Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
This is an archived track record. This track record was archived on 12/4/18 15:40 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

DAILY E MINI
(117395852)

Created by: MARKET-TREND-SIGNALS MARKET-TREND-SIGNALS
Started: 04/2018
Futures
Last trade: 1,953 days ago
Trading style: Futures Trend-following

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $269.00 per month.

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.
-
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.

(100.0%)
Max Drawdown
28
Num Trades
89.3%
Win Trades
0.5 : 1
Profit Factor
6.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     +1.6%+22.0%(4%)+39.4%+30.1%+3.9%(71.7%)(135.6%)(2.7%)(123.2%)
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        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 5 hours.

Trading Record

This strategy has placed 144 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/4/18 5:52 @ESZ8 E-MINI S&P 500 LONG 19 2795.30 11/22 13:18 2668.31 1743.12%
Trade id #120178039
Max drawdown($120,641)
Time11/22/18 13:18
Quant open18
Worst price2633.00
Drawdown as % of equity1743.12%
($120,793)
Includes Typical Broker Commissions trade costs of $152.00
9/24/18 4:30 @ESZ8 E-MINI S&P 500 LONG 6 2928.58 10/3 15:00 2929.08 5.7%
Trade id #119997235
Max drawdown($6,325)
Time9/26/18 15:49
Quant open6
Worst price2907.50
Drawdown as % of equity-5.70%
$102
Includes Typical Broker Commissions trade costs of $48.00
9/20/18 6:46 @ESZ8 E-MINI S&P 500 LONG 3 2918.23 9/21 14:16 2937.25 0.13%
Trade id #119942594
Max drawdown($146)
Time9/20/18 7:00
Quant open3
Worst price2917.25
Drawdown as % of equity-0.13%
$2,829
Includes Typical Broker Commissions trade costs of $24.00
9/19/18 14:34 @ESZ8 E-MINI S&P 500 SHORT 2 2913.75 9/20 6:46 2918.00 0.45%
Trade id #119935865
Max drawdown($500)
Time9/20/18 5:46
Quant open-2
Worst price2918.75
Drawdown as % of equity-0.45%
($441)
Includes Typical Broker Commissions trade costs of $16.00
9/17/18 7:25 @ESZ8 E-MINI S&P 500 LONG 9 2901.67 9/19 8:20 2903.87 3.1%
Trade id #119882901
Max drawdown($3,337)
Time9/17/18 19:00
Quant open3
Worst price2883.50
Drawdown as % of equity-3.10%
$920
Includes Typical Broker Commissions trade costs of $72.00
8/30/18 8:20 @ESU8 E-MINI S&P 500 LONG 8 2903.16 9/14 16:44 2899.00 15.23%
Trade id #119659833
Max drawdown($15,265)
Time9/7/18 9:33
Quant open8
Worst price2865.00
Drawdown as % of equity-15.23%
($1,729)
Includes Typical Broker Commissions trade costs of $64.00
8/27/18 8:03 @ESU8 E-MINI S&P 500 LONG 10 2896.62 8/30 5:05 2902.78 0.03%
Trade id #119601057
Max drawdown($37)
Time8/27/18 8:05
Quant open3
Worst price2885.25
Drawdown as % of equity-0.03%
$2,995
Includes Typical Broker Commissions trade costs of $80.00
8/23/18 1:52 @ESU8 E-MINI S&P 500 LONG 6 2860.17 8/24 15:04 2874.50 1.06%
Trade id #119561773
Max drawdown($1,100)
Time8/23/18 11:41
Quant open4
Worst price2854.75
Drawdown as % of equity-1.06%
$4,252
Includes Typical Broker Commissions trade costs of $48.00
8/22/18 13:12 @ESU8 E-MINI S&P 500 SHORT 2 2863.00 8/23 1:52 2860.25 0.48%
Trade id #119554954
Max drawdown($500)
Time8/22/18 14:04
Quant open-2
Worst price2868.00
Drawdown as % of equity-0.48%
$259
Includes Typical Broker Commissions trade costs of $16.00
8/22/18 2:53 @ESU8 E-MINI S&P 500 LONG 4 2855.50 8/22 13:11 2863.00 0.49%
Trade id #119544586
Max drawdown($500)
Time8/22/18 8:42
Quant open4
Worst price2853.00
Drawdown as % of equity-0.49%
$1,468
Includes Typical Broker Commissions trade costs of $32.00
8/20/18 23:19 @ESU8 E-MINI S&P 500 LONG 3 2858.50 8/21 14:39 2869.00 0.11%
Trade id #119524261
Max drawdown($112)
Time8/20/18 23:31
Quant open3
Worst price2857.75
Drawdown as % of equity-0.11%
$1,551
Includes Typical Broker Commissions trade costs of $24.00
8/20/18 2:35 @ESU8 E-MINI S&P 500 LONG 3 2855.00 8/20 8:05 2855.50 0.04%
Trade id #119506387
Max drawdown($37)
Time8/20/18 2:38
Quant open3
Worst price2854.75
Drawdown as % of equity-0.04%
$51
Includes Typical Broker Commissions trade costs of $24.00
8/8/18 7:37 @ESU8 E-MINI S&P 500 LONG 15 2845.97 8/17 15:59 2846.95 28.11%
Trade id #119335151
Max drawdown($22,850)
Time8/15/18 10:57
Quant open10
Worst price2803.00
Drawdown as % of equity-28.11%
$618
Includes Typical Broker Commissions trade costs of $120.00
7/27/18 9:41 @ESU8 E-MINI S&P 500 LONG 10 2829.35 8/7 14:32 2845.90 17.56%
Trade id #119156488
Max drawdown($13,950)
Time7/30/18 12:50
Quant open8
Worst price2798.25
Drawdown as % of equity-17.56%
$8,195
Includes Typical Broker Commissions trade costs of $80.00
6/12/18 2:37 @ESU8 E-MINI S&P 500 LONG 66 2774.70 7/27 5:16 2777.80 64.89%
Trade id #118382624
Max drawdown($32,874)
Time6/28/18 8:37
Quant open9
Worst price2693.25
Drawdown as % of equity-64.89%
$9,697
Includes Typical Broker Commissions trade costs of $528.00
6/8/18 5:46 @ESU8 E-MINI S&P 500 LONG 4 2761.25 6/11 14:35 2790.00 0.72%
Trade id #118327729
Max drawdown($550)
Time6/8/18 5:55
Quant open4
Worst price2758.50
Drawdown as % of equity-0.72%
$5,718
Includes Typical Broker Commissions trade costs of $32.00
5/22/18 3:07 @ESM8 E-MINI S&P 500 LONG 16 2721.00 6/8 1:43 2726.53 26.71%
Trade id #118035666
Max drawdown($15,850)
Time5/29/18 11:44
Quant open9
Worst price2689.25
Drawdown as % of equity-26.71%
$4,297
Includes Typical Broker Commissions trade costs of $128.00
5/16/18 23:46 @ESM8 E-MINI S&P 500 LONG 6 2722.08 5/21 15:33 2729.00 5.82%
Trade id #117970215
Max drawdown($4,000)
Time5/18/18 10:41
Quant open6
Worst price2708.75
Drawdown as % of equity-5.82%
$2,027
Includes Typical Broker Commissions trade costs of $48.00
5/15/18 11:23 @ESM8 E-MINI S&P 500 LONG 4 2712.00 5/16 15:46 2719.00 3.45%
Trade id #117942579
Max drawdown($2,300)
Time5/15/18 15:28
Quant open4
Worst price2700.50
Drawdown as % of equity-3.45%
$1,368
Includes Typical Broker Commissions trade costs of $32.00
5/10/18 13:49 @ESM8 E-MINI S&P 500 SHORT 3 2731.08 5/15 11:22 2726.83 2.25%
Trade id #117880679
Max drawdown($1,487)
Time5/14/18 0:44
Quant open-3
Worst price2741.00
Drawdown as % of equity-2.25%
$614
Includes Typical Broker Commissions trade costs of $24.00
4/18/18 14:19 @ESM8 E-MINI S&P 500 LONG 28 2664.33 5/10 13:47 2671.07 69.02%
Trade id #117566966
Max drawdown($28,996)
Time5/3/18 10:57
Quant open8
Worst price2591.25
Drawdown as % of equity-69.02%
$9,214
Includes Typical Broker Commissions trade costs of $224.00
4/17/18 6:21 @ESM8 E-MINI S&P 500 LONG 2 2694.75 4/17 13:58 2706.00 0.4%
Trade id #117538076
Max drawdown($225)
Time4/17/18 9:38
Quant open2
Worst price2692.50
Drawdown as % of equity-0.40%
$1,109
Includes Typical Broker Commissions trade costs of $16.00
4/16/18 23:25 @ESM8 E-MINI S&P 500 LONG 2 2688.50 4/17 3:29 2689.75 0.09%
Trade id #117535516
Max drawdown($50)
Time4/16/18 23:27
Quant open2
Worst price2688.00
Drawdown as % of equity-0.09%
$109
Includes Typical Broker Commissions trade costs of $16.00
4/13/18 13:30 @ESM8 E-MINI S&P 500 LONG 4 2667.38 4/16 14:31 2682.25 4.39%
Trade id #117508078
Max drawdown($2,300)
Time4/13/18 15:20
Quant open2
Worst price2644.75
Drawdown as % of equity-4.39%
$2,943
Includes Typical Broker Commissions trade costs of $32.00
4/11/18 1:48 @ESM8 E-MINI S&P 500 LONG 6 2645.00 4/13 11:11 2652.75 6.98%
Trade id #117458785
Max drawdown($3,450)
Time4/11/18 7:21
Quant open4
Worst price2626.00
Drawdown as % of equity-6.98%
$2,277
Includes Typical Broker Commissions trade costs of $48.00
4/10/18 10:19 @ESM8 E-MINI S&P 500 LONG 1 2648.00 4/10 14:56 2656.25 1.26%
Trade id #117446773
Max drawdown($650)
Time4/10/18 12:28
Quant open1
Worst price2635.00
Drawdown as % of equity-1.26%
$405
Includes Typical Broker Commissions trade costs of $8.00
4/9/18 2:25 @ESM8 E-MINI S&P 500 LONG 1 2623.25 4/9 14:32 2644.50 1.01%
Trade id #117418961
Max drawdown($500)
Time4/9/18 9:41
Quant open1
Worst price2613.25
Drawdown as % of equity-1.01%
$1,055
Includes Typical Broker Commissions trade costs of $8.00
4/5/18 22:36 @ESM8 E-MINI S&P 500 LONG 1 2636.00 4/6 8:07 2636.50 0.62%
Trade id #117395903
Max drawdown($312)
Time4/6/18 1:35
Quant open1
Worst price2629.75
Drawdown as % of equity-0.62%
$17
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    4/5/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2180.81
  • Age
    73 months ago
  • What it trades
    Futures
  • # Trades
    28
  • # Profitable
    25
  • % Profitable
    89.30%
  • Avg trade duration
    7.5 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Nov 20, 2018 - Dec 02, 2018
  • Cumul. Return
    -122.6%
  • Avg win
    $2,632
  • Avg loss
    $40,910
  • Model Account Values (Raw)
  • Cash
    ($6,922)
  • Margin Used
    $0
  • Buying Power
    ($6,922)
  • Ratios
  • W:L ratio
    0.54:1
  • Sharpe Ratio
    -0.39
  • Sortino Ratio
    -0.52
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -124.80%
  • Correlation to SP500
    0.46410
  • Return Percent SP500 (cumu) during strategy life
    97.10%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.92%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -1.226%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    648
  • Popularity (Last 6 weeks)
    974
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    807
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $40,910
  • Avg Win
    $2,632
  • Sum Trade PL (losers)
    $122,731.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $65,810.000
  • # Winners
    25
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    3
  • % Winners
    89.3%
  • Frequency
  • Avg Position Time (mins)
    10806.00
  • Avg Position Time (hrs)
    180.10
  • Avg Trade Length
    7.5 days
  • Last Trade Ago
    1950
  • Regression
  • Alpha
    0.00
  • Beta
    7.52
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.10
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    87.98
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    77.56
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.68
  • MAE:Equity, average, winning trades
    0.10
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -4.899
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    2.164
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.111
  • Hold-and-Hope Ratio
    -0.204
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49119
  • SD
    1.10420
  • Sharpe ratio (Glass type estimate)
    0.44484
  • Sharpe ratio (Hedges UMVUE)
    0.38640
  • df
    6.00000
  • t
    0.33975
  • p
    0.37281
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15097
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00495
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18909
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96189
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61521
  • Upside Potential Ratio
    2.06498
  • Upside part of mean
    1.64869
  • Downside part of mean
    -1.15750
  • Upside SD
    0.65401
  • Downside SD
    0.79840
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.06266
  • Mean of criterion
    0.49119
  • SD of predictor
    0.09515
  • SD of criterion
    1.10420
  • Covariance
    0.09723
  • r
    0.92545
  • b (slope, estimate of beta)
    10.73990
  • a (intercept, estimate of alpha)
    -0.18172
  • Mean Square Error
    0.21001
  • DF error
    5.00000
  • t(b)
    5.46211
  • p(b)
    0.00140
  • t(a)
    -0.29667
  • p(a)
    0.61068
  • Lowerbound of 95% confidence interval for beta
    5.68528
  • Upperbound of 95% confidence interval for beta
    15.79460
  • Lowerbound of 95% confidence interval for alpha
    -1.75634
  • Upperbound of 95% confidence interval for alpha
    1.39290
  • Treynor index (mean / b)
    0.04573
  • Jensen alpha (a)
    -0.18172
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25002
  • SD
    1.45660
  • Sharpe ratio (Glass type estimate)
    -0.17165
  • Sharpe ratio (Hedges UMVUE)
    -0.14910
  • df
    6.00000
  • t
    -0.13110
  • p
    0.55001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.73267
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40322
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.71668
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41848
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20451
  • Upside Potential Ratio
    1.20173
  • Upside part of mean
    1.46920
  • Downside part of mean
    -1.71922
  • Upside SD
    0.57371
  • Downside SD
    1.22256
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.05861
  • Mean of criterion
    -0.25002
  • SD of predictor
    0.09549
  • SD of criterion
    1.45660
  • Covariance
    0.12685
  • r
    0.91202
  • b (slope, estimate of beta)
    13.91180
  • a (intercept, estimate of alpha)
    -1.06535
  • Mean Square Error
    0.42832
  • DF error
    5.00000
  • t(b)
    4.97206
  • p(b)
    0.00210
  • t(a)
    -1.22112
  • p(a)
    0.86176
  • Lowerbound of 95% confidence interval for beta
    6.71902
  • Upperbound of 95% confidence interval for beta
    21.10450
  • Lowerbound of 95% confidence interval for alpha
    -3.30812
  • Upperbound of 95% confidence interval for alpha
    1.17741
  • Treynor index (mean / b)
    -0.01797
  • Jensen alpha (a)
    -1.06535
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.50957
  • Expected Shortfall on VaR
    0.58390
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.14648
  • Expected Shortfall on VaR
    0.33810
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.39417
  • Quartile 1
    0.98439
  • Median
    1.10907
  • Quartile 3
    1.22160
  • Maximum
    1.37131
  • Mean of quarter 1
    0.66240
  • Mean of quarter 2
    1.07362
  • Mean of quarter 3
    1.21528
  • Mean of quarter 4
    1.29961
  • Inter Quartile Range
    0.23720
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.39417
  • 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
    2.00000
  • Minimum
    0.06938
  • Quartile 1
    0.20349
  • Median
    0.33760
  • Quartile 3
    0.47172
  • Maximum
    0.60583
  • Mean of quarter 1
    0.06938
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.60583
  • Inter Quartile Range
    0.26823
  • 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)
    -0.23264
  • Compounded annual return (geometric extrapolation)
    -0.22122
  • Calmar ratio (compounded annual return / max draw down)
    -0.36514
  • Compounded annual return / average of 25% largest draw downs
    -0.36514
  • Compounded annual return / Expected Shortfall lognormal
    -0.37886
  • 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
    242.36900
  • SD
    199.05400
  • Sharpe ratio (Glass type estimate)
    1.21760
  • Sharpe ratio (Hedges UMVUE)
    1.21229
  • df
    172.00000
  • t
    0.98942
  • p
    0.46239
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19955
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63129
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62768
  • Statistics related to Sortino ratio
  • Sortino ratio
    119.48400
  • Upside Potential Ratio
    124.50300
  • Upside part of mean
    252.55100
  • Downside part of mean
    -10.18190
  • Upside SD
    199.03100
  • Downside SD
    2.02847
  • N nonnegative terms
    93.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    173.00000
  • Mean of predictor
    0.04269
  • Mean of criterion
    242.36900
  • SD of predictor
    0.13831
  • SD of criterion
    199.05400
  • Covariance
    0.85235
  • r
    0.03096
  • b (slope, estimate of beta)
    44.55670
  • a (intercept, estimate of alpha)
    115.02000
  • Mean Square Error
    39815.90000
  • DF error
    171.00000
  • t(b)
    0.40504
  • p(b)
    0.48029
  • t(a)
    0.97908
  • p(a)
    0.45251
  • Lowerbound of 95% confidence interval for beta
    -172.58600
  • Upperbound of 95% confidence interval for beta
    261.70000
  • Lowerbound of 95% confidence interval for alpha
    -244.33900
  • Upperbound of 95% confidence interval for alpha
    725.27300
  • Treynor index (mean / b)
    5.43956
  • Jensen alpha (a)
    240.46700
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -16.38410
  • SD
    15.47130
  • Sharpe ratio (Glass type estimate)
    -1.05900
  • Sharpe ratio (Hedges UMVUE)
    -1.05437
  • df
    172.00000
  • t
    -0.86053
  • p
    0.53274
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.47212
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35705
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.46894
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36019
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.16311
  • Upside Potential Ratio
    1.03596
  • Upside part of mean
    14.59310
  • Downside part of mean
    -30.97730
  • Upside SD
    6.36968
  • Downside SD
    14.08650
  • N nonnegative terms
    93.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    173.00000
  • Mean of predictor
    0.03314
  • Mean of criterion
    -16.38410
  • SD of predictor
    0.13869
  • SD of criterion
    15.47130
  • Covariance
    0.42672
  • r
    0.19887
  • b (slope, estimate of beta)
    22.18410
  • a (intercept, estimate of alpha)
    -17.11940
  • Mean Square Error
    231.24100
  • DF error
    171.00000
  • t(b)
    2.65352
  • p(b)
    0.37424
  • t(a)
    -0.91471
  • p(a)
    0.54439
  • Lowerbound of 95% confidence interval for beta
    5.68152
  • Upperbound of 95% confidence interval for beta
    38.68670
  • Lowerbound of 95% confidence interval for alpha
    -54.06310
  • Upperbound of 95% confidence interval for alpha
    19.82420
  • Treynor index (mean / b)
    -0.73855
  • Jensen alpha (a)
    -17.11940
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.80499
  • Expected Shortfall on VaR
    0.86199
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08188
  • Expected Shortfall on VaR
    0.18688
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    173.00000
  • Minimum
    0.00004
  • Quartile 1
    0.97534
  • Median
    1.00000
  • Quartile 3
    1.02843
  • Maximum
    162.72700
  • Mean of quarter 1
    0.85595
  • Mean of quarter 2
    0.99105
  • Mean of quarter 3
    1.01311
  • Mean of quarter 4
    4.86505
  • Inter Quartile Range
    0.05310
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.10405
  • Mean of outliers low
    0.71734
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.06358
  • Mean of outliers high
    15.95570
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.81981
  • VaR(95%) (moments method)
    0.12929
  • Expected Shortfall (moments method)
    0.78007
  • Extreme Value Index (regression method)
    0.33615
  • VaR(95%) (regression method)
    0.09957
  • Expected Shortfall (regression method)
    0.18986
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00334
  • Quartile 1
    0.02771
  • Median
    0.09958
  • Quartile 3
    0.20461
  • Maximum
    0.99999
  • Mean of quarter 1
    0.01176
  • Mean of quarter 2
    0.07095
  • Mean of quarter 3
    0.14894
  • Mean of quarter 4
    0.52329
  • Inter Quartile Range
    0.17691
  • 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
    0.09091
  • Mean of outliers high
    0.99999
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.09127
  • VaR(95%) (moments method)
    0.51350
  • Expected Shortfall (moments method)
    0.70424
  • Extreme Value Index (regression method)
    1.53952
  • VaR(95%) (regression method)
    1.08850
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.51442
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    -1.91100
  • Compounded annual return / Expected Shortfall lognormal
    -1.16010
  • 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
    319.17100
  • SD
    228.75700
  • Sharpe ratio (Glass type estimate)
    1.39524
  • Sharpe ratio (Hedges UMVUE)
    1.38718
  • df
    130.00000
  • t
    0.98659
  • p
    0.45690
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38441
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16958
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.38975
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16411
  • Statistics related to Sortino ratio
  • Sortino ratio
    138.66700
  • Upside Potential Ratio
    143.87100
  • Upside part of mean
    331.14800
  • Downside part of mean
    -11.97700
  • Upside SD
    228.72200
  • Downside SD
    2.30170
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00834
  • Mean of criterion
    319.17100
  • SD of predictor
    0.14181
  • SD of criterion
    228.75700
  • Covariance
    1.16366
  • r
    0.03587
  • b (slope, estimate of beta)
    57.86300
  • a (intercept, estimate of alpha)
    319.65400
  • Mean Square Error
    52667.50000
  • DF error
    129.00000
  • t(b)
    0.40768
  • p(b)
    0.47717
  • t(a)
    0.98490
  • p(a)
    0.44507
  • Lowerbound of 95% confidence interval for beta
    -222.95700
  • Upperbound of 95% confidence interval for beta
    338.68400
  • Lowerbound of 95% confidence interval for alpha
    -322.48700
  • Upperbound of 95% confidence interval for alpha
    961.79600
  • Treynor index (mean / b)
    5.51598
  • Jensen alpha (a)
    319.65400
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -22.34460
  • SD
    17.76930
  • Sharpe ratio (Glass type estimate)
    -1.25748
  • Sharpe ratio (Hedges UMVUE)
    -1.25021
  • df
    130.00000
  • t
    -0.88917
  • p
    0.53887
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.03108
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52083
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.02618
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52575
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.38073
  • Upside Potential Ratio
    1.05176
  • Upside part of mean
    17.02090
  • Downside part of mean
    -39.36550
  • Upside SD
    7.30404
  • Downside SD
    16.18320
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01837
  • Mean of criterion
    -22.34460
  • SD of predictor
    0.14228
  • SD of criterion
    17.76930
  • Covariance
    0.53418
  • r
    0.21129
  • b (slope, estimate of beta)
    26.38880
  • a (intercept, estimate of alpha)
    -21.85990
  • Mean Square Error
    303.99000
  • DF error
    129.00000
  • t(b)
    2.45524
  • p(b)
    0.36650
  • t(a)
    -0.88652
  • p(a)
    0.54949
  • VAR (95 Confidence Intrvl)
    0.67300
  • Lowerbound of 95% confidence interval for beta
    5.12370
  • Upperbound of 95% confidence interval for beta
    47.65390
  • Lowerbound of 95% confidence interval for alpha
    -70.64650
  • Upperbound of 95% confidence interval for alpha
    26.92670
  • Treynor index (mean / b)
    -0.84675
  • Jensen alpha (a)
    -21.85990
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.84908
  • Expected Shortfall on VaR
    0.89776
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09923
  • Expected Shortfall on VaR
    0.22367
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00004
  • Quartile 1
    0.97295
  • Median
    1.00000
  • Quartile 3
    1.02689
  • Maximum
    162.72700
  • Mean of quarter 1
    0.82924
  • Mean of quarter 2
    0.98929
  • Mean of quarter 3
    1.01162
  • Mean of quarter 4
    6.00613
  • Inter Quartile Range
    0.05394
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.68699
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    21.49770
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.77489
  • VaR(95%) (moments method)
    0.14434
  • Expected Shortfall (moments method)
    0.71228
  • Extreme Value Index (regression method)
    0.13471
  • VaR(95%) (regression method)
    0.12079
  • Expected Shortfall (regression method)
    0.19521
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.03075
  • Quartile 1
    0.08679
  • Median
    0.10827
  • Quartile 3
    0.28541
  • Maximum
    0.99999
  • Mean of quarter 1
    0.05664
  • Mean of quarter 2
    0.09958
  • Mean of quarter 3
    0.11695
  • Mean of quarter 4
    0.67078
  • Inter Quartile Range
    0.19862
  • 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
    0.16667
  • Mean of outliers high
    0.99999
  • 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -98
  • Max Equity Drawdown (num days)
    12
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99997
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    -1.49081
  • Compounded annual return / Expected Shortfall lognormal
    -1.11388

Strategy Description

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

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

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

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

Summary Statistics

Strategy began
2018-04-05
Suggested Minimum Capital
$25,000
# Trades
28
# Profitable
25
% Profitable
89.3%
Correlation S&P500
0.464
Sharpe Ratio
-0.39
Sortino Ratio
-0.52
Beta
7.52
Alpha
0.00

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.