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    781
  • 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
    $176
  • Avg Win
    $40
  • # Winners
    89
  • # Losers
    27
  • % Winners
    76.7%
  • Frequency
  • Avg Position Time (mins)
    185.15
  • Avg Position Time (hrs)
    3.09
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    69
  • Unknown
  • Alpha
    -0.14
  • Beta
    -0.03
  • Treynor Index
    5.54
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.38724
  • SD
    0.44691
  • Sharpe ratio (Glass type estimate)
    -0.86648
  • Sharpe ratio (Hedges UMVUE)
    -0.48886
  • df
    2.00000
  • t
    -0.43324
  • p
    0.64646
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.77074
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22556
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.43795
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.46023
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.09453
  • Upside Potential Ratio
    0.90547
  • Upside part of mean
    0.32035
  • Downside part of mean
    -0.70759
  • Upside SD
    0.14310
  • Downside SD
    0.35380
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.33748
  • Mean of criterion
    -0.38724
  • SD of predictor
    0.07887
  • SD of criterion
    0.44691
  • Covariance
    0.01037
  • r
    0.29413
  • b (slope, estimate of beta)
    1.66662
  • a (intercept, estimate of alpha)
    -0.94969
  • Mean Square Error
    0.36491
  • DF error
    1.00000
  • t(b)
    0.30774
  • p(b)
    0.40497
  • t(a)
    -0.43347
  • p(a)
    0.63020
  • Lowerbound of 95% confidence interval for beta
    -67.14680
  • Upperbound of 95% confidence interval for beta
    70.48010
  • Lowerbound of 95% confidence interval for alpha
    -28.78770
  • Upperbound of 95% confidence interval for alpha
    26.88840
  • Treynor index (mean / b)
    -0.23235
  • Jensen alpha (a)
    -0.94969
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.46684
  • SD
    0.47703
  • Sharpe ratio (Glass type estimate)
    -0.97864
  • Sharpe ratio (Hedges UMVUE)
    -0.55214
  • df
    2.00000
  • t
    -0.48932
  • p
    0.66349
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.89345
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14542
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.50923
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40496
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.20210
  • Upside Potential Ratio
    0.79790
  • Upside part of mean
    0.30987
  • Downside part of mean
    -0.77671
  • Upside SD
    0.13801
  • Downside SD
    0.38835
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.33010
  • Mean of criterion
    -0.46684
  • SD of predictor
    0.07647
  • SD of criterion
    0.47703
  • Covariance
    0.00964
  • r
    0.26422
  • b (slope, estimate of beta)
    1.64820
  • a (intercept, estimate of alpha)
    -1.01092
  • Mean Square Error
    0.42334
  • DF error
    1.00000
  • t(b)
    0.27396
  • p(b)
    0.41489
  • t(a)
    -0.42577
  • p(a)
    0.62813
  • Lowerbound of 95% confidence interval for beta
    -74.79570
  • Upperbound of 95% confidence interval for beta
    78.09210
  • Lowerbound of 95% confidence interval for alpha
    -31.17990
  • Upperbound of 95% confidence interval for alpha
    29.15810
  • Treynor index (mean / b)
    -0.28324
  • Jensen alpha (a)
    -1.01092
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.23311
  • Expected Shortfall on VaR
    0.27507
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10735
  • Expected Shortfall on VaR
    0.20210
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.82543
  • Quartile 1
    0.91844
  • Median
    1.01145
  • Quartile 3
    1.04237
  • Maximum
    1.07330
  • Mean of quarter 1
    0.82543
  • Mean of quarter 2
    1.01145
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.07330
  • Inter Quartile Range
    0.12393
  • 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
    1.00000
  • Minimum
    0.17457
  • Quartile 1
    0.17457
  • Median
    0.17457
  • Quartile 3
    0.17457
  • Maximum
    0.17457
  • 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)
    -0.41571
  • Compounded annual return (geometric extrapolation)
    -0.35528
  • Calmar ratio (compounded annual return / max draw down)
    -2.03514
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.29160
  • 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
    -0.34672
  • SD
    0.33260
  • Sharpe ratio (Glass type estimate)
    -1.04244
  • Sharpe ratio (Hedges UMVUE)
    -1.03199
  • df
    75.00000
  • t
    -0.56145
  • p
    0.71192
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.68191
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60390
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.67481
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61084
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.09804
  • Upside Potential Ratio
    2.26752
  • Upside part of mean
    0.71600
  • Downside part of mean
    -1.06272
  • Upside SD
    0.09961
  • Downside SD
    0.31576
  • N nonnegative terms
    32.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    76.00000
  • Mean of predictor
    0.29742
  • Mean of criterion
    -0.34672
  • SD of predictor
    0.13557
  • SD of criterion
    0.33260
  • Covariance
    0.00051
  • r
    0.01121
  • b (slope, estimate of beta)
    0.02751
  • a (intercept, estimate of alpha)
    -0.35500
  • Mean Square Error
    0.11210
  • DF error
    74.00000
  • t(b)
    0.09647
  • p(b)
    0.46171
  • t(a)
    -0.56565
  • p(a)
    0.71333
  • Lowerbound of 95% confidence interval for beta
    -0.54073
  • Upperbound of 95% confidence interval for beta
    0.59576
  • Lowerbound of 95% confidence interval for alpha
    -1.60508
  • Upperbound of 95% confidence interval for alpha
    0.89527
  • Treynor index (mean / b)
    -12.60300
  • Jensen alpha (a)
    -0.35490
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.40620
  • SD
    0.35373
  • Sharpe ratio (Glass type estimate)
    -1.14831
  • Sharpe ratio (Hedges UMVUE)
    -1.13679
  • df
    75.00000
  • t
    -0.61847
  • p
    0.73093
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.78828
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49916
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.78042
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50683
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.20104
  • Upside Potential Ratio
    2.10235
  • Upside part of mean
    0.71103
  • Downside part of mean
    -1.11723
  • Upside SD
    0.09863
  • Downside SD
    0.33821
  • N nonnegative terms
    32.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    76.00000
  • Mean of predictor
    0.28818
  • Mean of criterion
    -0.40620
  • SD of predictor
    0.13540
  • SD of criterion
    0.35373
  • Covariance
    0.00044
  • r
    0.00929
  • b (slope, estimate of beta)
    0.02427
  • a (intercept, estimate of alpha)
    -0.41319
  • Mean Square Error
    0.12681
  • DF error
    74.00000
  • t(b)
    0.07991
  • p(b)
    0.46826
  • t(a)
    -0.61953
  • p(a)
    0.73127
  • Lowerbound of 95% confidence interval for beta
    -0.58084
  • Upperbound of 95% confidence interval for beta
    0.62938
  • Lowerbound of 95% confidence interval for alpha
    -1.74210
  • Upperbound of 95% confidence interval for alpha
    0.91572
  • Treynor index (mean / b)
    -16.73720
  • Jensen alpha (a)
    -0.41319
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03680
  • Expected Shortfall on VaR
    0.04553
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00986
  • Expected Shortfall on VaR
    0.02291
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    76.00000
  • Minimum
    0.85153
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00252
  • Maximum
    1.02815
  • Mean of quarter 1
    0.98402
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00115
  • Mean of quarter 4
    1.00996
  • Inter Quartile Range
    0.00252
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.10526
  • Mean of outliers low
    0.96235
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.13158
  • Mean of outliers high
    1.01492
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.96825
  • VaR(95%) (moments method)
    0.00423
  • Expected Shortfall (moments method)
    0.18469
  • Extreme Value Index (regression method)
    1.13190
  • VaR(95%) (regression method)
    0.01352
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05085
  • Quartile 1
    0.09108
  • Median
    0.13131
  • Quartile 3
    0.17154
  • Maximum
    0.21177
  • Mean of quarter 1
    0.05085
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.21177
  • Inter Quartile Range
    0.08046
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.35827
  • Compounded annual return (geometric extrapolation)
    -0.31497
  • Calmar ratio (compounded annual return / max draw down)
    -1.48732
  • Compounded annual return / average of 25% largest draw downs
    -1.48732
  • Compounded annual return / Expected Shortfall lognormal
    -6.91833

Strategy Description

MICRO-TRADE (MT) in a nutshell:
• Trades E-mini of “S&P 500 and NASDAQ 100 “.
• MT is a Day-Trading strategy. All open trades will be closed automatically when US markets close and this feature is enabled on C2.
• The maximum number of contracts traded won’t exceed 10 contracts.
• Base lot size is 5. Trades may be executed in any of the following format (5x1 or 5x2 or 10x1).
• MT strongly suggest that all subscribers to set a Max Limit @ C2 client side to avoid accidental trades or Fat-Finger situation. If you follow MT at 100% scaling, then set Max = 10; likewise, if you are on 20% scaling, set Max = 2. If you have larger portfolio, set Max size according to your scaling level.
• Subscribers are expected to do their home-work on scaling and Risk management if necessary. If you need help, please contact through C2 message centre.
• Money manager of MT cannot guarantee any profit target or loss limit but will work on the interest of the subscribers within his capacity.
• MT aims to execute between 2 to 5 trades each working day.
• All trades are executed by humans. No open trades left unattended.
• MT will try to address any issues with subscribers professionally, politely and in friendly manner and expects the same from subscribers.
• MT aims to produce 10% /month ROR and MT assumes that all subscribers understand the potential “RISK” involved in Futures trading and past performance DOES NOT guarantee future profits.
• Hedging, Loss-limit, Profit-Target may be practiced but it is at the discretion of the Manager.
• Information on how trading decisions are made will not be available in public.
• No free trial provided. No coupons provided.

We appreciate your interest in MICRO TRADE.

Summary Statistics

Strategy began
2019-01-22
Suggested Minimum Capital
$25,000
# Trades
116
# Profitable
89
% Profitable
76.7%
Correlation S&P500
-0.010
Sharpe Ratio
-1.40
Sortino Ratio
-1.45
Beta
-0.03
Alpha
-0.14

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.