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Super Commodity
(41113199)

Created by: MicheleGiardina MicheleGiardina
Started: 06/2009
Futures
Last trade: 2,463 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. You can subscribe to this system for free.

4.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(7.8%)
Max Drawdown
304
Num Trades
39.5%
Win Trades
1.6 : 1
Profit Factor
18.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009                                   +4.4%+16.7%+0.4%+5.6%+2.0%+3.5%+0.5%+37.2%
2010(3%)+4.1%(0.8%)+0.7%(1.2%)+4.0%+1.7%(0.9%)(2.7%)  -  +0.8%(3.4%)(0.9%)
2011+2.7%+1.6%+3.3%  -  +1.9%(2.2%)+0.4%(4%)(1.1%)+0.7%+3.1%  -  +6.3%
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  +0.1%
2015+0.1%  -    -    -    -    -    -    -    -    -    -    -  +0.1%
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -                          0.0

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 120 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/13/11 20:19 @SMZ1 SOYBEAN MEAL LONG 2 301.1 11/16 14:14 296.1 0.66%
Trade id #67938414
Max drawdown($1,000)
Time11/16/11 14:14
Quant open0
Worst price296.1
Drawdown as % of equity-0.66%
($1,016)
Includes Typical Broker Commissions trade costs of $16.00
10/30/11 21:40 @YGZ1 Mini Gold NYSE Liffe SHORT 1 1732.5 10/31 16:58 1716.8 n/a $513
Includes Typical Broker Commissions trade costs of $8.00
10/31/11 0:13 @NQZ1 E-MINI NASDAQ 100 STK IDX SHORT 2 2378.25 10/31 16:58 2347.50 0.22%
Trade id #67406739
Max drawdown($320)
Time10/31/11 10:40
Quant open-2
Worst price2386.25
Drawdown as % of equity-0.22%
$1,214
Includes Typical Broker Commissions trade costs of $16.00
10/30/11 21:25 @EUZ1 EUROFX SHORT 1 1.41270 10/31 16:10 1.38330 0.08%
Trade id #67403213
Max drawdown($112)
Time10/30/11 21:29
Quant open-1
Worst price1.41360
Drawdown as % of equity-0.08%
$3,667
Includes Typical Broker Commissions trade costs of $8.00
10/18/11 3:30 @SBH2 Sugar #11 SHORT 1 27.60 10/28 11:35 26.65 0.51%
Trade id #66896502
Max drawdown($739)
Time10/19/11 7:05
Quant open-1
Worst price28.26
Drawdown as % of equity-0.51%
$1,056
Includes Typical Broker Commissions trade costs of $8.00
9/20/11 4:37 @SBV1 Sugar #11 LONG 1 28.08 9/20 12:25 27.39 0.53%
Trade id #65865457
Max drawdown($773)
Time9/20/11 12:25
Quant open0
Worst price27.39
Drawdown as % of equity-0.53%
($781)
Includes Typical Broker Commissions trade costs of $8.00
9/9/11 8:00 @OJX1 Orange Juice SHORT 1 166.75 9/20 9:47 166.75 0.28%
Trade id #65511726
Max drawdown($412)
Time9/12/11 8:16
Quant open-1
Worst price169.50
Drawdown as % of equity-0.28%
($8)
Includes Typical Broker Commissions trade costs of $8.00
9/16/11 9:07 @QMX1 MINY CRUDE OIL SHORT 1 88.900 9/19 14:58 85.775 0.25%
Trade id #65764335
Max drawdown($362)
Time9/16/11 9:27
Quant open-1
Worst price89.625
Drawdown as % of equity-0.25%
$1,555
Includes Typical Broker Commissions trade costs of $8.00
9/15/11 2:56 @QMV1 MINY CRUDE OIL SHORT 1 88.175 9/16 9:07 88.750 0.69%
Trade id #65714945
Max drawdown($1,000)
Time9/15/11 10:06
Quant open-1
Worst price90.175
Drawdown as % of equity-0.69%
($296)
Includes Typical Broker Commissions trade costs of $8.00
9/7/11 18:06 @YMZ1 MINI DOW SHORT 1 11344 9/15 17:29 11406 0.21%
Trade id #65448476
Max drawdown($310)
Time9/15/11 17:29
Quant open0
Worst price11406
Drawdown as % of equity-0.21%
($318)
Includes Typical Broker Commissions trade costs of $8.00
9/12/11 5:29 @CTZ1 COTTON - #2 LONG 1 11220 9/12 5:30 11188 0.11%
Trade id #65574163
Max drawdown($160)
Time9/12/11 5:30
Quant open0
Worst price11188
Drawdown as % of equity-0.11%
($168)
Includes Typical Broker Commissions trade costs of $8.00
9/9/11 15:11 @USZ1 US T-BOND SHORT 1 141 3/32 9/12 3:39 141 30/32 0.57%
Trade id #65535552
Max drawdown($844)
Time9/12/11 3:39
Quant open0
Worst price141 30/32
Drawdown as % of equity-0.57%
($852)
Includes Typical Broker Commissions trade costs of $8.00
9/6/11 20:32 @TYZ1 US T-NOTE 10 YR SHORT 1 130 10/64 9/9 12:10 130 63/64 0.56%
Trade id #65403750
Max drawdown($828)
Time9/9/11 12:10
Quant open0
Worst price130 63/64
Drawdown as % of equity-0.56%
($836)
Includes Typical Broker Commissions trade costs of $8.00
8/29/11 19:50 @OZ1 Oats SHORT 2 382 2/4 9/9 5:29 358 0.03%
Trade id #65137562
Max drawdown($50)
Time8/30/11 2:06
Quant open-2
Worst price383
Drawdown as % of equity-0.03%
$2,434
Includes Typical Broker Commissions trade costs of $16.00
9/7/11 18:05 @ESZ1 E-MINI S&P 500 SHORT 1 1193.25 9/7 18:13 1195.00 0.06%
Trade id #65448451
Max drawdown($88)
Time9/7/11 18:13
Quant open0
Worst price1195.00
Drawdown as % of equity-0.06%
($96)
Includes Typical Broker Commissions trade costs of $8.00
9/1/11 13:52 @NQU1 E-MINI NASDAQ 100 STK IDX SHORT 1 2221.00 9/7 18:00 2224.50 0.11%
Trade id #65264542
Max drawdown($165)
Time9/1/11 14:41
Quant open-1
Worst price2229.25
Drawdown as % of equity-0.11%
($78)
Includes Typical Broker Commissions trade costs of $8.00
9/7/11 2:55 QRBV1 RBOB Gasoline SHORT 1 2.8408 9/7 9:07 2.8524 0.33%
Trade id #65412792
Max drawdown($487)
Time9/7/11 9:07
Quant open0
Worst price2.8524
Drawdown as % of equity-0.33%
($495)
Includes Typical Broker Commissions trade costs of $8.00
9/7/11 8:20 @CTZ1 COTTON - #2 SHORT 1 10879 9/7 8:21 10901 0.07%
Trade id #65421362
Max drawdown($110)
Time9/7/11 8:21
Quant open0
Worst price10901
Drawdown as % of equity-0.07%
($118)
Includes Typical Broker Commissions trade costs of $8.00
9/7/11 8:18 @CTZ1 COTTON - #2 SHORT 1 10821 9/7 8:19 10899 0.26%
Trade id #65421317
Max drawdown($390)
Time9/7/11 8:19
Quant open0
Worst price10899
Drawdown as % of equity-0.26%
($398)
Includes Typical Broker Commissions trade costs of $8.00
8/22/11 10:05 @HEZ1 LEAN HOGS LONG 1 85.100 9/1 10:11 82.375 0.75%
Trade id #64871013
Max drawdown($1,090)
Time9/1/11 10:11
Quant open0
Worst price82.375
Drawdown as % of equity-0.75%
($1,098)
Includes Typical Broker Commissions trade costs of $8.00
8/26/11 10:30 @LEV1 LIVE CATTLE LONG 2 114.500 8/29 23:34 114.500 0.17%
Trade id #65055424
Max drawdown($260)
Time8/26/11 10:37
Quant open2
Worst price114.175
Drawdown as % of equity-0.17%
($16)
Includes Typical Broker Commissions trade costs of $16.00
8/26/11 11:26 QNGX1 Natural Gas LONG 2 4.012 8/29 20:14 3.949 0.87%
Trade id #65059051
Max drawdown($1,260)
Time8/29/11 20:14
Quant open0
Worst price3.949
Drawdown as % of equity-0.87%
($1,276)
Includes Typical Broker Commissions trade costs of $16.00
8/22/11 10:59 @BPU1 BRITISH POUND SHORT 1 1.6439 8/29 10:25 1.6439 0.55%
Trade id #64874491
Max drawdown($818)
Time8/23/11 4:46
Quant open-1
Worst price1.6570
Drawdown as % of equity-0.55%
($8)
Includes Typical Broker Commissions trade costs of $8.00
8/29/11 10:00 QRBV1 RBOB Gasoline SHORT 1 2.7993 8/29 10:15 2.8101 0.31%
Trade id #65109234
Max drawdown($454)
Time8/29/11 10:15
Quant open0
Worst price2.8101
Drawdown as % of equity-0.31%
($462)
Includes Typical Broker Commissions trade costs of $8.00
8/25/11 10:31 @SMZ1 SOYBEAN MEAL SHORT 2 371.8 8/26 10:44 376.8 0.67%
Trade id #65013893
Max drawdown($1,000)
Time8/26/11 10:44
Quant open0
Worst price376.8
Drawdown as % of equity-0.67%
($1,016)
Includes Typical Broker Commissions trade costs of $16.00
8/24/11 21:20 @WZ1 WHEAT SHORT 1 772 8/25 12:20 791 1/4 0.64%
Trade id #64990659
Max drawdown($963)
Time8/25/11 12:20
Quant open0
Worst price791 1/4
Drawdown as % of equity-0.64%
($971)
Includes Typical Broker Commissions trade costs of $8.00
8/18/11 5:17 @KWZ1 Hard Red Winter Wheat Electronic SHORT 1 838.500 8/19 11:43 838.500 0%
Trade id #64744766
Max drawdown$0
Time8/18/11 5:22
Quant open-1
Worst price838.500
Drawdown as % of equity0.00%
($8)
Includes Typical Broker Commissions trade costs of $8.00
8/12/11 9:58 @HEZ1 LEAN HOGS LONG 1 85.500 8/18 13:39 83.125 0.63%
Trade id #64562246
Max drawdown($950)
Time8/18/11 13:39
Quant open0
Worst price83.125
Drawdown as % of equity-0.63%
($958)
Includes Typical Broker Commissions trade costs of $8.00
8/9/11 18:25 @GFU1 FEEDER CATTLE LONG 1 135.425 8/17 12:02 135.425 0.37%
Trade id #64433541
Max drawdown($562)
Time8/11/11 8:42
Quant open1
Worst price134.300
Drawdown as % of equity-0.37%
($8)
Includes Typical Broker Commissions trade costs of $8.00
8/9/11 8:45 @QGU1 MINY NATURAL GAS LONG 2 3.980 8/15 9:05 3.973 0.15%
Trade id #64398671
Max drawdown($225)
Time8/9/11 9:42
Quant open2
Worst price3.935
Drawdown as % of equity-0.15%
($51)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    6/17/2009
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3340.59
  • Age
    112 months ago
  • What it trades
    Futures
  • # Trades
    304
  • # Profitable
    120
  • % Profitable
    39.50%
  • Avg trade duration
    3.3 days
  • Max peak-to-valley drawdown
    7.78%
  • drawdown period
    May 05, 2011 - Sept 15, 2011
  • Annual Return (Compounded)
    4.1%
  • Avg win
    $1,081
  • Avg loss
    $431.93
  • Model Account Values (Raw)
  • Cash
    $150,344
  • Margin Used
    $0
  • Buying Power
    $150,344
  • Ratios
  • W:L ratio
    1.63:1
  • Sharpe Ratio
    -0.048
  • Sortino Ratio
    -0.057
  • Calmar Ratio
    -0.002
  • Return Statistics
  • Ann Return (w trading costs)
    4.1%
  • Ann Return (Compnd, No Fees)
    4.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • 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)
    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
    $432
  • Avg Win
    $1,082
  • # Winners
    120
  • # Losers
    184
  • % Winners
    39.5%
  • Frequency
  • Avg Position Time (mins)
    4751.52
  • Avg Position Time (hrs)
    79.19
  • Avg Trade Length
    3.3 days
  • Last Trade Ago
    2460
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01752
  • SD
    0.14116
  • Sharpe ratio (Glass type estimate)
    -0.12409
  • Sharpe ratio (Hedges UMVUE)
    -0.12232
  • df
    53.00000
  • t
    -0.26323
  • p
    0.60330
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04776
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80072
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04655
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80191
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.14319
  • Upside Potential Ratio
    0.74901
  • Upside part of mean
    0.09162
  • Downside part of mean
    -0.10914
  • Upside SD
    0.06797
  • Downside SD
    0.12232
  • N nonnegative terms
    15.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.16837
  • Mean of criterion
    -0.01752
  • SD of predictor
    0.23291
  • SD of criterion
    0.14116
  • Covariance
    0.02092
  • r
    0.63626
  • b (slope, estimate of beta)
    0.38562
  • a (intercept, estimate of alpha)
    -0.08244
  • Mean Square Error
    0.01209
  • DF error
    52.00000
  • t(b)
    5.94720
  • p(b)
    0.00000
  • t(a)
    -1.55654
  • p(a)
    0.93718
  • Lowerbound of 95% confidence interval for beta
    0.25551
  • Upperbound of 95% confidence interval for beta
    0.51573
  • Lowerbound of 95% confidence interval for alpha
    -0.18872
  • Upperbound of 95% confidence interval for alpha
    0.02384
  • Treynor index (mean / b)
    -0.04542
  • Jensen alpha (a)
    -0.08244
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02858
  • SD
    0.15544
  • Sharpe ratio (Glass type estimate)
    -0.18384
  • Sharpe ratio (Hedges UMVUE)
    -0.18122
  • df
    53.00000
  • t
    -0.38998
  • p
    0.65094
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10759
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.74161
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10580
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74336
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20455
  • Upside Potential Ratio
    0.63867
  • Upside part of mean
    0.08922
  • Downside part of mean
    -0.11780
  • Upside SD
    0.06532
  • Downside SD
    0.13970
  • N nonnegative terms
    15.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.13727
  • Mean of criterion
    -0.02858
  • SD of predictor
    0.25458
  • SD of criterion
    0.15544
  • Covariance
    0.02782
  • r
    0.70292
  • b (slope, estimate of beta)
    0.42918
  • a (intercept, estimate of alpha)
    -0.08749
  • Mean Square Error
    0.01246
  • DF error
    52.00000
  • t(b)
    7.12642
  • p(b)
    0.00000
  • t(a)
    -1.64258
  • p(a)
    0.94675
  • Lowerbound of 95% confidence interval for beta
    0.30834
  • Upperbound of 95% confidence interval for beta
    0.55003
  • Lowerbound of 95% confidence interval for alpha
    -0.19437
  • Upperbound of 95% confidence interval for alpha
    0.01939
  • Treynor index (mean / b)
    -0.06658
  • Jensen alpha (a)
    -0.08749
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07336
  • Expected Shortfall on VaR
    0.09045
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02576
  • Expected Shortfall on VaR
    0.05720
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    54.00000
  • Minimum
    0.75007
  • Quartile 1
    0.99963
  • Median
    1.00000
  • Quartile 3
    1.00762
  • Maximum
    1.11331
  • Mean of quarter 1
    0.97128
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00042
  • Mean of quarter 4
    1.03171
  • Inter Quartile Range
    0.00800
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.09259
  • Mean of outliers low
    0.93159
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.04179
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.92487
  • VaR(95%) (moments method)
    0.00263
  • Expected Shortfall (moments method)
    0.00295
  • Extreme Value Index (regression method)
    0.69488
  • VaR(95%) (regression method)
    0.01971
  • Expected Shortfall (regression method)
    0.08464
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05840
  • Quartile 1
    0.10628
  • Median
    0.15416
  • Quartile 3
    0.20205
  • Maximum
    0.24993
  • Mean of quarter 1
    0.05840
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.24993
  • Inter Quartile Range
    0.09577
  • 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)
    -0.00067
  • Compounded annual return (geometric extrapolation)
    -0.00067
  • Calmar ratio (compounded annual return / max draw down)
    -0.00268
  • Compounded annual return / average of 25% largest draw downs
    -0.00268
  • Compounded annual return / Expected Shortfall lognormal
    -0.00739
  • 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
    -0.00902
  • SD
    0.18733
  • Sharpe ratio (Glass type estimate)
    -0.04817
  • Sharpe ratio (Hedges UMVUE)
    -0.04814
  • df
    1181.00000
  • t
    -0.10231
  • p
    0.50189
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.87460
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97090
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87462
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.05735
  • Upside Potential Ratio
    2.42219
  • Upside part of mean
    0.38108
  • Downside part of mean
    -0.39011
  • Upside SD
    0.10154
  • Downside SD
    0.15733
  • N nonnegative terms
    263.00000
  • N negative terms
    919.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1182.00000
  • Mean of predictor
    0.18429
  • Mean of criterion
    -0.00902
  • SD of predictor
    0.28260
  • SD of criterion
    0.18733
  • Covariance
    0.02488
  • r
    0.47004
  • b (slope, estimate of beta)
    0.31158
  • a (intercept, estimate of alpha)
    -0.06600
  • Mean Square Error
    0.02736
  • DF error
    1180.00000
  • t(b)
    18.29300
  • p(b)
    0.26498
  • t(a)
    -0.85250
  • p(a)
    0.51240
  • Lowerbound of 95% confidence interval for beta
    0.27816
  • Upperbound of 95% confidence interval for beta
    0.34499
  • Lowerbound of 95% confidence interval for alpha
    -0.21937
  • Upperbound of 95% confidence interval for alpha
    0.08647
  • Treynor index (mean / b)
    -0.02896
  • Jensen alpha (a)
    -0.06645
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02857
  • SD
    0.20379
  • Sharpe ratio (Glass type estimate)
    -0.14021
  • Sharpe ratio (Hedges UMVUE)
    -0.14012
  • df
    1181.00000
  • t
    -0.29781
  • p
    0.50552
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06297
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.78259
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06290
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78266
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.16036
  • Upside Potential Ratio
    2.11057
  • Upside part of mean
    0.37608
  • Downside part of mean
    -0.40465
  • Upside SD
    0.09873
  • Downside SD
    0.17819
  • N nonnegative terms
    263.00000
  • N negative terms
    919.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1182.00000
  • Mean of predictor
    0.14091
  • Mean of criterion
    -0.02857
  • SD of predictor
    0.30146
  • SD of criterion
    0.20379
  • Covariance
    0.03329
  • r
    0.54195
  • b (slope, estimate of beta)
    0.36637
  • a (intercept, estimate of alpha)
    -0.08020
  • Mean Square Error
    0.02936
  • DF error
    1180.00000
  • t(b)
    22.15160
  • p(b)
    0.22903
  • t(a)
    -0.99374
  • p(a)
    0.51446
  • Lowerbound of 95% confidence interval for beta
    0.33392
  • Upperbound of 95% confidence interval for beta
    0.39882
  • Lowerbound of 95% confidence interval for alpha
    -0.23853
  • Upperbound of 95% confidence interval for alpha
    0.07814
  • Treynor index (mean / b)
    -0.07799
  • Jensen alpha (a)
    -0.08020
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02060
  • Expected Shortfall on VaR
    0.02573
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00440
  • Expected Shortfall on VaR
    0.01008
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1182.00000
  • Minimum
    0.71920
  • Quartile 1
    0.99997
  • Median
    1.00000
  • Quartile 3
    1.00006
  • Maximum
    1.10587
  • Mean of quarter 1
    0.99437
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.00591
  • Inter Quartile Range
    0.00009
  • Number outliers low
    244.00000
  • Percentage of outliers low
    0.20643
  • Mean of outliers low
    0.99319
  • Number of outliers high
    244.00000
  • Percentage of outliers high
    0.20643
  • Mean of outliers high
    1.00715
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.79811
  • VaR(95%) (moments method)
    0.00390
  • Expected Shortfall (moments method)
    0.02240
  • Extreme Value Index (regression method)
    0.58689
  • VaR(95%) (regression method)
    0.00379
  • Expected Shortfall (regression method)
    0.01157
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.02160
  • Quartile 1
    0.03653
  • Median
    0.04341
  • Quartile 3
    0.06665
  • Maximum
    0.33687
  • Mean of quarter 1
    0.02907
  • Mean of quarter 2
    0.04341
  • Mean of quarter 3
    0.06665
  • Mean of quarter 4
    0.33687
  • Inter Quartile Range
    0.03012
  • 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
    0.20000
  • Mean of outliers high
    0.33687
  • 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)
    -0.00067
  • Compounded annual return (geometric extrapolation)
    -0.00067
  • Calmar ratio (compounded annual return / max draw down)
    -0.00198
  • Compounded annual return / average of 25% largest draw downs
    -0.00198
  • Compounded annual return / Expected Shortfall lognormal
    -0.02592
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02740
  • SD
    0.00054
  • Sharpe ratio (Glass type estimate)
    -51.17630
  • Sharpe ratio (Hedges UMVUE)
    -50.88040
  • df
    130.00000
  • t
    -36.18710
  • p
    0.97689
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -57.65780
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -44.10310
  • Statistics related to Sortino ratio
  • Sortino ratio
    -15.43820
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02740
  • Upside SD
    0.00000
  • Downside SD
    0.00177
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.66516
  • Mean of criterion
    -0.02740
  • SD of predictor
    0.20755
  • SD of criterion
    0.00054
  • Covariance
    -0.00001
  • r
    -0.08802
  • b (slope, estimate of beta)
    -0.00023
  • a (intercept, estimate of alpha)
    -0.02725
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -1.00365
  • p(b)
    0.55597
  • t(a)
    -35.29820
  • p(a)
    0.99372
  • Lowerbound of 95% confidence interval for beta
    -0.00067
  • Upperbound of 95% confidence interval for beta
    0.00022
  • Lowerbound of 95% confidence interval for alpha
    -0.02878
  • Upperbound of 95% confidence interval for alpha
    -0.02572
  • Treynor index (mean / b)
    120.67000
  • Jensen alpha (a)
    -0.02725
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02740
  • SD
    0.00054
  • Sharpe ratio (Glass type estimate)
    -51.17330
  • Sharpe ratio (Hedges UMVUE)
    -50.87750
  • df
    130.00000
  • t
    -36.18500
  • p
    0.97689
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -57.65450
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -44.10050
  • Statistics related to Sortino ratio
  • Sortino ratio
    -15.43820
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02740
  • Upside SD
    0.00000
  • Downside SD
    0.00177
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.64276
  • Mean of criterion
    -0.02740
  • SD of predictor
    0.20865
  • SD of criterion
    0.00054
  • Covariance
    -0.00001
  • r
    -0.08653
  • b (slope, estimate of beta)
    -0.00022
  • a (intercept, estimate of alpha)
    -0.02726
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.98649
  • p(b)
    0.55502
  • t(a)
    -35.35340
  • p(a)
    0.99375
  • Lowerbound of 95% confidence interval for beta
    -0.00067
  • Upperbound of 95% confidence interval for beta
    0.00022
  • Lowerbound of 95% confidence interval for alpha
    -0.02878
  • Upperbound of 95% confidence interval for alpha
    -0.02573
  • Treynor index (mean / b)
    123.39600
  • Jensen alpha (a)
    -0.02726
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00016
  • Expected Shortfall on VaR
    0.00017
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00013
  • Expected Shortfall on VaR
    0.00013
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99987
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00010
  • Mean of quarter 1
    0.99998
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00003
  • Inter Quartile Range
    0.00000
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.99995
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.15267
  • Mean of outliers high
    1.00005
  • 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
    3.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00011
  • Median
    0.00019
  • Quartile 3
    0.00021
  • Maximum
    0.00023
  • Mean of quarter 1
    0.00003
  • Mean of quarter 2
    0.00019
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00023
  • Inter Quartile Range
    0.00010
  • 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)
    0.00051
  • Compounded annual return (geometric extrapolation)
    0.00051
  • Calmar ratio (compounded annual return / max draw down)
    2.23602
  • Compounded annual return / average of 25% largest draw downs
    2.23602
  • Compounded annual return / Expected Shortfall lognormal
    2.92634

Strategy Description

----------------------------------
HISTORICAL RESULTS
----------------------------------
Download historical system results here:
http://www.coincollector.it/Super-Commodity-Portfolio_2190298.html
http://www.en.coincollector.ea23.com/Super-Commodity-Portfolio_2190454.html

------------------------------------------
ADDITIONAL INFORMATION
------------------------------------------
Subscribe our Blog "Trading Weeks" here:
http://tradingweeks.blogspot.com

See other our C2 trading systems here:
http://coincollector-blog-uk.blogspot.com

-----------
FEEDS
-----------
To read our Blog Trading Week subscribe the following feed:
http://feeds.feedburner.com/TradingWeek

To see other our C2 trading systems subscribe the following feed:
http://feeds.feedburner.com/TradingSystemsCollection

---------------------------------------------------
SUPER COMMODITY FEATURES
---------------------------------------------------
Super Commodity must be considered a pattern recognition system, a system which searches graphic formations with preselected features, that determine particular rules the system uses to manage trades.

This trading system works completely automatically searching for specific patterns around markets, those highly profitable patterns with a good success percentage. From these studies Super Commodity System was born in order to use these points as very good launch points for its trades.

Some variations of the base system were also created, and these are used to diversificate the system's utilization based on different operative needs and on financial resources available. This is wgy Super Commodity Light, Super Mixer, Super Mixer Light and Sniper Commodity were born.

On the report results of my website can be consulted based on these different variables, others are possible and customizable on specific needs of the investors. There are also some links which show real results of some system's variants as a certification of this report.

-----------------------------------------------
OUR OTHER SYSTEMS ON C2
-----------------------------------------------
See other our C2 trading systems here:
http://coincollector-blog-uk.blogspot.com

Gold Survivor Intraday Portfolio: www.collective2.com/go/survivorintradayportfolio
Gold Survivor DayTrader: www.collective2.com/go/survivordaytrader
Gold Survivor Energy Portfolio: www.collective2.com/go/survivorenergyportfolio
Gold Survivor Eurex Brk: www.collective2.com/go/eurexbrk
Gold Survivor Eurex Mini Portfolio: www.collective2.com/go/survivoreurexminiportfolio
Gold Survivor Intraday Dax: www.collective2.com/go/survivordaxintraday
Gold Survivor Intraday Euro Fx: www.collective2.com/go/survivorintraeurofx
Gold Survivor Intraday Mini S&P: www.collective2.com/go/survivores
Sniper Commodity: www.collective2.com/go/snipercommodity
Super Mixer: www.collective2.com/go/supermixer
Super Mixer Light: www.collective2.com/go/supermixerlight
Super Forex: www.collective2.com/go/superforex
Super Forex Light: www.collective2.com/go/superforexlight
Super Stocks: www.collective2.com/go/superstocks

Summary Statistics

Strategy began
2009-06-17
Suggested Minimum Capital
$30,000
# Trades
304
# Profitable
120
% Profitable
39.5%
Correlation S&P500
-0.028
Sharpe Ratio
-0.048

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.