Alpha and Omega
(110267102)
Subscription terms. Subscriptions to this system cost $149.00 per month.
Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2017  +232.8%  +56.4%  (32.8%)  (55%)  (110.1%)  (542%)  (2%)  (2%)  (2.1%)  (2.1%)  (35.3%)  
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  $9,500  
Buy Power  $18,459  
Cash  $1  
Equity  $1  
Cumulative $  $8,959  
Total System Equity  $18,459  
Margined  $1  
Open P/L  $0  
Data has been delayed by 24 hours for nonsubscribers 
System developer has asked us to delay this information by 24 hours.
Trading Record
Statistics

Strategy began3/16/2017

Suggested Minimum Cap$25,000

Strategy Age (days)483.7

Age16 months ago

What it tradesFutures

# Trades166

# Profitable155

% Profitable93.40%

Avg trade duration18.3 hours

Max peaktovalley drawdown100%

drawdown periodAug 16, 2017  Aug 18, 2017

Annual Return (Compounded)21.7%

Avg win$706.12

Avg loss$9,135
 Model Account Values (Raw)

Cash$18,459

Margin Used$0

Buying Power$18,459
 Ratios

W:L ratio1.09:1

Sharpe Ratio1.189

Sortino Ratio1.9

Calmar Ratio0.903
 CORRELATION STATISTICS

Correlation to SP5000.25100
 Return Statistics

Ann Return (w trading costs)21.7%

Ann Return (Compnd, No Fees)64.2%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss100.00%

Chance of 30% account loss100.00%

Chance of 40% account loss100.00%

Chance of 50% account loss100.00%
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)600
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$9,135

Avg Win$706

# Winners155

# Losers11

% Winners93.4%
 Frequency

Avg Position Time (mins)1097.53

Avg Position Time (hrs)18.29

Avg Trade Length0.8 days

Last Trade Ago180
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean5.00096

SD5.50987

Sharpe ratio (Glass type estimate)0.90763

Sharpe ratio (Hedges UMVUE)0.83752

df10.00000

t0.86899

p0.20261

Lowerbound of 95% confidence interval for Sharpe Ratio1.19829

Upperbound of 95% confidence interval for Sharpe Ratio2.97048

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.24224

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.91728
 Statistics related to Sortino ratio

Sortino ratio5.77223

Upside Potential Ratio7.42127

Upside part of mean6.42965

Downside part of mean1.42870

Upside SD5.37888

Downside SD0.86638

N nonnegative terms3.00000

N negative terms8.00000
 Statistics related to linear regression on benchmark

N of observations11.00000

Mean of predictor0.14111

Mean of criterion5.00096

SD of predictor0.07984

SD of criterion5.50987

Covariance0.18116

r0.41183

b (slope, estimate of beta)28.42110

a (intercept, estimate of alpha)9.01143

Mean Square Error28.01090

DF error9.00000

t(b)1.35579

p(b)0.89590

t(a)1.43733

p(a)0.09223

Lowerbound of 95% confidence interval for beta75.84210

Upperbound of 95% confidence interval for beta18.99990

Lowerbound of 95% confidence interval for alpha5.17130

Upperbound of 95% confidence interval for alpha23.19420

Treynor index (mean / b)0.17596

Jensen alpha (a)9.01143
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.57823

SD2.46584

Sharpe ratio (Glass type estimate)0.23450

Sharpe ratio (Hedges UMVUE)0.21638

df10.00000

t0.22451

p0.41344

Lowerbound of 95% confidence interval for Sharpe Ratio1.82089

Upperbound of 95% confidence interval for Sharpe Ratio2.27842

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.83293

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.26569
 Statistics related to Sortino ratio

Sortino ratio0.44689

Upside Potential Ratio2.04136

Upside part of mean2.64133

Downside part of mean2.06310

Upside SD1.97010

Downside SD1.29391

N nonnegative terms3.00000

N negative terms8.00000
 Statistics related to linear regression on benchmark

N of observations11.00000

Mean of predictor0.13715

Mean of criterion0.57823

SD of predictor0.07865

SD of criterion2.46584

Covariance0.07768

r0.40055

b (slope, estimate of beta)12.55790

a (intercept, estimate of alpha)2.30053

Mean Square Error5.67202

DF error9.00000

t(b)1.31147

p(b)0.88892

t(a)0.81785

p(a)0.21728

Lowerbound of 95% confidence interval for beta34.21910

Upperbound of 95% confidence interval for beta9.10331

Lowerbound of 95% confidence interval for alpha4.06266

Upperbound of 95% confidence interval for alpha8.66372

Treynor index (mean / b)0.04605

Jensen alpha (a)2.30053
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.67459

Expected Shortfall on VaR0.75072
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.34326

Expected Shortfall on VaR0.65001
 ORDER STATISTICS
 Quartiles of return rates

Number of observations11.00000

Minimum0.37395

Quartile 10.92658

Median1.00000

Quartile 31.04135

Maximum6.10184

Mean of quarter 10.56964

Mean of quarter 21.00000

Mean of quarter 31.00003

Mean of quarter 42.96694

Inter Quartile Range0.11477

Number outliers low2.00000

Percentage of outliers low0.18182

Mean of outliers low0.42788

Number of outliers high2.00000

Percentage of outliers high0.18182

Mean of outliers high3.90909
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)100.92300

VaR(95%) (moments method)0.34786

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)2.78356

VaR(95%) (regression method)0.96233

Expected Shortfall (regression method)0.96921
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.84628

Quartile 10.84628

Median0.84628

Quartile 30.84628

Maximum0.84628

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)0.81058

Compounded annual return (geometric extrapolation)0.83334

Calmar ratio (compounded annual return / max draw down)0.98471

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

Compounded annual return / Expected Shortfall lognormal1.11006

0.00000

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

Mean2.04918

SD1.71829

Sharpe ratio (Glass type estimate)1.19257

Sharpe ratio (Hedges UMVUE)1.18892

df245.00000

t1.15558

p0.12449

Lowerbound of 95% confidence interval for Sharpe Ratio0.83404

Upperbound of 95% confidence interval for Sharpe Ratio3.21687

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.83652

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.21435
 Statistics related to Sortino ratio

Sortino ratio1.90003

Upside Potential Ratio6.62208

Upside part of mean7.14192

Downside part of mean5.09274

Upside SD1.33917

Downside SD1.07850

N nonnegative terms63.00000

N negative terms183.00000
 Statistics related to linear regression on benchmark

N of observations246.00000

Mean of predictor0.15039

Mean of criterion2.04918

SD of predictor0.11329

SD of criterion1.71829

Covariance0.05347

r0.27466

b (slope, estimate of beta)4.16569

a (intercept, estimate of alpha)2.67600

Mean Square Error2.74096

DF error244.00000

t(b)4.46196

p(b)0.99999

t(a)1.56076

p(a)0.05994

Lowerbound of 95% confidence interval for beta6.00464

Upperbound of 95% confidence interval for beta2.32675

Lowerbound of 95% confidence interval for alpha0.70112

Upperbound of 95% confidence interval for alpha6.05245

Treynor index (mean / b)0.49192

Jensen alpha (a)2.67567
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.56386

SD1.75409

Sharpe ratio (Glass type estimate)0.32145

Sharpe ratio (Hedges UMVUE)0.32047

df245.00000

t0.31148

p0.37785

Lowerbound of 95% confidence interval for Sharpe Ratio1.70177

Upperbound of 95% confidence interval for Sharpe Ratio2.34403

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.70243

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.34337
 Statistics related to Sortino ratio

Sortino ratio0.42218

Upside Potential Ratio4.81179

Upside part of mean6.42650

Downside part of mean5.86264

Upside SD1.13215

Downside SD1.33557

N nonnegative terms63.00000

N negative terms183.00000
 Statistics related to linear regression on benchmark

N of observations246.00000

Mean of predictor0.14391

Mean of criterion0.56386

SD of predictor0.11371

SD of criterion1.75409

Covariance0.05094

r0.25540

b (slope, estimate of beta)3.93992

a (intercept, estimate of alpha)1.13087

Mean Square Error2.88790

DF error244.00000

t(b)4.12632

p(b)0.99997

t(a)0.64285

p(a)0.26046

Lowerbound of 95% confidence interval for beta5.82068

Upperbound of 95% confidence interval for beta2.05917

Lowerbound of 95% confidence interval for alpha2.33419

Upperbound of 95% confidence interval for alpha4.59593

Treynor index (mean / b)0.14311

Jensen alpha (a)1.13087
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.16146

Expected Shortfall on VaR0.19795
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.05627

Expected Shortfall on VaR0.12240
 ORDER STATISTICS
 Quartiles of return rates

Number of observations246.00000

Minimum0.51964

Quartile 11.00000

Median1.00000

Quartile 31.00895

Maximum1.63727

Mean of quarter 10.92319

Mean of quarter 21.00000

Mean of quarter 31.00013

Mean of quarter 41.10814

Inter Quartile Range0.00895

Number outliers low41.00000

Percentage of outliers low0.16667

Mean of outliers low0.88461

Number of outliers high55.00000

Percentage of outliers high0.22358

Mean of outliers high1.12000
 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)0.16965

VaR(95%) (regression method)0.05168

Expected Shortfall (regression method)0.10448
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.17064

Quartile 10.35137

Median0.53211

Quartile 30.71284

Maximum0.89357

Mean of quarter 10.17064

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.89357

Inter Quartile Range0.36146

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)0.79136

Compounded annual return (geometric extrapolation)0.80717

Calmar ratio (compounded annual return / max draw down)0.90331

Compounded annual return / average of 25% largest draw downs0.90331

Compounded annual return / Expected Shortfall lognormal4.07767

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

Mean0.02780

SD0.00008

Sharpe ratio (Glass type estimate)362.66300

Sharpe ratio (Hedges UMVUE)360.56700

df130.00000

t256.44100

p0.99951

Lowerbound of 95% confidence interval for Sharpe Ratio0.00000

Upperbound of 95% confidence interval for Sharpe Ratio0.00000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation404.48200

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation316.65200
 Statistics related to Sortino ratio

Sortino ratio16.17040

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.02780

Upside SD0.00000

Downside SD0.00172

N nonnegative terms0.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.25659

Mean of criterion0.02780

SD of predictor0.13788

SD of criterion0.00008

Covariance0.00000

r0.04932

b (slope, estimate of beta)0.00003

a (intercept, estimate of alpha)0.02781

Mean Square Error0.00000

DF error129.00000

t(b)0.56081

p(b)0.46862

t(a)254.14200

p(a)0.99998

Lowerbound of 95% confidence interval for beta0.00007

Upperbound of 95% confidence interval for beta0.00012

Lowerbound of 95% confidence interval for alpha0.02802

Upperbound of 95% confidence interval for alpha0.02759

Treynor index (mean / b)1013.94000

Jensen alpha (a)0.02781
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.02780

SD0.00008

Sharpe ratio (Glass type estimate)362.65300

Sharpe ratio (Hedges UMVUE)360.55700

df130.00000

t256.43500

p0.99951

Lowerbound of 95% confidence interval for Sharpe Ratio0.00000

Upperbound of 95% confidence interval for Sharpe Ratio0.00000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation404.47100

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation316.64300
 Statistics related to Sortino ratio

Sortino ratio16.17040

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.02780

Upside SD0.00000

Downside SD0.00172

N nonnegative terms0.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.24696

Mean of criterion0.02780

SD of predictor0.13847

SD of criterion0.00008

Covariance0.00000

r0.04931

b (slope, estimate of beta)0.00003

a (intercept, estimate of alpha)0.02781

Mean Square Error0.00000

DF error129.00000

t(b)0.56074

p(b)0.46862

t(a)254.26900

p(a)0.99998

Lowerbound of 95% confidence interval for beta0.00007

Upperbound of 95% confidence interval for beta0.00012

Lowerbound of 95% confidence interval for alpha0.02802

Upperbound of 95% confidence interval for alpha0.02759

Treynor index (mean / b)1018.36000

Jensen alpha (a)0.02781
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00011

Expected Shortfall on VaR0.00012
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00011

Expected Shortfall on VaR0.00011
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum1.00000

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.00005

Mean of quarter 11.00000

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.00763

Mean of outliers high1.00005
 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 observations0.00000

Minimum0.00000

Quartile 10.00000

Median0.00000

Quartile 30.00000

Maximum0.00000

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)0.00011

Compounded annual return (geometric extrapolation)0.00011

Calmar ratio (compounded annual return / max draw down)0.00000

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

Compounded annual return / Expected Shortfall lognormal0.93567
Strategy Description
Trade is conducted by the most liquid instruments: emini 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 1525% per month.
I will try not to receive significant onetime 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.
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.
Not available
This feature isn't available under your current Trade Leader Plan.
Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
Strategy is no longer visible
This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
This strategy is no longer visible to the public. No subscribers will be allowed.
You can restore public visibility at any time.
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.