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Asymmetry and Chaos
(119234155)

Created by: TheMonk TheMonk
Started: 08/2018
Futures
Last trade: 2 days ago
Trading style: Futures Macro / Fundamental

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 $88.00 per month.

Trading Category: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
72.8%
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.

(34.0%)
Max Drawdown
45
Num Trades
48.9%
Win Trades
1.4 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                 +49.5%(8.8%)+55.2%(18.3%)      +72.8%

Model Account Details

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

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

Trading Record

This strategy has placed 71 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/5/18 10:52 @ADZ8 AUSTRALIAN DOLLAR SHORT 1 0.7218 11/15 13:35 0.7286 2.52%
Trade id #120730297
Max drawdown($880)
Time11/8/18 9:33
Quant open-1
Worst price0.7306
Drawdown as % of equity-2.52%
($688)
Includes Typical Broker Commissions trade costs of $8.00
11/6/18 14:08 QPLF9 PLATINUM SHORT 2 871.5 11/15 12:06 842.0 3.12%
Trade id #120770648
Max drawdown($1,000)
Time11/7/18 6:20
Quant open-2
Worst price881.5
Drawdown as % of equity-3.12%
$2,934
Includes Typical Broker Commissions trade costs of $16.00
11/2/18 11:36 QHGZ8 Copper SHORT 2 280.30 11/14 14:23 271.20 3.04%
Trade id #120698606
Max drawdown($1,025)
Time11/4/18 18:52
Quant open-2
Worst price282.35
Drawdown as % of equity-3.04%
$4,534
Includes Typical Broker Commissions trade costs of $16.00
11/6/18 14:22 @BPZ8 BRITISH POUND SHORT 1 1.3120 11/13 13:13 1.2993 1.52%
Trade id #120771138
Max drawdown($487)
Time11/7/18 5:26
Quant open-1
Worst price1.3198
Drawdown as % of equity-1.52%
$786
Includes Typical Broker Commissions trade costs of $8.00
11/1/18 12:20 QRBZ8 RBOB Gasoline LONG 2 1.7000 11/7 11:01 1.6825 5.45%
Trade id #120671851
Max drawdown($1,827)
Time11/7/18 11:00
Quant open1
Worst price1.6565
Drawdown as % of equity-5.45%
($1,486)
Includes Typical Broker Commissions trade costs of $16.00
10/30/18 13:29 @WZ8 WHEAT SHORT 2 497 3/4 11/6 13:27 512 3/4 4.65%
Trade id #120625908
Max drawdown($1,625)
Time11/6/18 12:13
Quant open-2
Worst price514
Drawdown as % of equity-4.65%
($1,504)
Includes Typical Broker Commissions trade costs of $16.00
11/1/18 15:51 @ESZ8 E-MINI S&P 500 SHORT 1 2739.88 11/2 16:11 2723.00 3.98%
Trade id #120678482
Max drawdown($1,318)
Time11/2/18 7:51
Quant open-1
Worst price2766.25
Drawdown as % of equity-3.98%
$836
Includes Typical Broker Commissions trade costs of $8.00
10/18/18 14:31 QHGZ8 Copper SHORT 3 275.07 11/1 15:48 271.60 8.87%
Trade id #120425078
Max drawdown($3,825)
Time10/22/18 3:22
Quant open-2
Worst price283.35
Drawdown as % of equity-8.87%
$2,576
Includes Typical Broker Commissions trade costs of $24.00
10/29/18 16:01 QSIZ8 Silver 5000 oz SHORT 2 14.463 11/1 12:18 14.705 6.46%
Trade id #120607557
Max drawdown($2,566)
Time11/1/18 11:28
Quant open-2
Worst price14.720
Drawdown as % of equity-6.46%
($2,433)
Includes Typical Broker Commissions trade costs of $16.00
10/25/18 12:00 QCLZ8 CRUDE OIL LONG 2 67.35 10/30 13:05 66.22 6.24%
Trade id #120542307
Max drawdown($2,300)
Time10/26/18 5:47
Quant open2
Worst price66.20
Drawdown as % of equity-6.24%
($2,266)
Includes Typical Broker Commissions trade costs of $16.00
10/22/18 15:58 QRBZ8 RBOB Gasoline LONG 2 1.8825 10/24 16:52 1.7975 20.32%
Trade id #120474403
Max drawdown($7,443)
Time10/24/18 16:24
Quant open2
Worst price1.7939
Drawdown as % of equity-20.32%
($7,157)
Includes Typical Broker Commissions trade costs of $16.00
10/10/18 13:36 @WZ8 WHEAT LONG 4 511 1/4 10/24 14:13 499 3/4 7.12%
Trade id #120281179
Max drawdown($2,887)
Time10/24/18 12:47
Quant open4
Worst price496 3/4
Drawdown as % of equity-7.12%
($2,320)
Includes Typical Broker Commissions trade costs of $32.00
10/17/18 11:57 @EUZ8 EUROFX SHORT 2 1.15937 10/23 13:21 1.15350 0.39%
Trade id #120404884
Max drawdown($170)
Time10/22/18 3:17
Quant open-2
Worst price1.16005
Drawdown as % of equity-0.39%
$1,452
Includes Typical Broker Commissions trade costs of $16.00
10/18/18 14:37 @CDZ8 CANADIAN DOLLAR SHORT 2 0.7642 10/23 12:28 0.7644 0.66%
Trade id #120425212
Max drawdown($305)
Time10/19/18 7:27
Quant open-1
Worst price0.7683
Drawdown as % of equity-0.66%
($56)
Includes Typical Broker Commissions trade costs of $16.00
10/15/18 13:19 QPLF9 PLATINUM SHORT 3 847.1 10/19 13:37 835.3 1.06%
Trade id #120358389
Max drawdown($465)
Time10/16/18 10:02
Quant open-3
Worst price850.2
Drawdown as % of equity-1.06%
$1,746
Includes Typical Broker Commissions trade costs of $24.00
10/11/18 13:32 @ESZ8 E-MINI S&P 500 LONG 3 2769.67 10/17 14:08 2770.17 13.8%
Trade id #120305694
Max drawdown($5,975)
Time10/11/18 14:47
Quant open2
Worst price2712.25
Drawdown as % of equity-13.80%
$51
Includes Typical Broker Commissions trade costs of $24.00
10/16/18 2:36 @M6EZ8 E-MICRO EUR/USD SHORT 2 1.1635 10/17 11:53 1.1595 0.14%
Trade id #120371528
Max drawdown($61)
Time10/16/18 9:15
Quant open-1
Worst price1.1678
Drawdown as % of equity-0.14%
$99
Includes Typical Broker Commissions trade costs of $16.00
10/16/18 15:46 QRBZ8 RBOB Gasoline LONG 1 1.9730 10/17 10:37 1.9331 3.99%
Trade id #120387250
Max drawdown($1,764)
Time10/17/18 10:37
Quant open1
Worst price1.9310
Drawdown as % of equity-3.99%
($1,686)
Includes Typical Broker Commissions trade costs of $8.00
10/8/18 16:39 QSIZ8 Silver 5000 oz SHORT 3 14.372 10/11 13:09 14.550 6.2%
Trade id #120241262
Max drawdown($2,783)
Time10/11/18 12:07
Quant open-2
Worst price14.650
Drawdown as % of equity-6.20%
($2,699)
Includes Typical Broker Commissions trade costs of $24.00
9/19/18 8:54 @VXV8 CBOE Volatility Index VIX LONG 2 14.50 10/10 16:01 20.00 6.86%
Trade id #119924551
Max drawdown($1,900)
Time10/1/18 5:11
Quant open2
Worst price13.55
Drawdown as % of equity-6.86%
$10,984
Includes Typical Broker Commissions trade costs of $16.00
10/8/18 13:49 QNGF9 Natural Gas LONG 3 3.340 10/10 13:03 3.395 1.4%
Trade id #120238559
Max drawdown($510)
Time10/8/18 15:21
Quant open3
Worst price3.323
Drawdown as % of equity-1.40%
$1,626
Includes Typical Broker Commissions trade costs of $24.00
9/19/18 11:56 @ADZ8 AUSTRALIAN DOLLAR SHORT 2 0.7275 10/8 16:36 0.7085 3.2%
Trade id #119932425
Max drawdown($880)
Time9/26/18 14:07
Quant open-2
Worst price0.7319
Drawdown as % of equity-3.20%
$3,784
Includes Typical Broker Commissions trade costs of $16.00
10/1/18 15:53 QRBZ8 RBOB Gasoline SHORT 2 2.1192 10/8 14:31 2.0800 8.3%
Trade id #120123812
Max drawdown($2,284)
Time10/3/18 13:40
Quant open-2
Worst price2.1464
Drawdown as % of equity-8.30%
$3,277
Includes Typical Broker Commissions trade costs of $16.00
9/25/18 14:54 @USZ8 US T-BOND LONG 1 139 25/32 10/3 11:31 139 4/32 2.4%
Trade id #120029974
Max drawdown($687)
Time10/3/18 11:31
Quant open1
Worst price139 3/32
Drawdown as % of equity-2.40%
($664)
Includes Typical Broker Commissions trade costs of $8.00
9/25/18 14:14 @PXZ8 Mexican Peso SHORT 2 0.051900 9/27 15:20 0.052515 2.73%
Trade id #120029096
Max drawdown($790)
Time9/27/18 10:29
Quant open-2
Worst price0.052690
Drawdown as % of equity-2.73%
($631)
Includes Typical Broker Commissions trade costs of $16.00
9/7/18 11:51 @WZ8 WHEAT LONG 1.600000000 511 2/4 9/17 20:13 509 4.8%
Trade id #119762992
Max drawdown($1,300)
Time9/13/18 13:43
Quant open2
Worst price495 1/4
Drawdown as % of equity-4.80%
($213)
Includes Typical Broker Commissions trade costs of $12.80
8/29/18 15:05 QHGZ8 Copper SHORT 0.800000000 273.00 9/17 18:29 264.80 0.74%
Trade id #119653270
Max drawdown($210)
Time8/30/18 3:18
Quant open-1
Worst price274.05
Drawdown as % of equity-0.74%
$1,634
Includes Typical Broker Commissions trade costs of $6.40
8/21/18 15:47 @VXU8 CBOE Volatility Index VIX LONG 1.600000000 14.28 9/17 17:59 13.35 8.03%
Trade id #119540531
Max drawdown($2,280)
Time9/14/18 16:15
Quant open2
Worst price12.85
Drawdown as % of equity-8.03%
($1,493)
Includes Typical Broker Commissions trade costs of $12.80
8/30/18 15:45 @PXU8 Mexican Peso SHORT 1.600000000 0.052150 9/7 3:13 0.052050 0.24%
Trade id #119671851
Max drawdown($73)
Time8/31/18 14:55
Quant open-1
Worst price0.052380
Drawdown as % of equity-0.24%
$67
Includes Typical Broker Commissions trade costs of $12.80
8/13/18 13:52 @WZ8 WHEAT LONG 3.200000000 546 3/4 9/5 14:07 528 1/4 7.42%
Trade id #119415814
Max drawdown($1,704)
Time8/28/18 3:45
Quant open1
Worst price518 2/4
Drawdown as % of equity-7.42%
($3,006)
Includes Typical Broker Commissions trade costs of $25.60

Statistics

  • Strategy began
    8/1/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    108.58
  • Age
    109 days ago
  • What it trades
    Futures
  • # Trades
    45
  • # Profitable
    22
  • % Profitable
    48.90%
  • Avg trade duration
    8.9 days
  • Max peak-to-valley drawdown
    33.98%
  • drawdown period
    Oct 17, 2018 - Nov 07, 2018
  • Cumul. Return
    72.8%
  • Avg win
    $2,369
  • Avg loss
    $1,590
  • Model Account Values (Raw)
  • Cash
    $39,635
  • Margin Used
    $25,416
  • Buying Power
    $10,209
  • Ratios
  • W:L ratio
    1.42:1
  • Sharpe Ratio
    2.579
  • Sortino Ratio
    4.264
  • Calmar Ratio
    22.898
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.19800
  • Return Statistics
  • Ann Return (w trading costs)
    497.4%
  • Ann Return (Compnd, No Fees)
    579.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    67.50%
  • Chance of 20% account loss
    42.00%
  • Chance of 30% account loss
    19.00%
  • Chance of 40% account loss
    6.50%
  • Chance of 50% account loss
    2.00%
  • Popularity
  • Popularity (Today)
    843
  • Popularity (Last 6 weeks)
    989
  • C2 Score
    37.0
  • 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
    $1,591
  • Avg Win
    $2,370
  • # Winners
    22
  • # Losers
    23
  • % Winners
    48.9%
  • Frequency
  • Avg Position Time (mins)
    12846.30
  • Avg Position Time (hrs)
    214.11
  • Avg Trade Length
    8.9 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.75841
  • SD
    0.89141
  • Sharpe ratio (Glass type estimate)
    3.09445
  • Sharpe ratio (Hedges UMVUE)
    1.74586
  • df
    2.00000
  • t
    1.54722
  • p
    0.13094
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.93248
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.71363
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.53118
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.02289
  • Statistics related to Sortino ratio
  • Sortino ratio
    39.13980
  • Upside Potential Ratio
    41.13980
  • Upside part of mean
    2.89936
  • Downside part of mean
    -0.14095
  • Upside SD
    1.07649
  • Downside SD
    0.07048
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.12286
  • Mean of criterion
    2.75841
  • SD of predictor
    0.16922
  • SD of criterion
    0.89141
  • Covariance
    0.02862
  • r
    0.18977
  • b (slope, estimate of beta)
    0.99967
  • a (intercept, estimate of alpha)
    2.88124
  • Mean Square Error
    1.53198
  • DF error
    1.00000
  • t(b)
    0.19328
  • p(b)
    0.43923
  • t(a)
    1.12736
  • p(a)
    0.23097
  • Lowerbound of 95% confidence interval for beta
    -64.71890
  • Upperbound of 95% confidence interval for beta
    66.71830
  • Lowerbound of 95% confidence interval for alpha
    -29.59240
  • Upperbound of 95% confidence interval for alpha
    35.35490
  • Treynor index (mean / b)
    2.75932
  • Jensen alpha (a)
    2.88124
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.29689
  • SD
    0.74297
  • Sharpe ratio (Glass type estimate)
    3.09149
  • Sharpe ratio (Hedges UMVUE)
    1.74419
  • df
    2.00000
  • t
    1.54575
  • p
    0.13110
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.93381
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.70920
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.53219
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.02057
  • Statistics related to Sortino ratio
  • Sortino ratio
    32.08940
  • Upside Potential Ratio
    34.08940
  • Upside part of mean
    2.44005
  • Downside part of mean
    -0.14316
  • Upside SD
    0.89584
  • Downside SD
    0.07158
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.13305
  • Mean of criterion
    2.29689
  • SD of predictor
    0.17251
  • SD of criterion
    0.74297
  • Covariance
    0.01562
  • r
    0.12190
  • b (slope, estimate of beta)
    0.52503
  • a (intercept, estimate of alpha)
    2.36675
  • Mean Square Error
    1.08761
  • DF error
    1.00000
  • t(b)
    0.12282
  • p(b)
    0.46110
  • t(a)
    1.09474
  • p(a)
    0.23561
  • Lowerbound of 95% confidence interval for beta
    -53.79100
  • Upperbound of 95% confidence interval for beta
    54.84110
  • Lowerbound of 95% confidence interval for alpha
    -25.10320
  • Upperbound of 95% confidence interval for alpha
    29.83660
  • Treynor index (mean / b)
    4.37482
  • Jensen alpha (a)
    2.36675
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14903
  • Expected Shortfall on VaR
    0.21959
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02138
  • Expected Shortfall on VaR
    0.04026
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.96709
  • Quartile 1
    1.10781
  • Median
    1.24853
  • Quartile 3
    1.36475
  • Maximum
    1.48097
  • Mean of quarter 1
    0.96709
  • Mean of quarter 2
    1.24853
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.48097
  • Inter Quartile Range
    0.25694
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.03291
  • Quartile 1
    0.03291
  • Median
    0.03291
  • Quartile 3
    0.03291
  • Maximum
    0.03291
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.15273
  • Compounded annual return (geometric extrapolation)
    9.22461
  • Calmar ratio (compounded annual return / max draw down)
    280.30100
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    42.00750
  • 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
    2.41500
  • SD
    0.92709
  • Sharpe ratio (Glass type estimate)
    2.60492
  • Sharpe ratio (Hedges UMVUE)
    2.57912
  • df
    76.00000
  • t
    1.41217
  • p
    0.08099
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04236
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.23546
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05942
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.21767
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.26428
  • Upside Potential Ratio
    12.16890
  • Upside part of mean
    6.89165
  • Downside part of mean
    -4.47665
  • Upside SD
    0.74153
  • Downside SD
    0.56633
  • N nonnegative terms
    40.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    -0.11114
  • Mean of criterion
    2.41500
  • SD of predictor
    0.15080
  • SD of criterion
    0.92709
  • Covariance
    -0.03281
  • r
    -0.23470
  • b (slope, estimate of beta)
    -1.44287
  • a (intercept, estimate of alpha)
    2.25500
  • Mean Square Error
    0.82298
  • DF error
    75.00000
  • t(b)
    -2.09094
  • p(b)
    0.98004
  • t(a)
    1.34592
  • p(a)
    0.09119
  • Lowerbound of 95% confidence interval for beta
    -2.81753
  • Upperbound of 95% confidence interval for beta
    -0.06821
  • Lowerbound of 95% confidence interval for alpha
    -1.08247
  • Upperbound of 95% confidence interval for alpha
    5.59172
  • Treynor index (mean / b)
    -1.67375
  • Jensen alpha (a)
    2.25463
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.98289
  • SD
    0.92643
  • Sharpe ratio (Glass type estimate)
    2.14036
  • Sharpe ratio (Hedges UMVUE)
    2.11917
  • df
    76.00000
  • t
    1.16033
  • p
    0.12477
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49790
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.76470
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51187
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.75020
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.30399
  • Upside Potential Ratio
    11.05100
  • Upside part of mean
    6.63224
  • Downside part of mean
    -4.64935
  • Upside SD
    0.70848
  • Downside SD
    0.60015
  • N nonnegative terms
    40.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    -0.12244
  • Mean of criterion
    1.98289
  • SD of predictor
    0.15143
  • SD of criterion
    0.92643
  • Covariance
    -0.03217
  • r
    -0.22932
  • b (slope, estimate of beta)
    -1.40295
  • a (intercept, estimate of alpha)
    1.81110
  • Mean Square Error
    0.82398
  • DF error
    75.00000
  • t(b)
    -2.04031
  • p(b)
    0.97758
  • t(a)
    1.08027
  • p(a)
    0.14174
  • Lowerbound of 95% confidence interval for beta
    -2.77276
  • Upperbound of 95% confidence interval for beta
    -0.03315
  • Lowerbound of 95% confidence interval for alpha
    -1.52872
  • Upperbound of 95% confidence interval for alpha
    5.15092
  • Treynor index (mean / b)
    -1.41336
  • Jensen alpha (a)
    1.81110
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08293
  • Expected Shortfall on VaR
    0.10440
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03839
  • Expected Shortfall on VaR
    0.07555
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    77.00000
  • Minimum
    0.82266
  • Quartile 1
    0.98052
  • Median
    1.00398
  • Quartile 3
    1.04733
  • Maximum
    1.14365
  • Mean of quarter 1
    0.94352
  • Mean of quarter 2
    0.99080
  • Mean of quarter 3
    1.02046
  • Mean of quarter 4
    1.08597
  • Inter Quartile Range
    0.06681
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01299
  • Mean of outliers low
    0.82266
  • 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)
    -0.04062
  • VaR(95%) (moments method)
    0.04886
  • Expected Shortfall (moments method)
    0.06598
  • Extreme Value Index (regression method)
    -0.32334
  • VaR(95%) (regression method)
    0.05838
  • Expected Shortfall (regression method)
    0.07202
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.01195
  • Quartile 1
    0.02101
  • Median
    0.03406
  • Quartile 3
    0.16513
  • Maximum
    0.28252
  • Mean of quarter 1
    0.01675
  • Mean of quarter 2
    0.03314
  • Mean of quarter 3
    0.11133
  • Mean of quarter 4
    0.22526
  • Inter Quartile Range
    0.14412
  • 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)
    0.20841
  • VaR(95%) (moments method)
    0.24520
  • Expected Shortfall (moments method)
    0.32409
  • Extreme Value Index (regression method)
    4.31368
  • VaR(95%) (regression method)
    0.69277
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.74153
  • Compounded annual return (geometric extrapolation)
    6.46923
  • Calmar ratio (compounded annual return / max draw down)
    22.89850
  • Compounded annual return / average of 25% largest draw downs
    28.71830
  • Compounded annual return / Expected Shortfall lognormal
    61.96280

Strategy Description

Program seeks to profit from pricing dislocation due to supply/demand imbalance, macro-economic or geopolitical events.
Interest rate movements, political upsets, weather events, volatility spikes, trade wars, regional conflicts, mine strikes are prime examples.
Fundamental research complemented by technical analysis provides the basis for trades. Trades are direction-agnostic.
Program algorithm evaluates risk/reward profile of trade ideas based on fundamental head/tailwinds, market sentiment, and technical setup.
Risk management is based on return per unit of risk, not per unit of equity.
This program is designed to be a standalone, highly scalable portfolio utilizing only futures and options. No individual stocks. No martingale.

Summary Statistics

Strategy began
2018-08-01
Suggested Minimum Capital
$35,000
# Trades
45
# Profitable
22
% Profitable
48.9%
Correlation S&P500
-0.198
Sharpe Ratio
2.579

Latest Activity

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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.