Russell Trending
(107290550)
Subscription terms. Subscriptions to this system cost $200.00 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  +11.3%  +11.3%  
2017  +18.6%  (17.5%)  (11.6%)                    (13.5%) 
2018                0.0 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $14,000  
Buy Power  $15,662  
Cash  $15,662  
Equity  $0  
Cumulative $  $1,662  
Total System Equity  $15,662  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began12/7/2016

Suggested Minimum Cap$14,000

Strategy Age (days)582.24

Age20 months ago

What it tradesFutures

# Trades53

# Profitable32

% Profitable60.40%

Avg trade duration1.0 hours

Max peaktovalley drawdown27.77%

drawdown periodFeb 01, 2017  March 15, 2017

Annual Return (Compounded)2.3%

Avg win$284.78

Avg loss$354.81
 Model Account Values (Raw)

Cash$15,662

Margin Used$0

Buying Power$15,662
 Ratios

W:L ratio1.22:1

Sharpe Ratio0.92

Sortino Ratio1.367

Calmar Ratio0.901
 CORRELATION STATISTICS

Correlation to SP5000.04000
 Return Statistics

Ann Return (w trading costs)2.3%

Ann Return (Compnd, No Fees)7.2%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss100.00%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)0
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$355

Avg Win$285

# Winners32

# Losers21

% Winners60.4%
 Frequency

Avg Position Time (mins)60.32

Avg Position Time (hrs)1.00

Avg Trade Length0.0 days

Last Trade Ago477
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.20547

SD0.38663

Sharpe ratio (Glass type estimate)0.53144

Sharpe ratio (Hedges UMVUE)0.47203

df7.00000

t0.43392

p0.33870

Lowerbound of 95% confidence interval for Sharpe Ratio1.90277

Upperbound of 95% confidence interval for Sharpe Ratio2.92904

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.94113

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.88518
 Statistics related to Sortino ratio

Sortino ratio0.98382

Upside Potential Ratio2.44567

Upside part of mean0.51077

Downside part of mean0.30530

Upside SD0.30116

Downside SD0.20885

N nonnegative terms2.00000

N negative terms6.00000
 Statistics related to linear regression on benchmark

N of observations8.00000

Mean of predictor0.29300

Mean of criterion0.20547

SD of predictor0.08703

SD of criterion0.38663

Covariance0.00931

r0.27679

b (slope, estimate of beta)1.22960

a (intercept, estimate of alpha)0.56574

Mean Square Error0.16103

DF error6.00000

t(b)0.70556

p(b)0.74654

t(a)0.79826

p(a)0.22757

Lowerbound of 95% confidence interval for beta5.49397

Upperbound of 95% confidence interval for beta3.03477

Lowerbound of 95% confidence interval for alpha1.16845

Upperbound of 95% confidence interval for alpha2.29994

Treynor index (mean / b)0.16710

Jensen alpha (a)0.56574
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.14027

SD0.38001

Sharpe ratio (Glass type estimate)0.36912

Sharpe ratio (Hedges UMVUE)0.32785

df7.00000

t0.30138

p0.38594

Lowerbound of 95% confidence interval for Sharpe Ratio2.05163

Upperbound of 95% confidence interval for Sharpe Ratio2.76430

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.07874

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.73444
 Statistics related to Sortino ratio

Sortino ratio0.61591

Upside Potential Ratio2.06069

Upside part of mean0.46930

Downside part of mean0.32903

Upside SD0.27592

Downside SD0.22774

N nonnegative terms2.00000

N negative terms6.00000
 Statistics related to linear regression on benchmark

N of observations8.00000

Mean of predictor0.28572

Mean of criterion0.14027

SD of predictor0.08385

SD of criterion0.38001

Covariance0.00856

r0.26862

b (slope, estimate of beta)1.21738

a (intercept, estimate of alpha)0.48809

Mean Square Error0.15632

DF error6.00000

t(b)0.68309

p(b)0.73998

t(a)0.69462

p(a)0.25664

Lowerbound of 95% confidence interval for beta5.57824

Upperbound of 95% confidence interval for beta3.14348

Lowerbound of 95% confidence interval for alpha1.23132

Upperbound of 95% confidence interval for alpha2.20751

Treynor index (mean / b)0.11522

Jensen alpha (a)0.48809
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.15528

Expected Shortfall on VaR0.19247
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.07462

Expected Shortfall on VaR0.14810
 ORDER STATISTICS
 Quartiles of return rates

Number of observations8.00000

Minimum0.83382

Quartile 10.99415

Median1.00000

Quartile 31.03433

Maximum1.20786

Mean of quarter 10.90522

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.17259

Inter Quartile Range0.04018

Number outliers low1.00000

Percentage of outliers low0.12500

Mean of outliers low0.83382

Number of outliers high2.00000

Percentage of outliers high0.25000

Mean of outliers high1.17259
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.18568

Quartile 10.18568

Median0.18568

Quartile 30.18568

Maximum0.18568

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

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)0.17796

Compounded annual return (geometric extrapolation)0.18314

Calmar ratio (compounded annual return / max draw down)0.98633

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal0.95154

0.00000

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

Mean0.15032

SD0.16270

Sharpe ratio (Glass type estimate)0.92390

Sharpe ratio (Hedges UMVUE)0.91997

df177.00000

t0.76152

p0.46364

Lowerbound of 95% confidence interval for Sharpe Ratio1.45717

Upperbound of 95% confidence interval for Sharpe Ratio3.30247

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.45983

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.29978
 Statistics related to Sortino ratio

Sortino ratio1.36745

Upside Potential Ratio6.21676

Upside part of mean0.68339

Downside part of mean0.53307

Upside SD0.11969

Downside SD0.10993

N nonnegative terms37.00000

N negative terms141.00000
 Statistics related to linear regression on benchmark

N of observations178.00000

Mean of predictor0.30948

Mean of criterion0.15032

SD of predictor0.14499

SD of criterion0.16270

Covariance0.00070

r0.02956

b (slope, estimate of beta)0.03317

a (intercept, estimate of alpha)0.14000

Mean Square Error0.02660

DF error176.00000

t(b)0.39235

p(b)0.48522

t(a)0.70171

p(a)0.47359

Lowerbound of 95% confidence interval for beta0.13369

Upperbound of 95% confidence interval for beta0.20004

Lowerbound of 95% confidence interval for alpha0.25385

Upperbound of 95% confidence interval for alpha0.53396

Treynor index (mean / b)4.53138

Jensen alpha (a)0.14006
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.13712

SD0.16260

Sharpe ratio (Glass type estimate)0.84327

Sharpe ratio (Hedges UMVUE)0.83969

df177.00000

t0.69506

p0.46680

Lowerbound of 95% confidence interval for Sharpe Ratio1.53738

Upperbound of 95% confidence interval for Sharpe Ratio3.22161

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.53979

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.21917
 Statistics related to Sortino ratio

Sortino ratio1.22990

Upside Potential Ratio6.06609

Upside part of mean0.67629

Downside part of mean0.53917

Upside SD0.11804

Downside SD0.11149

N nonnegative terms37.00000

N negative terms141.00000
 Statistics related to linear regression on benchmark

N of observations178.00000

Mean of predictor0.29875

Mean of criterion0.13712

SD of predictor0.14566

SD of criterion0.16260

Covariance0.00070

r0.02940

b (slope, estimate of beta)0.03282

a (intercept, estimate of alpha)0.12731

Mean Square Error0.02657

DF error176.00000

t(b)0.39016

p(b)0.48530

t(a)0.63868

p(a)0.47596

Lowerbound of 95% confidence interval for beta0.13318

Upperbound of 95% confidence interval for beta0.19881

Lowerbound of 95% confidence interval for alpha0.26609

Upperbound of 95% confidence interval for alpha0.52072

Treynor index (mean / b)4.17824

Jensen alpha (a)0.12731
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01587

Expected Shortfall on VaR0.01999
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00613

Expected Shortfall on VaR0.01320
 ORDER STATISTICS
 Quartiles of return rates

Number of observations178.00000

Minimum0.95661

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.04928

Mean of quarter 10.99228

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.01041

Inter Quartile Range0.00000

Number outliers low21.00000

Percentage of outliers low0.11798

Mean of outliers low0.98347

Number of outliers high38.00000

Percentage of outliers high0.21348

Mean of outliers high1.01232
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)2.94851

VaR(95%) (moments method)0.00302

Expected Shortfall (moments method)0.00320

Extreme Value Index (regression method)0.54515

VaR(95%) (regression method)0.01317

Expected Shortfall (regression method)0.02063
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00064

Quartile 10.01196

Median0.02231

Quartile 30.07148

Maximum0.19921

Mean of quarter 10.00064

Mean of quarter 20.01573

Mean of quarter 30.02890

Mean of quarter 40.19921

Inter Quartile Range0.05952

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 high0.19921
 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)0.17463

Compounded annual return (geometric extrapolation)0.17942

Calmar ratio (compounded annual return / max draw down)0.90066

Compounded annual return / average of 25% largest draw downs0.90066

Compounded annual return / Expected Shortfall lognormal8.97627

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

Mean0.42994

SD0.12963

Sharpe ratio (Glass type estimate)3.31665

Sharpe ratio (Hedges UMVUE)3.29748

df130.00000

t2.34522

p0.60074

Lowerbound of 95% confidence interval for Sharpe Ratio6.11140

Upperbound of 95% confidence interval for Sharpe Ratio0.50958

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation6.09811

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.49684
 Statistics related to Sortino ratio

Sortino ratio3.53841

Upside Potential Ratio1.41309

Upside part of mean0.17170

Downside part of mean0.60164

Upside SD0.05116

Downside SD0.12151

N nonnegative terms10.00000

N negative terms121.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.36418

Mean of criterion0.42994

SD of predictor0.16477

SD of criterion0.12963

Covariance0.00036

r0.01703

b (slope, estimate of beta)0.01340

a (intercept, estimate of alpha)0.43482

Mean Square Error0.01693

DF error129.00000

t(b)0.19348

p(b)0.48916

t(a)2.34116

p(a)0.62764

Lowerbound of 95% confidence interval for beta0.12363

Upperbound of 95% confidence interval for beta0.15043

Lowerbound of 95% confidence interval for alpha0.80228

Upperbound of 95% confidence interval for alpha0.06735

Treynor index (mean / b)32.08580

Jensen alpha (a)0.43482
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.43871

SD0.13104

Sharpe ratio (Glass type estimate)3.34796

Sharpe ratio (Hedges UMVUE)3.32861

df130.00000

t2.36737

p0.60165

Lowerbound of 95% confidence interval for Sharpe Ratio6.14314

Upperbound of 95% confidence interval for Sharpe Ratio0.54022

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation6.12979

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.52743
 Statistics related to Sortino ratio

Sortino ratio3.55762

Upside Potential Ratio1.38172

Upside part of mean0.17039

Downside part of mean0.60910

Upside SD0.05067

Downside SD0.12332

N nonnegative terms10.00000

N negative terms121.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.35034

Mean of criterion0.43871

SD of predictor0.16559

SD of criterion0.13104

Covariance0.00036

r0.01655

b (slope, estimate of beta)0.01310

a (intercept, estimate of alpha)0.44330

Mean Square Error0.01730

DF error129.00000

t(b)0.18804

p(b)0.48946

t(a)2.36299

p(a)0.62877

Lowerbound of 95% confidence interval for beta0.12473

Upperbound of 95% confidence interval for beta0.15093

Lowerbound of 95% confidence interval for alpha0.81447

Upperbound of 95% confidence interval for alpha0.07213

Treynor index (mean / b)33.48970

Jensen alpha (a)0.44330
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01488

Expected Shortfall on VaR0.01820
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00762

Expected Shortfall on VaR0.01611
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95661

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.02435

Mean of quarter 10.99127

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00263

Inter Quartile Range0.00000

Number outliers low15.00000

Percentage of outliers low0.11450

Mean of outliers low0.98080

Number of outliers high11.00000

Percentage of outliers high0.08397

Mean of outliers high1.00790
 Risk estimates for a oneperiod 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)0.51601

VaR(95%) (regression method)0.01295

Expected Shortfall (regression method)0.02056
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.19921

Quartile 10.19921

Median0.19921

Quartile 30.19921

Maximum0.19921

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

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)0.37136

Compounded annual return (geometric extrapolation)0.33688

Calmar ratio (compounded annual return / max draw down)1.69107

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal18.50890
Strategy Description
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.