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Subscribe today to "25K Emini SP Portfolio", and get your first month free... plus receive another $100 off an AutoTrade plan.

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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 04/02/2017
Most recent certification approved 4/6/17 9:04 ET
Trades at broker Interactive Brokers (Direct Connection non-US) (server 2)
Scaling percentage used 50%
# trading signals issued by system since certification 211
# trading signals executed in manager's Interactive Brokers (Direct Connection non-US) (server 2) account 203
Percent signals followed since 04/02/2017 96.2%
This information was last updated 12/14/17 3:05 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 04/02/2017, 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.

25K Emini SP Portfolio
(102237387)

Created by: AndresPadrones AndresPadrones
Started: 05/2016
Futures
Last trade: Yesterday

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 $99.00 per month.

35.6%
Annual Return (Compounded)
21.5%
Max Drawdown
206
Num Trades
68.4%
Win Trades
1.8 : 1
Profit Factor
65.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                            +13.3%(9.7%)+1.4%+10.0%(6.3%)(0.6%)+13.3%(0.2%)+20.2%
2017+6.0%+1.4%+3.3%(4.4%)+1.3%+12.4%+4.5%+12.1%(0.7%)+1.2%(5.1%)+0.8%+36.3%

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 12 hours.

Trading Record

This strategy has placed 205 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/14/17 23:00 @ESH8 E-MINI S&P 500 LONG 1 2656.00 12/15 3:03 2660.00 0.03%
Trade id #115365619
Max drawdown($12)
Time12/14/17 23:04
Quant open1
Worst price2655.75
Drawdown as % of equity-0.03%
$192
Includes Typical Broker Commissions trade costs of $8.00
12/13/17 18:34 @ESH8 E-MINI S&P 500 LONG 2 2669.38 12/14 14:29 2663.38 1.33%
Trade id #115341633
Max drawdown($618)
Time12/14/17 14:29
Quant open1
Worst price2657.00
Drawdown as % of equity-1.33%
($616)
Includes Typical Broker Commissions trade costs of $16.00
12/6/17 18:00 @ESZ7 E-MINI S&P 500 LONG 2 2630.25 12/6 18:35 2632.61 0.11%
Trade id #115231249
Max drawdown($50)
Time12/6/17 18:02
Quant open2
Worst price2629.75
Drawdown as % of equity-0.11%
$220
Includes Typical Broker Commissions trade costs of $16.00
11/30/17 18:00 @ESZ7 E-MINI S&P 500 LONG 2 2641.00 12/1 8:35 2646.75 2.13%
Trade id #115129298
Max drawdown($975)
Time12/1/17 5:57
Quant open2
Worst price2631.25
Drawdown as % of equity-2.13%
$559
Includes Typical Broker Commissions trade costs of $16.00
11/23/17 18:00 @ESZ7 E-MINI S&P 500 LONG 2 2595.90 11/24 7:27 2602.00 0.36%
Trade id #115006407
Max drawdown($164)
Time11/23/17 18:40
Quant open2
Worst price2594.25
Drawdown as % of equity-0.36%
$594
Includes Typical Broker Commissions trade costs of $16.00
11/16/17 19:08 @ESZ7 E-MINI S&P 500 LONG 2 2584.00 11/19 20:55 2570.25 3.01%
Trade id #114905725
Max drawdown($1,375)
Time11/19/17 20:55
Quant open0
Worst price2570.25
Drawdown as % of equity-3.01%
($1,391)
Includes Typical Broker Commissions trade costs of $16.00
11/16/17 18:00 @ESZ7 E-MINI S&P 500 LONG 2 2583.75 11/16 18:00 2583.50 0.05%
Trade id #114905390
Max drawdown($25)
Time11/16/17 18:00
Quant open0
Worst price2583.50
Drawdown as % of equity-0.05%
($41)
Includes Typical Broker Commissions trade costs of $16.00
11/16/17 3:24 @ESZ7 E-MINI S&P 500 LONG 2 2570.75 11/16 9:00 2573.30 0.11%
Trade id #114886292
Max drawdown($50)
Time11/16/17 3:26
Quant open2
Worst price2570.25
Drawdown as % of equity-0.11%
$239
Includes Typical Broker Commissions trade costs of $16.00
11/15/17 18:03 @ESZ7 E-MINI S&P 500 LONG 2 2564.50 11/15 22:19 2570.25 0.49%
Trade id #114881530
Max drawdown($225)
Time11/15/17 18:37
Quant open2
Worst price2562.25
Drawdown as % of equity-0.49%
$559
Includes Typical Broker Commissions trade costs of $16.00
11/13/17 8:15 @ESZ7 E-MINI S&P 500 LONG 4 2575.75 11/14 10:00 2571.27 1.93%
Trade id #114823202
Max drawdown($896)
Time11/14/17 10:00
Quant open2
Worst price2568.04
Drawdown as % of equity-1.93%
($928)
Includes Typical Broker Commissions trade costs of $32.00
11/9/17 18:00 @ESZ7 E-MINI S&P 500 LONG 4 2580.88 11/13 7:15 2573.25 3.24%
Trade id #114781126
Max drawdown($1,525)
Time11/13/17 7:15
Quant open2
Worst price2573.25
Drawdown as % of equity-3.24%
($1,557)
Includes Typical Broker Commissions trade costs of $32.00
11/1/17 18:00 @ESZ7 E-MINI S&P 500 LONG 2 2573.00 11/2 15:42 2577.50 2.24%
Trade id #114639827
Max drawdown($1,075)
Time11/2/17 10:14
Quant open2
Worst price2562.25
Drawdown as % of equity-2.24%
$434
Includes Typical Broker Commissions trade costs of $16.00
11/1/17 9:03 @ESZ7 E-MINI S&P 500 LONG 2 2581.67 11/1 9:18 2581.94 0.09%
Trade id #114625937
Max drawdown($41)
Time11/1/17 9:07
Quant open2
Worst price2581.25
Drawdown as % of equity-0.09%
$11
Includes Typical Broker Commissions trade costs of $16.00
10/20/17 2:02 @ESZ7 E-MINI S&P 500 LONG 2 2566.00 10/20 9:00 2566.50 0.47%
Trade id #114385309
Max drawdown($225)
Time10/20/17 4:45
Quant open2
Worst price2563.75
Drawdown as % of equity-0.47%
$34
Includes Typical Broker Commissions trade costs of $16.00
10/5/17 18:00 @ESZ7 E-MINI S&P 500 LONG 1 2548.75 10/13 8:35 2554.75 1.01%
Trade id #114050721
Max drawdown($475)
Time10/9/17 15:14
Quant open1
Worst price2539.25
Drawdown as % of equity-1.01%
$292
Includes Typical Broker Commissions trade costs of $8.00
10/4/17 18:00 @ESZ7 E-MINI S&P 500 LONG 1 2535.50 10/5 10:38 2541.25 0.11%
Trade id #114025017
Max drawdown($50)
Time10/4/17 20:42
Quant open1
Worst price2534.50
Drawdown as % of equity-0.11%
$280
Includes Typical Broker Commissions trade costs of $8.00
9/28/17 4:34 @ESZ7 E-MINI S&P 500 LONG 1 2503.25 9/29 9:35 2509.17 0.45%
Trade id #113906924
Max drawdown($212)
Time9/28/17 8:15
Quant open1
Worst price2499.00
Drawdown as % of equity-0.45%
$288
Includes Typical Broker Commissions trade costs of $8.00
9/27/17 18:00 @ESZ7 E-MINI S&P 500 LONG 1 2503.00 9/27 18:00 2502.75 0.03%
Trade id #113900965
Max drawdown($13)
Time9/27/17 18:00
Quant open0
Worst price2502.75
Drawdown as % of equity-0.03%
($21)
Includes Typical Broker Commissions trade costs of $8.00
9/27/17 10:55 @ESZ7 E-MINI S&P 500 LONG 1 2493.50 9/27 11:14 2497.50 0%
Trade id #113890810
Max drawdown$0
Time9/27/17 10:57
Quant open1
Worst price2493.50
Drawdown as % of equity0.00%
$192
Includes Typical Broker Commissions trade costs of $8.00
9/26/17 7:02 @ESZ7 E-MINI S&P 500 LONG 1 2495.25 9/26 9:00 2497.75 0.11%
Trade id #113858762
Max drawdown($50)
Time9/26/17 7:07
Quant open1
Worst price2494.25
Drawdown as % of equity-0.11%
$117
Includes Typical Broker Commissions trade costs of $8.00
9/20/17 18:00 @ESZ7 E-MINI S&P 500 LONG 1 2504.50 9/25 10:56 2490.46 1.49%
Trade id #113774807
Max drawdown($702)
Time9/25/17 10:56
Quant open0
Worst price2490.46
Drawdown as % of equity-1.49%
($710)
Includes Typical Broker Commissions trade costs of $8.00
9/19/17 2:18 @ESZ7 E-MINI S&P 500 LONG 1 2501.75 9/19 9:00 2504.25 0.08%
Trade id #113735803
Max drawdown($37)
Time9/19/17 2:25
Quant open1
Worst price2501.00
Drawdown as % of equity-0.08%
$117
Includes Typical Broker Commissions trade costs of $8.00
9/18/17 4:29 @ESZ7 E-MINI S&P 500 SHORT 1 2502.75 9/18 8:46 2501.50 0.11%
Trade id #113717237
Max drawdown($50)
Time9/18/17 4:34
Quant open-1
Worst price2503.75
Drawdown as % of equity-0.11%
$55
Includes Typical Broker Commissions trade costs of $8.00
9/13/17 18:00 @ESZ7 E-MINI S&P 500 LONG 1 2494.50 9/17 19:07 2500.50 0.79%
Trade id #113671678
Max drawdown($375)
Time9/14/17 18:03
Quant open1
Worst price2487.00
Drawdown as % of equity-0.79%
$292
Includes Typical Broker Commissions trade costs of $8.00
9/11/17 9:28 @ESZ7 E-MINI S&P 500 SHORT 1 2474.50 9/13 2:00 2491.75 2.22%
Trade id #113620291
Max drawdown($1,050)
Time9/12/17 18:01
Quant open-1
Worst price2495.50
Drawdown as % of equity-2.22%
($871)
Includes Typical Broker Commissions trade costs of $8.00
9/11/17 0:14 @ESZ7 E-MINI S&P 500 LONG 1 2473.50 9/11 9:00 2473.25 0.21%
Trade id #113616680
Max drawdown($100)
Time9/11/17 1:59
Quant open1
Worst price2471.50
Drawdown as % of equity-0.21%
($21)
Includes Typical Broker Commissions trade costs of $8.00
9/10/17 18:00 @ESZ7 E-MINI S&P 500 SHORT 1 2470.69 9/10 18:01 2469.00 n/a $76
Includes Typical Broker Commissions trade costs of $8.00
9/8/17 13:43 @ESU7 E-MINI S&P 500 LONG 1 2462.75 9/10 18:00 2470.00 0.4%
Trade id #113606263
Max drawdown($187)
Time9/8/17 15:31
Quant open1
Worst price2459.00
Drawdown as % of equity-0.40%
$355
Includes Typical Broker Commissions trade costs of $8.00
9/6/17 18:00 @ESU7 E-MINI S&P 500 LONG 1 2463.25 9/7 9:09 2468.25 0.61%
Trade id #113567717
Max drawdown($287)
Time9/6/17 18:02
Quant open1
Worst price2457.50
Drawdown as % of equity-0.61%
$242
Includes Typical Broker Commissions trade costs of $8.00
9/5/17 10:41 @ESU7 E-MINI S&P 500 LONG 1 2463.50 9/6 2:21 2461.00 1.94%
Trade id #113538116
Max drawdown($900)
Time9/5/17 13:13
Quant open1
Worst price2445.50
Drawdown as % of equity-1.94%
($133)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    5/7/2016
  • Starting Unit Size
    $40,000
  • Strategy Age (days)
    588.16
  • Age
    20 months ago
  • What it trades
    Futures
  • # Trades
    206
  • # Profitable
    141
  • % Profitable
    68.40%
  • Avg trade duration
    1.1 days
  • Max peak-to-valley drawdown
    21.53%
  • drawdown period
    Sept 12, 2016 - Nov 04, 2016
  • Annual Return (Compounded)
    35.6%
  • Avg win
    $348.74
  • Avg loss
    $428.46
  • Model Account Values (Raw)
  • Cash
    $46,310
  • Margin Used
    $0
  • Buying Power
    $46,310
  • Ratios
  • W:L ratio
    1.77:1
  • Sharpe Ratio
    2.084
  • Sortino Ratio
    4.042
  • Calmar Ratio
    2.818
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.23700
  • Return Statistics
  • Ann Return (w trading costs)
    35.6%
  • Ann Return (Compnd, No Fees)
    46.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.50%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    605
  • Popularity (Last 6 weeks)
    962
  • C2 Score
    74.2
  • Trades-Own-System Certification
  • Trades Own System?
    183930
  • TOS percent
    50%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $428
  • Avg Win
    $349
  • # Winners
    141
  • # Losers
    65
  • % Winners
    68.5%
  • Frequency
  • Avg Position Time (mins)
    1620.08
  • Avg Position Time (hrs)
    27.00
  • Avg Trade Length
    1.1 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38614
  • SD
    0.20656
  • Sharpe ratio (Glass type estimate)
    1.86938
  • Sharpe ratio (Hedges UMVUE)
    1.79021
  • df
    18.00000
  • t
    2.35226
  • p
    0.25755
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17549
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51843
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12643
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.45399
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.84931
  • Upside Potential Ratio
    5.14899
  • Upside part of mean
    0.51651
  • Downside part of mean
    -0.13037
  • Upside SD
    0.20684
  • Downside SD
    0.10031
  • N nonnegative terms
    15.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.14070
  • Mean of criterion
    0.38614
  • SD of predictor
    0.06362
  • SD of criterion
    0.20656
  • Covariance
    -0.00076
  • r
    -0.05815
  • b (slope, estimate of beta)
    -0.18879
  • a (intercept, estimate of alpha)
    0.41270
  • Mean Square Error
    0.04502
  • DF error
    17.00000
  • t(b)
    -0.24016
  • p(b)
    0.53700
  • t(a)
    2.04644
  • p(a)
    0.22659
  • Lowerbound of 95% confidence interval for beta
    -1.84729
  • Upperbound of 95% confidence interval for beta
    1.46972
  • Lowerbound of 95% confidence interval for alpha
    -0.01278
  • Upperbound of 95% confidence interval for alpha
    0.83818
  • Treynor index (mean / b)
    -2.04538
  • Jensen alpha (a)
    0.41270
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35984
  • SD
    0.20334
  • Sharpe ratio (Glass type estimate)
    1.76968
  • Sharpe ratio (Hedges UMVUE)
    1.69473
  • df
    18.00000
  • t
    2.22680
  • p
    0.26763
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08816
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.40818
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04165
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.34780
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.43444
  • Upside Potential Ratio
    4.72669
  • Upside part of mean
    0.49524
  • Downside part of mean
    -0.13539
  • Upside SD
    0.19744
  • Downside SD
    0.10477
  • N nonnegative terms
    15.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.13768
  • Mean of criterion
    0.35984
  • SD of predictor
    0.06318
  • SD of criterion
    0.20334
  • Covariance
    -0.00069
  • r
    -0.05339
  • b (slope, estimate of beta)
    -0.17182
  • a (intercept, estimate of alpha)
    0.38350
  • Mean Square Error
    0.04365
  • DF error
    17.00000
  • t(b)
    -0.22043
  • p(b)
    0.53397
  • t(a)
    1.93973
  • p(a)
    0.23742
  • Lowerbound of 95% confidence interval for beta
    -1.81636
  • Upperbound of 95% confidence interval for beta
    1.47272
  • Lowerbound of 95% confidence interval for alpha
    -0.03363
  • Upperbound of 95% confidence interval for alpha
    0.80063
  • Treynor index (mean / b)
    -2.09434
  • Jensen alpha (a)
    0.38350
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06440
  • Expected Shortfall on VaR
    0.08685
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01246
  • Expected Shortfall on VaR
    0.03228
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.89855
  • Quartile 1
    1.00428
  • Median
    1.03662
  • Quartile 3
    1.07864
  • Maximum
    1.12631
  • Mean of quarter 1
    0.96143
  • Mean of quarter 2
    1.01631
  • Mean of quarter 3
    1.06647
  • Mean of quarter 4
    1.10021
  • Inter Quartile Range
    0.07436
  • 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)
    0.07069
  • VaR(95%) (regression method)
    0.07201
  • Expected Shortfall (regression method)
    0.12596
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00193
  • Quartile 1
    0.02638
  • Median
    0.04687
  • Quartile 3
    0.06976
  • Maximum
    0.10145
  • Mean of quarter 1
    0.00193
  • Mean of quarter 2
    0.03454
  • Mean of quarter 3
    0.05920
  • Mean of quarter 4
    0.10145
  • Inter Quartile Range
    0.04338
  • 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)
    0.53539
  • Compounded annual return (geometric extrapolation)
    0.47366
  • Calmar ratio (compounded annual return / max draw down)
    4.66907
  • Compounded annual return / average of 25% largest draw downs
    4.66907
  • Compounded annual return / Expected Shortfall lognormal
    5.45373
  • 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
    0.37572
  • SD
    0.18000
  • Sharpe ratio (Glass type estimate)
    2.08732
  • Sharpe ratio (Hedges UMVUE)
    2.08354
  • df
    414.00000
  • t
    2.62702
  • p
    0.00447
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52231
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64988
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51978
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64730
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.04196
  • Upside Potential Ratio
    10.58210
  • Upside part of mean
    0.98365
  • Downside part of mean
    -0.60794
  • Upside SD
    0.15563
  • Downside SD
    0.09295
  • N nonnegative terms
    201.00000
  • N negative terms
    214.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    415.00000
  • Mean of predictor
    0.14155
  • Mean of criterion
    0.37572
  • SD of predictor
    0.08810
  • SD of criterion
    0.18000
  • Covariance
    0.00476
  • r
    0.30019
  • b (slope, estimate of beta)
    0.61336
  • a (intercept, estimate of alpha)
    0.28900
  • Mean Square Error
    0.02955
  • DF error
    413.00000
  • t(b)
    6.39552
  • p(b)
    0.00000
  • t(a)
    2.10472
  • p(a)
    0.01796
  • Lowerbound of 95% confidence interval for beta
    0.42484
  • Upperbound of 95% confidence interval for beta
    0.80188
  • Lowerbound of 95% confidence interval for alpha
    0.01908
  • Upperbound of 95% confidence interval for alpha
    0.55872
  • Treynor index (mean / b)
    0.61256
  • Jensen alpha (a)
    0.28890
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35969
  • SD
    0.17648
  • Sharpe ratio (Glass type estimate)
    2.03816
  • Sharpe ratio (Hedges UMVUE)
    2.03446
  • df
    414.00000
  • t
    2.56514
  • p
    0.00533
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47349
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.60042
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47100
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59792
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.82961
  • Upside Potential Ratio
    10.34830
  • Upside part of mean
    0.97194
  • Downside part of mean
    -0.61225
  • Upside SD
    0.15080
  • Downside SD
    0.09392
  • N nonnegative terms
    201.00000
  • N negative terms
    214.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    415.00000
  • Mean of predictor
    0.13761
  • Mean of criterion
    0.35969
  • SD of predictor
    0.08824
  • SD of criterion
    0.17648
  • Covariance
    0.00464
  • r
    0.29793
  • b (slope, estimate of beta)
    0.59586
  • a (intercept, estimate of alpha)
    0.27769
  • Mean Square Error
    0.02845
  • DF error
    413.00000
  • t(b)
    6.34263
  • p(b)
    0.00000
  • t(a)
    2.06248
  • p(a)
    0.01989
  • Lowerbound of 95% confidence interval for beta
    0.41119
  • Upperbound of 95% confidence interval for beta
    0.78053
  • Lowerbound of 95% confidence interval for alpha
    0.01303
  • Upperbound of 95% confidence interval for alpha
    0.54235
  • Treynor index (mean / b)
    0.60365
  • Jensen alpha (a)
    0.27769
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01642
  • Expected Shortfall on VaR
    0.02089
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00537
  • Expected Shortfall on VaR
    0.01130
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    415.00000
  • Minimum
    0.95744
  • Quartile 1
    0.99886
  • Median
    1.00000
  • Quartile 3
    1.00427
  • Maximum
    1.12568
  • Mean of quarter 1
    0.99106
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00188
  • Mean of quarter 4
    1.01333
  • Inter Quartile Range
    0.00542
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.10843
  • Mean of outliers low
    0.98499
  • Number of outliers high
    38.00000
  • Percentage of outliers high
    0.09157
  • Mean of outliers high
    1.02309
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22866
  • VaR(95%) (moments method)
    0.00459
  • Expected Shortfall (moments method)
    0.00602
  • Extreme Value Index (regression method)
    -0.01368
  • VaR(95%) (regression method)
    0.00795
  • Expected Shortfall (regression method)
    0.01205
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    26.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00236
  • Median
    0.01119
  • Quartile 3
    0.02850
  • Maximum
    0.16800
  • Mean of quarter 1
    0.00064
  • Mean of quarter 2
    0.00626
  • Mean of quarter 3
    0.01712
  • Mean of quarter 4
    0.07542
  • Inter Quartile Range
    0.02614
  • 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
    0.07692
  • Mean of outliers high
    0.13822
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.40354
  • VaR(95%) (moments method)
    0.07317
  • Expected Shortfall (moments method)
    0.08771
  • Extreme Value Index (regression method)
    0.21501
  • VaR(95%) (regression method)
    0.08103
  • Expected Shortfall (regression method)
    0.12792
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.53517
  • Compounded annual return (geometric extrapolation)
    0.47343
  • Calmar ratio (compounded annual return / max draw down)
    2.81799
  • Compounded annual return / average of 25% largest draw downs
    6.27733
  • Compounded annual return / Expected Shortfall lognormal
    22.66630
  • 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
    0.37108
  • SD
    0.10523
  • Sharpe ratio (Glass type estimate)
    3.52633
  • Sharpe ratio (Hedges UMVUE)
    3.50594
  • df
    130.00000
  • t
    2.49349
  • p
    0.39318
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.71510
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.32449
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70157
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.31032
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.31313
  • Upside Potential Ratio
    11.74170
  • Upside part of mean
    0.69017
  • Downside part of mean
    -0.31909
  • Upside SD
    0.08978
  • Downside SD
    0.05878
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16514
  • Mean of criterion
    0.37108
  • SD of predictor
    0.06774
  • SD of criterion
    0.10523
  • Covariance
    0.00172
  • r
    0.24196
  • b (slope, estimate of beta)
    0.37590
  • a (intercept, estimate of alpha)
    0.30901
  • Mean Square Error
    0.01051
  • DF error
    129.00000
  • t(b)
    2.83229
  • p(b)
    0.34748
  • t(a)
    2.10776
  • p(a)
    0.38449
  • Lowerbound of 95% confidence interval for beta
    0.11331
  • Upperbound of 95% confidence interval for beta
    0.63848
  • Lowerbound of 95% confidence interval for alpha
    0.01895
  • Upperbound of 95% confidence interval for alpha
    0.59907
  • Treynor index (mean / b)
    0.98719
  • Jensen alpha (a)
    0.30901
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36531
  • SD
    0.10492
  • Sharpe ratio (Glass type estimate)
    3.48177
  • Sharpe ratio (Hedges UMVUE)
    3.46165
  • df
    130.00000
  • t
    2.46199
  • p
    0.39447
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.67137
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.27911
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65809
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.26521
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.16713
  • Upside Potential Ratio
    11.58280
  • Upside part of mean
    0.68611
  • Downside part of mean
    -0.32080
  • Upside SD
    0.08902
  • Downside SD
    0.05924
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16279
  • Mean of criterion
    0.36531
  • SD of predictor
    0.06776
  • SD of criterion
    0.10492
  • Covariance
    0.00171
  • r
    0.24048
  • b (slope, estimate of beta)
    0.37236
  • a (intercept, estimate of alpha)
    0.30470
  • Mean Square Error
    0.01045
  • DF error
    129.00000
  • t(b)
    2.81395
  • p(b)
    0.34839
  • t(a)
    2.08439
  • p(a)
    0.38571
  • Lowerbound of 95% confidence interval for beta
    0.11055
  • Upperbound of 95% confidence interval for beta
    0.63417
  • Lowerbound of 95% confidence interval for alpha
    0.01548
  • Upperbound of 95% confidence interval for alpha
    0.59392
  • Treynor index (mean / b)
    0.98108
  • Jensen alpha (a)
    0.30470
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00922
  • Expected Shortfall on VaR
    0.01190
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00274
  • Expected Shortfall on VaR
    0.00608
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97866
  • Quartile 1
    1.00000
  • Median
    1.00004
  • Quartile 3
    1.00309
  • Maximum
    1.02646
  • Mean of quarter 1
    0.99538
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00144
  • Mean of quarter 4
    1.00927
  • Inter Quartile Range
    0.00309
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98920
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.01489
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.13471
  • VaR(95%) (moments method)
    0.00277
  • Expected Shortfall (moments method)
    0.00404
  • Extreme Value Index (regression method)
    -0.65007
  • VaR(95%) (regression method)
    0.00562
  • Expected Shortfall (regression method)
    0.00712
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00077
  • Median
    0.00213
  • Quartile 3
    0.01848
  • Maximum
    0.06234
  • Mean of quarter 1
    0.00033
  • Mean of quarter 2
    0.00147
  • Mean of quarter 3
    0.01158
  • Mean of quarter 4
    0.04617
  • Inter Quartile Range
    0.01771
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.06234
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.35327
  • VaR(95%) (moments method)
    0.04217
  • Expected Shortfall (moments method)
    0.04426
  • Extreme Value Index (regression method)
    0.48870
  • VaR(95%) (regression method)
    0.07265
  • Expected Shortfall (regression method)
    0.16139
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43454
  • Compounded annual return (geometric extrapolation)
    0.48174
  • Calmar ratio (compounded annual return / max draw down)
    7.72791
  • Compounded annual return / average of 25% largest draw downs
    10.43420
  • Compounded annual return / Expected Shortfall lognormal
    40.47580

Strategy Description

25k E mini S&P500 Portfolio is a portfolio than combines 5 trading systems working over S&P500 futures.

It includes the trading system Prometeo also publisehd in Collective2 (https://www.collective2.com/details/97726126).

Portfolio is designed to work with starting account size of 25.000 USD.

You can obtain backtesting information here:
www.sistemasdebolsa.com/cartera-de-sistemas-de-trading-25k-e-mini-sp500-portfolio/

Summary Statistics

Strategy began
2016-05-07
Minimum Capital Required
$40,000
# Trades
206
# Profitable
141
% Profitable
68.4%
Correlation S&P500
0.237
Sharpe Ratio
2.084

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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