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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 11/10/2017
Most recent certification approved 11/21/17 18:00 ET
Trades at broker Interactive Brokers (Direct Connection)
Scaling percentage used 100%
# trading signals issued by system since certification 16
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 16
Percent signals followed since 11/10/2017 100%
This information was last updated 12/14/17 18:01 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 11/10/2017, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Bismarck
(100738045)

Created by: MechStrat MechStrat
Started: 02/2016
Futures
Last trade: 8 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 $149.00 per month.

40.9%
Annual Return (Compounded)
16.7%
Max Drawdown
86
Num Trades
65.1%
Win Trades
3.0 : 1
Profit Factor
60.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       (0.4%)(9.8%)+8.0%+12.0%+10.9%(0.5%)+4.3%+17.1%(1.3%)+5.4%(0.6%)+51.4%
2017+9.4%(6%)+5.5%+2.3%+8.2%(0.4%)+1.0%+2.3%+1.2%(2%)(1.8%)+3.0%+23.8%

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.

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 190 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/21/17 18:01 @ESZ7 E-MINI S&P 500 SHORT 1 2595.50 12/4 16:31 2637.75 6.96%
Trade id #114971257
Max drawdown($3,487)
Time12/4/17 9:44
Quant open-1
Worst price2665.25
Drawdown as % of equity-6.96%
($2,121)
Includes Typical Broker Commissions trade costs of $8.00
11/29/17 18:00 @TYH8 US T-NOTE 10 YR LONG 2 124 22/64 12/1 11:14 124 52/64 1.73%
Trade id #115108480
Max drawdown($844)
Time11/30/17 13:17
Quant open2
Worst price123 59/64
Drawdown as % of equity-1.73%
$919
Includes Typical Broker Commissions trade costs of $16.00
11/20/17 18:00 @TYZ7 US T-NOTE 10 YR LONG 2 124 45/64 11/22 18:00 125 6/64 0.42%
Trade id #114949572
Max drawdown($218)
Time11/21/17 12:39
Quant open2
Worst price124 38/64
Drawdown as % of equity-0.42%
$766
Includes Typical Broker Commissions trade costs of $16.00
11/14/17 18:00 @ESZ7 E-MINI S&P 500 LONG 2 2577.00 11/21 18:00 2589.49 4.36%
Trade id #114857961
Max drawdown($2,150)
Time11/15/17 9:40
Quant open2
Worst price2555.50
Drawdown as % of equity-4.36%
$1,233
Includes Typical Broker Commissions trade costs of $16.00
11/9/17 18:00 @TYZ7 US T-NOTE 10 YR LONG 2 124 56/64 11/15 18:00 125 2/64 1.52%
Trade id #114781106
Max drawdown($750)
Time11/14/17 3:07
Quant open2
Worst price124 32/64
Drawdown as % of equity-1.52%
$312
Includes Typical Broker Commissions trade costs of $16.00
11/10/17 14:51 @ESZ7 E-MINI S&P 500 SHORT 1 2580.50 11/12 18:00 2581.00 0.13%
Trade id #114801160
Max drawdown($62)
Time11/10/17 15:03
Quant open-1
Worst price2581.75
Drawdown as % of equity-0.13%
($33)
Includes Typical Broker Commissions trade costs of $8.00
11/7/17 1:24 @ESZ7 E-MINI S&P 500 SHORT 2 2592.75 11/8 14:59 2590.87 0.15%
Trade id #114715911
Max drawdown($75)
Time11/7/17 1:44
Quant open-2
Worst price2593.50
Drawdown as % of equity-0.15%
$172
Includes Typical Broker Commissions trade costs of $16.00
10/27/17 16:30 @ESZ7 E-MINI S&P 500 SHORT 0.5 2578.38 11/7 1:15 2592.96 0.75%
Trade id #114579882
Max drawdown($371)
Time11/7/17 1:09
Quant open-1
Worst price2593.25
Drawdown as % of equity-0.75%
($369)
Includes Typical Broker Commissions trade costs of $4.00
10/1/17 23:38 @ESZ7 E-MINI S&P 500 SHORT 0.5 2519.25 10/23 16:31 2562.88 1.46%
Trade id #113961747
Max drawdown($725)
Time10/22/17 19:55
Quant open0
Worst price2577.25
Drawdown as % of equity-1.46%
($1,095)
Includes Typical Broker Commissions trade costs of $4.00
10/18/17 18:01 @TYZ7 US T-NOTE 10 YR LONG 1 125 7/64 10/19 11:40 125 20/64 0.02%
Trade id #114358347
Max drawdown($7)
Time10/18/17 18:04
Quant open0
Worst price125 6/64
Drawdown as % of equity-0.02%
$195
Includes Typical Broker Commissions trade costs of $8.00
9/25/17 18:01 @ESZ7 E-MINI S&P 500 LONG 1 2496.56 10/1 23:38 2510.73 0.15%
Trade id #113850440
Max drawdown($74)
Time9/26/17 11:28
Quant open0
Worst price2492.25
Drawdown as % of equity-0.15%
$701
Includes Typical Broker Commissions trade costs of $8.00
9/19/17 18:01 @TYZ7 US T-NOTE 10 YR LONG 1 125 64/64 9/25 18:01 126 2/64 0.46%
Trade id #113753824
Max drawdown($230)
Time9/20/17 14:36
Quant open0
Worst price125 34/64
Drawdown as % of equity-0.46%
$31
Includes Typical Broker Commissions trade costs of $8.00
8/17/17 16:31 @ESU7 E-MINI S&P 500 LONG 0.5 2430.25 8/18 16:31 2426.50 0.27%
Trade id #113210119
Max drawdown($134)
Time8/18/17 10:00
Quant open0
Worst price2419.50
Drawdown as % of equity-0.27%
($98)
Includes Typical Broker Commissions trade costs of $4.00
8/15/17 18:01 @TYU7 US T-NOTE 10 YR LONG 0.5 126 8/64 8/16 15:48 126 26/64 0.06%
Trade id #113163205
Max drawdown($31)
Time8/16/17 5:43
Quant open0
Worst price126
Drawdown as % of equity-0.06%
$137
Includes Typical Broker Commissions trade costs of $4.00
8/10/17 16:31 @ESU7 E-MINI S&P 500 LONG 1 2434.45 8/14 9:28 2446.69 0.21%
Trade id #113093405
Max drawdown($105)
Time8/11/17 7:51
Quant open0
Worst price2430.25
Drawdown as % of equity-0.21%
$604
Includes Typical Broker Commissions trade costs of $8.00
8/8/17 18:01 @ESU7 E-MINI S&P 500 SHORT 0.5 2469.50 8/10 16:31 2434.71 0.13%
Trade id #113046203
Max drawdown($62)
Time8/9/17 16:46
Quant open0
Worst price2474.50
Drawdown as % of equity-0.13%
$866
Includes Typical Broker Commissions trade costs of $4.00
8/7/17 7:45 @ESU7 E-MINI S&P 500 LONG 1 2473.70 8/8 18:01 2473.12 0.16%
Trade id #113012946
Max drawdown($77)
Time8/8/17 15:37
Quant open0
Worst price2467.50
Drawdown as % of equity-0.16%
($37)
Includes Typical Broker Commissions trade costs of $8.00
8/1/17 18:01 @ESU7 E-MINI S&P 500 LONG 1 2475.50 8/3 23:27 2470.25 0.63%
Trade id #112930661
Max drawdown($306)
Time8/2/17 11:00
Quant open0
Worst price2463.25
Drawdown as % of equity-0.63%
($271)
Includes Typical Broker Commissions trade costs of $8.00
7/13/17 7:00 @ESU7 E-MINI S&P 500 SHORT 0.5 2443.00 7/30 21:27 2467.00 0.96%
Trade id #112574970
Max drawdown($468)
Time7/27/17 9:31
Quant open0
Worst price2480.50
Drawdown as % of equity-0.96%
($604)
Includes Typical Broker Commissions trade costs of $4.00
7/3/17 18:01 @TYU7 US T-NOTE 10 YR LONG 0.5 125 7/64 7/13 7:00 125 41/64 0.16%
Trade id #112392886
Max drawdown($78)
Time7/6/17 8:25
Quant open0
Worst price124 51/64
Drawdown as % of equity-0.16%
$262
Includes Typical Broker Commissions trade costs of $4.00
6/25/17 18:01 @ESU7 E-MINI S&P 500 LONG 2 2423.50 7/13 6:59 2431.62 0.76%
Trade id #112202622
Max drawdown($368)
Time6/29/17 13:30
Quant open0
Worst price2402.25
Drawdown as % of equity-0.76%
$797
Includes Typical Broker Commissions trade costs of $16.00
6/19/17 18:01 @TYU7 US T-NOTE 10 YR LONG 0.5 126 28/64 6/26 20:02 126 46/64 0.04%
Trade id #112125630
Max drawdown($19)
Time6/19/17 19:32
Quant open0
Worst price126 23/64
Drawdown as % of equity-0.04%
$137
Includes Typical Broker Commissions trade costs of $4.00
6/7/17 23:45 @ESU7 E-MINI S&P 500 SHORT 0.5 2431.50 6/23 3:28 2434.75 0.52%
Trade id #111963503
Max drawdown($250)
Time6/19/17 15:55
Quant open0
Worst price2451.50
Drawdown as % of equity-0.52%
($85)
Includes Typical Broker Commissions trade costs of $4.00
6/11/17 18:01 @TYU7 US T-NOTE 10 YR LONG 1 126 20/64 6/14 14:36 126 59/64 0.13%
Trade id #112005588
Max drawdown($62)
Time6/13/17 9:04
Quant open0
Worst price126 12/64
Drawdown as % of equity-0.13%
$602
Includes Typical Broker Commissions trade costs of $8.00
5/25/17 8:22 @ESM7 E-MINI S&P 500 SHORT 0.5 2407.25 6/7 23:44 2434.00 0.85%
Trade id #111766151
Max drawdown($406)
Time6/2/17 15:39
Quant open0
Worst price2439.75
Drawdown as % of equity-0.85%
($673)
Includes Typical Broker Commissions trade costs of $4.00
5/29/17 1:52 @TYU7 US T-NOTE 10 YR LONG 1 125 52/64 5/30 18:01 126 4/64 0.02%
Trade id #111809059
Max drawdown($7)
Time5/29/17 2:30
Quant open0
Worst price125 51/64
Drawdown as % of equity-0.02%
$235
Includes Typical Broker Commissions trade costs of $8.00
5/23/17 18:01 @TYM7 US T-NOTE 10 YR LONG 1 125 57/64 5/29 1:51 126 7/64 0.13%
Trade id #111740013
Max drawdown($62)
Time5/24/17 12:41
Quant open0
Worst price125 49/64
Drawdown as % of equity-0.13%
$210
Includes Typical Broker Commissions trade costs of $8.00
5/17/17 16:31 @ESM7 E-MINI S&P 500 LONG 2 2357.19 5/25 8:21 2378.94 1.38%
Trade id #111652499
Max drawdown($634)
Time5/18/17 5:58
Quant open0
Worst price2344.50
Drawdown as % of equity-1.38%
$2,159
Includes Typical Broker Commissions trade costs of $16.00
4/24/17 18:01 @ESM7 E-MINI S&P 500 SHORT 0.5 2368.75 5/17 16:30 2358.50 1%
Trade id #111237651
Max drawdown($446)
Time5/16/17 9:31
Quant open0
Worst price2404.50
Drawdown as % of equity-1.00%
$252
Includes Typical Broker Commissions trade costs of $4.00
5/4/17 18:01 @TYM7 US T-NOTE 10 YR LONG 1 125 12/64 5/14 18:01 125 37/64 0.53%
Trade id #111419107
Max drawdown($234)
Time5/11/17 8:51
Quant open0
Worst price124 46/64
Drawdown as % of equity-0.53%
$382
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    2/20/2016
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    665.12
  • Age
    22 months ago
  • What it trades
    Futures
  • # Trades
    86
  • # Profitable
    56
  • % Profitable
    65.10%
  • Avg trade duration
    7.8 days
  • Max peak-to-valley drawdown
    16.69%
  • drawdown period
    Feb 24, 2016 - April 10, 2016
  • Annual Return (Compounded)
    40.9%
  • Avg win
    $704.57
  • Avg loss
    $445.80
  • Model Account Values (Raw)
  • Cash
    $51,079
  • Margin Used
    $0
  • Buying Power
    $51,079
  • Ratios
  • W:L ratio
    2.95:1
  • Sharpe Ratio
    2.17
  • Sortino Ratio
    4.623
  • Calmar Ratio
    3.804
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.01300
  • Return Statistics
  • Ann Return (w trading costs)
    40.9%
  • Ann Return (Compnd, No Fees)
    47.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.50%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    767
  • Popularity (Last 6 weeks)
    948
  • C2 Score
    79.2
  • Trades-Own-System Certification
  • Trades Own System?
    184205
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $446
  • Avg Win
    $705
  • # Winners
    56
  • # Losers
    30
  • % Winners
    65.1%
  • Frequency
  • Avg Position Time (mins)
    11168.50
  • Avg Position Time (hrs)
    186.14
  • Avg Trade Length
    7.8 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41081
  • SD
    0.20101
  • Sharpe ratio (Glass type estimate)
    2.04376
  • Sharpe ratio (Hedges UMVUE)
    1.96598
  • df
    20.00000
  • t
    2.70364
  • p
    0.24132
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63188
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36401
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56795
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.22040
  • Upside Potential Ratio
    7.56537
  • Upside part of mean
    0.49964
  • Downside part of mean
    -0.08883
  • Upside SD
    0.21951
  • Downside SD
    0.06604
  • N nonnegative terms
    15.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.14720
  • Mean of criterion
    0.41081
  • SD of predictor
    0.07311
  • SD of criterion
    0.20101
  • Covariance
    -0.00671
  • r
    -0.45630
  • b (slope, estimate of beta)
    -1.25448
  • a (intercept, estimate of alpha)
    0.59547
  • Mean Square Error
    0.03368
  • DF error
    19.00000
  • t(b)
    -2.23525
  • p(b)
    0.78007
  • t(a)
    3.68815
  • p(a)
    0.11951
  • Lowerbound of 95% confidence interval for beta
    -2.42914
  • Upperbound of 95% confidence interval for beta
    -0.07982
  • Lowerbound of 95% confidence interval for alpha
    0.25754
  • Upperbound of 95% confidence interval for alpha
    0.93340
  • Treynor index (mean / b)
    -0.32748
  • Jensen alpha (a)
    0.59547
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38538
  • SD
    0.19176
  • Sharpe ratio (Glass type estimate)
    2.00969
  • Sharpe ratio (Hedges UMVUE)
    1.93321
  • df
    20.00000
  • t
    2.65857
  • p
    0.24450
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38277
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.59401
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33507
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.53134
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.67503
  • Upside Potential Ratio
    7.01330
  • Upside part of mean
    0.47626
  • Downside part of mean
    -0.09088
  • Upside SD
    0.20685
  • Downside SD
    0.06791
  • N nonnegative terms
    15.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.14350
  • Mean of criterion
    0.38538
  • SD of predictor
    0.07180
  • SD of criterion
    0.19176
  • Covariance
    -0.00629
  • r
    -0.45678
  • b (slope, estimate of beta)
    -1.21990
  • a (intercept, estimate of alpha)
    0.56044
  • Mean Square Error
    0.03063
  • DF error
    19.00000
  • t(b)
    -2.23822
  • p(b)
    0.78034
  • t(a)
    3.64653
  • p(a)
    0.12160
  • Lowerbound of 95% confidence interval for beta
    -2.36065
  • Upperbound of 95% confidence interval for beta
    -0.07914
  • Lowerbound of 95% confidence interval for alpha
    0.23876
  • Upperbound of 95% confidence interval for alpha
    0.88212
  • Treynor index (mean / b)
    -0.31591
  • Jensen alpha (a)
    0.56044
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05724
  • Expected Shortfall on VaR
    0.07860
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01110
  • Expected Shortfall on VaR
    0.02626
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.93324
  • Quartile 1
    1.00000
  • Median
    1.02408
  • Quartile 3
    1.07051
  • Maximum
    1.17519
  • Mean of quarter 1
    0.97642
  • Mean of quarter 2
    1.01552
  • Mean of quarter 3
    1.05107
  • Mean of quarter 4
    1.11528
  • Inter Quartile Range
    0.07051
  • 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)
    0.54988
  • VaR(95%) (regression method)
    0.03918
  • Expected Shortfall (regression method)
    0.11809
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00111
  • Quartile 1
    0.01057
  • Median
    0.01765
  • Quartile 3
    0.04539
  • Maximum
    0.06676
  • Mean of quarter 1
    0.00584
  • Mean of quarter 2
    0.01765
  • Mean of quarter 3
    0.04539
  • Mean of quarter 4
    0.06676
  • Inter Quartile Range
    0.03482
  • 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)
    0.60636
  • Compounded annual return (geometric extrapolation)
    0.51178
  • Calmar ratio (compounded annual return / max draw down)
    7.66572
  • Compounded annual return / average of 25% largest draw downs
    7.66572
  • Compounded annual return / Expected Shortfall lognormal
    6.51123
  • 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
    0.39502
  • SD
    0.18174
  • Sharpe ratio (Glass type estimate)
    2.17352
  • Sharpe ratio (Hedges UMVUE)
    2.17005
  • df
    469.00000
  • t
    2.91114
  • p
    0.00189
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.70246
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64233
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70012
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63997
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.62254
  • Upside Potential Ratio
    11.84870
  • Upside part of mean
    1.01254
  • Downside part of mean
    -0.61751
  • Upside SD
    0.16203
  • Downside SD
    0.08546
  • N nonnegative terms
    211.00000
  • N negative terms
    259.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    470.00000
  • Mean of predictor
    0.15397
  • Mean of criterion
    0.39502
  • SD of predictor
    0.09109
  • SD of criterion
    0.18174
  • Covariance
    0.00143
  • r
    0.08640
  • b (slope, estimate of beta)
    0.17238
  • a (intercept, estimate of alpha)
    0.36800
  • Mean Square Error
    0.03285
  • DF error
    468.00000
  • t(b)
    1.87615
  • p(b)
    0.03063
  • t(a)
    2.70806
  • p(a)
    0.00351
  • Lowerbound of 95% confidence interval for beta
    -0.00817
  • Upperbound of 95% confidence interval for beta
    0.35293
  • Lowerbound of 95% confidence interval for alpha
    0.10110
  • Upperbound of 95% confidence interval for alpha
    0.63586
  • Treynor index (mean / b)
    2.29156
  • Jensen alpha (a)
    0.36848
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37868
  • SD
    0.17792
  • Sharpe ratio (Glass type estimate)
    2.12834
  • Sharpe ratio (Hedges UMVUE)
    2.12493
  • df
    469.00000
  • t
    2.85062
  • p
    0.00228
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65758
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.59694
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65527
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59459
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.38920
  • Upside Potential Ratio
    11.58870
  • Upside part of mean
    0.99983
  • Downside part of mean
    -0.62115
  • Upside SD
    0.15714
  • Downside SD
    0.08628
  • N nonnegative terms
    211.00000
  • N negative terms
    259.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    470.00000
  • Mean of predictor
    0.14977
  • Mean of criterion
    0.37868
  • SD of predictor
    0.09117
  • SD of criterion
    0.17792
  • Covariance
    0.00127
  • r
    0.07855
  • b (slope, estimate of beta)
    0.15329
  • a (intercept, estimate of alpha)
    0.35573
  • Mean Square Error
    0.03153
  • DF error
    468.00000
  • t(b)
    1.70450
  • p(b)
    0.04448
  • t(a)
    2.66949
  • p(a)
    0.00393
  • Lowerbound of 95% confidence interval for beta
    -0.02343
  • Upperbound of 95% confidence interval for beta
    0.33000
  • Lowerbound of 95% confidence interval for alpha
    0.09387
  • Upperbound of 95% confidence interval for alpha
    0.61758
  • Treynor index (mean / b)
    2.47046
  • Jensen alpha (a)
    0.35573
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01650
  • Expected Shortfall on VaR
    0.02100
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00573
  • Expected Shortfall on VaR
    0.01154
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    470.00000
  • Minimum
    0.96667
  • Quartile 1
    0.99709
  • Median
    1.00000
  • Quartile 3
    1.00459
  • Maximum
    1.12976
  • Mean of quarter 1
    0.99176
  • Mean of quarter 2
    0.99907
  • Mean of quarter 3
    1.00162
  • Mean of quarter 4
    1.01398
  • Inter Quartile Range
    0.00750
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.03191
  • Mean of outliers low
    0.97792
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.06596
  • Mean of outliers high
    1.02893
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32555
  • VaR(95%) (moments method)
    0.00812
  • Expected Shortfall (moments method)
    0.01427
  • Extreme Value Index (regression method)
    -0.05617
  • VaR(95%) (regression method)
    0.00732
  • Expected Shortfall (regression method)
    0.00978
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00241
  • Median
    0.00929
  • Quartile 3
    0.02754
  • Maximum
    0.13189
  • Mean of quarter 1
    0.00118
  • Mean of quarter 2
    0.00577
  • Mean of quarter 3
    0.01540
  • Mean of quarter 4
    0.05963
  • Inter Quartile Range
    0.02513
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.10157
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40681
  • VaR(95%) (moments method)
    0.06886
  • Expected Shortfall (moments method)
    0.12842
  • Extreme Value Index (regression method)
    0.85459
  • VaR(95%) (regression method)
    0.05567
  • Expected Shortfall (regression method)
    0.26804
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.59859
  • Compounded annual return (geometric extrapolation)
    0.50169
  • Calmar ratio (compounded annual return / max draw down)
    3.80386
  • Compounded annual return / average of 25% largest draw downs
    8.41403
  • Compounded annual return / Expected Shortfall lognormal
    23.89390
  • 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
    0.07676
  • SD
    0.08897
  • Sharpe ratio (Glass type estimate)
    0.86269
  • Sharpe ratio (Hedges UMVUE)
    0.85771
  • df
    130.00000
  • t
    0.61002
  • p
    0.47329
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.91267
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63492
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63147
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48150
  • Upside Potential Ratio
    9.15490
  • Upside part of mean
    0.47433
  • Downside part of mean
    -0.39757
  • Upside SD
    0.07207
  • Downside SD
    0.05181
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16514
  • Mean of criterion
    0.07676
  • SD of predictor
    0.06774
  • SD of criterion
    0.08897
  • Covariance
    0.00031
  • r
    0.05182
  • b (slope, estimate of beta)
    0.06807
  • a (intercept, estimate of alpha)
    0.06552
  • Mean Square Error
    0.00796
  • DF error
    129.00000
  • t(b)
    0.58939
  • p(b)
    0.46702
  • t(a)
    0.51353
  • p(a)
    0.47125
  • Lowerbound of 95% confidence interval for beta
    -0.16044
  • Upperbound of 95% confidence interval for beta
    0.29658
  • Lowerbound of 95% confidence interval for alpha
    -0.18690
  • Upperbound of 95% confidence interval for alpha
    0.31794
  • Treynor index (mean / b)
    1.12760
  • Jensen alpha (a)
    0.06552
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07283
  • SD
    0.08862
  • Sharpe ratio (Glass type estimate)
    0.82185
  • Sharpe ratio (Hedges UMVUE)
    0.81710
  • df
    130.00000
  • t
    0.58113
  • p
    0.47455
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.95333
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.59388
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95649
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59068
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.39872
  • Upside Potential Ratio
    9.05895
  • Upside part of mean
    0.47171
  • Downside part of mean
    -0.39888
  • Upside SD
    0.07143
  • Downside SD
    0.05207
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16279
  • Mean of criterion
    0.07283
  • SD of predictor
    0.06776
  • SD of criterion
    0.08862
  • Covariance
    0.00030
  • r
    0.05009
  • b (slope, estimate of beta)
    0.06551
  • a (intercept, estimate of alpha)
    0.06217
  • Mean Square Error
    0.00789
  • DF error
    129.00000
  • t(b)
    0.56961
  • p(b)
    0.46813
  • t(a)
    0.48935
  • p(a)
    0.47260
  • Lowerbound of 95% confidence interval for beta
    -0.16203
  • Upperbound of 95% confidence interval for beta
    0.29304
  • Lowerbound of 95% confidence interval for alpha
    -0.18919
  • Upperbound of 95% confidence interval for alpha
    0.31353
  • Treynor index (mean / b)
    1.11185
  • Jensen alpha (a)
    0.06217
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00869
  • Expected Shortfall on VaR
    0.01095
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00403
  • Expected Shortfall on VaR
    0.00777
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98246
  • Quartile 1
    0.99828
  • Median
    1.00000
  • Quartile 3
    1.00177
  • Maximum
    1.03074
  • Mean of quarter 1
    0.99486
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00042
  • Mean of quarter 4
    1.00694
  • Inter Quartile Range
    0.00349
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98945
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.01148
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15942
  • VaR(95%) (moments method)
    0.00465
  • Expected Shortfall (moments method)
    0.00711
  • Extreme Value Index (regression method)
    0.26220
  • VaR(95%) (regression method)
    0.00467
  • Expected Shortfall (regression method)
    0.00770
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00719
  • Quartile 1
    0.01011
  • Median
    0.01419
  • Quartile 3
    0.03043
  • Maximum
    0.04516
  • Mean of quarter 1
    0.00835
  • Mean of quarter 2
    0.01188
  • Mean of quarter 3
    0.01651
  • Mean of quarter 4
    0.04011
  • Inter Quartile Range
    0.02032
  • 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)
    0.10332
  • Compounded annual return (geometric extrapolation)
    0.10599
  • Calmar ratio (compounded annual return / max draw down)
    2.34717
  • Compounded annual return / average of 25% largest draw downs
    2.64229
  • Compounded annual return / Expected Shortfall lognormal
    9.67677

Strategy Description

Detailed description of the Bismarck program can be found here: http://www.mechstrat.com/
DISCLAIMER: Back-testing data is hypothetical and it has not been verified by C2.

Before to subscribe or inquiry please be aware of the following:

- I do not provide subscription pricing discount.
- Bismarck is tailored for long term investors which have (at least) basic understandings of what a mechanical program is, including the typical weaknesses of a systematic approach.
- Bismarck is a multi - strategy type program which require good knowledge of risk and leverage used including and not limited to margin requirements.
- If You should decide later to ask a refund because of personal reasons or unsatisfactory feelings related to the program that is completely fine and legit. However, since I will be charged a fee for each refund request, please refrain to subscribe again at the MechStrat's programs in future.

Summary Statistics

Strategy began
2016-02-20
Minimum Capital Required
$25,000
# Trades
86
# Profitable
56
% Profitable
65.1%
Correlation S&P500
0.013
Sharpe Ratio
2.170

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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