Collective2 Collective2
Featured Strategy Easiest +110.5% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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BlackStar
(106600538)

Created by: SymetryTrading SymetryTrading
Started: 11/2016
Futures
Last trade: 2,367 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $200.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

27.6%
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.

(13.6%)
Max Drawdown
178
Num Trades
59.6%
Win Trades
0.6 : 1
Profit Factor
8.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +6.5%(3.2%)+3.1%
2017(0.9%)+3.6%+2.1%+11.0%(7.4%)+6.1%(3.8%)+7.5%(0.5%)  -    -    -  +17.7%
2018  -    -  (61%)  -    -    -    -    -    -    -    -    -  (61%)
2019  -    -    -    -    -    -    -    -  
2020  -    -    -    -    -    -  
2021  -    -    -    -    -    -    -    -    -  
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.

Trading Record

This strategy has placed 36 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2524 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/21/17 22:00 @ESU7 E-MINI S&P 500 SHORT 2 2432.75 10/23 10:32 2496.00 0.09%
Trade id #113266031
Max drawdown$152
Time8/29/17 5:02
Quant open
Worst price2498.00
Drawdown as % of equity0.09%
 ($6,341)
Includes Typical Broker Commissions trade costs of $16.00
8/31/17 14:30 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5984.25 9/15 10:37 5974.00 0.06%
Trade id #113475980
Max drawdown$107
Time9/5/17 13:05
Quant open
Worst price6004.50
Drawdown as % of equity0.06%
 $197
Includes Typical Broker Commissions trade costs of $8.00
8/27/17 22:00 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5810.75 8/31 14:29 5983.50 0.05%
Trade id #113377359
Max drawdown$78
Time8/28/17 10:54
Quant open
Worst price5777.25
Drawdown as % of equity0.05%
 $3,447
Includes Typical Broker Commissions trade costs of $8.00
8/21/17 22:00 @YMU7 MINI DOW SHORT 2 21740 8/28 1:00 21779 0.22%
Trade id #113266050
Max drawdown$366
Time8/22/17 6:55
Quant open
Worst price21896
Drawdown as % of equity0.22%
 ($406)
Includes Typical Broker Commissions trade costs of $16.00
8/21/17 22:00 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 2 5816.50 8/27 22:00 5810.75 0.09%
Trade id #113266012
Max drawdown$151
Time8/22/17 5:22
Quant open
Worst price5883.25
Drawdown as % of equity0.09%
 $214
Includes Typical Broker Commissions trade costs of $16.00
8/17/17 11:30 @YMU7 MINI DOW LONG 2 21916 8/21 22:00 21740 0.4%
Trade id #113199942
Max drawdown$692
Time8/17/17 11:30
Quant open
Worst price21579
Drawdown as % of equity0.40%
 ($1,776)
Includes Typical Broker Commissions trade costs of $16.00
8/17/17 13:00 @ESU7 E-MINI S&P 500 LONG 2 2444.00 8/21 22:00 2432.75 0.03%
Trade id #113203008
Max drawdown$60
Time8/17/17 13:38
Quant open
Worst price2415.75
Drawdown as % of equity0.03%
 ($1,141)
Includes Typical Broker Commissions trade costs of $16.00
8/17/17 11:30 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 2 5867.50 8/21 22:00 5816.25 0.14%
Trade id #113199921
Max drawdown$237
Time8/17/17 11:30
Quant open
Worst price5752.25
Drawdown as % of equity0.14%
 ($2,066)
Includes Typical Broker Commissions trade costs of $16.00
8/13/17 19:00 @ESU7 E-MINI S&P 500 SHORT 2 2444.50 8/17 13:00 2443.75 0.03%
Trade id #113120031
Max drawdown$56
Time8/13/17 19:00
Quant open
Worst price2473.00
Drawdown as % of equity0.03%
 $59
Includes Typical Broker Commissions trade costs of $16.00
8/13/17 22:00 @YMU7 MINI DOW SHORT 2 21913 8/17 11:30 21915 0.18%
Trade id #113121671
Max drawdown$314
Time8/14/17 1:34
Quant open
Worst price22062
Drawdown as % of equity0.18%
 ($36)
Includes Typical Broker Commissions trade costs of $16.00
8/13/17 22:00 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 2 5865.50 8/17 11:30 5867.75 0.09%
Trade id #113121652
Max drawdown$164
Time8/13/17 22:04
Quant open
Worst price5946.75
Drawdown as % of equity0.09%
 ($106)
Includes Typical Broker Commissions trade costs of $16.00
8/10/17 22:00 @YMU7 MINI DOW LONG 2 21831 8/13 22:00 21913 0.08%
Trade id #113096276
Max drawdown$138
Time8/11/17 10:13
Quant open
Worst price21815
Drawdown as % of equity0.08%
 $804
Includes Typical Broker Commissions trade costs of $16.00
8/10/17 22:00 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 2 5772.00 8/13 22:00 5865.50 0.03%
Trade id #113096257
Max drawdown$54
Time8/11/17 14:16
Quant open
Worst price5818.75
Drawdown as % of equity0.03%
 $3,724
Includes Typical Broker Commissions trade costs of $16.00
8/11/17 16:00 @ESU7 E-MINI S&P 500 LONG 2 2439.12 8/13 19:00 2444.50 0%
Trade id #113112390
Max drawdown$5
Time8/13/17 18:01
Quant open
Worst price2441.50
Drawdown as % of equity0.00%
 $522
Includes Typical Broker Commissions trade costs of $16.00
8/11/17 10:00 @ESU7 E-MINI S&P 500 SHORT 2 2439.50 8/11 16:00 2439.50 0.01%
Trade id #113105626
Max drawdown$10
Time8/11/17 10:01
Quant open
Worst price2445.50
Drawdown as % of equity0.01%
 ($16)
Includes Typical Broker Commissions trade costs of $16.00
8/10/17 19:00 @ESU7 E-MINI S&P 500 LONG 2 2436.25 8/11 10:00 2439.75 0.01%
Trade id #113095051
Max drawdown$17
Time8/11/17 9:13
Quant open
Worst price2436.00
Drawdown as % of equity0.01%
 $334
Includes Typical Broker Commissions trade costs of $16.00
8/9/17 22:00 @YMU7 MINI DOW SHORT 2 22007 8/10 22:00 21831 0.09%
Trade id #113070771
Max drawdown$150
Time8/10/17 12:36
Quant open
Worst price21933
Drawdown as % of equity0.09%
 $1,744
Includes Typical Broker Commissions trade costs of $16.00
8/10/17 1:00 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 2 5905.50 8/10 22:00 5772.00 0.03%
Trade id #113071931
Max drawdown$56
Time8/10/17 12:36
Quant open
Worst price5837.25
Drawdown as % of equity0.03%
 $5,324
Includes Typical Broker Commissions trade costs of $16.00
8/9/17 22:00 @ESU7 E-MINI S&P 500 SHORT 2 2470.50 8/10 19:00 2436.25 0.01%
Trade id #113070795
Max drawdown$16
Time8/10/17 12:36
Quant open
Worst price2452.50
Drawdown as % of equity0.01%
 $3,409
Includes Typical Broker Commissions trade costs of $16.00
8/9/17 1:00 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 2 5896.12 8/10 1:00 5905.50 0.06%
Trade id #113049838
Max drawdown$88
Time8/9/17 3:09
Quant open
Worst price5861.75
Drawdown as % of equity0.06%
 $359
Includes Typical Broker Commissions trade costs of $16.00
8/3/17 22:00 @ESU7 E-MINI S&P 500 LONG 3 2466.42 8/9 22:00 2470.50 0.06%
Trade id #112979732
Max drawdown$88
Time8/8/17 12:11
Quant open
Worst price2459.00
Drawdown as % of equity0.06%
 $589
Includes Typical Broker Commissions trade costs of $24.00
8/9/17 2:30 @YMU7 MINI DOW LONG 2 22012 8/9 22:00 22006 0.08%
Trade id #113050532
Max drawdown$126
Time8/9/17 9:34
Quant open
Worst price21961
Drawdown as % of equity0.08%
 ($81)
Includes Typical Broker Commissions trade costs of $16.00
7/24/17 22:00 @YMU7 MINI DOW SHORT 2 21493 8/9 2:30 22018 0.79%
Trade id #112758350
Max drawdown$1,270
Time7/25/17 2:08
Quant open
Worst price22123
Drawdown as % of equity0.79%
 ($5,266)
Includes Typical Broker Commissions trade costs of $16.00
8/6/17 22:00 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5915.75 8/9 1:00 5895.50 0.04%
Trade id #113008708
Max drawdown$68
Time8/7/17 7:43
Quant open
Worst price5969.75
Drawdown as % of equity0.04%
 $397
Includes Typical Broker Commissions trade costs of $8.00
8/2/17 22:00 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 2 5903.00 8/6 22:00 5915.75 0.03%
Trade id #112956387
Max drawdown$50
Time8/3/17 8:57
Quant open
Worst price5874.25
Drawdown as % of equity0.03%
 $494
Includes Typical Broker Commissions trade costs of $16.00
8/1/17 22:00 @ESU7 E-MINI S&P 500 SHORT 1 2473.75 8/3 22:00 2470.25 0.01%
Trade id #112932329
Max drawdown$9
Time8/2/17 11:00
Quant open
Worst price2474.00
Drawdown as % of equity0.01%
 $167
Includes Typical Broker Commissions trade costs of $8.00
8/1/17 22:00 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5931.50 8/2 22:00 5898.50 0.03%
Trade id #112932340
Max drawdown$52
Time8/2/17 11:06
Quant open
Worst price5916.00
Drawdown as % of equity0.03%
 $652
Includes Typical Broker Commissions trade costs of $8.00
8/1/17 2:12 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5904.50 8/1 22:00 5931.50 0.02%
Trade id #112909825
Max drawdown$37
Time8/1/17 4:57
Quant open
Worst price5878.50
Drawdown as % of equity0.02%
 $532
Includes Typical Broker Commissions trade costs of $8.00
8/1/17 2:12 @ESU7 E-MINI S&P 500 LONG 1 2473.50 8/1 22:00 2473.75 0.01%
Trade id #112909818
Max drawdown$9
Time8/1/17 4:56
Quant open
Worst price2468.00
Drawdown as % of equity0.01%
 $5
Includes Typical Broker Commissions trade costs of $8.00
7/28/17 4:00 @ESU7 E-MINI S&P 500 SHORT 1 2467.00 8/1 2:12 2473.50 0.01%
Trade id #112853866
Max drawdown$12
Time7/28/17 6:22
Quant open
Worst price2474.75
Drawdown as % of equity0.01%
 ($333)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    11/15/2016
  • Suggested Minimum Cap
    $150,000
  • Strategy Age (days)
    2702.33
  • Age
    90 months ago
  • What it trades
    Futures
  • # Trades
    178
  • # Profitable
    106
  • % Profitable
    59.60%
  • Avg trade duration
    18.8 days
  • Max peak-to-valley drawdown
    13.57%
  • drawdown period
    May 18, 2017 - June 05, 2017
  • Cumul. Return
    21.6%
  • Avg win
    $1,085
  • Avg loss
    $2,633
  • Model Account Values (Raw)
  • Cash
    $184,368
  • Margin Used
    $9,805
  • Buying Power
    $65,663
  • Ratios
  • W:L ratio
    0.61:1
  • Sharpe Ratio
    -0.37
  • Sortino Ratio
    -0.38
  • Calmar Ratio
    -0.635
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    8.19%
  • Correlation to SP500
    0.06870
  • Return Percent SP500 (cumu) during strategy life
    131.67%
  • Return Statistics
  • Ann Return (w trading costs)
    27.6%
  • Slump
  • Current Slump as Pcnt Equity
    164.10%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.90%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.215%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -8.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    16.50%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    96.83%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    279
  • Popularity (Last 6 weeks)
    618
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    278
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,633
  • Avg Win
    $1,086
  • Sum Trade PL (losers)
    $189,598.000
  • Age
  • Num Months filled monthly returns table
    87
  • Win / Loss
  • Sum Trade PL (winners)
    $115,068.000
  • # Winners
    106
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    72
  • % Winners
    59.5%
  • Frequency
  • Avg Position Time (mins)
    27051.20
  • Avg Position Time (hrs)
    450.85
  • Avg Trade Length
    18.8 days
  • Last Trade Ago
    2218
  • Regression
  • Alpha
    -0.03
  • Beta
    0.09
  • Treynor Index
    -0.28
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.34
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    -
  • Avg(MAE) / Avg(PL) - All trades
    0.344
  • 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
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.344
  • Avg(MAE) / Avg(PL) - Losing trades
    -
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28564
  • SD
    0.15660
  • Sharpe ratio (Glass type estimate)
    1.82398
  • Sharpe ratio (Hedges UMVUE)
    1.64651
  • df
    8.00000
  • t
    1.57961
  • p
    0.07643
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65231
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.20338
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75616
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04918
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.95909
  • Upside Potential Ratio
    5.11379
  • Upside part of mean
    0.36895
  • Downside part of mean
    -0.08331
  • Upside SD
    0.15295
  • Downside SD
    0.07215
  • N nonnegative terms
    8.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.11934
  • Mean of criterion
    0.28564
  • SD of predictor
    0.06552
  • SD of criterion
    0.15660
  • Covariance
    -0.00444
  • r
    -0.43227
  • b (slope, estimate of beta)
    -1.03322
  • a (intercept, estimate of alpha)
    0.40894
  • Mean Square Error
    0.02279
  • DF error
    7.00000
  • t(b)
    -1.26828
  • p(b)
    0.87738
  • t(a)
    2.04883
  • p(a)
    0.03983
  • Lowerbound of 95% confidence interval for beta
    -2.95960
  • Upperbound of 95% confidence interval for beta
    0.89316
  • Lowerbound of 95% confidence interval for alpha
    -0.06303
  • Upperbound of 95% confidence interval for alpha
    0.88092
  • Treynor index (mean / b)
    -0.27646
  • Jensen alpha (a)
    0.40894
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27129
  • SD
    0.15270
  • Sharpe ratio (Glass type estimate)
    1.77661
  • Sharpe ratio (Hedges UMVUE)
    1.60375
  • df
    8.00000
  • t
    1.53859
  • p
    0.08123
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69050
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14877
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79197
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99947
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.65023
  • Upside Potential Ratio
    4.80493
  • Upside part of mean
    0.35711
  • Downside part of mean
    -0.08582
  • Upside SD
    0.14607
  • Downside SD
    0.07432
  • N nonnegative terms
    8.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.11661
  • Mean of criterion
    0.27129
  • SD of predictor
    0.06474
  • SD of criterion
    0.15270
  • Covariance
    -0.00431
  • r
    -0.43618
  • b (slope, estimate of beta)
    -1.02874
  • a (intercept, estimate of alpha)
    0.39126
  • Mean Square Error
    0.02158
  • DF error
    7.00000
  • t(b)
    -1.28246
  • p(b)
    0.87974
  • t(a)
    2.01985
  • p(a)
    0.04157
  • Lowerbound of 95% confidence interval for beta
    -2.92555
  • Upperbound of 95% confidence interval for beta
    0.86808
  • Lowerbound of 95% confidence interval for alpha
    -0.06679
  • Upperbound of 95% confidence interval for alpha
    0.84930
  • Treynor index (mean / b)
    -0.26371
  • Jensen alpha (a)
    0.39126
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04867
  • Expected Shortfall on VaR
    0.06591
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00373
  • Expected Shortfall on VaR
    0.01358
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.93985
  • Quartile 1
    1.01623
  • Median
    1.02521
  • Quartile 3
    1.03782
  • Maximum
    1.11598
  • Mean of quarter 1
    0.98794
  • Mean of quarter 2
    1.02467
  • Mean of quarter 3
    1.03200
  • Mean of quarter 4
    1.07902
  • Inter Quartile Range
    0.02159
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.93985
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.11598
  • 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
    0.06015
  • Quartile 1
    0.06015
  • Median
    0.06015
  • Quartile 3
    0.06015
  • Maximum
    0.06015
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33542
  • Compounded annual return (geometric extrapolation)
    0.34877
  • Calmar ratio (compounded annual return / max draw down)
    5.79810
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    5.29144
  • 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
    0.26654
  • SD
    0.14884
  • Sharpe ratio (Glass type estimate)
    1.79086
  • Sharpe ratio (Hedges UMVUE)
    1.78433
  • df
    206.00000
  • t
    1.59183
  • p
    0.05648
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42308
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00051
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42742
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99607
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91461
  • Upside Potential Ratio
    10.13560
  • Upside part of mean
    0.92691
  • Downside part of mean
    -0.66036
  • Upside SD
    0.11812
  • Downside SD
    0.09145
  • N nonnegative terms
    119.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    207.00000
  • Mean of predictor
    0.13342
  • Mean of criterion
    0.26654
  • SD of predictor
    0.07200
  • SD of criterion
    0.14884
  • Covariance
    -0.00198
  • r
    -0.18493
  • b (slope, estimate of beta)
    -0.38227
  • a (intercept, estimate of alpha)
    -0.16100
  • Mean Square Error
    0.02150
  • DF error
    205.00000
  • t(b)
    -2.69430
  • p(b)
    0.99618
  • t(a)
    1.91245
  • p(a)
    0.02861
  • Lowerbound of 95% confidence interval for beta
    -0.66200
  • Upperbound of 95% confidence interval for beta
    -0.10254
  • Lowerbound of 95% confidence interval for alpha
    -0.00982
  • Upperbound of 95% confidence interval for alpha
    0.64491
  • Treynor index (mean / b)
    -0.69728
  • Jensen alpha (a)
    0.31755
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25542
  • SD
    0.14832
  • Sharpe ratio (Glass type estimate)
    1.72208
  • Sharpe ratio (Hedges UMVUE)
    1.71580
  • df
    206.00000
  • t
    1.53069
  • p
    0.06369
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49128
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93130
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49544
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92704
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.76869
  • Upside Potential Ratio
    9.97204
  • Upside part of mean
    0.91994
  • Downside part of mean
    -0.66453
  • Upside SD
    0.11675
  • Downside SD
    0.09225
  • N nonnegative terms
    119.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    207.00000
  • Mean of predictor
    0.13079
  • Mean of criterion
    0.25542
  • SD of predictor
    0.07204
  • SD of criterion
    0.14832
  • Covariance
    -0.00199
  • r
    -0.18656
  • b (slope, estimate of beta)
    -0.38411
  • a (intercept, estimate of alpha)
    0.30566
  • Mean Square Error
    0.02134
  • DF error
    205.00000
  • t(b)
    -2.71888
  • p(b)
    0.99644
  • t(a)
    1.84831
  • p(a)
    0.03300
  • Lowerbound of 95% confidence interval for beta
    -0.66264
  • Upperbound of 95% confidence interval for beta
    -0.10557
  • Lowerbound of 95% confidence interval for alpha
    -0.02039
  • Upperbound of 95% confidence interval for alpha
    0.63170
  • Treynor index (mean / b)
    -0.66497
  • Jensen alpha (a)
    0.30566
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01400
  • Expected Shortfall on VaR
    0.01776
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00517
  • Expected Shortfall on VaR
    0.01080
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    207.00000
  • Minimum
    0.97091
  • Quartile 1
    0.99769
  • Median
    1.00125
  • Quartile 3
    1.00433
  • Maximum
    1.03698
  • Mean of quarter 1
    0.99076
  • Mean of quarter 2
    0.99957
  • Mean of quarter 3
    1.00237
  • Mean of quarter 4
    1.01182
  • Inter Quartile Range
    0.00664
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.06763
  • Mean of outliers low
    0.98235
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.05314
  • Mean of outliers high
    1.02584
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.11314
  • VaR(95%) (moments method)
    0.00683
  • Expected Shortfall (moments method)
    0.00915
  • Extreme Value Index (regression method)
    -0.06591
  • VaR(95%) (regression method)
    0.00962
  • Expected Shortfall (regression method)
    0.01365
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00100
  • Quartile 1
    0.00263
  • Median
    0.02213
  • Quartile 3
    0.03758
  • Maximum
    0.11948
  • Mean of quarter 1
    0.00150
  • Mean of quarter 2
    0.00805
  • Mean of quarter 3
    0.03218
  • Mean of quarter 4
    0.07714
  • Inter Quartile Range
    0.03494
  • 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
    0.08333
  • Mean of outliers high
    0.11948
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.87366
  • VaR(95%) (moments method)
    0.08735
  • Expected Shortfall (moments method)
    0.09063
  • Extreme Value Index (regression method)
    0.15634
  • VaR(95%) (regression method)
    0.11981
  • Expected Shortfall (regression method)
    0.18559
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31754
  • Compounded annual return (geometric extrapolation)
    0.32754
  • Calmar ratio (compounded annual return / max draw down)
    2.74131
  • Compounded annual return / average of 25% largest draw downs
    4.24612
  • Compounded annual return / Expected Shortfall lognormal
    18.44150
  • 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
    0.36198
  • SD
    0.16848
  • Sharpe ratio (Glass type estimate)
    2.14850
  • Sharpe ratio (Hedges UMVUE)
    2.13608
  • df
    130.00000
  • t
    1.51922
  • p
    0.43396
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63959
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.92858
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64786
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.92002
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.67528
  • Upside Potential Ratio
    11.63350
  • Upside part of mean
    1.14580
  • Downside part of mean
    -0.78382
  • Upside SD
    0.13773
  • Downside SD
    0.09849
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03704
  • Mean of criterion
    0.36198
  • SD of predictor
    0.07422
  • SD of criterion
    0.16848
  • Covariance
    -0.00207
  • r
    -0.16554
  • b (slope, estimate of beta)
    -0.37575
  • a (intercept, estimate of alpha)
    0.37590
  • Mean Square Error
    0.02782
  • DF error
    129.00000
  • t(b)
    -1.90643
  • p(b)
    0.60490
  • t(a)
    1.59278
  • p(a)
    0.41187
  • Lowerbound of 95% confidence interval for beta
    -0.76571
  • Upperbound of 95% confidence interval for beta
    0.01421
  • Lowerbound of 95% confidence interval for alpha
    -0.09104
  • Upperbound of 95% confidence interval for alpha
    0.84284
  • Treynor index (mean / b)
    -0.96336
  • Jensen alpha (a)
    0.37590
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34771
  • SD
    0.16772
  • Sharpe ratio (Glass type estimate)
    2.07317
  • Sharpe ratio (Hedges UMVUE)
    2.06119
  • df
    130.00000
  • t
    1.46596
  • p
    0.43624
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71394
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85254
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72191
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.84430
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.50185
  • Upside Potential Ratio
    11.44440
  • Upside part of mean
    1.13635
  • Downside part of mean
    -0.78864
  • Upside SD
    0.13608
  • Downside SD
    0.09929
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03430
  • Mean of criterion
    0.34771
  • SD of predictor
    0.07435
  • SD of criterion
    0.16772
  • Covariance
    -0.00209
  • r
    -0.16733
  • b (slope, estimate of beta)
    -0.37746
  • a (intercept, estimate of alpha)
    0.36066
  • Mean Square Error
    0.02755
  • DF error
    129.00000
  • t(b)
    -1.92768
  • p(b)
    0.60603
  • t(a)
    1.53571
  • p(a)
    0.41495
  • VAR (95 Confidence Intrvl)
    0.07700
  • Lowerbound of 95% confidence interval for beta
    -0.76487
  • Upperbound of 95% confidence interval for beta
    0.00996
  • Lowerbound of 95% confidence interval for alpha
    -0.10399
  • Upperbound of 95% confidence interval for alpha
    0.82531
  • Treynor index (mean / b)
    -0.92119
  • Jensen alpha (a)
    0.36066
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01559
  • Expected Shortfall on VaR
    0.01984
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00616
  • Expected Shortfall on VaR
    0.01234
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97466
  • Quartile 1
    0.99559
  • Median
    1.00128
  • Quartile 3
    1.00595
  • Maximum
    1.03698
  • Mean of quarter 1
    0.98948
  • Mean of quarter 2
    0.99905
  • Mean of quarter 3
    1.00319
  • Mean of quarter 4
    1.01429
  • Inter Quartile Range
    0.01037
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97705
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.03013
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02570
  • VaR(95%) (moments method)
    0.00986
  • Expected Shortfall (moments method)
    0.01311
  • Extreme Value Index (regression method)
    -0.09284
  • VaR(95%) (regression method)
    0.01066
  • Expected Shortfall (regression method)
    0.01393
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00059
  • Quartile 1
    0.00105
  • Median
    0.01461
  • Quartile 3
    0.03533
  • Maximum
    0.11948
  • Mean of quarter 1
    0.00088
  • Mean of quarter 2
    0.01072
  • Mean of quarter 3
    0.03344
  • Mean of quarter 4
    0.09354
  • Inter Quartile Range
    0.03428
  • 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
    0.11111
  • Mean of outliers high
    0.11948
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.94342
  • VaR(95%) (moments method)
    0.07656
  • Expected Shortfall (moments method)
    0.07665
  • Extreme Value Index (regression method)
    -0.31544
  • VaR(95%) (regression method)
    0.13574
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.16743
  • Max Equity Drawdown (num days)
    18
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41320
  • Compounded annual return (geometric extrapolation)
    0.45589
  • Calmar ratio (compounded annual return / max draw down)
    3.81557
  • Compounded annual return / average of 25% largest draw downs
    4.87361
  • Compounded annual return / Expected Shortfall lognormal
    22.97920

Strategy Description

BlackStar
Strategy Description: Symetry_BlackStar consists of a proprietary swing algorithm that uses an algorithm-specific adaptive volatility indicator to dictate long and short trades – it is 100% mechanical. The algorithm holds positions overnight and through the weekend trading only E-mini futures of S&P 500, Dow30, and NASDAQ-100. The algorithm has dynamic trail-stops that are also based on volatility. At any given time maximum number of contracts held is set at 9 (max 3 for each index). Average number of trades per month is approximately 20 (trades held over the weekend). Last modification on Algorithm code occurred in Feb. 2017.

Summary Statistics

Strategy began
2016-11-15
Suggested Minimum Capital
$100,000
# Trades
178
# Profitable
106
% Profitable
59.6%
Correlation S&P500
0.069
Sharpe Ratio
-0.37
Sortino Ratio
-0.38
Beta
0.09
Alpha
-0.03

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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