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BreadAndButter
(116705855)

Created by: ArleighWangen ArleighWangen
Started: 02/2018
Futures
Last trade: 13 days ago
Trading style: Futures Trend-following Commodities

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 $150.00 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.

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.
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
4.5%
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.

(49.0%)
Max Drawdown
58
Num Trades
87.9%
Win Trades
1.1 : 1
Profit Factor
70.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       +2.5%+10.1%+9.4%+0.8%+9.6%+12.5%+13.3%(16.8%)(17%)+6.9%+4.5%+34.1%
2019(28%)+9.8%+15.7%(5.1%)(11.6%)+3.0%                                    (21%)

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 44 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/4/19 16:53 @ESM9 E-MINI S&P 500 LONG 5 2806.25 6/4 18:00 2813.25 0.33%
Trade id #123939513
Max drawdown($187)
Time6/4/19 16:57
Quant open5
Worst price2805.50
Drawdown as % of equity-0.33%
$1,710
Includes Typical Broker Commissions trade costs of $40.00
5/23/19 4:40 @ESM9 E-MINI S&P 500 SHORT 5 2832.25 5/23 6:06 2825.25 2.2%
Trade id #123790610
Max drawdown($1,187)
Time5/23/19 4:53
Quant open-5
Worst price2837.00
Drawdown as % of equity-2.20%
$1,710
Includes Typical Broker Commissions trade costs of $40.00
5/16/19 12:18 @ESM9 E-MINI S&P 500 LONG 5 2893.25 5/22 21:10 2846.00 27.51%
Trade id #123697438
Max drawdown($15,187)
Time5/20/19 15:14
Quant open5
Worst price2832.50
Drawdown as % of equity-27.51%
($11,853)
Includes Typical Broker Commissions trade costs of $40.00
5/5/19 18:25 @ESM9 E-MINI S&P 500 SHORT 5 2900.75 5/5 19:58 2893.75 3.27%
Trade id #123533982
Max drawdown($2,062)
Time5/5/19 19:00
Quant open-5
Worst price2909.00
Drawdown as % of equity-3.27%
$1,710
Includes Typical Broker Commissions trade costs of $40.00
5/1/19 18:00 @ESM9 E-MINI S&P 500 SHORT 5 2915.75 5/2 11:42 2908.75 7.16%
Trade id #123498736
Max drawdown($4,250)
Time5/2/19 10:15
Quant open-5
Worst price2932.75
Drawdown as % of equity-7.16%
$1,710
Includes Typical Broker Commissions trade costs of $40.00
4/23/19 10:30 @ESM9 E-MINI S&P 500 LONG 5 2923.75 4/23 11:26 2930.75 1.34%
Trade id #123400692
Max drawdown($812)
Time4/23/19 10:36
Quant open5
Worst price2920.50
Drawdown as % of equity-1.34%
$1,710
Includes Typical Broker Commissions trade costs of $40.00
4/18/19 4:00 @ESM9 E-MINI S&P 500 SHORT 5 2890.50 4/23 8:07 2916.00 10.21%
Trade id #123353431
Max drawdown($6,375)
Time4/23/19 8:07
Quant open0
Worst price2916.00
Drawdown as % of equity-10.21%
($6,415)
Includes Typical Broker Commissions trade costs of $40.00
4/12/19 4:24 @ESM9 E-MINI S&P 500 LONG 5 2900.25 4/12 7:11 2907.25 0.38%
Trade id #123291437
Max drawdown($250)
Time4/12/19 4:26
Quant open5
Worst price2899.25
Drawdown as % of equity-0.38%
$1,710
Includes Typical Broker Commissions trade costs of $40.00
3/29/19 9:02 @ESM9 E-MINI S&P 500 LONG 5 2835.25 3/31 18:00 2844.50 4.82%
Trade id #123124500
Max drawdown($3,000)
Time3/29/19 10:55
Quant open5
Worst price2823.25
Drawdown as % of equity-4.82%
$2,273
Includes Typical Broker Commissions trade costs of $40.00
3/22/19 11:52 @ESM9 E-MINI S&P 500 SHORT 5 2813.50 3/22 12:43 2807.50 1.62%
Trade id #123035479
Max drawdown($1,000)
Time3/22/19 12:08
Quant open-5
Worst price2817.50
Drawdown as % of equity-1.62%
$1,460
Includes Typical Broker Commissions trade costs of $40.00
3/21/19 14:11 @ESM9 E-MINI S&P 500 LONG 5 2859.00 3/21 15:08 2866.00 0.21%
Trade id #123018481
Max drawdown($125)
Time3/21/19 14:15
Quant open5
Worst price2858.50
Drawdown as % of equity-0.21%
$1,710
Includes Typical Broker Commissions trade costs of $40.00
3/11/19 18:57 @ESM9 E-MINI S&P 500 LONG 4 2798.25 3/13 8:00 2805.25 4.44%
Trade id #122870510
Max drawdown($2,550)
Time3/12/19 7:09
Quant open4
Worst price2785.50
Drawdown as % of equity-4.44%
$1,368
Includes Typical Broker Commissions trade costs of $32.00
3/4/19 12:16 @ESM9 E-MINI S&P 500 SHORT 4 2780.25 3/4 13:05 2773.25 1.04%
Trade id #122775781
Max drawdown($600)
Time3/4/19 12:34
Quant open-4
Worst price2783.25
Drawdown as % of equity-1.04%
$1,368
Includes Typical Broker Commissions trade costs of $32.00
3/3/19 18:00 @ESH9 E-MINI S&P 500 LONG 4 2814.00 3/3 18:04 2815.50 0.8%
Trade id #122764388
Max drawdown($450)
Time3/3/19 18:02
Quant open4
Worst price2811.75
Drawdown as % of equity-0.80%
$268
Includes Typical Broker Commissions trade costs of $32.00
2/24/19 18:00 @ESH9 E-MINI S&P 500 LONG 4 2799.50 2/25 6:16 2805.25 1.82%
Trade id #122659715
Max drawdown($1,000)
Time2/24/19 21:47
Quant open4
Worst price2794.50
Drawdown as % of equity-1.82%
$1,118
Includes Typical Broker Commissions trade costs of $32.00
2/15/19 9:28 @ESH9 E-MINI S&P 500 LONG 4 2763.25 2/15 9:46 2770.25 0%
Trade id #122541385
Max drawdown$0
Time2/15/19 9:34
Quant open4
Worst price2763.25
Drawdown as % of equity0.00%
$1,368
Includes Typical Broker Commissions trade costs of $32.00
2/12/19 10:55 @ESH9 E-MINI S&P 500 LONG 4 2736.75 2/12 11:58 2743.75 0.38%
Trade id #122477919
Max drawdown($200)
Time2/12/19 10:57
Quant open4
Worst price2735.75
Drawdown as % of equity-0.38%
$1,368
Includes Typical Broker Commissions trade costs of $32.00
2/7/19 11:28 @ESH9 E-MINI S&P 500 SHORT 3 2695.25 2/7 11:34 2688.25 0.22%
Trade id #122416513
Max drawdown($112)
Time2/7/19 11:30
Quant open-3
Worst price2696.00
Drawdown as % of equity-0.22%
$1,026
Includes Typical Broker Commissions trade costs of $24.00
1/30/19 14:00 @ESH9 E-MINI S&P 500 LONG 3 2672.75 1/30 14:17 2679.75 2.8%
Trade id #122275028
Max drawdown($1,425)
Time1/30/19 14:03
Quant open3
Worst price2663.25
Drawdown as % of equity-2.80%
$1,026
Includes Typical Broker Commissions trade costs of $24.00
1/3/19 19:16 @ESH9 E-MINI S&P 500 SHORT 5 2443.00 1/4 11:01 2521.50 34.43%
Trade id #121775346
Max drawdown($19,625)
Time1/4/19 11:01
Quant open0
Worst price2521.50
Drawdown as % of equity-34.43%
($19,665)
Includes Typical Broker Commissions trade costs of $40.00
12/28/18 5:31 @ESH9 E-MINI S&P 500 LONG 5 2508.25 12/28 6:26 2515.25 2.54%
Trade id #121692776
Max drawdown($1,750)
Time12/28/18 6:08
Quant open5
Worst price2501.25
Drawdown as % of equity-2.54%
$1,710
Includes Typical Broker Commissions trade costs of $40.00
12/16/18 18:00 @ESH9 E-MINI S&P 500 SHORT 5 2595.50 12/17 9:31 2590.00 8.5%
Trade id #121517763
Max drawdown($5,312)
Time12/16/18 21:52
Quant open-5
Worst price2616.75
Drawdown as % of equity-8.50%
$1,335
Includes Typical Broker Commissions trade costs of $40.00
11/27/18 18:03 @ESZ8 E-MINI S&P 500 LONG 5 2687.50 11/28 7:00 2694.00 2.5%
Trade id #121202731
Max drawdown($1,625)
Time11/27/18 21:01
Quant open5
Worst price2681.00
Drawdown as % of equity-2.50%
$1,585
Includes Typical Broker Commissions trade costs of $40.00
11/20/18 7:30 @ESZ8 E-MINI S&P 500 SHORT 4 2671.00 11/20 7:56 2664.00 0.86%
Trade id #121069355
Max drawdown($550)
Time11/20/18 7:39
Quant open-4
Worst price2673.75
Drawdown as % of equity-0.86%
$1,368
Includes Typical Broker Commissions trade costs of $32.00
11/12/18 15:50 @ESZ8 E-MINI S&P 500 SHORT 4 2729.25 11/12 15:54 2722.50 n/a $1,318
Includes Typical Broker Commissions trade costs of $32.00
10/31/18 10:24 @ESZ8 E-MINI S&P 500 LONG 4 2724.25 10/31 13:12 2731.00 5.29%
Trade id #120641573
Max drawdown($3,200)
Time10/31/18 12:06
Quant open4
Worst price2708.25
Drawdown as % of equity-5.29%
$1,318
Includes Typical Broker Commissions trade costs of $32.00
10/22/18 20:02 @ESZ8 E-MINI S&P 500 SHORT 4 2750.15 10/22 20:15 2742.50 0.28%
Trade id #120476935
Max drawdown($169)
Time10/22/18 20:04
Quant open-4
Worst price2751.00
Drawdown as % of equity-0.28%
$1,499
Includes Typical Broker Commissions trade costs of $32.00
10/17/18 2:22 @ESZ8 E-MINI S&P 500 LONG 6 2819.25 10/21 18:29 2755.84 27.93%
Trade id #120393295
Max drawdown($19,022)
Time10/21/18 18:29
Quant open0
Worst price2755.84
Drawdown as % of equity-27.93%
($19,070)
Includes Typical Broker Commissions trade costs of $48.00
10/4/18 10:24 @ESZ8 E-MINI S&P 500 SHORT 6 2907.75 10/4 12:05 2900.75 2.15%
Trade id #120182681
Max drawdown($1,650)
Time10/4/18 11:05
Quant open-6
Worst price2913.25
Drawdown as % of equity-2.15%
$2,052
Includes Typical Broker Commissions trade costs of $48.00
10/1/18 3:38 @ESZ8 E-MINI S&P 500 LONG 6 2936.38 10/3 10:14 2943.25 8.1%
Trade id #120111450
Max drawdown($5,664)
Time10/2/18 5:14
Quant open6
Worst price2917.50
Drawdown as % of equity-8.10%
$2,013
Includes Typical Broker Commissions trade costs of $48.00

Statistics

  • Strategy began
    2/23/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    478.95
  • Age
    16 months ago
  • What it trades
    Futures
  • # Trades
    58
  • # Profitable
    51
  • % Profitable
    87.90%
  • Avg trade duration
    22.4 hours
  • Max peak-to-valley drawdown
    49.05%
  • drawdown period
    Sept 13, 2018 - Jan 30, 2019
  • Annual Return (Compounded)
    4.5%
  • Avg win
    $1,850
  • Avg loss
    $12,346
  • Model Account Values (Raw)
  • Cash
    $57,954
  • Margin Used
    $0
  • Buying Power
    $57,954
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    0.21
  • Sortino Ratio
    0.27
  • Calmar Ratio
    0.265
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.01000
  • Return Statistics
  • Ann Return (w trading costs)
    4.5%
  • Ann Return (Compnd, No Fees)
    11.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    75.50%
  • Chance of 20% account loss
    54.50%
  • Chance of 30% account loss
    25.50%
  • Chance of 40% account loss
    7.50%
  • Chance of 50% account loss
    4.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    745
  • C2 Score
    25.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $12,346
  • Avg Win
    $1,851
  • # Winners
    51
  • # Losers
    7
  • % Winners
    87.9%
  • Frequency
  • Avg Position Time (mins)
    1341.15
  • Avg Position Time (hrs)
    22.35
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    12.17
  • Daily leverage (max)
    14.53
  • Unknown
  • Alpha
    0.03
  • Beta
    0.02
  • Treynor Index
    1.06
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20556
  • SD
    0.47694
  • Sharpe ratio (Glass type estimate)
    0.43100
  • Sharpe ratio (Hedges UMVUE)
    0.40742
  • df
    14.00000
  • t
    0.48187
  • p
    0.43613
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33671
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18366
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35211
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16695
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.60046
  • Upside Potential Ratio
    2.33533
  • Upside part of mean
    0.79947
  • Downside part of mean
    -0.59391
  • Upside SD
    0.31406
  • Downside SD
    0.34234
  • N nonnegative terms
    9.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.01862
  • Mean of criterion
    0.20556
  • SD of predictor
    0.14930
  • SD of criterion
    0.47694
  • Covariance
    0.01231
  • r
    0.17284
  • b (slope, estimate of beta)
    0.55214
  • a (intercept, estimate of alpha)
    0.19528
  • Mean Square Error
    0.23765
  • DF error
    13.00000
  • t(b)
    0.63272
  • p(b)
    0.39051
  • t(a)
    0.44755
  • p(a)
    0.42178
  • Lowerbound of 95% confidence interval for beta
    -1.33308
  • Upperbound of 95% confidence interval for beta
    2.43736
  • Lowerbound of 95% confidence interval for alpha
    -0.74735
  • Upperbound of 95% confidence interval for alpha
    1.13791
  • Treynor index (mean / b)
    0.37230
  • Jensen alpha (a)
    0.19528
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09021
  • SD
    0.50551
  • Sharpe ratio (Glass type estimate)
    0.17845
  • Sharpe ratio (Hedges UMVUE)
    0.16869
  • df
    14.00000
  • t
    0.19951
  • p
    0.47338
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57894
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92958
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58547
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92284
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.23101
  • Upside Potential Ratio
    1.92690
  • Upside part of mean
    0.75243
  • Downside part of mean
    -0.66223
  • Upside SD
    0.29444
  • Downside SD
    0.39049
  • N nonnegative terms
    9.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.00798
  • Mean of criterion
    0.09021
  • SD of predictor
    0.15155
  • SD of criterion
    0.50551
  • Covariance
    0.01366
  • r
    0.17825
  • b (slope, estimate of beta)
    0.59455
  • a (intercept, estimate of alpha)
    0.08546
  • Mean Square Error
    0.26645
  • DF error
    13.00000
  • t(b)
    0.65315
  • p(b)
    0.38713
  • t(a)
    0.18509
  • p(a)
    0.46738
  • Lowerbound of 95% confidence interval for beta
    -1.37199
  • Upperbound of 95% confidence interval for beta
    2.56109
  • Lowerbound of 95% confidence interval for alpha
    -0.91208
  • Upperbound of 95% confidence interval for alpha
    1.08301
  • Treynor index (mean / b)
    0.15172
  • Jensen alpha (a)
    0.08546
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20746
  • Expected Shortfall on VaR
    0.25327
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09901
  • Expected Shortfall on VaR
    0.19784
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.74021
  • Quartile 1
    0.93963
  • Median
    1.06057
  • Quartile 3
    1.12690
  • Maximum
    1.16581
  • Mean of quarter 1
    0.83736
  • Mean of quarter 2
    1.00853
  • Mean of quarter 3
    1.10604
  • Mean of quarter 4
    1.14755
  • Inter Quartile Range
    0.18727
  • 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)
    -0.26937
  • VaR(95%) (moments method)
    0.15584
  • Expected Shortfall (moments method)
    0.19969
  • Extreme Value Index (regression method)
    -1.75544
  • VaR(95%) (regression method)
    0.19197
  • Expected Shortfall (regression method)
    0.19717
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01939
  • Quartile 1
    0.12185
  • Median
    0.22432
  • Quartile 3
    0.32678
  • Maximum
    0.42924
  • Mean of quarter 1
    0.01939
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.42924
  • Inter Quartile Range
    0.20492
  • 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)
    0.12728
  • Compounded annual return (geometric extrapolation)
    0.12537
  • Calmar ratio (compounded annual return / max draw down)
    0.29208
  • Compounded annual return / average of 25% largest draw downs
    0.29208
  • Compounded annual return / Expected Shortfall lognormal
    0.49501
  • 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
    0.15468
  • SD
    0.36045
  • Sharpe ratio (Glass type estimate)
    0.42914
  • Sharpe ratio (Hedges UMVUE)
    0.42818
  • df
    333.00000
  • t
    0.48454
  • p
    0.31416
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.30735
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16507
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.30803
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16438
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.54055
  • Upside Potential Ratio
    4.97854
  • Upside part of mean
    1.42465
  • Downside part of mean
    -1.26997
  • Upside SD
    0.21849
  • Downside SD
    0.28616
  • N nonnegative terms
    90.00000
  • N negative terms
    244.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    334.00000
  • Mean of predictor
    0.02399
  • Mean of criterion
    0.15468
  • SD of predictor
    0.15678
  • SD of criterion
    0.36045
  • Covariance
    0.00161
  • r
    0.02842
  • b (slope, estimate of beta)
    0.06534
  • a (intercept, estimate of alpha)
    0.15300
  • Mean Square Error
    0.13021
  • DF error
    332.00000
  • t(b)
    0.51805
  • p(b)
    0.30239
  • t(a)
    0.47908
  • p(a)
    0.31610
  • Lowerbound of 95% confidence interval for beta
    -0.18277
  • Upperbound of 95% confidence interval for beta
    0.31344
  • Lowerbound of 95% confidence interval for alpha
    -0.47559
  • Upperbound of 95% confidence interval for alpha
    0.78182
  • Treynor index (mean / b)
    2.36740
  • Jensen alpha (a)
    0.15312
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08791
  • SD
    0.36884
  • Sharpe ratio (Glass type estimate)
    0.23834
  • Sharpe ratio (Hedges UMVUE)
    0.23780
  • df
    333.00000
  • t
    0.26910
  • p
    0.39401
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49780
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97419
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97380
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29262
  • Upside Potential Ratio
    4.66482
  • Upside part of mean
    1.40142
  • Downside part of mean
    -1.31351
  • Upside SD
    0.21311
  • Downside SD
    0.30042
  • N nonnegative terms
    90.00000
  • N negative terms
    244.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    334.00000
  • Mean of predictor
    0.01173
  • Mean of criterion
    0.08791
  • SD of predictor
    0.15692
  • SD of criterion
    0.36884
  • Covariance
    0.00141
  • r
    0.02439
  • b (slope, estimate of beta)
    0.05732
  • a (intercept, estimate of alpha)
    0.08724
  • Mean Square Error
    0.13637
  • DF error
    332.00000
  • t(b)
    0.44447
  • p(b)
    0.32850
  • t(a)
    0.26672
  • p(a)
    0.39493
  • Lowerbound of 95% confidence interval for beta
    -0.19637
  • Upperbound of 95% confidence interval for beta
    0.31101
  • Lowerbound of 95% confidence interval for alpha
    -0.55617
  • Upperbound of 95% confidence interval for alpha
    0.73064
  • Treynor index (mean / b)
    1.53366
  • Jensen alpha (a)
    0.08724
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03646
  • Expected Shortfall on VaR
    0.04556
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01385
  • Expected Shortfall on VaR
    0.03046
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    334.00000
  • Minimum
    0.84806
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00266
  • Maximum
    1.10888
  • Mean of quarter 1
    0.98104
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00010
  • Mean of quarter 4
    1.02163
  • Inter Quartile Range
    0.00266
  • Number outliers low
    39.00000
  • Percentage of outliers low
    0.11677
  • Mean of outliers low
    0.95950
  • Number of outliers high
    77.00000
  • Percentage of outliers high
    0.23054
  • Mean of outliers high
    1.02318
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.01549
  • VaR(95%) (moments method)
    0.00334
  • Expected Shortfall (moments method)
    0.00347
  • Extreme Value Index (regression method)
    -0.03200
  • VaR(95%) (regression method)
    0.02504
  • Expected Shortfall (regression method)
    0.04920
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00059
  • Quartile 1
    0.00821
  • Median
    0.01844
  • Quartile 3
    0.03466
  • Maximum
    0.46267
  • Mean of quarter 1
    0.00342
  • Mean of quarter 2
    0.01190
  • Mean of quarter 3
    0.02099
  • Mean of quarter 4
    0.21306
  • Inter Quartile Range
    0.02645
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.28621
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.28675
  • VaR(95%) (moments method)
    0.18355
  • Expected Shortfall (moments method)
    0.34437
  • Extreme Value Index (regression method)
    2.03724
  • VaR(95%) (regression method)
    0.46493
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12480
  • Compounded annual return (geometric extrapolation)
    0.12279
  • Calmar ratio (compounded annual return / max draw down)
    0.26539
  • Compounded annual return / average of 25% largest draw downs
    0.57630
  • Compounded annual return / Expected Shortfall lognormal
    2.69501
  • 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
    -0.25152
  • SD
    0.38917
  • Sharpe ratio (Glass type estimate)
    -0.64630
  • Sharpe ratio (Hedges UMVUE)
    -0.64256
  • df
    130.00000
  • t
    -0.45700
  • p
    0.52002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.41801
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12783
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.41547
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13034
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.74970
  • Upside Potential Ratio
    3.59640
  • Upside part of mean
    1.20658
  • Downside part of mean
    -1.45811
  • Upside SD
    0.19490
  • Downside SD
    0.33550
  • N nonnegative terms
    31.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12153
  • Mean of criterion
    -0.25152
  • SD of predictor
    0.16615
  • SD of criterion
    0.38917
  • Covariance
    -0.00150
  • r
    -0.02327
  • b (slope, estimate of beta)
    -0.05452
  • a (intercept, estimate of alpha)
    -0.24490
  • Mean Square Error
    0.15255
  • DF error
    129.00000
  • t(b)
    -0.26441
  • p(b)
    0.51482
  • t(a)
    -0.44291
  • p(a)
    0.52480
  • Lowerbound of 95% confidence interval for beta
    -0.46243
  • Upperbound of 95% confidence interval for beta
    0.35340
  • Lowerbound of 95% confidence interval for alpha
    -1.33887
  • Upperbound of 95% confidence interval for alpha
    0.84908
  • Treynor index (mean / b)
    4.61382
  • Jensen alpha (a)
    -0.24490
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.33075
  • SD
    0.40459
  • Sharpe ratio (Glass type estimate)
    -0.81751
  • Sharpe ratio (Hedges UMVUE)
    -0.81278
  • df
    130.00000
  • t
    -0.57807
  • p
    0.52532
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.58953
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95753
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.58635
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96078
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.92971
  • Upside Potential Ratio
    3.33944
  • Upside part of mean
    1.18803
  • Downside part of mean
    -1.51879
  • Upside SD
    0.19051
  • Downside SD
    0.35576
  • N nonnegative terms
    31.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10783
  • Mean of criterion
    -0.33075
  • SD of predictor
    0.16587
  • SD of criterion
    0.40459
  • Covariance
    -0.00200
  • r
    -0.02985
  • b (slope, estimate of beta)
    -0.07280
  • a (intercept, estimate of alpha)
    -0.32290
  • Mean Square Error
    0.16481
  • DF error
    129.00000
  • t(b)
    -0.33913
  • p(b)
    0.51900
  • t(a)
    -0.56197
  • p(a)
    0.53145
  • Lowerbound of 95% confidence interval for beta
    -0.49752
  • Upperbound of 95% confidence interval for beta
    0.35192
  • Lowerbound of 95% confidence interval for alpha
    -1.45975
  • Upperbound of 95% confidence interval for alpha
    0.81395
  • Treynor index (mean / b)
    4.54331
  • Jensen alpha (a)
    -0.32290
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04149
  • Expected Shortfall on VaR
    0.05141
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01635
  • Expected Shortfall on VaR
    0.03591
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.84806
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.07052
  • Mean of quarter 1
    0.97823
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01838
  • Inter Quartile Range
    0.00000
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.12977
  • Mean of outliers low
    0.95774
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.23664
  • Mean of outliers high
    1.01957
  • 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)
    0.06355
  • VaR(95%) (regression method)
    0.02798
  • Expected Shortfall (regression method)
    0.05871
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04271
  • Quartile 1
    0.10157
  • Median
    0.16043
  • Quartile 3
    0.21929
  • Maximum
    0.27815
  • Mean of quarter 1
    0.04271
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.27815
  • Inter Quartile Range
    0.11772
  • 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)
    -0.28103
  • Compounded annual return (geometric extrapolation)
    -0.26129
  • Calmar ratio (compounded annual return / max draw down)
    -0.93937
  • Compounded annual return / average of 25% largest draw downs
    -0.93937
  • Compounded annual return / Expected Shortfall lognormal
    -5.08249

Strategy Description

Key Features:
-The system is based on a short-term trend following approach.
-Trades can be long or short based on the trend.
-This is purely a mechanical system with absolutely no discretionary elements.
-Trades are placed manually when signals are generated and will always have profit and stop-loss prices included, usually after the close of the U.S. markets but this may vary on occasion.
-This is not a high frequency system as it usually averages 1 trade per week.
-This system trades only the E-Mini S & P market.
-BreadAndButter has been back tested since 2008 and has produced consistent results with only 1 losing year and only has 20% losing trades.
-Based on back testing without reinvesting earnings, it has produced over 40% per year.
-Based on back testing with reinvesting earnings, it has produced over 140% per year.
-At these levels, drawdowns can be expected in the range of 10% to 30%.
-Please only trade one contract per $10,000 - $13,000 even though system says to trade more or suffer the draw-downs.
-Future results and drawdown may of course be larger or smaller.
-Back testing data is hypothetical and has not been verified by C2.
-While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose all your money, we do make an effort to control risk.
-Please message us if you have a question.

Summary Statistics

Strategy began
2018-02-23
Suggested Minimum Capital
$50,000
# Trades
58
# Profitable
51
% Profitable
87.9%
Correlation S&P500
0.010
Sharpe Ratio
0.21
Sortino Ratio
0.27
Beta
0.02
Alpha
0.03
Leverage
12.17 Average
14.53 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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.