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Alpha and Omega
(110267102)

Created by: SergIvanov SergIvanov
Started: 03/2017
Futures
Last trade: 157 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $149.00 per month.

4824.3%
Cumul. Return
100.0%
Max Drawdown
166
Num Trades
94.0%
Win Trades
6.9 : 1
Profit Factor
22.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017              +123.1%+42.1%(60.9%)(173.2%)(199%)(3.5%)(18.2%)(1585.7%)  -        

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 24 hours.

Trading Record

This strategy has placed 620 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/7/17 8:39 @ESU7 E-MINI S&P 500 SHORT 22 2414.98 7/7 9:16 2412.75 3.26%
Trade id #112463314
Max drawdown($1,125)
Time7/7/17 8:53
Quant open-22
Worst price2416.00
Drawdown as % of equity-3.26%
$2,274
Includes Typical Broker Commissions trade costs of $176.00
7/5/17 11:13 @ESU7 E-MINI S&P 500 SHORT 22 2428.55 7/5 16:05 2428.93 13.45%
Trade id #112420303
Max drawdown($4,075)
Time7/5/17 14:41
Quant open-22
Worst price2432.25
Drawdown as % of equity-13.45%
($601)
Includes Typical Broker Commissions trade costs of $176.00
7/5/17 9:33 @ESU7 E-MINI S&P 500 LONG 20 2426.88 7/5 11:06 2428.00 25.63%
Trade id #112416219
Max drawdown($7,625)
Time7/5/17 10:17
Quant open20
Worst price2419.25
Drawdown as % of equity-25.63%
$965
Includes Typical Broker Commissions trade costs of $160.00
7/5/17 9:07 @ESU7 E-MINI S&P 500 LONG 6 2427.75 7/5 9:24 2429.50 0.48%
Trade id #112414798
Max drawdown($150)
Time7/5/17 9:09
Quant open6
Worst price2427.25
Drawdown as % of equity-0.48%
$477
Includes Typical Broker Commissions trade costs of $48.00
7/5/17 8:57 @ESU7 E-MINI S&P 500 SHORT 6 2429.00 7/5 9:06 2427.50 n/a $402
Includes Typical Broker Commissions trade costs of $48.00
7/4/17 4:08 @ESU7 E-MINI S&P 500 SHORT 4 2430.00 7/4 12:14 2424.75 0.84%
Trade id #112396907
Max drawdown($250)
Time7/4/17 5:29
Quant open-4
Worst price2431.25
Drawdown as % of equity-0.84%
$1,018
Includes Typical Broker Commissions trade costs of $32.00
7/2/17 19:17 @ESU7 E-MINI S&P 500 SHORT 17 2432.54 7/3 12:13 2428.00 7.89%
Trade id #112367393
Max drawdown($1,937)
Time7/3/17 10:14
Quant open-4
Worst price2436.50
Drawdown as % of equity-7.89%
$3,727
Includes Typical Broker Commissions trade costs of $136.00
6/30/17 8:05 @ESU7 E-MINI S&P 500 SHORT 10 2424.50 6/30 11:29 2420.00 7.94%
Trade id #112299635
Max drawdown($1,875)
Time6/30/17 9:50
Quant open-10
Worst price2428.25
Drawdown as % of equity-7.94%
$2,170
Includes Typical Broker Commissions trade costs of $80.00
6/19/17 2:09 @ESU7 E-MINI S&P 500 SHORT 14 2441.20 6/29 14:27 2444.64 33.18%
Trade id #112111688
Max drawdown($7,212)
Time6/19/17 15:55
Quant open-14
Worst price2451.50
Drawdown as % of equity-33.18%
($2,525)
Includes Typical Broker Commissions trade costs of $112.00
6/15/17 9:32 @ESU7 E-MINI S&P 500 SHORT 40 2421.30 6/16 9:49 2430.82 66.88%
Trade id #112073447
Max drawdown($21,400)
Time6/15/17 15:28
Quant open-40
Worst price2432.00
Drawdown as % of equity-66.88%
($19,358)
Includes Typical Broker Commissions trade costs of $320.00
5/19/17 3:25 @ESM7 E-MINI S&P 500 SHORT 97 2407.72 6/16 9:48 2416.74 229.59%
Trade id #111679126
Max drawdown($48,960)
Time6/9/17 10:32
Quant open-24
Worst price2445.75
Drawdown as % of equity-229.59%
($44,539)
Includes Typical Broker Commissions trade costs of $776.00
6/15/17 8:34 @ESU7 E-MINI S&P 500 SHORT 8 2421.00 6/15 9:30 2419.00 1.08%
Trade id #112072351
Max drawdown($500)
Time6/15/17 9:09
Quant open-8
Worst price2422.25
Drawdown as % of equity-1.08%
$736
Includes Typical Broker Commissions trade costs of $64.00
6/14/17 8:14 @ESU7 E-MINI S&P 500 SHORT 18 2441.33 6/15 5:00 2430.61 5.55%
Trade id #112048888
Max drawdown($1,500)
Time6/14/17 8:45
Quant open-12
Worst price2443.25
Drawdown as % of equity-5.55%
$9,506
Includes Typical Broker Commissions trade costs of $144.00
6/13/17 11:42 @ESU7 E-MINI S&P 500 SHORT 6 2437.08 6/13 15:53 2436.25 2.21%
Trade id #112033513
Max drawdown($650)
Time6/13/17 15:38
Quant open-6
Worst price2439.25
Drawdown as % of equity-2.21%
$202
Includes Typical Broker Commissions trade costs of $48.00
6/13/17 10:37 @ESU7 E-MINI S&P 500 SHORT 5 2434.50 6/13 10:59 2430.25 0.21%
Trade id #112031599
Max drawdown($62)
Time6/13/17 10:39
Quant open-5
Worst price2434.75
Drawdown as % of equity-0.21%
$1,023
Includes Typical Broker Commissions trade costs of $40.00
5/19/17 3:05 @ESM7 E-MINI S&P 500 LONG 2 2363.25 5/19 3:15 2364.75 0%
Trade id #111678976
Max drawdown$0
Time5/19/17 3:07
Quant open2
Worst price2363.25
Drawdown as % of equity0.00%
$134
Includes Typical Broker Commissions trade costs of $16.00
5/18/17 18:04 @ESM7 E-MINI S&P 500 SHORT 4 2365.05 5/18 21:26 2362.50 0.1%
Trade id #111675652
Max drawdown($75)
Time5/18/17 18:43
Quant open-2
Worst price2365.75
Drawdown as % of equity-0.10%
$479
Includes Typical Broker Commissions trade costs of $32.00
5/17/17 10:25 @ESM7 E-MINI S&P 500 LONG 36 2364.15 5/18 14:14 2365.89 19%
Trade id #111641173
Max drawdown($11,545)
Time5/18/17 5:58
Quant open10
Worst price2344.50
Drawdown as % of equity-19.00%
$2,843
Includes Typical Broker Commissions trade costs of $288.00
5/17/17 9:30 @ESM7 E-MINI S&P 500 SHORT 14 2381.44 5/17 9:54 2378.29 1.74%
Trade id #111638284
Max drawdown($1,239)
Time5/17/17 9:36
Quant open-8
Worst price2383.75
Drawdown as % of equity-1.74%
$2,099
Includes Typical Broker Commissions trade costs of $112.00
5/5/17 2:13 @ESM7 E-MINI S&P 500 SHORT 75 2392.23 5/17 9:04 2391.08 14.89%
Trade id #111423349
Max drawdown($8,718)
Time5/16/17 9:31
Quant open-14
Worst price2404.50
Drawdown as % of equity-14.89%
$3,692
Includes Typical Broker Commissions trade costs of $600.00
5/4/17 14:43 @ESM7 E-MINI S&P 500 SHORT 8 2384.66 5/4 23:31 2382.50 1.28%
Trade id #111416079
Max drawdown($834)
Time5/4/17 16:44
Quant open-8
Worst price2386.75
Drawdown as % of equity-1.28%
$801
Includes Typical Broker Commissions trade costs of $64.00
5/4/17 11:43 @ESM7 E-MINI S&P 500 SHORT 4 2386.38 5/4 11:58 2383.50 0.11%
Trade id #111410521
Max drawdown($75)
Time5/4/17 11:45
Quant open-4
Worst price2386.75
Drawdown as % of equity-0.11%
$543
Includes Typical Broker Commissions trade costs of $32.00
5/3/17 19:42 @ESM7 E-MINI S&P 500 SHORT 14 2385.62 5/4 11:09 2383.29 3.05%
Trade id #111397708
Max drawdown($1,900)
Time5/4/17 7:06
Quant open-8
Worst price2390.75
Drawdown as % of equity-3.05%
$1,524
Includes Typical Broker Commissions trade costs of $112.00
5/3/17 15:02 @ESM7 E-MINI S&P 500 SHORT 6 2383.75 5/3 16:30 2382.25 1.07%
Trade id #111392797
Max drawdown($675)
Time5/3/17 15:56
Quant open-6
Worst price2386.00
Drawdown as % of equity-1.07%
$402
Includes Typical Broker Commissions trade costs of $48.00
5/3/17 14:08 @ESM7 E-MINI S&P 500 SHORT 2 2382.90 5/3 14:11 2382.25 0.06%
Trade id #111391072
Max drawdown($35)
Time5/3/17 14:10
Quant open-2
Worst price2383.25
Drawdown as % of equity-0.06%
$49
Includes Typical Broker Commissions trade costs of $16.00
4/30/17 19:09 @ESM7 E-MINI S&P 500 SHORT 30 2384.91 5/3 10:47 2383.95 11.48%
Trade id #111334540
Max drawdown($6,625)
Time5/1/17 14:02
Quant open-18
Worst price2390.75
Drawdown as % of equity-11.48%
$1,196
Includes Typical Broker Commissions trade costs of $240.00
4/25/17 5:00 @ESM7 E-MINI S&P 500 SHORT 32 2382.05 4/28 15:01 2382.83 21.12%
Trade id #111242447
Max drawdown($11,618)
Time4/26/17 11:29
Quant open-16
Worst price2394.75
Drawdown as % of equity-21.12%
($1,506)
Includes Typical Broker Commissions trade costs of $256.00
4/25/17 3:37 @ESM7 E-MINI S&P 500 LONG 6 2372.17 4/25 4:49 2373.50 0.28%
Trade id #111241491
Max drawdown($175)
Time4/25/17 3:55
Quant open4
Worst price2371.50
Drawdown as % of equity-0.28%
$352
Includes Typical Broker Commissions trade costs of $48.00
4/25/17 1:35 @ESM7 E-MINI S&P 500 SHORT 4 2374.62 4/25 3:02 2373.25 0.12%
Trade id #111240547
Max drawdown($75)
Time4/25/17 1:42
Quant open-4
Worst price2375.00
Drawdown as % of equity-0.12%
$243
Includes Typical Broker Commissions trade costs of $32.00
4/24/17 13:59 @ESM7 E-MINI S&P 500 SHORT 8 2371.69 4/24 16:05 2370.06 1.49%
Trade id #111233850
Max drawdown($925)
Time4/24/17 15:15
Quant open-8
Worst price2374.00
Drawdown as % of equity-1.49%
$586
Includes Typical Broker Commissions trade costs of $64.00

Statistics

  • Strategy began
    3/16/2017
  • Starting Unit Size
    $9,500
  • Strategy Age (days)
    271.69
  • Age
    9 months ago
  • What it trades
    Futures
  • # Trades
    166
  • # Profitable
    156
  • % Profitable
    94.00%
  • Avg trade duration
    1.5 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    July 05, 2017 - Oct 04, 2017
  • Cumul. Return
    4824.3%
  • Avg win
    $3,706
  • Avg loss
    $8,391
  • Model Account Values (Raw)
  • Cash
    $35,024
  • Margin Used
    $24,712
  • Buying Power
    $35,996
  • Ratios
  • W:L ratio
    6.89:1
  • Sharpe Ratio
    1.359
  • Sortino Ratio
    150.326
  • Calmar Ratio
    1577.2
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.50700
  • Return Statistics
  • Ann Return (w trading costs)
    17641.4%
  • Ann Return (Compnd, No Fees)
    18763.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    740
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $8,391
  • Avg Win
    $3,706
  • # Winners
    156
  • # Losers
    10
  • % Winners
    94.0%
  • Frequency
  • Avg Position Time (mins)
    2105.03
  • Avg Position Time (hrs)
    35.08
  • Avg Trade Length
    1.5 days
  • Last Trade Ago
    153
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    8.14385
  • SD
    8.95313
  • Sharpe ratio (Glass type estimate)
    0.90961
  • Sharpe ratio (Hedges UMVUE)
    0.76475
  • df
    5.00000
  • t
    0.64319
  • p
    0.27422
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.95822
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.69286
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.04729
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57679
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.69658
  • Upside Potential Ratio
    8.32067
  • Upside part of mean
    11.89530
  • Downside part of mean
    -3.75141
  • Upside SD
    8.38343
  • Downside SD
    1.42960
  • N nonnegative terms
    2.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.07259
  • Mean of criterion
    8.14385
  • SD of predictor
    0.05223
  • SD of criterion
    8.95313
  • Covariance
    -0.35941
  • r
    -0.76859
  • b (slope, estimate of beta)
    -131.74800
  • a (intercept, estimate of alpha)
    17.70770
  • Mean Square Error
    41.00790
  • DF error
    4.00000
  • t(b)
    -2.40282
  • p(b)
    0.96293
  • t(a)
    1.79004
  • p(a)
    0.07397
  • Lowerbound of 95% confidence interval for beta
    -284.01300
  • Upperbound of 95% confidence interval for beta
    20.51600
  • Lowerbound of 95% confidence interval for alpha
    -9.76320
  • Upperbound of 95% confidence interval for alpha
    45.17860
  • Treynor index (mean / b)
    -0.06181
  • Jensen alpha (a)
    17.70770
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.60813
  • SD
    3.79009
  • Sharpe ratio (Glass type estimate)
    -0.42430
  • Sharpe ratio (Hedges UMVUE)
    -0.35673
  • df
    5.00000
  • t
    -0.30002
  • p
    0.61189
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.18760
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37964
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.13734
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42388
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.74115
  • Upside Potential Ratio
    1.80020
  • Upside part of mean
    3.90605
  • Downside part of mean
    -5.51418
  • Upside SD
    2.73462
  • Downside SD
    2.16978
  • N nonnegative terms
    2.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.07109
  • Mean of criterion
    -1.60813
  • SD of predictor
    0.05174
  • SD of criterion
    3.79009
  • Covariance
    -0.17696
  • r
    -0.90245
  • b (slope, estimate of beta)
    -66.10810
  • a (intercept, estimate of alpha)
    3.09145
  • Mean Square Error
    3.33250
  • DF error
    4.00000
  • t(b)
    -4.18957
  • p(b)
    0.99309
  • t(a)
    1.09827
  • p(a)
    0.16688
  • Lowerbound of 95% confidence interval for beta
    -109.92700
  • Upperbound of 95% confidence interval for beta
    -22.28940
  • Lowerbound of 95% confidence interval for alpha
    -4.72532
  • Upperbound of 95% confidence interval for alpha
    10.90820
  • Treynor index (mean / b)
    0.02433
  • Jensen alpha (a)
    3.09145
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.85538
  • Expected Shortfall on VaR
    0.90192
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.76550
  • Expected Shortfall on VaR
    0.96509
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.33234
  • Quartile 1
    0.45952
  • Median
    0.68201
  • Quartile 3
    0.97593
  • Maximum
    6.93027
  • Mean of quarter 1
    0.38479
  • Mean of quarter 2
    0.52632
  • Mean of quarter 3
    0.83769
  • Mean of quarter 4
    3.97614
  • Inter Quartile Range
    0.51642
  • 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
    0.16667
  • Mean of outliers high
    6.93027
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.93593
  • Quartile 1
    0.93593
  • Median
    0.93593
  • Quartile 3
    0.93593
  • Maximum
    0.93593
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -1.09241
  • Compounded annual return (geometric extrapolation)
    -0.79407
  • Calmar ratio (compounded annual return / max draw down)
    -0.84843
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.88042
  • 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
    208.94100
  • SD
    152.95700
  • Sharpe ratio (Glass type estimate)
    1.36601
  • Sharpe ratio (Hedges UMVUE)
    1.35868
  • df
    140.00000
  • t
    1.00210
  • p
    0.45780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31284
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04015
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31776
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03512
  • Statistics related to Sortino ratio
  • Sortino ratio
    150.32600
  • Upside Potential Ratio
    157.78300
  • Upside part of mean
    219.30600
  • Downside part of mean
    -10.36420
  • Upside SD
    152.95300
  • Downside SD
    1.38992
  • N nonnegative terms
    71.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    141.00000
  • Mean of predictor
    0.12283
  • Mean of criterion
    208.94100
  • SD of predictor
    0.07327
  • SD of criterion
    152.95700
  • Covariance
    1.34064
  • r
    0.11962
  • b (slope, estimate of beta)
    249.69500
  • a (intercept, estimate of alpha)
    178.27100
  • Mean Square Error
    23227.10000
  • DF error
    139.00000
  • t(b)
    1.42045
  • p(b)
    0.42403
  • t(a)
    0.85351
  • p(a)
    0.45407
  • Lowerbound of 95% confidence interval for beta
    -97.86380
  • Upperbound of 95% confidence interval for beta
    597.25300
  • Lowerbound of 95% confidence interval for alpha
    -234.69800
  • Upperbound of 95% confidence interval for alpha
    591.24000
  • Treynor index (mean / b)
    0.83679
  • Jensen alpha (a)
    178.27100
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    7.27072
  • SD
    6.76638
  • Sharpe ratio (Glass type estimate)
    1.07454
  • Sharpe ratio (Hedges UMVUE)
    1.06877
  • df
    140.00000
  • t
    0.78828
  • p
    0.46676
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74730
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60587
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.74341
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.47174
  • Upside Potential Ratio
    11.57570
  • Upside part of mean
    18.82120
  • Downside part of mean
    -11.55050
  • Upside SD
    6.55876
  • Downside SD
    1.62593
  • N nonnegative terms
    71.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    141.00000
  • Mean of predictor
    0.12012
  • Mean of criterion
    7.27072
  • SD of predictor
    0.07339
  • SD of criterion
    6.76638
  • Covariance
    -0.01197
  • r
    -0.02411
  • b (slope, estimate of beta)
    -2.22288
  • a (intercept, estimate of alpha)
    7.53774
  • Mean Square Error
    46.08640
  • DF error
    139.00000
  • t(b)
    -0.28434
  • p(b)
    0.51535
  • t(a)
    0.81038
  • p(a)
    0.45638
  • Lowerbound of 95% confidence interval for beta
    -17.67960
  • Upperbound of 95% confidence interval for beta
    13.23380
  • Lowerbound of 95% confidence interval for alpha
    -10.85300
  • Upperbound of 95% confidence interval for alpha
    25.92840
  • Treynor index (mean / b)
    -3.27086
  • Jensen alpha (a)
    7.53774
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.48307
  • Expected Shortfall on VaR
    0.56102
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09024
  • Expected Shortfall on VaR
    0.18174
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    141.00000
  • Minimum
    0.59356
  • Quartile 1
    0.95796
  • Median
    1.00025
  • Quartile 3
    1.05229
  • Maximum
    113.20200
  • Mean of quarter 1
    0.85892
  • Mean of quarter 2
    0.98597
  • Mean of quarter 3
    1.02462
  • Mean of quarter 4
    4.34768
  • Inter Quartile Range
    0.09433
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06383
  • Mean of outliers low
    0.72658
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06383
  • Mean of outliers high
    13.70170
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05556
  • VaR(95%) (moments method)
    0.11569
  • Expected Shortfall (moments method)
    0.16655
  • Extreme Value Index (regression method)
    -0.57251
  • VaR(95%) (regression method)
    0.13461
  • Expected Shortfall (regression method)
    0.15659
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.16556
  • Quartile 1
    0.35833
  • Median
    0.55110
  • Quartile 3
    0.74387
  • Maximum
    0.93664
  • Mean of quarter 1
    0.16556
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.93664
  • Inter Quartile Range
    0.38554
  • 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)
    92.53550
  • Compounded annual return (geometric extrapolation)
    1477.28000
  • Calmar ratio (compounded annual return / max draw down)
    1577.20000
  • Compounded annual return / average of 25% largest draw downs
    1577.20000
  • Compounded annual return / Expected Shortfall lognormal
    2633.17000
  • 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
    222.31900
  • SD
    158.70100
  • Sharpe ratio (Glass type estimate)
    1.40087
  • Sharpe ratio (Hedges UMVUE)
    1.39277
  • df
    130.00000
  • t
    0.99056
  • p
    0.45672
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37882
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.17524
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.38420
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16974
  • Statistics related to Sortino ratio
  • Sortino ratio
    154.17400
  • Upside Potential Ratio
    161.91000
  • Upside part of mean
    233.47400
  • Downside part of mean
    -11.15540
  • Upside SD
    158.68300
  • Downside SD
    1.44200
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14533
  • Mean of criterion
    222.31900
  • SD of predictor
    0.07280
  • SD of criterion
    158.70100
  • Covariance
    1.42880
  • r
    0.12367
  • b (slope, estimate of beta)
    269.57700
  • a (intercept, estimate of alpha)
    183.14200
  • Mean Square Error
    24992.90000
  • DF error
    129.00000
  • t(b)
    1.41544
  • p(b)
    0.42147
  • t(a)
    0.81294
  • p(a)
    0.45459
  • Lowerbound of 95% confidence interval for beta
    -107.24300
  • Upperbound of 95% confidence interval for beta
    646.39800
  • Lowerbound of 95% confidence interval for alpha
    -262.58500
  • Upperbound of 95% confidence interval for alpha
    628.86800
  • Treynor index (mean / b)
    0.82469
  • Jensen alpha (a)
    183.14200
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    5.43214
  • SD
    7.00496
  • Sharpe ratio (Glass type estimate)
    0.77547
  • Sharpe ratio (Hedges UMVUE)
    0.77099
  • df
    130.00000
  • t
    0.54834
  • p
    0.47598
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.99939
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.54743
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.00240
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.54438
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.22029
  • Upside Potential Ratio
    10.59040
  • Upside part of mean
    17.86440
  • Downside part of mean
    -12.43220
  • Upside SD
    6.77954
  • Downside SD
    1.68685
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14264
  • Mean of criterion
    5.43214
  • SD of predictor
    0.07291
  • SD of criterion
    7.00496
  • Covariance
    -0.00945
  • r
    -0.01851
  • b (slope, estimate of beta)
    -1.77856
  • a (intercept, estimate of alpha)
    5.68583
  • Mean Square Error
    49.43290
  • DF error
    129.00000
  • t(b)
    -0.21029
  • p(b)
    0.51178
  • t(a)
    0.56767
  • p(a)
    0.46823
  • Lowerbound of 95% confidence interval for beta
    -18.51210
  • Upperbound of 95% confidence interval for beta
    14.95500
  • Lowerbound of 95% confidence interval for alpha
    -14.13120
  • Upperbound of 95% confidence interval for alpha
    25.50280
  • Treynor index (mean / b)
    -3.05423
  • Jensen alpha (a)
    5.68583
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.49898
  • Expected Shortfall on VaR
    0.57682
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10207
  • Expected Shortfall on VaR
    0.20009
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.59356
  • Quartile 1
    0.95384
  • Median
    1.00000
  • Quartile 3
    1.03588
  • Maximum
    113.20200
  • Mean of quarter 1
    0.85003
  • Mean of quarter 2
    0.98118
  • Mean of quarter 3
    1.01629
  • Mean of quarter 4
    4.52189
  • Inter Quartile Range
    0.08204
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.73562
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    13.69520
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15791
  • VaR(95%) (moments method)
    0.12620
  • Expected Shortfall (moments method)
    0.16371
  • Extreme Value Index (regression method)
    -0.62551
  • VaR(95%) (regression method)
    0.14019
  • Expected Shortfall (regression method)
    0.16064
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.16556
  • Quartile 1
    0.35833
  • Median
    0.55110
  • Quartile 3
    0.74387
  • Maximum
    0.93664
  • Mean of quarter 1
    0.16556
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.93664
  • Inter Quartile Range
    0.38554
  • 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)
    28.66650
  • Compounded annual return (geometric extrapolation)
    234.10900
  • Calmar ratio (compounded annual return / max draw down)
    249.94500
  • Compounded annual return / average of 25% largest draw downs
    249.94500
  • Compounded annual return / Expected Shortfall lognormal
    405.86100

Strategy Description

Intraday trading, trading positions are closed for clearing. In exceptional cases, I can leave the trading position for clearing, and the position will be reduced to a minimum.

Trade is conducted by the most liquid instruments: e-mini 500, eurodollar.

Trade is mainly in the European session. The American session is affected, but to a lesser extent.

The type of strategy is active intraday. Positions are held for 10 minutes to several hours.

The strategy is quite aggressive.
The estimated goal is 15-25% per month.
I will try not to receive significant one-time losses, but I can not guarantee this by 100%.

To open the position limit orders are used.

Purpose: to collect a deposit of $ 50,000 (via subscription fee) and connect this strategy to my real trading account.

My English is pretty bad. But I will be happy with your questions - I will try to answer them.

Summary Statistics

Strategy began
2017-03-16
Minimum Capital Required
$460,000
# Trades
166
# Profitable
156
% Profitable
94.0%
Correlation S&P500
-0.507
Sharpe Ratio
1.359

Latest Activity

#PERSONNAME#
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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