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These are hypothetical performance results that have certain inherent limitations. Learn more

BOB DYLAN SP500
(46106678)

Created by: MarketSignals MarketSignals
Started: 12/2009
Futures
Last trade: 8 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.

24.0%
Annual Return (Compounded)
30.0%
Max Drawdown
99
Num Trades
79.8%
Win Trades
3.4 : 1
Profit Factor
54.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010+5.6%+16.9%(6.5%)+5.5%(19.6%)(0.2%)+37.9%+0.8%+20.1%+5.2%(4.4%)+5.9%+74.0%
2011(0.8%)+5.0%(8.5%)+9.4%+5.6%+4.1%(0.7%)(0.7%)(1.8%)+15.0%+34.8%+4.3%+79.2%
2012(0.5%)(0.5%)(0.5%)+7.2%(11.5%)+2.6%+3.3%(0.5%)(0.6%)+5.2%+4.7%+2.3%+10.6%
2013(0.4%)(1.9%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)+3.3%(0.4%)+5.0%(0.4%)+3.2%+6.1%
2014+3.8%(0.4%)+4.8%+4.0%(0.4%)(0.4%)(5.5%)+4.4%+3.7%+7.9%(0.3%)+4.2%+28.3%
2015+6.8%+2.3%+0.9%(0.3%)(0.2%)+2.3%+5.2%(3.3%)(0.3%)(1.7%)(0.1%)+1.4%+13.4%
2016(13.3%)+0.8%+3.5%(0.3%)+1.4%+0.6%(1.3%)+0.5%+2.6%+1.7%(0.2%)+1.6%(3.5%)
2017(0.3%)(0.3%)(0.7%)  -  +1.9%+1.9%+1.4%+0.2%+1.4%+0.9%(0.3%)+0.9%+7.2%

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.

Trading Record

This strategy has placed 170 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/4/17 18:00 @ESZ7 E-MINI S&P 500 LONG 1 2636.67 12/8 15:53 2649.50 1.19%
Trade id #115183223
Max drawdown($833)
Time12/6/17 2:46
Quant open1
Worst price2620.00
Drawdown as % of equity-1.19%
$634
Includes Typical Broker Commissions trade costs of $8.00
10/24/17 10:05 @ESZ7 E-MINI S&P 500 LONG 1 2565.18 10/27 14:37 2578.18 1.71%
Trade id #114462752
Max drawdown($1,184)
Time10/25/17 12:31
Quant open1
Worst price2541.50
Drawdown as % of equity-1.71%
$642
Includes Typical Broker Commissions trade costs of $8.00
9/26/17 11:15 @ESZ7 E-MINI S&P 500 LONG 1 2495.57 9/29 15:33 2513.75 0.24%
Trade id #113866016
Max drawdown($165)
Time9/26/17 11:28
Quant open1
Worst price2492.25
Drawdown as % of equity-0.24%
$901
Includes Typical Broker Commissions trade costs of $8.00
7/31/17 16:55 @ESU7 E-MINI S&P 500 LONG 1 2469.00 8/7 15:54 2477.50 0.42%
Trade id #112904763
Max drawdown($287)
Time8/2/17 11:00
Quant open1
Worst price2463.25
Drawdown as % of equity-0.42%
$417
Includes Typical Broker Commissions trade costs of $8.00
7/6/17 18:08 @ESU7 E-MINI S&P 500 LONG 1 2409.75 7/10 16:52 2424.50 0.16%
Trade id #112454289
Max drawdown($112)
Time7/7/17 3:56
Quant open1
Worst price2407.50
Drawdown as % of equity-0.16%
$730
Includes Typical Broker Commissions trade costs of $8.00
6/12/17 18:00 @ESU7 E-MINI S&P 500 LONG 1 2426.75 6/19 15:44 2449.25 0.79%
Trade id #112022252
Max drawdown($525)
Time6/15/17 10:27
Quant open1
Worst price2416.25
Drawdown as % of equity-0.79%
$1,117
Includes Typical Broker Commissions trade costs of $8.00
5/17/17 18:00 @ESM7 E-MINI S&P 500 LONG 1 2355.77 5/19 15:49 2378.80 0.85%
Trade id #111653875
Max drawdown($563)
Time5/18/17 5:58
Quant open1
Worst price2344.50
Drawdown as % of equity-0.85%
$1,144
Includes Typical Broker Commissions trade costs of $8.00
4/12/17 16:03 @ESM7 E-MINI S&P 500 LONG 1 2343.75 4/20 16:30 2351.75 1.62%
Trade id #110951269
Max drawdown($1,050)
Time4/16/17 18:01
Quant open1
Worst price2322.75
Drawdown as % of equity-1.62%
$392
Includes Typical Broker Commissions trade costs of $8.00
3/20/17 18:47 @ESM7 E-MINI S&P 500 LONG 1 2370.51 4/7 15:44 2353.00 4.11%
Trade id #110339998
Max drawdown($2,637)
Time3/27/17 2:43
Quant open1
Worst price2317.75
Drawdown as % of equity-4.11%
($883)
Includes Typical Broker Commissions trade costs of $8.00
3/10/17 10:42 @ESM7 E-MINI S&P 500 LONG 1 2366.43 3/17 16:05 2375.82 0.89%
Trade id #110174481
Max drawdown($584)
Time3/14/17 10:46
Quant open1
Worst price2354.75
Drawdown as % of equity-0.89%
$461
Includes Typical Broker Commissions trade costs of $8.00
12/2/16 16:54 @ESZ6 E-MINI S&P 500 LONG 1 2191.50 12/6 18:00 2211.00 0.97%
Trade id #107704140
Max drawdown($625)
Time12/4/16 18:28
Quant open1
Worst price2179.00
Drawdown as % of equity-0.97%
$967
Includes Typical Broker Commissions trade costs of $8.00
10/31/16 16:30 @ESZ6 E-MINI S&P 500 LONG 1 2123.25 11/7 16:30 2129.01 3.55%
Trade id #106806755
Max drawdown($2,225)
Time11/4/16 16:31
Quant open1
Worst price2078.75
Drawdown as % of equity-3.55%
$280
Includes Typical Broker Commissions trade costs of $8.00
10/17/16 16:09 @ESZ6 E-MINI S&P 500 LONG 1 2123.50 10/19 16:42 2138.75 0.25%
Trade id #106495230
Max drawdown($162)
Time10/17/16 18:24
Quant open1
Worst price2120.25
Drawdown as % of equity-0.25%
$755
Includes Typical Broker Commissions trade costs of $8.00
9/26/16 16:06 @ESZ6 E-MINI S&P 500 LONG 1 2140.38 9/26 16:30 2139.42 0.08%
Trade id #106080429
Max drawdown($48)
Time9/26/16 16:30
Quant open0
Worst price2139.42
Drawdown as % of equity-0.08%
($56)
Includes Typical Broker Commissions trade costs of $8.00
9/9/16 15:52 @ESZ6 E-MINI S&P 500 LONG 1 2126.04 9/12 15:38 2151.79 2.1%
Trade id #105745806
Max drawdown($1,289)
Time9/11/16 22:20
Quant open1
Worst price2100.25
Drawdown as % of equity-2.10%
$1,279
Includes Typical Broker Commissions trade costs of $8.00
8/28/16 18:01 @ESU6 E-MINI S&P 500 LONG 1 2165.75 9/2 15:59 2178.50 0.89%
Trade id #105479075
Max drawdown($550)
Time9/1/16 11:03
Quant open1
Worst price2154.75
Drawdown as % of equity-0.89%
$630
Includes Typical Broker Commissions trade costs of $8.00
7/12/16 9:47 @ESU6 E-MINI S&P 500 SHORT 1 2144.15 7/15 16:06 2154.20 1.93%
Trade id #104592944
Max drawdown($1,192)
Time7/14/16 6:00
Quant open-1
Worst price2168.00
Drawdown as % of equity-1.93%
($511)
Includes Typical Broker Commissions trade costs of $8.00
6/13/16 12:22 @ESU6 E-MINI S&P 500 LONG 1 2079.11 6/20 9:42 2088.68 3.11%
Trade id #103428950
Max drawdown($1,917)
Time6/16/16 10:39
Quant open1
Worst price2040.75
Drawdown as % of equity-3.11%
$471
Includes Typical Broker Commissions trade costs of $8.00
4/29/16 10:24 @ESM6 E-MINI S&P 500 LONG 1 2060.10 5/10 17:09 2077.00 2.43%
Trade id #102100638
Max drawdown($1,480)
Time5/6/16 8:47
Quant open1
Worst price2030.50
Drawdown as % of equity-2.43%
$837
Includes Typical Broker Commissions trade costs of $8.00
3/9/16 13:14 @ESM6 E-MINI S&P 500 LONG 1 1975.64 3/11 15:50 2011.75 1.46%
Trade id #101124321
Max drawdown($881)
Time3/10/16 13:14
Quant open1
Worst price1958.00
Drawdown as % of equity-1.46%
$1,798
Includes Typical Broker Commissions trade costs of $8.00
2/5/16 14:36 @ESH6 E-MINI S&P 500 LONG 1 1872.56 2/15 5:13 1882.89 6.15%
Trade id #100382156
Max drawdown($3,502)
Time2/11/16 7:02
Quant open1
Worst price1802.50
Drawdown as % of equity-6.15%
$508
Includes Typical Broker Commissions trade costs of $8.00
1/17/16 18:00 @ESH6 E-MINI S&P 500 LONG 1 1870.47 1/20 12:23 1809.62 5.16%
Trade id #100028354
Max drawdown($3,042)
Time1/20/16 12:23
Quant open0
Worst price1809.62
Drawdown as % of equity-5.16%
($3,050)
Includes Typical Broker Commissions trade costs of $8.00
1/8/16 10:30 @ESH6 E-MINI S&P 500 LONG 1 1943.34 1/15 8:51 1864.74 6.34%
Trade id #99108971
Max drawdown($3,930)
Time1/15/16 8:51
Quant open0
Worst price1864.74
Drawdown as % of equity-6.34%
($3,938)
Includes Typical Broker Commissions trade costs of $8.00
12/10/15 6:48 @ESH6 E-MINI S&P 500 LONG 1 2041.32 12/16 16:59 2059.75 4.57%
Trade id #98722836
Max drawdown($2,903)
Time12/14/15 11:39
Quant open1
Worst price1983.25
Drawdown as % of equity-4.57%
$913
Includes Typical Broker Commissions trade costs of $8.00
11/11/15 16:11 @ESZ5 E-MINI S&P 500 LONG 1 2069.00 11/18 14:57 2071.50 5.69%
Trade id #98330545
Max drawdown($3,525)
Time11/15/15 18:02
Quant open1
Worst price1998.50
Drawdown as % of equity-5.69%
$117
Includes Typical Broker Commissions trade costs of $8.00
10/5/15 16:02 @ESZ5 E-MINI S&P 500 SHORT 1 1977.44 10/13 17:13 1993.00 2.88%
Trade id #97617677
Max drawdown($1,865)
Time10/13/15 11:14
Quant open-1
Worst price2014.75
Drawdown as % of equity-2.88%
($786)
Includes Typical Broker Commissions trade costs of $8.00
8/20/15 18:00 @ESU5 E-MINI S&P 500 LONG 1 2026.52 8/21 15:15 1975.00 3.93%
Trade id #96758377
Max drawdown($2,576)
Time8/21/15 15:15
Quant open0
Worst price1975.00
Drawdown as % of equity-3.93%
($2,584)
Includes Typical Broker Commissions trade costs of $8.00
8/11/15 15:57 @ESU5 E-MINI S&P 500 LONG 1 2079.77 8/17 15:57 2098.00 2.46%
Trade id #96573150
Max drawdown($1,663)
Time8/12/15 10:25
Quant open1
Worst price2046.50
Drawdown as % of equity-2.46%
$903
Includes Typical Broker Commissions trade costs of $8.00
7/24/15 15:54 @ESU5 E-MINI S&P 500 LONG 1 2074.58 7/29 15:51 2102.25 1.38%
Trade id #96065047
Max drawdown($904)
Time7/27/15 9:44
Quant open1
Worst price2056.50
Drawdown as % of equity-1.38%
$1,375
Includes Typical Broker Commissions trade costs of $8.00
7/8/15 18:18 @ESU5 E-MINI S&P 500 LONG 1 2040.65 7/10 15:56 2071.53 0.18%
Trade id #95778152
Max drawdown($119)
Time7/9/15 16:32
Quant open1
Worst price2038.25
Drawdown as % of equity-0.18%
$1,536
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    12/29/2009
  • Starting Unit Size
    $15,000
  • Strategy Age (days)
    2909.02
  • Age
    97 months ago
  • What it trades
    Futures
  • # Trades
    99
  • # Profitable
    79
  • % Profitable
    79.80%
  • Avg trade duration
    4.8 days
  • Max peak-to-valley drawdown
    29.99%
  • drawdown period
    May 05, 2010 - May 24, 2010
  • Annual Return (Compounded)
    24.0%
  • Avg win
    $1,105
  • Avg loss
    $1,287
  • Model Account Values (Raw)
  • Cash
    $71,597
  • Margin Used
    $0
  • Buying Power
    $71,597
  • Ratios
  • W:L ratio
    3.39:1
  • Sharpe Ratio
    0.87
  • Sortino Ratio
    1.539
  • Calmar Ratio
    1.052
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.33300
  • Return Statistics
  • Ann Return (w trading costs)
    24.0%
  • Ann Return (Compnd, No Fees)
    28.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    37.00%
  • Chance of 20% account loss
    19.50%
  • Chance of 30% account loss
    5.50%
  • Chance of 40% account loss
    1.50%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    659
  • Popularity (Last 6 weeks)
    947
  • C2 Score
    97.5
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,288
  • Avg Win
    $1,106
  • # Winners
    79
  • # Losers
    20
  • % Winners
    79.8%
  • Frequency
  • Avg Position Time (mins)
    6902.98
  • Avg Position Time (hrs)
    115.05
  • Avg Trade Length
    4.8 days
  • Last Trade Ago
    8
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24172
  • SD
    0.18169
  • Sharpe ratio (Glass type estimate)
    1.33037
  • Sharpe ratio (Hedges UMVUE)
    1.31949
  • df
    92.00000
  • t
    3.70359
  • p
    0.00018
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59728
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05675
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59010
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04889
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.53379
  • Upside Potential Ratio
    4.64474
  • Upside part of mean
    0.31771
  • Downside part of mean
    -0.07599
  • Upside SD
    0.18124
  • Downside SD
    0.06840
  • N nonnegative terms
    53.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    93.00000
  • Mean of predictor
    0.08813
  • Mean of criterion
    0.24172
  • SD of predictor
    0.13119
  • SD of criterion
    0.18169
  • Covariance
    -0.00056
  • r
    -0.02342
  • b (slope, estimate of beta)
    -0.03243
  • a (intercept, estimate of alpha)
    0.24458
  • Mean Square Error
    0.03336
  • DF error
    91.00000
  • t(b)
    -0.22345
  • p(b)
    0.58816
  • t(a)
    3.65909
  • p(a)
    0.00021
  • Lowerbound of 95% confidence interval for beta
    -0.32073
  • Upperbound of 95% confidence interval for beta
    0.25587
  • Lowerbound of 95% confidence interval for alpha
    0.11181
  • Upperbound of 95% confidence interval for alpha
    0.37735
  • Treynor index (mean / b)
    -7.45318
  • Jensen alpha (a)
    0.24458
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22381
  • SD
    0.17213
  • Sharpe ratio (Glass type estimate)
    1.30027
  • Sharpe ratio (Hedges UMVUE)
    1.28964
  • df
    92.00000
  • t
    3.61980
  • p
    0.00024
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56836
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02560
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56136
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01792
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.13192
  • Upside Potential Ratio
    4.22747
  • Upside part of mean
    0.30210
  • Downside part of mean
    -0.07829
  • Upside SD
    0.16845
  • Downside SD
    0.07146
  • N nonnegative terms
    53.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    93.00000
  • Mean of predictor
    0.07898
  • Mean of criterion
    0.22381
  • SD of predictor
    0.13311
  • SD of criterion
    0.17213
  • Covariance
    -0.00004
  • r
    -0.00180
  • b (slope, estimate of beta)
    -0.00233
  • a (intercept, estimate of alpha)
    0.22400
  • Mean Square Error
    0.02995
  • DF error
    91.00000
  • t(b)
    -0.01721
  • p(b)
    0.50685
  • t(a)
    3.55077
  • p(a)
    0.00031
  • Lowerbound of 95% confidence interval for beta
    -0.27161
  • Upperbound of 95% confidence interval for beta
    0.26694
  • Lowerbound of 95% confidence interval for alpha
    0.09869
  • Upperbound of 95% confidence interval for alpha
    0.34931
  • Treynor index (mean / b)
    -95.90730
  • Jensen alpha (a)
    0.22400
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06113
  • Expected Shortfall on VaR
    0.08027
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01270
  • Expected Shortfall on VaR
    0.02911
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    93.00000
  • Minimum
    0.89327
  • Quartile 1
    1.00000
  • Median
    1.01009
  • Quartile 3
    1.03714
  • Maximum
    1.27015
  • Mean of quarter 1
    0.97921
  • Mean of quarter 2
    1.00210
  • Mean of quarter 3
    1.02065
  • Mean of quarter 4
    1.08981
  • Inter Quartile Range
    0.03714
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03226
  • Mean of outliers low
    0.90716
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.09677
  • Mean of outliers high
    1.14494
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -23.14370
  • VaR(95%) (moments method)
    0.00008
  • Expected Shortfall (moments method)
    0.00008
  • Extreme Value Index (regression method)
    -0.41545
  • VaR(95%) (regression method)
    0.02978
  • Expected Shortfall (regression method)
    0.04389
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00450
  • Quartile 1
    0.02290
  • Median
    0.06027
  • Quartile 3
    0.08885
  • Maximum
    0.10882
  • Mean of quarter 1
    0.00803
  • Mean of quarter 2
    0.03328
  • Mean of quarter 3
    0.08178
  • Mean of quarter 4
    0.10778
  • Inter Quartile Range
    0.06595
  • 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)
    0.77865
  • Compounded annual return (geometric extrapolation)
    0.28624
  • Calmar ratio (compounded annual return / max draw down)
    2.63044
  • Compounded annual return / average of 25% largest draw downs
    2.65586
  • Compounded annual return / Expected Shortfall lognormal
    3.56595
  • 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
    0.26936
  • SD
    0.30951
  • Sharpe ratio (Glass type estimate)
    0.87027
  • Sharpe ratio (Hedges UMVUE)
    0.86996
  • df
    2043.00000
  • t
    2.43078
  • p
    0.00758
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16796
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57240
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16774
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57217
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.53924
  • Upside Potential Ratio
    4.57140
  • Upside part of mean
    0.79997
  • Downside part of mean
    -0.53061
  • Upside SD
    0.25574
  • Downside SD
    0.17499
  • N nonnegative terms
    277.00000
  • N negative terms
    1767.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2044.00000
  • Mean of predictor
    0.09259
  • Mean of criterion
    0.26936
  • SD of predictor
    0.14602
  • SD of criterion
    0.30951
  • Covariance
    0.01615
  • r
    0.35733
  • b (slope, estimate of beta)
    0.75743
  • a (intercept, estimate of alpha)
    0.19900
  • Mean Square Error
    0.08360
  • DF error
    2042.00000
  • t(b)
    17.28880
  • p(b)
    0.00000
  • t(a)
    1.92305
  • p(a)
    0.02731
  • Lowerbound of 95% confidence interval for beta
    0.67151
  • Upperbound of 95% confidence interval for beta
    0.84335
  • Lowerbound of 95% confidence interval for alpha
    -0.00394
  • Upperbound of 95% confidence interval for alpha
    0.40240
  • Treynor index (mean / b)
    0.35562
  • Jensen alpha (a)
    0.19923
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22330
  • SD
    0.30056
  • Sharpe ratio (Glass type estimate)
    0.74296
  • Sharpe ratio (Hedges UMVUE)
    0.74269
  • df
    2043.00000
  • t
    2.07519
  • p
    0.01905
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04082
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44498
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04061
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44477
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20633
  • Upside Potential Ratio
    4.16160
  • Upside part of mean
    0.77035
  • Downside part of mean
    -0.54705
  • Upside SD
    0.23710
  • Downside SD
    0.18511
  • N nonnegative terms
    277.00000
  • N negative terms
    1767.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2044.00000
  • Mean of predictor
    0.08189
  • Mean of criterion
    0.22330
  • SD of predictor
    0.14624
  • SD of criterion
    0.30056
  • Covariance
    0.01566
  • r
    0.35619
  • b (slope, estimate of beta)
    0.73205
  • a (intercept, estimate of alpha)
    0.16336
  • Mean Square Error
    0.07891
  • DF error
    2042.00000
  • t(b)
    17.22530
  • p(b)
    0.00000
  • t(a)
    1.62328
  • p(a)
    0.05234
  • Lowerbound of 95% confidence interval for beta
    0.64870
  • Upperbound of 95% confidence interval for beta
    0.81539
  • Lowerbound of 95% confidence interval for alpha
    -0.03400
  • Upperbound of 95% confidence interval for alpha
    0.36071
  • Treynor index (mean / b)
    0.30504
  • Jensen alpha (a)
    0.16336
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02925
  • Expected Shortfall on VaR
    0.03673
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00642
  • Expected Shortfall on VaR
    0.01442
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2044.00000
  • Minimum
    0.80271
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.34352
  • Mean of quarter 1
    0.99227
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01227
  • Inter Quartile Range
    0.00000
  • Number outliers low
    237.00000
  • Percentage of outliers low
    0.11595
  • Mean of outliers low
    0.98333
  • Number of outliers high
    314.00000
  • Percentage of outliers high
    0.15362
  • Mean of outliers high
    1.01997
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.83320
  • VaR(95%) (moments method)
    0.00276
  • Expected Shortfall (moments method)
    0.02603
  • Extreme Value Index (regression method)
    0.27284
  • VaR(95%) (regression method)
    0.00639
  • Expected Shortfall (regression method)
    0.02028
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    69.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00002
  • Median
    0.01005
  • Quartile 3
    0.05212
  • Maximum
    0.27154
  • Mean of quarter 1
    0.00001
  • Mean of quarter 2
    0.00428
  • Mean of quarter 3
    0.02322
  • Mean of quarter 4
    0.11863
  • Inter Quartile Range
    0.05210
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    0.18416
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.10085
  • VaR(95%) (moments method)
    0.11285
  • Expected Shortfall (moments method)
    0.14474
  • Extreme Value Index (regression method)
    0.17850
  • VaR(95%) (regression method)
    0.09878
  • Expected Shortfall (regression method)
    0.13877
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78165
  • Compounded annual return (geometric extrapolation)
    0.28558
  • Calmar ratio (compounded annual return / max draw down)
    1.05169
  • Compounded annual return / average of 25% largest draw downs
    2.40735
  • Compounded annual return / Expected Shortfall lognormal
    7.77433
  • 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
    0.10167
  • SD
    0.03018
  • Sharpe ratio (Glass type estimate)
    3.36857
  • Sharpe ratio (Hedges UMVUE)
    3.34910
  • df
    130.00000
  • t
    2.38194
  • p
    0.39775
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56046
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.16412
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54756
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.15064
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.57391
  • Upside Potential Ratio
    13.09590
  • Upside part of mean
    0.15529
  • Downside part of mean
    -0.05362
  • Upside SD
    0.02833
  • Downside SD
    0.01186
  • N nonnegative terms
    24.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16514
  • Mean of criterion
    0.10167
  • SD of predictor
    0.06774
  • SD of criterion
    0.03018
  • Covariance
    0.00043
  • r
    0.21144
  • b (slope, estimate of beta)
    0.09421
  • a (intercept, estimate of alpha)
    0.08611
  • Mean Square Error
    0.00088
  • DF error
    129.00000
  • t(b)
    2.45700
  • p(b)
    0.36640
  • t(a)
    2.03305
  • p(a)
    0.38841
  • Lowerbound of 95% confidence interval for beta
    0.01835
  • Upperbound of 95% confidence interval for beta
    0.17008
  • Lowerbound of 95% confidence interval for alpha
    0.00231
  • Upperbound of 95% confidence interval for alpha
    0.16991
  • Treynor index (mean / b)
    1.07916
  • Jensen alpha (a)
    0.08611
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10119
  • SD
    0.03011
  • Sharpe ratio (Glass type estimate)
    3.36034
  • Sharpe ratio (Hedges UMVUE)
    3.34092
  • df
    130.00000
  • t
    2.37612
  • p
    0.39799
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.55238
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.15574
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53952
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.14231
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.51202
  • Upside Potential Ratio
    13.02810
  • Upside part of mean
    0.15488
  • Downside part of mean
    -0.05369
  • Upside SD
    0.02824
  • Downside SD
    0.01189
  • N nonnegative terms
    24.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16279
  • Mean of criterion
    0.10119
  • SD of predictor
    0.06776
  • SD of criterion
    0.03011
  • Covariance
    0.00043
  • r
    0.21095
  • b (slope, estimate of beta)
    0.09374
  • a (intercept, estimate of alpha)
    0.08593
  • Mean Square Error
    0.00087
  • DF error
    129.00000
  • t(b)
    2.45109
  • p(b)
    0.36671
  • t(a)
    2.03382
  • p(a)
    0.38837
  • Lowerbound of 95% confidence interval for beta
    0.01807
  • Upperbound of 95% confidence interval for beta
    0.16941
  • Lowerbound of 95% confidence interval for alpha
    0.00234
  • Upperbound of 95% confidence interval for alpha
    0.16952
  • Treynor index (mean / b)
    1.07942
  • Jensen alpha (a)
    0.08593
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00267
  • Expected Shortfall on VaR
    0.00345
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00063
  • Expected Shortfall on VaR
    0.00136
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99419
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00002
  • Maximum
    1.00831
  • Mean of quarter 1
    0.99952
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00243
  • Inter Quartile Range
    0.00002
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.99744
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.18321
  • Mean of outliers high
    1.00334
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -11.65360
  • VaR(95%) (moments method)
    -0.00017
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.29586
  • VaR(95%) (regression method)
    0.00005
  • Expected Shortfall (regression method)
    0.00073
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00002
  • Median
    0.00002
  • Quartile 3
    0.00002
  • Maximum
    0.00695
  • Mean of quarter 1
    0.00001
  • Mean of quarter 2
    0.00002
  • Mean of quarter 3
    0.00002
  • Mean of quarter 4
    0.00257
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.00001
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.22727
  • Mean of outliers high
    0.00308
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -17.43800
  • VaR(95%) (moments method)
    0.00012
  • Expected Shortfall (moments method)
    0.00012
  • Extreme Value Index (regression method)
    -0.53841
  • VaR(95%) (regression method)
    0.00549
  • Expected Shortfall (regression method)
    0.00707
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13335
  • Compounded annual return (geometric extrapolation)
    0.13780
  • Calmar ratio (compounded annual return / max draw down)
    19.81950
  • Compounded annual return / average of 25% largest draw downs
    53.64230
  • Compounded annual return / Expected Shortfall lognormal
    39.99970

Strategy Description

The system has created significant equity over the years but still trades only up to 2 contracts. This makes the annual return lower than would be if more equity was being used i.e. trading up to 4 contracts. For more accurate approximate annual returns look at the actual $ profits for each year and apply to the system starting capital of $10k.

The system trades up to a maximum of 2 S&P e-mini futures (Normally 1 at a time). READ THE REVIEWS: CLICK ABOVE,RIGHT.

The 15 year track record, recorded in S&P500 points is available on request.

A stop loss is always given with every trade. Trades may be opened / closed intra-day in exceptional circumstances.

The many small % losing months on the monthly performance table are not actual losses. collective2.com factors in the monthly system subscription fee to overall performance.

Systems on collective2.com

THE ROLLING STONES collective2.com/system75421760
U 2 SP500 collective2.com/details/98753698


Summary Statistics

Strategy began
2009-12-29
Minimum Capital Required
$15,000
# Trades
99
# Profitable
79
% Profitable
79.8%
Correlation S&P500
0.333
Sharpe Ratio
0.870

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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