Simplicity Trading
(107448037)
Subscription terms. Subscriptions to this system cost $199.00 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  +4.2%  +35.7%  +41.4%  
2017  +18.3%  +7.9%  +17.2%  +5.1%  +3.6%  +12.8%  +11.0%  +8.8%  +1.1%  +0.4%  +1.1%  (2.5%)  +122.3% 
2018  +3.1%  (30.4%)  (5.9%)  (12.3%)  (17.5%)  +1.6%    (50.4%) 
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  $16,668  
Buy Power  $31,476  
Cash  $31,476  
Equity  $0  
Cumulative $  $14,808  
Total System Equity  $31,476  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began11/23/2016

Suggested Minimum Cap$25,000

Strategy Age (days)599.95

Age20 months ago

What it tradesFutures

# Trades54

# Profitable44

% Profitable81.50%

Avg trade duration4.5 days

Max peaktovalley drawdown59.49%

drawdown periodDec 21, 2017  June 14, 2018

Annual Return (Compounded)30.9%

Avg win$1,366

Avg loss$4,529
 Model Account Values (Raw)

Cash$31,476

Margin Used$0

Buying Power$31,476
 Ratios

W:L ratio1.33:1

Sharpe Ratio1.125

Sortino Ratio1.587

Calmar Ratio0.944
 CORRELATION STATISTICS

Correlation to SP5000.25300
 Return Statistics

Ann Return (w trading costs)30.9%

Ann Return (Compnd, No Fees)47.1%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss70.50%

Chance of 20% account loss43.50%

Chance of 30% account loss14.00%

Chance of 40% account loss4.00%

Chance of 50% account loss2.00%
 Popularity

Popularity (Today)629

Popularity (Last 6 weeks)896

C2 Score6.7
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$4,530

Avg Win$1,366

# Winners44

# Losers10

% Winners81.5%
 Frequency

Avg Position Time (mins)6497.73

Avg Position Time (hrs)108.30

Avg Trade Length4.5 days

Last Trade Ago28
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.59796

SD0.68212

Sharpe ratio (Glass type estimate)0.87662

Sharpe ratio (Hedges UMVUE)0.83950

df18.00000

t1.10306

p0.37419

Lowerbound of 95% confidence interval for Sharpe Ratio0.71842

Upperbound of 95% confidence interval for Sharpe Ratio2.44831

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.74208

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.42107
 Statistics related to Sortino ratio

Sortino ratio1.58594

Upside Potential Ratio2.91763

Upside part of mean1.10006

Downside part of mean0.50210

Upside SD0.57309

Downside SD0.37704

N nonnegative terms14.00000

N negative terms5.00000
 Statistics related to linear regression on benchmark

N of observations19.00000

Mean of predictor0.12301

Mean of criterion0.59796

SD of predictor0.07469

SD of criterion0.68212

Covariance0.01558

r0.30578

b (slope, estimate of beta)2.79248

a (intercept, estimate of alpha)0.25447

Mean Square Error0.44659

DF error17.00000

t(b)1.32420

p(b)0.30841

t(a)0.43054

p(a)0.43400

Lowerbound of 95% confidence interval for beta1.65670

Upperbound of 95% confidence interval for beta7.24166

Lowerbound of 95% confidence interval for alpha0.99254

Upperbound of 95% confidence interval for alpha1.50149

Treynor index (mean / b)0.21413

Jensen alpha (a)0.25447
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.37357

SD0.67852

Sharpe ratio (Glass type estimate)0.55056

Sharpe ratio (Hedges UMVUE)0.52725

df18.00000

t0.69278

p0.41942

Lowerbound of 95% confidence interval for Sharpe Ratio1.02475

Upperbound of 95% confidence interval for Sharpe Ratio2.11092

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.03987

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.09436
 Statistics related to Sortino ratio

Sortino ratio0.79760

Upside Potential Ratio2.06900

Upside part of mean0.96905

Downside part of mean0.59548

Upside SD0.47794

Downside SD0.46837

N nonnegative terms14.00000

N negative terms5.00000
 Statistics related to linear regression on benchmark

N of observations19.00000

Mean of predictor0.11947

Mean of criterion0.37357

SD of predictor0.07479

SD of criterion0.67852

Covariance0.01715

r0.33794

b (slope, estimate of beta)3.06579

a (intercept, estimate of alpha)0.00730

Mean Square Error0.43180

DF error17.00000

t(b)1.48045

p(b)0.28903

t(a)0.01262

p(a)0.49805

Lowerbound of 95% confidence interval for beta1.30332

Upperbound of 95% confidence interval for beta7.43489

Lowerbound of 95% confidence interval for alpha1.21189

Upperbound of 95% confidence interval for alpha1.22648

Treynor index (mean / b)0.12185

Jensen alpha (a)0.00730
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.25252

Expected Shortfall on VaR0.30950
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.05860

Expected Shortfall on VaR0.14171
 ORDER STATISTICS
 Quartiles of return rates

Number of observations19.00000

Minimum0.58771

Quartile 11.00414

Median1.05662

Quartile 31.11588

Maximum1.56275

Mean of quarter 10.84333

Mean of quarter 21.02584

Mean of quarter 31.07998

Mean of quarter 41.26505

Inter Quartile Range0.11175

Number outliers low2.00000

Percentage of outliers low0.10526

Mean of outliers low0.70595

Number of outliers high2.00000

Percentage of outliers high0.10526

Mean of outliers high1.45643
 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)0.07021

VaR(95%) (regression method)0.29381

Expected Shortfall (regression method)0.45507
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.46810

Quartile 10.46810

Median0.46810

Quartile 30.46810

Maximum0.46810

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)0.56102

Compounded annual return (geometric extrapolation)0.49403

Calmar ratio (compounded annual return / max draw down)1.05539

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

Compounded annual return / Expected Shortfall lognormal1.59621

0.00000

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

Mean0.45088

SD0.40024

Sharpe ratio (Glass type estimate)1.12653

Sharpe ratio (Hedges UMVUE)1.12452

df419.00000

t1.42633

p0.07726

Lowerbound of 95% confidence interval for Sharpe Ratio0.42400

Upperbound of 95% confidence interval for Sharpe Ratio2.67578

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.42536

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.67440
 Statistics related to Sortino ratio

Sortino ratio1.58717

Upside Potential Ratio5.15123

Upside part of mean1.46335

Downside part of mean1.01247

Upside SD0.28264

Downside SD0.28408

N nonnegative terms139.00000

N negative terms281.00000
 Statistics related to linear regression on benchmark

N of observations420.00000

Mean of predictor0.12732

Mean of criterion0.45088

SD of predictor0.10808

SD of criterion0.40024

Covariance0.01275

r0.29471

b (slope, estimate of beta)1.09140

a (intercept, estimate of alpha)0.31200

Mean Square Error0.14663

DF error418.00000

t(b)6.30537

p(b)0.00000

t(a)1.02863

p(a)0.15212

Lowerbound of 95% confidence interval for beta0.75116

Upperbound of 95% confidence interval for beta1.43163

Lowerbound of 95% confidence interval for alpha0.28414

Upperbound of 95% confidence interval for alpha0.90798

Treynor index (mean / b)0.41312

Jensen alpha (a)0.31192
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.36863

SD0.40835

Sharpe ratio (Glass type estimate)0.90273

Sharpe ratio (Hedges UMVUE)0.90111

df419.00000

t1.14296

p0.12685

Lowerbound of 95% confidence interval for Sharpe Ratio0.64701

Upperbound of 95% confidence interval for Sharpe Ratio2.45142

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.64810

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.45033
 Statistics related to Sortino ratio

Sortino ratio1.20400

Upside Potential Ratio4.65603

Upside part of mean1.42555

Downside part of mean1.05692

Upside SD0.27043

Downside SD0.30617

N nonnegative terms139.00000

N negative terms281.00000
 Statistics related to linear regression on benchmark

N of observations420.00000

Mean of predictor0.12143

Mean of criterion0.36863

SD of predictor0.10848

SD of criterion0.40835

Covariance0.01373

r0.30995

b (slope, estimate of beta)1.16671

a (intercept, estimate of alpha)0.22696

Mean Square Error0.15109

DF error418.00000

t(b)6.66526

p(b)0.00000

t(a)0.73751

p(a)0.23061

Lowerbound of 95% confidence interval for beta0.82264

Upperbound of 95% confidence interval for beta1.51079

Lowerbound of 95% confidence interval for alpha0.37795

Upperbound of 95% confidence interval for alpha0.83187

Treynor index (mean / b)0.31596

Jensen alpha (a)0.22696
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03930

Expected Shortfall on VaR0.04933
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01037

Expected Shortfall on VaR0.02361
 ORDER STATISTICS
 Quartiles of return rates

Number of observations420.00000

Minimum0.78181

Quartile 11.00000

Median1.00000

Quartile 31.00315

Maximum1.15243

Mean of quarter 10.98483

Mean of quarter 21.00000

Mean of quarter 31.00046

Mean of quarter 41.02202

Inter Quartile Range0.00315

Number outliers low45.00000

Percentage of outliers low0.10714

Mean of outliers low0.96544

Number of outliers high72.00000

Percentage of outliers high0.17143

Mean of outliers high1.02984
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.24767

VaR(95%) (moments method)0.00628

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.70687

VaR(95%) (regression method)0.01160

Expected Shortfall (regression method)0.06003
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations27.00000

Minimum0.00000

Quartile 10.00023

Median0.00145

Quartile 30.00833

Maximum0.51577

Mean of quarter 10.00005

Mean of quarter 20.00083

Mean of quarter 30.00549

Mean of quarter 40.10559

Inter Quartile Range0.00810

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high5.00000

Percentage of outliers high0.18518

Mean of outliers high0.14240
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.15150

VaR(95%) (moments method)0.07477

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)1.63819

VaR(95%) (regression method)0.12262

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.55412

Compounded annual return (geometric extrapolation)0.48667

Calmar ratio (compounded annual return / max draw down)0.94357

Compounded annual return / average of 25% largest draw downs4.60883

Compounded annual return / Expected Shortfall lognormal9.86575

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

Mean1.07238

SD0.57752

Sharpe ratio (Glass type estimate)1.85686

Sharpe ratio (Hedges UMVUE)1.84612

df130.00000

t1.31299

p0.55720

Lowerbound of 95% confidence interval for Sharpe Ratio4.63433

Upperbound of 95% confidence interval for Sharpe Ratio0.92764

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.62700

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.93475
 Statistics related to Sortino ratio

Sortino ratio2.18152

Upside Potential Ratio2.82616

Upside part of mean1.38927

Downside part of mean2.46165

Upside SD0.30616

Downside SD0.49157

N nonnegative terms36.00000

N negative terms95.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00381

Mean of criterion1.07238

SD of predictor0.16441

SD of criterion0.57752

Covariance0.02689

r0.28318

b (slope, estimate of beta)0.99476

a (intercept, estimate of alpha)1.06859

Mean Square Error0.30917

DF error129.00000

t(b)3.35362

p(b)0.32216

t(a)1.35894

p(a)0.57545

Lowerbound of 95% confidence interval for beta0.40788

Upperbound of 95% confidence interval for beta1.58163

Lowerbound of 95% confidence interval for alpha2.62439

Upperbound of 95% confidence interval for alpha0.48721

Treynor index (mean / b)1.07803

Jensen alpha (a)1.06859
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.25026

SD0.60388

Sharpe ratio (Glass type estimate)2.07037

Sharpe ratio (Hedges UMVUE)2.05841

df130.00000

t1.46398

p0.56368

Lowerbound of 95% confidence interval for Sharpe Ratio4.84970

Upperbound of 95% confidence interval for Sharpe Ratio0.71671

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.84148

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.72467
 Statistics related to Sortino ratio

Sortino ratio2.35054

Upside Potential Ratio2.52912

Upside part of mean1.34525

Downside part of mean2.59551

Upside SD0.29143

Downside SD0.53190

N nonnegative terms36.00000

N negative terms95.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.01731

Mean of criterion1.25026

SD of predictor0.16524

SD of criterion0.60388

Covariance0.03032

r0.30387

b (slope, estimate of beta)1.11053

a (intercept, estimate of alpha)1.23104

Mean Square Error0.33357

DF error129.00000

t(b)3.62260

p(b)0.30957

t(a)1.50715

p(a)0.58350

Lowerbound of 95% confidence interval for beta0.50400

Upperbound of 95% confidence interval for beta1.71705

Lowerbound of 95% confidence interval for alpha2.84710

Upperbound of 95% confidence interval for alpha0.38502

Treynor index (mean / b)1.12583

Jensen alpha (a)1.23104
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.06400

Expected Shortfall on VaR0.07839
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02679

Expected Shortfall on VaR0.05785
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.78181

Quartile 11.00000

Median1.00000

Quartile 31.00082

Maximum1.15243

Mean of quarter 10.96301

Mean of quarter 21.00000

Mean of quarter 31.00004

Mean of quarter 41.02113

Inter Quartile Range0.00082

Number outliers low27.00000

Percentage of outliers low0.20611

Mean of outliers low0.95485

Number of outliers high27.00000

Percentage of outliers high0.20611

Mean of outliers high1.02557
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.69535

VaR(95%) (moments method)0.00560

Expected Shortfall (moments method)0.02374

Extreme Value Index (regression method)0.34086

VaR(95%) (regression method)0.04439

Expected Shortfall (regression method)0.10160
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00055

Quartile 10.12317

Median0.24579

Quartile 30.36840

Maximum0.49102

Mean of quarter 10.00055

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.49102

Inter Quartile Range0.24523

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)0.91458

Compounded annual return (geometric extrapolation)0.70546

Calmar ratio (compounded annual return / max draw down)1.43674

Compounded annual return / average of 25% largest draw downs1.43674

Compounded annual return / Expected Shortfall lognormal8.99952
Strategy Description
· The system is based on a trend following approach, trading pullbacks
· Trades can be long or short reflecting the longer term trend, historically the system is long circa 60% of the time
· This is a purely mechanical system with no discretionary elements
· Trades are placed manually when signals are generated, usually around the close of the US markets but this may vary
· This is not a high frequency systems, we would expect 12 trades per week on average
· The system trades only two markets the S&P500 and EUSTOXX50
· The system has been actively traded on a real account for 5 years and refined during this time
· The system has been backtested from 2001 and in this testing has produced consistently profitable results
· Based on this backtesting staking levels are set to target an average return of around 56% per month, with compounding this aims to produce an annual return of circa 80%
· At these levels drawdown can be expected in the range of 515% in normal trading scenarios, in extreme cases we have seen short term drawdown of up to 30% in backtesting. Future results and drawdown may of course be larger or smaller than seen to date. Backtesting data is hypothetical and has not been verified by C2.
· While no system can guarantee riskfree or lowrisk trading, and while unforeseen events can cause you to lose all your money we do make an effort to control risk. Current trading size on Collective2 is based on the level of risk seen in backtesting as described above.
· Please message us if you have any other questions
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.