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These are hypothetical performance results that have certain inherent limitations. Learn more

Futures 3000
(113992586)

Created by: Charles Charles
Started: 10/2017
Futures
Last trade: 1,967 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 $197.00 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.

9.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(96.2%)
Max Drawdown
915
Num Trades
46.7%
Win Trades
1.3 : 1
Profit Factor
22.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                               +7.2%+3.3%+6.7%+18.1%
2018+0.3%+13.6%+6.6%(1.1%)(5%)(9.5%)(0.2%)(12.3%)(22%)(24.6%)+7.8%+75.5%+0.5%
2019(95.2%)  -    -    -    -  
2020  -    -    -    -    -  
2021  -    -    -    -    -    -    -    -  
2022  -    -    -    -    -    -    -    -  (95.2%)
2023  -    -    -    -    -    -  +3265.4%+4.9%+1.1%+3471.2%
2024(15.3%)(1.4%)+8.7%                                                      (9.3%)

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 96 hours.

Trading Record

This strategy has placed 989 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2001 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/8/18 1:30 QHGZ8 Copper SHORT 1 273.45 11/8 7:00 271.45 0.56%
Trade id #120817555
Max drawdown($237)
Time11/8/18 1:37
Quant open-1
Worst price274.40
Drawdown as % of equity-0.56%
$492
Includes Typical Broker Commissions trade costs of $8.00
11/7/18 4:18 QHOZ8 Heating Oil LONG 1 2.1906 11/8 5:28 2.2305 0.07%
Trade id #120785271
Max drawdown($29)
Time11/7/18 4:20
Quant open1
Worst price2.1899
Drawdown as % of equity-0.07%
$1,668
Includes Typical Broker Commissions trade costs of $8.00
11/7/18 14:00 @SX8 SOYBEANS LONG 2 867 2/4 11/7 22:15 866 1/4 0.29%
Trade id #120803794
Max drawdown($125)
Time11/7/18 22:15
Quant open0
Worst price866 1/4
Drawdown as % of equity-0.29%
($141)
Includes Typical Broker Commissions trade costs of $16.00
11/7/18 7:00 QHGZ8 Copper LONG 1 276.40 11/7 21:00 274.35 1.51%
Trade id #120787853
Max drawdown($637)
Time11/7/18 9:44
Quant open1
Worst price273.85
Drawdown as % of equity-1.51%
($521)
Includes Typical Broker Commissions trade costs of $8.00
11/7/18 1:30 QHGZ8 Copper SHORT 1 274.25 11/7 7:00 276.40 1.87%
Trade id #120783841
Max drawdown($762)
Time11/7/18 4:41
Quant open-1
Worst price277.30
Drawdown as % of equity-1.87%
($546)
Includes Typical Broker Commissions trade costs of $8.00
11/6/18 14:00 @SX8 SOYBEANS LONG 2 870 2/4 11/6 22:17 871 2/4 0.12%
Trade id #120770414
Max drawdown($50)
Time11/6/18 20:23
Quant open2
Worst price870
Drawdown as % of equity-0.12%
$84
Includes Typical Broker Commissions trade costs of $16.00
11/6/18 7:00 QHGZ8 Copper LONG 1 276.10 11/6 21:00 273.90 2.24%
Trade id #120754806
Max drawdown($925)
Time11/6/18 14:38
Quant open1
Worst price272.40
Drawdown as % of equity-2.24%
($558)
Includes Typical Broker Commissions trade costs of $8.00
11/6/18 4:18 QHOZ8 Heating Oil LONG 1 2.1922 11/6 10:36 2.1803 1.17%
Trade id #120751175
Max drawdown($500)
Time11/6/18 10:36
Quant open0
Worst price2.1803
Drawdown as % of equity-1.17%
($508)
Includes Typical Broker Commissions trade costs of $8.00
11/5/18 2:00 QGCZ8 Gold 100 oz SHORT 1 1232.3 11/5 11:00 1233.1 0.89%
Trade id #120720589
Max drawdown($380)
Time11/5/18 3:36
Quant open-1
Worst price1236.1
Drawdown as % of equity-0.89%
($88)
Includes Typical Broker Commissions trade costs of $8.00
11/1/18 11:24 QHOZ8 Heating Oil SHORT 1 2.2248 11/5 7:17 2.1745 0.08%
Trade id #120669669
Max drawdown($33)
Time11/1/18 11:26
Quant open-1
Worst price2.2256
Drawdown as % of equity-0.08%
$2,105
Includes Typical Broker Commissions trade costs of $8.00
11/2/18 11:00 QGCZ8 Gold 100 oz LONG 1 1233.7 11/5 1:00 1233.2 0.4%
Trade id #120697213
Max drawdown($170)
Time11/2/18 12:17
Quant open1
Worst price1232.0
Drawdown as % of equity-0.40%
($58)
Includes Typical Broker Commissions trade costs of $8.00
10/29/18 11:21 @WZ8 WHEAT SHORT 1 504 1/4 11/2 14:18 508 3/4 0.69%
Trade id #120597282
Max drawdown($287)
Time11/1/18 13:27
Quant open-1
Worst price510
Drawdown as % of equity-0.69%
($233)
Includes Typical Broker Commissions trade costs of $8.00
11/2/18 6:30 @KCZ8 COFFEE SHORT 1 118.40 11/2 13:00 119.55 2.55%
Trade id #120688740
Max drawdown($1,087)
Time11/2/18 11:18
Quant open-1
Worst price121.30
Drawdown as % of equity-2.55%
($439)
Includes Typical Broker Commissions trade costs of $8.00
11/1/18 13:15 @KCZ8 COFFEE LONG 1 117.30 11/2 5:30 118.75 0.27%
Trade id #120673939
Max drawdown($112)
Time11/1/18 13:18
Quant open1
Worst price117.00
Drawdown as % of equity-0.27%
$536
Includes Typical Broker Commissions trade costs of $8.00
11/1/18 7:00 QHGZ8 Copper LONG 1 266.95 11/1 21:00 272.30 0.26%
Trade id #120661484
Max drawdown($112)
Time11/1/18 8:09
Quant open1
Worst price266.50
Drawdown as % of equity-0.26%
$1,330
Includes Typical Broker Commissions trade costs of $8.00
11/1/18 6:30 @KCZ8 COFFEE SHORT 1 113.00 11/1 13:00 116.85 4.14%
Trade id #120661168
Max drawdown($1,706)
Time11/1/18 10:56
Quant open-1
Worst price117.55
Drawdown as % of equity-4.14%
($1,452)
Includes Typical Broker Commissions trade costs of $8.00
11/1/18 10:33 QHOZ8 Heating Oil LONG 1 2.2514 11/1 11:10 2.2398 1.18%
Trade id #120667361
Max drawdown($487)
Time11/1/18 11:10
Quant open0
Worst price2.2398
Drawdown as % of equity-1.18%
($495)
Includes Typical Broker Commissions trade costs of $8.00
11/1/18 8:48 QHOZ8 Heating Oil LONG 1 2.2489 11/1 10:01 2.2365 1.26%
Trade id #120663077
Max drawdown($521)
Time11/1/18 10:01
Quant open0
Worst price2.2365
Drawdown as % of equity-1.26%
($529)
Includes Typical Broker Commissions trade costs of $8.00
11/1/18 4:35 QHOZ8 Heating Oil SHORT 1 2.2375 11/1 8:48 2.2491 1.13%
Trade id #120660029
Max drawdown($487)
Time11/1/18 8:48
Quant open0
Worst price2.2491
Drawdown as % of equity-1.13%
($495)
Includes Typical Broker Commissions trade costs of $8.00
11/1/18 1:30 QHGZ8 Copper SHORT 1 265.75 11/1 7:00 267.00 1.5%
Trade id #120657695
Max drawdown($637)
Time11/1/18 5:05
Quant open-1
Worst price268.30
Drawdown as % of equity-1.50%
($321)
Includes Typical Broker Commissions trade costs of $8.00
10/31/18 14:00 @SX8 SOYBEANS LONG 2 835 10/31 22:15 833 2/4 0.52%
Trade id #120646840
Max drawdown($225)
Time10/31/18 21:45
Quant open2
Worst price832 3/4
Drawdown as % of equity-0.52%
($166)
Includes Typical Broker Commissions trade costs of $16.00
10/31/18 7:00 QHGZ8 Copper LONG 1 267.05 10/31 21:00 266.10 1.41%
Trade id #120637282
Max drawdown($612)
Time10/31/18 12:32
Quant open1
Worst price264.60
Drawdown as % of equity-1.41%
($246)
Includes Typical Broker Commissions trade costs of $8.00
10/31/18 4:01 QHOZ8 Heating Oil LONG 1 2.2849 10/31 9:06 2.2726 1.18%
Trade id #120636159
Max drawdown($517)
Time10/31/18 9:06
Quant open0
Worst price2.2726
Drawdown as % of equity-1.18%
($525)
Includes Typical Broker Commissions trade costs of $8.00
10/29/18 4:30 @BPZ8 BRITISH POUND LONG 1 1.2841 10/31 7:30 1.2802 1.67%
Trade id #120590075
Max drawdown($743)
Time10/30/18 14:21
Quant open1
Worst price1.2722
Drawdown as % of equity-1.67%
($252)
Includes Typical Broker Commissions trade costs of $8.00
10/31/18 1:30 QHGZ8 Copper SHORT 1 267.00 10/31 7:00 267.10 0.34%
Trade id #120634485
Max drawdown($150)
Time10/31/18 5:04
Quant open-1
Worst price267.60
Drawdown as % of equity-0.34%
($33)
Includes Typical Broker Commissions trade costs of $8.00
10/30/18 7:00 QHGZ8 Copper LONG 1 270.60 10/30 21:00 266.95 2.5%
Trade id #120614376
Max drawdown($1,112)
Time10/30/18 14:08
Quant open1
Worst price266.15
Drawdown as % of equity-2.50%
($921)
Includes Typical Broker Commissions trade costs of $8.00
10/29/18 13:15 @KCZ8 COFFEE LONG 1 115.05 10/30 5:30 114.50 0.91%
Trade id #120601468
Max drawdown($412)
Time10/29/18 13:23
Quant open1
Worst price113.95
Drawdown as % of equity-0.91%
($214)
Includes Typical Broker Commissions trade costs of $8.00
10/29/18 14:00 @SX8 SOYBEANS LONG 2 839 3/4 10/29 22:15 837 1/4 0.89%
Trade id #120602962
Max drawdown($400)
Time10/29/18 21:17
Quant open2
Worst price835 3/4
Drawdown as % of equity-0.89%
($266)
Includes Typical Broker Commissions trade costs of $16.00
10/29/18 7:00 QHGZ8 Copper LONG 1 276.40 10/29 21:00 272.10 4.08%
Trade id #120592278
Max drawdown($1,850)
Time10/29/18 15:41
Quant open1
Worst price269.00
Drawdown as % of equity-4.08%
($1,083)
Includes Typical Broker Commissions trade costs of $8.00
10/29/18 1:35 QCLZ8 CRUDE OIL SHORT 1 67.47 10/29 11:45 67.39 0.36%
Trade id #120588459
Max drawdown($170)
Time10/29/18 8:11
Quant open-1
Worst price67.64
Drawdown as % of equity-0.36%
$72
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    10/3/2017
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2365.15
  • Age
    79 months ago
  • What it trades
    Futures
  • # Trades
    915
  • # Profitable
    427
  • % Profitable
    46.70%
  • Avg trade duration
    9.5 days
  • Max peak-to-valley drawdown
    96.2%
  • drawdown period
    Jan 12, 2019 - Jan 13, 2019
  • Annual Return (Compounded)
    9.6%
  • Avg win
    $574.93
  • Avg loss
    $396.03
  • Model Account Values (Raw)
  • Cash
    $42,908
  • Margin Used
    $16,639
  • Buying Power
    $85,600
  • Ratios
  • W:L ratio
    1.27:1
  • Sharpe Ratio
    0.34
  • Sortino Ratio
    11.17
  • Calmar Ratio
    0.824
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -25.26%
  • Correlation to SP500
    -0.09380
  • Return Percent SP500 (cumu) during strategy life
    107.08%
  • Return Statistics
  • Ann Return (w trading costs)
    9.6%
  • Slump
  • Current Slump as Pcnt Equity
    10.20%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • 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)
    0.096%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    68.00%
  • Chance of 30% account loss
    22.00%
  • Chance of 40% account loss
    3.00%
  • 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
    96.61%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $396
  • Avg Win
    $575
  • Sum Trade PL (losers)
    $193,264.000
  • Age
  • Num Months filled monthly returns table
    71
  • Win / Loss
  • Sum Trade PL (winners)
    $245,495.000
  • # Winners
    427
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    488
  • % Winners
    46.7%
  • Frequency
  • Avg Position Time (mins)
    13673.20
  • Avg Position Time (hrs)
    227.89
  • Avg Trade Length
    9.5 days
  • Last Trade Ago
    1964
  • Regression
  • Alpha
    1.75
  • Beta
    -6.87
  • Treynor Index
    -0.22
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    59.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    61.23
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.50
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -25.447
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.475
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.485
  • Hold-and-Hope Ratio
    -0.043
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.18611
  • SD
    1.03674
  • Sharpe ratio (Glass type estimate)
    -0.17951
  • Sharpe ratio (Hedges UMVUE)
    -0.16969
  • df
    14.00000
  • t
    -0.20070
  • p
    0.52678
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.93066
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57790
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.92386
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58448
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24370
  • Upside Potential Ratio
    1.28528
  • Upside part of mean
    0.98154
  • Downside part of mean
    -1.16765
  • Upside SD
    0.65027
  • Downside SD
    0.76368
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.36943
  • Mean of criterion
    -0.18611
  • SD of predictor
    0.48811
  • SD of criterion
    1.03674
  • Covariance
    -0.41271
  • r
    -0.81556
  • b (slope, estimate of beta)
    -1.73224
  • a (intercept, estimate of alpha)
    0.45384
  • Mean Square Error
    0.38760
  • DF error
    13.00000
  • t(b)
    -5.08157
  • p(b)
    0.95379
  • t(a)
    0.79494
  • p(a)
    0.36400
  • Lowerbound of 95% confidence interval for beta
    -2.46869
  • Upperbound of 95% confidence interval for beta
    -0.99580
  • Lowerbound of 95% confidence interval for alpha
    -0.77954
  • Upperbound of 95% confidence interval for alpha
    1.68722
  • Treynor index (mean / b)
    0.10744
  • Jensen alpha (a)
    0.45384
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.00948
  • SD
    1.55775
  • Sharpe ratio (Glass type estimate)
    -0.64804
  • Sharpe ratio (Hedges UMVUE)
    -0.61258
  • df
    14.00000
  • t
    -0.72453
  • p
    0.59505
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.40589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13229
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.38025
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15508
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.69791
  • Upside Potential Ratio
    0.57237
  • Upside part of mean
    0.82790
  • Downside part of mean
    -1.83738
  • Upside SD
    0.50749
  • Downside SD
    1.44644
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.27781
  • Mean of criterion
    -1.00948
  • SD of predictor
    0.40711
  • SD of criterion
    1.55775
  • Covariance
    -0.59051
  • r
    -0.93116
  • b (slope, estimate of beta)
    -3.56297
  • a (intercept, estimate of alpha)
    -0.01965
  • Mean Square Error
    0.34742
  • DF error
    13.00000
  • t(b)
    -9.20782
  • p(b)
    0.98927
  • t(a)
    -0.03653
  • p(a)
    0.50645
  • Lowerbound of 95% confidence interval for beta
    -4.39892
  • Upperbound of 95% confidence interval for beta
    -2.72701
  • Lowerbound of 95% confidence interval for alpha
    -1.18203
  • Upperbound of 95% confidence interval for alpha
    1.14272
  • Treynor index (mean / b)
    0.28333
  • Jensen alpha (a)
    -0.01965
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.56123
  • Expected Shortfall on VaR
    0.63167
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.21229
  • Expected Shortfall on VaR
    0.43917
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.20599
  • Quartile 1
    0.87354
  • Median
    1.03217
  • Quartile 3
    1.06793
  • Maximum
    1.69000
  • Mean of quarter 1
    0.68609
  • Mean of quarter 2
    0.96113
  • Mean of quarter 3
    1.05824
  • Mean of quarter 4
    1.25967
  • Inter Quartile Range
    0.19439
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.20599
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    1.69000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.74354
  • VaR(95%) (moments method)
    0.36922
  • Expected Shortfall (moments method)
    1.45526
  • Extreme Value Index (regression method)
    2.48414
  • VaR(95%) (regression method)
    0.53500
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00919
  • Quartile 1
    0.20956
  • Median
    0.40992
  • Quartile 3
    0.61029
  • Maximum
    0.81066
  • Mean of quarter 1
    0.00919
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.81066
  • Inter Quartile Range
    0.40074
  • 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)
    -0.56546
  • Compounded annual return (geometric extrapolation)
    -0.62528
  • Calmar ratio (compounded annual return / max draw down)
    -0.77132
  • Compounded annual return / average of 25% largest draw downs
    -0.77132
  • Compounded annual return / Expected Shortfall lognormal
    -0.98987
  • 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
    4.71299
  • SD
    5.66889
  • Sharpe ratio (Glass type estimate)
    0.83138
  • Sharpe ratio (Hedges UMVUE)
    0.82956
  • df
    344.00000
  • t
    0.95402
  • p
    0.17037
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87831
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53996
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87956
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53869
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.29703
  • Upside Potential Ratio
    8.82921
  • Upside part of mean
    6.60819
  • Downside part of mean
    -1.89520
  • Upside SD
    5.61852
  • Downside SD
    0.74845
  • N nonnegative terms
    158.00000
  • N negative terms
    187.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    345.00000
  • Mean of predictor
    0.58078
  • Mean of criterion
    4.71299
  • SD of predictor
    0.39549
  • SD of criterion
    5.66889
  • Covariance
    -0.20921
  • r
    -0.09332
  • b (slope, estimate of beta)
    -1.33760
  • a (intercept, estimate of alpha)
    5.49000
  • Mean Square Error
    31.94930
  • DF error
    343.00000
  • t(b)
    -1.73583
  • p(b)
    0.95825
  • t(a)
    1.10995
  • p(a)
    0.13390
  • Lowerbound of 95% confidence interval for beta
    -2.85327
  • Upperbound of 95% confidence interval for beta
    0.17807
  • Lowerbound of 95% confidence interval for alpha
    -4.23853
  • Upperbound of 95% confidence interval for alpha
    15.21820
  • Treynor index (mean / b)
    -3.52346
  • Jensen alpha (a)
    5.48985
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49445
  • SD
    2.39751
  • Sharpe ratio (Glass type estimate)
    0.20624
  • Sharpe ratio (Hedges UMVUE)
    0.20579
  • df
    344.00000
  • t
    0.23666
  • p
    0.40653
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50198
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91417
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50229
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91386
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.31498
  • Upside Potential Ratio
    1.99553
  • Upside part of mean
    3.13255
  • Downside part of mean
    -2.63809
  • Upside SD
    1.80779
  • Downside SD
    1.56978
  • N nonnegative terms
    158.00000
  • N negative terms
    187.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    345.00000
  • Mean of predictor
    0.50661
  • Mean of criterion
    0.49445
  • SD of predictor
    0.37913
  • SD of criterion
    2.39751
  • Covariance
    -0.05888
  • r
    -0.06478
  • b (slope, estimate of beta)
    -0.40966
  • a (intercept, estimate of alpha)
    0.70199
  • Mean Square Error
    5.74063
  • DF error
    343.00000
  • t(b)
    -1.20229
  • p(b)
    0.88496
  • t(a)
    0.33507
  • p(a)
    0.36889
  • Lowerbound of 95% confidence interval for beta
    -1.07984
  • Upperbound of 95% confidence interval for beta
    0.26053
  • Lowerbound of 95% confidence interval for alpha
    -3.41882
  • Upperbound of 95% confidence interval for alpha
    4.82281
  • Treynor index (mean / b)
    -1.20699
  • Jensen alpha (a)
    0.70199
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21474
  • Expected Shortfall on VaR
    0.26078
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01670
  • Expected Shortfall on VaR
    0.03981
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    345.00000
  • Minimum
    0.16728
  • Quartile 1
    0.99343
  • Median
    1.00000
  • Quartile 3
    1.00612
  • Maximum
    7.41326
  • Mean of quarter 1
    0.97364
  • Mean of quarter 2
    0.99788
  • Mean of quarter 3
    1.00236
  • Mean of quarter 4
    1.09902
  • Inter Quartile Range
    0.01269
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.02609
  • Mean of outliers low
    0.86548
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.04058
  • Mean of outliers high
    1.54588
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52461
  • VaR(95%) (moments method)
    0.02056
  • Expected Shortfall (moments method)
    0.04768
  • Extreme Value Index (regression method)
    0.30563
  • VaR(95%) (regression method)
    0.01611
  • Expected Shortfall (regression method)
    0.02690
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00240
  • Median
    0.01200
  • Quartile 3
    0.06495
  • Maximum
    0.83273
  • Mean of quarter 1
    0.00136
  • Mean of quarter 2
    0.00772
  • Mean of quarter 3
    0.04243
  • Mean of quarter 4
    0.38474
  • Inter Quartile Range
    0.06255
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.65294
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.58952
  • VaR(95%) (moments method)
    0.29895
  • Expected Shortfall (moments method)
    0.86028
  • Extreme Value Index (regression method)
    0.95401
  • VaR(95%) (regression method)
    0.52775
  • Expected Shortfall (regression method)
    12.45140
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.75139
  • Compounded annual return (geometric extrapolation)
    0.68600
  • Calmar ratio (compounded annual return / max draw down)
    0.82381
  • Compounded annual return / average of 25% largest draw downs
    1.78302
  • Compounded annual return / Expected Shortfall lognormal
    2.63055
  • 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
    11.76620
  • SD
    9.20119
  • Sharpe ratio (Glass type estimate)
    1.27877
  • Sharpe ratio (Hedges UMVUE)
    1.27138
  • df
    130.00000
  • t
    0.90423
  • p
    0.46047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49981
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.05252
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50473
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04749
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.76835
  • Upside Potential Ratio
    12.58310
  • Upside part of mean
    15.15670
  • Downside part of mean
    -3.39045
  • Upside SD
    9.11554
  • Downside SD
    1.20452
  • N nonnegative terms
    39.00000
  • N negative terms
    92.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.35160
  • Mean of criterion
    11.76620
  • SD of predictor
    0.61693
  • SD of criterion
    9.20119
  • Covariance
    -0.59610
  • r
    -0.10501
  • b (slope, estimate of beta)
    -1.56620
  • a (intercept, estimate of alpha)
    13.88310
  • Mean Square Error
    84.37730
  • DF error
    129.00000
  • t(b)
    -1.19934
  • p(b)
    0.56673
  • t(a)
    1.05898
  • p(a)
    0.44098
  • Lowerbound of 95% confidence interval for beta
    -4.14994
  • Upperbound of 95% confidence interval for beta
    1.01754
  • Lowerbound of 95% confidence interval for alpha
    -12.05520
  • Upperbound of 95% confidence interval for alpha
    39.82140
  • Treynor index (mean / b)
    -7.51258
  • Jensen alpha (a)
    13.88310
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.68999
  • SD
    3.89145
  • Sharpe ratio (Glass type estimate)
    0.17731
  • Sharpe ratio (Hedges UMVUE)
    0.17628
  • df
    130.00000
  • t
    0.12538
  • p
    0.49450
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.59482
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94896
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.59560
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94817
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.27137
  • Upside Potential Ratio
    2.36951
  • Upside part of mean
    6.02473
  • Downside part of mean
    -5.33474
  • Upside SD
    2.92657
  • Downside SD
    2.54261
  • N nonnegative terms
    39.00000
  • N negative terms
    92.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.17108
  • Mean of criterion
    0.68999
  • SD of predictor
    0.58970
  • SD of criterion
    3.89145
  • Covariance
    -0.16533
  • r
    -0.07205
  • b (slope, estimate of beta)
    -0.47543
  • a (intercept, estimate of alpha)
    1.24676
  • Mean Square Error
    15.18160
  • DF error
    129.00000
  • t(b)
    -0.82041
  • p(b)
    0.54583
  • t(a)
    0.22456
  • p(a)
    0.48742
  • VAR (95 Confidence Intrvl)
    0.21500
  • Lowerbound of 95% confidence interval for beta
    -1.62199
  • Upperbound of 95% confidence interval for beta
    0.67113
  • Lowerbound of 95% confidence interval for alpha
    -9.73784
  • Upperbound of 95% confidence interval for alpha
    12.23140
  • Treynor index (mean / b)
    -1.45130
  • Jensen alpha (a)
    1.24676
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.32484
  • Expected Shortfall on VaR
    0.38704
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03576
  • Expected Shortfall on VaR
    0.08230
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.16728
  • Quartile 1
    0.98834
  • Median
    1.00000
  • Quartile 3
    1.00223
  • Maximum
    7.41326
  • Mean of quarter 1
    0.95247
  • Mean of quarter 2
    0.99646
  • Mean of quarter 3
    1.00021
  • Mean of quarter 4
    1.22957
  • Inter Quartile Range
    0.01389
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.81359
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    2.22619
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.83025
  • VaR(95%) (moments method)
    0.03594
  • Expected Shortfall (moments method)
    0.19523
  • Extreme Value Index (regression method)
    1.29069
  • VaR(95%) (regression method)
    0.02209
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.12914
  • Quartile 1
    0.26844
  • Median
    0.40774
  • Quartile 3
    0.62023
  • Maximum
    0.83273
  • Mean of quarter 1
    0.12914
  • Mean of quarter 2
    0.40774
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.83273
  • Inter Quartile Range
    0.35180
  • 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
  • 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?
    -341049000
  • Max Equity Drawdown (num days)
    1
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.86365
  • Compounded annual return (geometric extrapolation)
    1.05013
  • Calmar ratio (compounded annual return / max draw down)
    1.26107
  • Compounded annual return / average of 25% largest draw downs
    1.26107
  • Compounded annual return / Expected Shortfall lognormal
    2.71324

Strategy Description

Futures 3000 is an offering allowing subscribers to participate in a broad range of strategies ranging from trend-following, mean reversion, range bound and breakouts - these strategies have been rigorously researched, programmed and then tested with walk-forward analysis before being traded live for 6 months to 3 years.

These broad methodologies are applied to a wide range of global markets covering: Gold, Copper, British Pound, Crude Oil, Coffee, DAX, Natural Gas, Wheat and Soybean, with the most appropriate methodologies applied to each market and a strategy tailored for each individual market.

What to expect:
An average of 50 trades a month.
Stop loss levels are set to $1000 to $2000 depending on strategy - stops cannot be guaranteed.
Full automation of strategy from MultiCharts > StrategyXTender > C2 - resulting in exceptional discipline.
Systems are also run on a remote hosted dedicated server to ensure connectivity between our server and C2.
NO event-driven trading and so slippage is not a serious concern.

We have split our day / short-term trading into 3 offerings on Collective2 so that smaller account can still participate: Futures 3000, Futures 5000 and Bull Market Futures. There is also an 8-page pdf available to prospective clients that will answer many of your questions while showing Monte - Carlo Simulations of various risk scenarios.

Please note: if you are trading more than one unit please inform me. With some of our markets, a large trader will create potential liquidity issues. At some point, I will make this strategy private, one large trader taking large amounts of liquidity does not make this a profitable business proposition for me. Each additional unit (Multiple of 1 contract) is $137.

Please feel free to contact me regarding any questions you may have.

Charles

Summary Statistics

Strategy began
2017-10-03
Suggested Minimum Capital
$25,000
# Trades
915
# Profitable
427
% Profitable
46.7%
Correlation S&P500
-0.094
Sharpe Ratio
0.34
Sortino Ratio
11.17
Beta
-6.87
Alpha
1.75

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.