CRUDE OIL  QCL
(110640412)
Subscription terms. Subscriptions to this system cost $121.00 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 Cumulative Rate of Return is calculated
= (Ending_equity  Starting_equity) / Starting_equity
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  (1.5%)  (1.3%)  +3.5%  +0.9%  (9.5%)  (0.5%)        (8.5%)  
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  $25,000  
Buy Power  $26,750  
Cash  $26,750  
Equity  $0  
Cumulative $  $1,750  
Total System Equity  $26,750  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began4/3/2017

Suggested Minimum Cap$25,000

Strategy Age (days)469.11

Age16 months ago

What it tradesFutures

# Trades279

# Profitable133

% Profitable47.70%

Avg trade duration27.3 minutes

Max peaktovalley drawdown13.46%

drawdown periodJuly 12, 2017  Sept 04, 2017

Cumul. Return8.4%

Avg win$124.14

Avg loss$101.10
 Model Account Values (Raw)

Cash$26,750

Margin Used$0

Buying Power$26,750
 Ratios

W:L ratio1.12:1

Sharpe Ratio0.898

Sortino Ratio1.587

Calmar Ratio1.777
 CORRELATION STATISTICS

Correlation to SP5000.12400
 Return Statistics

Ann Return (w trading costs)18.3%

Ann Return (Compnd, No Fees)5.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss4.00%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)731

Popularity (Last 6 weeks)951
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$101

Avg Win$124

# Winners133

# Losers146

% Winners47.7%
 Frequency

Avg Position Time (mins)27.25

Avg Position Time (hrs)0.45

Avg Trade Length0.0 days

Last Trade Ago314
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.31514

SD0.14021

Sharpe ratio (Glass type estimate)2.24766

Sharpe ratio (Hedges UMVUE)1.62641

df3.00000

t1.29769

p0.14258

Lowerbound of 95% confidence interval for Sharpe Ratio1.69050

Upperbound of 95% confidence interval for Sharpe Ratio5.91448

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.00924

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.26205
 Statistics related to Sortino ratio

Sortino ratio15.86370

Upside Potential Ratio18.07750

Upside part of mean0.35912

Downside part of mean0.04398

Upside SD0.15042

Downside SD0.01987

N nonnegative terms2.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations4.00000

Mean of predictor0.11768

Mean of criterion0.31514

SD of predictor0.04126

SD of criterion0.14021

Covariance0.00539

r0.93112

b (slope, estimate of beta)3.16375

a (intercept, estimate of alpha)0.68744

Mean Square Error0.00392

DF error2.00000

t(b)3.61045

p(b)0.96556

t(a)4.59311

p(a)0.02214

Lowerbound of 95% confidence interval for beta6.93406

Upperbound of 95% confidence interval for beta0.60656

Lowerbound of 95% confidence interval for alpha0.04347

Upperbound of 95% confidence interval for alpha1.33141

Treynor index (mean / b)0.09961

Jensen alpha (a)0.68744
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.30342

SD0.13590

Sharpe ratio (Glass type estimate)2.23259

Sharpe ratio (Hedges UMVUE)1.61550

df3.00000

t1.28899

p0.14390

Lowerbound of 95% confidence interval for Sharpe Ratio1.69991

Upperbound of 95% confidence interval for Sharpe Ratio5.89475

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.01703

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.24804
 Statistics related to Sortino ratio

Sortino ratio15.23260

Upside Potential Ratio17.44530

Upside part of mean0.34749

Downside part of mean0.04407

Upside SD0.14535

Downside SD0.01992

N nonnegative terms2.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations4.00000

Mean of predictor0.11621

Mean of criterion0.30342

SD of predictor0.04095

SD of criterion0.13590

Covariance0.00516

r0.92704

b (slope, estimate of beta)3.07700

a (intercept, estimate of alpha)0.66099

Mean Square Error0.00390

DF error2.00000

t(b)3.49634

p(b)0.96352

t(a)4.44173

p(a)0.02357

Lowerbound of 95% confidence interval for beta6.86361

Upperbound of 95% confidence interval for beta0.70961

Lowerbound of 95% confidence interval for alpha0.02070

Upperbound of 95% confidence interval for alpha1.30128

Treynor index (mean / b)0.09861

Jensen alpha (a)0.66099
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03849

Expected Shortfall on VaR0.05402
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00857

Expected Shortfall on VaR0.01380
 ORDER STATISTICS
 Quartiles of return rates

Number of observations4.00000

Minimum0.99153

Quartile 10.99673

Median1.02346

Quartile 31.05532

Maximum1.07591

Mean of quarter 10.99153

Mean of quarter 20.99847

Mean of quarter 31.04845

Mean of quarter 41.07591

Inter Quartile Range0.05858

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 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 observations2.00000

Minimum0.00153

Quartile 10.00327

Median0.00500

Quartile 30.00674

Maximum0.00847

Mean of quarter 10.00153

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00847

Inter Quartile Range0.00347

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)0.35031

Compounded annual return (geometric extrapolation)0.39281

Calmar ratio (compounded annual return / max draw down)46.36340

Compounded annual return / average of 25% largest draw downs46.36340

Compounded annual return / Expected Shortfall lognormal7.27155

0.00000

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

Mean0.12566

SD0.12944

Sharpe ratio (Glass type estimate)0.97079

Sharpe ratio (Hedges UMVUE)0.96391

df106.00000

t0.62039

p0.46993

Lowerbound of 95% confidence interval for Sharpe Ratio2.10116

Upperbound of 95% confidence interval for Sharpe Ratio4.03831

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.10579

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.03360
 Statistics related to Sortino ratio

Sortino ratio1.67517

Upside Potential Ratio10.03360

Upside part of mean0.75266

Downside part of mean0.62700

Upside SD0.10503

Downside SD0.07501

N nonnegative terms49.00000

N negative terms58.00000
 Statistics related to linear regression on benchmark

N of observations107.00000

Mean of predictor0.07109

Mean of criterion0.12566

SD of predictor0.07752

SD of criterion0.12944

Covariance0.00123

r0.12223

b (slope, estimate of beta)0.20411

a (intercept, estimate of alpha)0.08700

Mean Square Error0.01666

DF error105.00000

t(b)1.26197

p(b)0.42238

t(a)0.54940

p(a)0.46593

Lowerbound of 95% confidence interval for beta0.11659

Upperbound of 95% confidence interval for beta0.52481

Lowerbound of 95% confidence interval for alpha0.29000

Upperbound of 95% confidence interval for alpha0.51231

Treynor index (mean / b)0.61566

Jensen alpha (a)0.11115
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.11740

SD0.12856

Sharpe ratio (Glass type estimate)0.91320

Sharpe ratio (Hedges UMVUE)0.90673

df106.00000

t0.58359

p0.47170

Lowerbound of 95% confidence interval for Sharpe Ratio2.15828

Upperbound of 95% confidence interval for Sharpe Ratio3.98055

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.16265

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.97610
 Statistics related to Sortino ratio

Sortino ratio1.55626

Upside Potential Ratio9.90464

Upside part of mean0.74717

Downside part of mean0.62977

Upside SD0.10361

Downside SD0.07544

N nonnegative terms49.00000

N negative terms58.00000
 Statistics related to linear regression on benchmark

N of observations107.00000

Mean of predictor0.06809

Mean of criterion0.11740

SD of predictor0.07766

SD of criterion0.12856

Covariance0.00121

r0.12129

b (slope, estimate of beta)0.20077

a (intercept, estimate of alpha)0.10373

Mean Square Error0.01644

DF error105.00000

t(b)1.25209

p(b)0.42297

t(a)0.51626

p(a)0.46798

Lowerbound of 95% confidence interval for beta0.11717

Upperbound of 95% confidence interval for beta0.51871

Lowerbound of 95% confidence interval for alpha0.29467

Upperbound of 95% confidence interval for alpha0.50213

Treynor index (mean / b)0.58474

Jensen alpha (a)0.10373
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01254

Expected Shortfall on VaR0.01580
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00582

Expected Shortfall on VaR0.01093
 ORDER STATISTICS
 Quartiles of return rates

Number of observations107.00000

Minimum0.98045

Quartile 10.99635

Median1.00000

Quartile 31.00353

Maximum1.04587

Mean of quarter 10.99172

Mean of quarter 20.99902

Mean of quarter 31.00165

Mean of quarter 41.00999

Inter Quartile Range0.00718

Number outliers low2.00000

Percentage of outliers low0.01869

Mean of outliers low0.98289

Number of outliers high2.00000

Percentage of outliers high0.01869

Mean of outliers high1.03321
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.53136

VaR(95%) (moments method)0.00827

Expected Shortfall (moments method)0.00945

Extreme Value Index (regression method)0.39307

VaR(95%) (regression method)0.00847

Expected Shortfall (regression method)0.00997
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations8.00000

Minimum0.00025

Quartile 10.00400

Median0.01015

Quartile 30.02904

Maximum0.07480

Mean of quarter 10.00027

Mean of quarter 20.00689

Mean of quarter 30.01746

Mean of quarter 40.06072

Inter Quartile Range0.02504

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.12500

Mean of outliers high0.07480
 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)0.14970

Compounded annual return (geometric extrapolation)0.15639

Calmar ratio (compounded annual return / max draw down)2.09078

Compounded annual return / average of 25% largest draw downs2.57560

Compounded annual return / Expected Shortfall lognormal9.89578
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.