Bismarck
(100738045)
Subscription terms. Subscriptions to this system cost $149.00 per month.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

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%)  +8.0%  +29.8% 
2018  (11.2%)  (59.2%)            (63.8%) 
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.
Started  $25,000  
Buy Power  $22,444  
Cash  $1  
Equity  $1  
Cumulative $  ($2,555)  
Total System Equity  $22,444  
Margined  $1  
Open P/L  $0  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began2/20/2016

Suggested Minimum Cap$25,000

Strategy Age (days)876.4

Age29 months ago

What it tradesFutures

# Trades94

# Profitable59

% Profitable62.80%

Avg trade duration8.0 days

Max peaktovalley drawdown74.92%

drawdown periodJan 03, 2018  Feb 06, 2018

Annual Return (Compounded)15.7%

Avg win$758.90

Avg loss$1,352
 Model Account Values (Raw)

Cash$22,444

Margin Used$0

Buying Power$22,444
 Ratios

W:L ratio0.95:1

Sharpe Ratio0.04

Sortino Ratio0.045

Calmar Ratio0.07
 CORRELATION STATISTICS

Correlation to SP5000.01800
 Return Statistics

Ann Return (w trading costs)15.7%

Ann Return (Compnd, No Fees)4.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss81.50%

Chance of 30% account loss50.50%

Chance of 40% account loss23.00%

Chance of 50% account loss6.00%
 Popularity

Popularity (Today)458

Popularity (Last 6 weeks)952
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$1,352

Avg Win$759

# Winners59

# Losers35

% Winners62.8%
 Frequency

Avg Position Time (mins)11451.70

Avg Position Time (hrs)190.86

Avg Trade Length8.0 days

Last Trade Ago160
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.34404

SD0.22524

Sharpe ratio (Glass type estimate)1.52743

Sharpe ratio (Hedges UMVUE)1.47466

df22.00000

t2.11463

p0.02301

Lowerbound of 95% confidence interval for Sharpe Ratio0.02662

Upperbound of 95% confidence interval for Sharpe Ratio2.99686

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00659

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.95591
 Statistics related to Sortino ratio

Sortino ratio3.12099

Upside Potential Ratio4.44896

Upside part of mean0.49042

Downside part of mean0.14639

Upside SD0.21503

Downside SD0.11023

N nonnegative terms16.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations23.00000

Mean of predictor0.17024

Mean of criterion0.34404

SD of predictor0.07388

SD of criterion0.22524

Covariance0.00856

r0.51433

b (slope, estimate of beta)1.56813

a (intercept, estimate of alpha)0.61100

Mean Square Error0.03909

DF error21.00000

t(b)2.74832

p(b)0.81236

t(a)3.53766

p(a)0.13677

Lowerbound of 95% confidence interval for beta2.75472

Upperbound of 95% confidence interval for beta0.38155

Lowerbound of 95% confidence interval for alpha0.25182

Upperbound of 95% confidence interval for alpha0.97018

Treynor index (mean / b)0.21939

Jensen alpha (a)0.61100
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.31538

SD0.22016

Sharpe ratio (Glass type estimate)1.43250

Sharpe ratio (Hedges UMVUE)1.38301

df22.00000

t1.98321

p0.02998

Lowerbound of 95% confidence interval for Sharpe Ratio0.05929

Upperbound of 95% confidence interval for Sharpe Ratio2.89455

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.09050

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.85652
 Statistics related to Sortino ratio

Sortino ratio2.71557

Upside Potential Ratio4.02910

Upside part of mean0.46793

Downside part of mean0.15255

Upside SD0.20289

Downside SD0.11614

N nonnegative terms16.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations23.00000

Mean of predictor0.16614

Mean of criterion0.31538

SD of predictor0.07253

SD of criterion0.22016

Covariance0.00822

r0.51456

b (slope, estimate of beta)1.56199

a (intercept, estimate of alpha)0.57488

Mean Square Error0.03733

DF error21.00000

t(b)2.74998

p(b)0.81248

t(a)3.41230

p(a)0.14379

Lowerbound of 95% confidence interval for beta2.74321

Upperbound of 95% confidence interval for beta0.38077

Lowerbound of 95% confidence interval for alpha0.22452

Upperbound of 95% confidence interval for alpha0.92525

Treynor index (mean / b)0.20191

Jensen alpha (a)0.57488
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07527

Expected Shortfall on VaR0.09926
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01921

Expected Shortfall on VaR0.04497
 ORDER STATISTICS
 Quartiles of return rates

Number of observations23.00000

Minimum0.87720

Quartile 10.99945

Median1.02408

Quartile 31.06923

Maximum1.17519

Mean of quarter 10.95595

Mean of quarter 21.01293

Mean of quarter 31.05055

Mean of quarter 41.10782

Inter Quartile Range0.06978

Number outliers low1.00000

Percentage of outliers low0.04348

Mean of outliers low0.87720

Number of outliers high1.00000

Percentage of outliers high0.04348

Mean of outliers high1.17519
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)3.78772

VaR(95%) (moments method)0.00600

Expected Shortfall (moments method)0.00602

Extreme Value Index (regression method)0.17063

VaR(95%) (regression method)0.07895

Expected Shortfall (regression method)0.14563
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00111

Quartile 10.01234

Median0.03152

Quartile 30.06142

Maximum0.12280

Mean of quarter 10.00584

Mean of quarter 20.01765

Mean of quarter 30.04539

Mean of quarter 40.09478

Inter Quartile Range0.04908

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.48566

Compounded annual return (geometric extrapolation)0.40957

Calmar ratio (compounded annual return / max draw down)3.33524

Compounded annual return / average of 25% largest draw downs4.32120

Compounded annual return / Expected Shortfall lognormal4.12629

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.01727

SD0.39109

Sharpe ratio (Glass type estimate)0.04416

Sharpe ratio (Hedges UMVUE)0.04409

df509.00000

t0.06161

p0.47545

Lowerbound of 95% confidence interval for Sharpe Ratio1.36064

Upperbound of 95% confidence interval for Sharpe Ratio1.44896

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.36071

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.44889
 Statistics related to Sortino ratio

Sortino ratio0.05001

Upside Potential Ratio3.08833

Upside part of mean1.06650

Downside part of mean1.04924

Upside SD0.18275

Downside SD0.34533

N nonnegative terms222.00000

N negative terms288.00000
 Statistics related to linear regression on benchmark

N of observations510.00000

Mean of predictor0.13857

Mean of criterion0.01727

SD of predictor0.10150

SD of criterion0.39109

Covariance0.00354

r0.08929

b (slope, estimate of beta)0.34402

a (intercept, estimate of alpha)0.02300

Mean Square Error0.15203

DF error508.00000

t(b)2.02051

p(b)0.02193

t(a)0.10841

p(a)0.54314

Lowerbound of 95% confidence interval for beta0.00951

Upperbound of 95% confidence interval for beta0.67853

Lowerbound of 95% confidence interval for alpha0.58141

Upperbound of 95% confidence interval for alpha0.52061

Treynor index (mean / b)0.05020

Jensen alpha (a)0.03040
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.07565

SD0.45505

Sharpe ratio (Glass type estimate)0.16625

Sharpe ratio (Hedges UMVUE)0.16601

df509.00000

t0.23196

p0.59167

Lowerbound of 95% confidence interval for Sharpe Ratio1.57103

Upperbound of 95% confidence interval for Sharpe Ratio1.23864

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.57084

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.23882
 Statistics related to Sortino ratio

Sortino ratio0.18059

Upside Potential Ratio2.50745

Upside part of mean1.05044

Downside part of mean1.12610

Upside SD0.17658

Downside SD0.41893

N nonnegative terms222.00000

N negative terms288.00000
 Statistics related to linear regression on benchmark

N of observations510.00000

Mean of predictor0.13336

Mean of criterion0.07565

SD of predictor0.10188

SD of criterion0.45505

Covariance0.00345

r0.07442

b (slope, estimate of beta)0.33237

a (intercept, estimate of alpha)0.11998

Mean Square Error0.20633

DF error508.00000

t(b)1.68194

p(b)0.04660

t(a)0.36732

p(a)0.64323

Lowerbound of 95% confidence interval for beta0.05587

Upperbound of 95% confidence interval for beta0.72061

Lowerbound of 95% confidence interval for alpha0.76170

Upperbound of 95% confidence interval for alpha0.52174

Treynor index (mean / b)0.22762

Jensen alpha (a)0.11998
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.04546

Expected Shortfall on VaR0.05656
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00954

Expected Shortfall on VaR0.02242
 ORDER STATISTICS
 Quartiles of return rates

Number of observations510.00000

Minimum0.61133

Quartile 10.99677

Median1.00000

Quartile 31.00434

Maximum1.12976

Mean of quarter 10.98540

Mean of quarter 20.99887

Mean of quarter 31.00145

Mean of quarter 41.01497

Inter Quartile Range0.00757

Number outliers low24.00000

Percentage of outliers low0.04706

Mean of outliers low0.95180

Number of outliers high35.00000

Percentage of outliers high0.06863

Mean of outliers high1.03225
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.66570

VaR(95%) (moments method)0.01206

Expected Shortfall (moments method)0.03881

Extreme Value Index (regression method)0.42594

VaR(95%) (regression method)0.00909

Expected Shortfall (regression method)0.01784
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations31.00000

Minimum0.00017

Quartile 10.00244

Median0.00952

Quartile 30.02866

Maximum0.63885

Mean of quarter 10.00118

Mean of quarter 20.00624

Mean of quarter 30.01810

Mean of quarter 40.13593

Inter Quartile Range0.02622

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high4.00000

Percentage of outliers high0.12903

Mean of outliers high0.23589
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.92431

VaR(95%) (moments method)0.13212

Expected Shortfall (moments method)1.80867

Extreme Value Index (regression method)1.68722

VaR(95%) (regression method)0.11248

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.04559

Compounded annual return (geometric extrapolation)0.04662

Calmar ratio (compounded annual return / max draw down)0.07298

Compounded annual return / average of 25% largest draw downs0.34301

Compounded annual return / Expected Shortfall lognormal0.82433

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

Mean1.29292

SD0.69108

Sharpe ratio (Glass type estimate)1.87088

Sharpe ratio (Hedges UMVUE)1.86006

df130.00000

t1.32291

p0.55763

Lowerbound of 95% confidence interval for Sharpe Ratio4.64849

Upperbound of 95% confidence interval for Sharpe Ratio0.91376

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.64107

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.92095
 Statistics related to Sortino ratio

Sortino ratio1.94876

Upside Potential Ratio1.29103

Upside part of mean0.85654

Downside part of mean2.14946

Upside SD0.20036

Downside SD0.66346

N nonnegative terms41.00000

N negative terms90.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15516

Mean of criterion1.29292

SD of predictor0.11531

SD of criterion0.69108

Covariance0.00897

r0.11252

b (slope, estimate of beta)0.67440

a (intercept, estimate of alpha)1.39756

Mean Square Error0.47520

DF error129.00000

t(b)1.28619

p(b)0.42852

t(a)1.42861

p(a)0.57924

Lowerbound of 95% confidence interval for beta0.36302

Upperbound of 95% confidence interval for beta1.71182

Lowerbound of 95% confidence interval for alpha3.33309

Upperbound of 95% confidence interval for alpha0.53797

Treynor index (mean / b)1.91714

Jensen alpha (a)1.39756
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.59926

SD0.83139

Sharpe ratio (Glass type estimate)1.92360

Sharpe ratio (Hedges UMVUE)1.91248

df130.00000

t1.36019

p0.55923

Lowerbound of 95% confidence interval for Sharpe Ratio4.70162

Upperbound of 95% confidence interval for Sharpe Ratio0.86169

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.69402

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.86906
 Statistics related to Sortino ratio

Sortino ratio1.97054

Upside Potential Ratio1.03186

Upside part of mean0.83744

Downside part of mean2.43670

Upside SD0.19241

Downside SD0.81158

N nonnegative terms41.00000

N negative terms90.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.14843

Mean of criterion1.59926

SD of predictor0.11638

SD of criterion0.83139

Covariance0.00916

r0.09464

b (slope, estimate of beta)0.67608

a (intercept, estimate of alpha)1.69960

Mean Square Error0.69033

DF error129.00000

t(b)1.07971

p(b)0.43984

t(a)1.44195

p(a)0.57997

Lowerbound of 95% confidence interval for beta0.56281

Upperbound of 95% confidence interval for beta1.91496

Lowerbound of 95% confidence interval for alpha4.03165

Upperbound of 95% confidence interval for alpha0.63245

Treynor index (mean / b)2.36550

Jensen alpha (a)1.69960
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08661

Expected Shortfall on VaR0.10584
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02238

Expected Shortfall on VaR0.05117
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.61133

Quartile 10.99683

Median1.00000

Quartile 31.00135

Maximum1.11255

Mean of quarter 10.96892

Mean of quarter 20.99880

Mean of quarter 31.00016

Mean of quarter 41.01296

Inter Quartile Range0.00453

Number outliers low17.00000

Percentage of outliers low0.12977

Mean of outliers low0.94550

Number of outliers high11.00000

Percentage of outliers high0.08397

Mean of outliers high1.03056
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.01392

VaR(95%) (moments method)0.02020

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.88126

VaR(95%) (regression method)0.01795

Expected Shortfall (regression method)0.16259
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00719

Quartile 10.02810

Median0.04011

Quartile 30.19358

Maximum0.63885

Mean of quarter 10.00719

Mean of quarter 20.03507

Mean of quarter 30.04516

Mean of quarter 40.63885

Inter Quartile Range0.16548

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.25000

Mean of outliers high0.63885
 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)1.08838

Compounded annual return (geometric extrapolation)0.79224

Calmar ratio (compounded annual return / max draw down)1.24009

Compounded annual return / average of 25% largest draw downs1.24009

Compounded annual return / Expected Shortfall lognormal7.48516
Strategy Description
DISCLAIMER: Backtesting 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.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.