Collective2 Collective2
Featured Strategy MT3 Algotrading +78.7% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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BOB DYLAN SP500
(46106678)

Created by: MarketSignals MarketSignals
Started: 12/2009
Futures
Last trade: 2,217 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 $99.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

9.4%
Annual Return (Compounded)

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 marked-to-market equity calculations.

All results are hypothetical.

(33.9%)
Max Drawdown
113
Num Trades
77.0%
Win Trades
1.9 : 1
Profit Factor
30.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010+5.8%+17.1%(6.3%)+5.6%(19.4%)  -  +37.7%+0.9%+20.1%+5.3%(4.2%)+6.0%+76.0%
2011(0.7%)+5.0%(8.3%)+9.4%+5.6%+4.1%(0.6%)(0.7%)(1.7%)+14.8%+34.3%+4.3%+79.5%
2012(0.4%)(0.4%)(0.4%)+7.2%(11.2%)+2.6%+3.4%(0.4%)(0.6%)+5.2%+4.7%+2.3%+11.2%
2013(0.4%)(1.8%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)+3.3%(0.4%)+5.0%(0.4%)+3.2%+6.6%
2014+3.8%(0.3%)+4.8%+3.9%(0.3%)(0.3%)(5.3%)+4.4%+3.7%+7.7%(0.3%)+4.2%+28.2%
2015+6.7%+2.3%+0.9%(0.2%)(0.1%)+2.3%+5.1%(3.2%)(0.2%)(1.7%)  -  +1.4%+13.6%
2016(13%)+0.8%+3.4%(0.3%)+1.4%+0.7%(1.3%)+0.5%+2.6%+1.7%(0.2%)+1.6%(3.1%)
2017(0.3%)(0.2%)(0.6%)  -  +1.9%+1.8%+1.4%+0.2%+1.4%+0.9%(0.2%)+0.7%+7.2%
2018(1.8%)(2.8%)(2.4%)(12.1%)  -    -  +5.2%+2.5%+5.1%(27.8%)  -    -  (33%)
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -        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.

Trading Record

This strategy has placed 175 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2408 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/24/18 10:06 @ESZ8 E-MINI S&P 500 LONG 1 2730.75 10/26 10:07 2640.00 8.36%
Trade id #120509984
Max drawdown($4,538)
Time10/26/18 10:07
Quant open0
Worst price2640.00
Drawdown as % of equity-8.36%
 ($4,546)
Includes Typical Broker Commissions trade costs of $8.00
10/4/18 20:03 @ESZ8 E-MINI S&P 500 LONG 2 2881.50 10/10 21:53 2780.00 17.41%
Trade id #120193084
Max drawdown($10,150)
Time10/10/18 21:53
Quant open1
Worst price2760.00
Drawdown as % of equity-17.41%
 ($10,166)
Includes Typical Broker Commissions trade costs of $16.00
9/24/18 16:14 @ESZ8 E-MINI S&P 500 LONG 1 2925.50 10/1 2:22 2933.75 1.34%
Trade id #120012018
Max drawdown($900)
Time9/26/18 15:49
Quant open1
Worst price2907.50
Drawdown as % of equity-1.34%
 $405
Includes Typical Broker Commissions trade costs of $8.00
9/17/18 18:00 @ESZ8 E-MINI S&P 500 LONG 1 2895.50 9/18 12:03 2915.75 0.91%
Trade id #119898485
Max drawdown($600)
Time9/17/18 19:00
Quant open1
Worst price2883.50
Drawdown as % of equity-0.91%
 $1,005
Includes Typical Broker Commissions trade costs of $8.00
9/6/18 12:02 @ESU8 E-MINI S&P 500 LONG 1 2875.75 9/13 9:04 2898.00 0.83%
Trade id #119748300
Max drawdown($537)
Time9/7/18 9:33
Quant open1
Worst price2865.00
Drawdown as % of equity-0.83%
 $1,105
Includes Typical Broker Commissions trade costs of $8.00
8/13/18 18:00 @ESU8 E-MINI S&P 500 LONG 1 2827.00 8/14 15:55 2840.25 0.04%
Trade id #119420015
Max drawdown($25)
Time8/13/18 18:02
Quant open1
Worst price2826.50
Drawdown as % of equity-0.04%
 $655
Includes Typical Broker Commissions trade costs of $8.00
7/30/18 18:14 @ESU8 E-MINI S&P 500 LONG 1 2806.00 8/2 16:07 2827.50 1.19%
Trade id #119194227
Max drawdown($750)
Time8/2/18 6:53
Quant open1
Worst price2791.00
Drawdown as % of equity-1.19%
 $1,067
Includes Typical Broker Commissions trade costs of $8.00
7/23/18 16:04 @ESU8 E-MINI S&P 500 LONG 1 2809.00 7/25 15:24 2832.50 0%
Trade id #119078924
Max drawdown$0
Time7/23/18 16:06
Quant open1
Worst price2809.00
Drawdown as % of equity0.00%
 $1,167
Includes Typical Broker Commissions trade costs of $8.00
6/25/18 15:50 @ESU8 E-MINI S&P 500 LONG 1 2720.50 7/5 18:00 2736.50 2.26%
Trade id #118639205
Max drawdown($1,362)
Time6/28/18 8:37
Quant open1
Worst price2693.25
Drawdown as % of equity-2.26%
 $792
Includes Typical Broker Commissions trade costs of $8.00
4/17/18 16:02 @ESM8 E-MINI S&P 500 LONG 1 2706.50 4/18 16:30 2709.25 0.22%
Trade id #117550154
Max drawdown($137)
Time4/17/18 18:03
Quant open1
Worst price2703.75
Drawdown as % of equity-0.22%
 $130
Includes Typical Broker Commissions trade costs of $8.00
4/3/18 16:30 @ESM8 E-MINI S&P 500 LONG 1 2613.25 4/4 6:19 2561.00 4.21%
Trade id #117356178
Max drawdown($2,613)
Time4/4/18 6:19
Quant open0
Worst price2561.00
Drawdown as % of equity-4.21%
 ($2,621)
Includes Typical Broker Commissions trade costs of $8.00
3/28/18 18:00 @ESM8 E-MINI S&P 500 LONG 1 2610.36 4/2 14:00 2558.10 4.03%
Trade id #117288490
Max drawdown($2,613)
Time4/2/18 14:00
Quant open0
Worst price2558.10
Drawdown as % of equity-4.03%
 ($2,621)
Includes Typical Broker Commissions trade costs of $8.00
3/20/18 6:27 @ESM8 E-MINI S&P 500 LONG 1 2720.37 3/22 11:28 2670.00 3.76%
Trade id #117131864
Max drawdown($2,518)
Time3/22/18 11:28
Quant open0
Worst price2670.00
Drawdown as % of equity-3.76%
 ($2,526)
Includes Typical Broker Commissions trade costs of $8.00
1/29/18 16:11 @ESH8 E-MINI S&P 500 LONG 1 2854.00 2/2 4:44 2804.91 3.55%
Trade id #116160120
Max drawdown($2,455)
Time2/2/18 4:44
Quant open0
Worst price2804.91
Drawdown as % of equity-3.55%
 ($2,463)
Includes Typical Broker Commissions trade costs of $8.00
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
Next

Statistics

  • Strategy began
    12/29/2009
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    5439.88
  • Age
    181 months ago
  • What it trades
    Futures
  • # Trades
    113
  • # Profitable
    87
  • % Profitable
    77.00%
  • Avg trade duration
    4.6 days
  • Max peak-to-valley drawdown
    33.94%
  • drawdown period
    Aug 17, 2015 - Oct 26, 2018
  • Annual Return (Compounded)
    9.4%
  • Avg win
    $1,077
  • Avg loss
    $1,947
  • Model Account Values (Raw)
  • Cash
    $53,098
  • Margin Used
    $0
  • Buying Power
    $53,098
  • Ratios
  • W:L ratio
    1.85:1
  • Sharpe Ratio
    0.34
  • Sortino Ratio
    0.57
  • Calmar Ratio
    0.623
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -139.96%
  • Correlation to SP500
    0.22740
  • Return Percent SP500 (cumu) during strategy life
    422.38%
  • Return Statistics
  • Ann Return (w trading costs)
    9.4%
  • Slump
  • Current Slump as Pcnt Equity
    51.40%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.62%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.094%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    47.00%
  • Chance of 20% account loss
    20.50%
  • Chance of 30% account loss
    9.50%
  • Chance of 40% account loss
    2.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,948
  • Avg Win
    $1,078
  • Sum Trade PL (losers)
    $50,639.000
  • Age
  • Num Months filled monthly returns table
    179
  • Win / Loss
  • Sum Trade PL (winners)
    $93,747.000
  • # Winners
    87
  • Num Months Winners
    59
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    26
  • % Winners
    77.0%
  • Frequency
  • Avg Position Time (mins)
    6687.17
  • Avg Position Time (hrs)
    111.45
  • Avg Trade Length
    4.6 days
  • Last Trade Ago
    2219
  • Regression
  • Alpha
    0.02
  • Beta
    0.34
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    47.60
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    12.00
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.34
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    -8.038
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.23
  • Avg(MAE) / Avg(PL) - Winning trades
    1.227
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.097
  • Hold-and-Hope Ratio
    -0.124
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17305
  • SD
    0.17707
  • Sharpe ratio (Glass type estimate)
    0.97731
  • Sharpe ratio (Hedges UMVUE)
    0.97148
  • df
    126.00000
  • t
    3.17938
  • p
    0.36374
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36105
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58987
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35718
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58577
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91699
  • Upside Potential Ratio
    2.81711
  • Upside part of mean
    0.25431
  • Downside part of mean
    -0.08126
  • Upside SD
    0.15954
  • Downside SD
    0.09027
  • N nonnegative terms
    103.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    127.00000
  • Mean of predictor
    0.16464
  • Mean of criterion
    0.17305
  • SD of predictor
    0.17124
  • SD of criterion
    0.17707
  • Covariance
    0.00116
  • r
    0.03820
  • b (slope, estimate of beta)
    0.03951
  • a (intercept, estimate of alpha)
    0.16655
  • Mean Square Error
    0.03156
  • DF error
    125.00000
  • t(b)
    0.42745
  • p(b)
    0.47568
  • t(a)
    2.93801
  • p(a)
    0.33996
  • Lowerbound of 95% confidence interval for beta
    -0.14341
  • Upperbound of 95% confidence interval for beta
    0.22242
  • Lowerbound of 95% confidence interval for alpha
    0.05436
  • Upperbound of 95% confidence interval for alpha
    0.27874
  • Treynor index (mean / b)
    4.38044
  • Jensen alpha (a)
    0.16655
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15693
  • SD
    0.17284
  • Sharpe ratio (Glass type estimate)
    0.90796
  • Sharpe ratio (Hedges UMVUE)
    0.90254
  • df
    126.00000
  • t
    2.95378
  • p
    0.37276
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29344
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51901
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28985
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51523
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60374
  • Upside Potential Ratio
    2.48045
  • Upside part of mean
    0.24272
  • Downside part of mean
    -0.08579
  • Upside SD
    0.14872
  • Downside SD
    0.09786
  • N nonnegative terms
    103.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    127.00000
  • Mean of predictor
    0.14940
  • Mean of criterion
    0.15693
  • SD of predictor
    0.16879
  • SD of criterion
    0.17284
  • Covariance
    0.00195
  • r
    0.06699
  • b (slope, estimate of beta)
    0.06860
  • a (intercept, estimate of alpha)
    0.14669
  • Mean Square Error
    0.02998
  • DF error
    125.00000
  • t(b)
    0.75068
  • p(b)
    0.45738
  • t(a)
    2.66966
  • p(a)
    0.35348
  • Lowerbound of 95% confidence interval for beta
    -0.11226
  • Upperbound of 95% confidence interval for beta
    0.24946
  • Lowerbound of 95% confidence interval for alpha
    0.03794
  • Upperbound of 95% confidence interval for alpha
    0.25543
  • Treynor index (mean / b)
    2.28766
  • Jensen alpha (a)
    0.14669
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06667
  • Expected Shortfall on VaR
    0.08577
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00668
  • Expected Shortfall on VaR
    0.01922
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    127.00000
  • Minimum
    0.79196
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.02740
  • Maximum
    1.27015
  • Mean of quarter 1
    0.97313
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.01109
  • Mean of quarter 4
    1.07337
  • Inter Quartile Range
    0.02740
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04724
  • Mean of outliers low
    0.89621
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.10236
  • Mean of outliers high
    1.12431
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -5.09259
  • VaR(95%) (moments method)
    0.00129
  • Expected Shortfall (moments method)
    0.00130
  • Extreme Value Index (regression method)
    0.17688
  • VaR(95%) (regression method)
    0.02685
  • Expected Shortfall (regression method)
    0.05825
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00450
  • Quartile 1
    0.02668
  • Median
    0.08067
  • Quartile 3
    0.10673
  • Maximum
    0.25840
  • Mean of quarter 1
    0.01425
  • Mean of quarter 2
    0.06027
  • Mean of quarter 3
    0.09481
  • Mean of quarter 4
    0.18361
  • Inter Quartile Range
    0.08005
  • 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
    0.11111
  • Mean of outliers high
    0.25840
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40607
  • VaR(95%) (moments method)
    0.20559
  • Expected Shortfall (moments method)
    0.35437
  • Extreme Value Index (regression method)
    5.16649
  • VaR(95%) (regression method)
    1.14648
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40290
  • Compounded annual return (geometric extrapolation)
    0.16992
  • Calmar ratio (compounded annual return / max draw down)
    0.65757
  • Compounded annual return / average of 25% largest draw downs
    0.92543
  • Compounded annual return / Expected Shortfall lognormal
    1.98113
  • 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
    0.19094
  • SD
    0.26856
  • Sharpe ratio (Glass type estimate)
    0.71097
  • Sharpe ratio (Hedges UMVUE)
    0.71078
  • df
    2784.00000
  • t
    2.31799
  • p
    0.01026
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.31237
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10933
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31222
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23314
  • Upside Potential Ratio
    3.91628
  • Upside part of mean
    0.60640
  • Downside part of mean
    -0.41546
  • Upside SD
    0.21969
  • Downside SD
    0.15484
  • N nonnegative terms
    2439.00000
  • N negative terms
    346.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2785.00000
  • Mean of predictor
    0.17218
  • Mean of criterion
    0.19094
  • SD of predictor
    0.18656
  • SD of criterion
    0.26856
  • Covariance
    0.01244
  • r
    0.24822
  • b (slope, estimate of beta)
    0.35734
  • a (intercept, estimate of alpha)
    0.12900
  • Mean Square Error
    0.06771
  • DF error
    2783.00000
  • t(b)
    13.51780
  • p(b)
    -0.00000
  • t(a)
    1.61889
  • p(a)
    0.05279
  • Lowerbound of 95% confidence interval for beta
    0.30551
  • Upperbound of 95% confidence interval for beta
    0.40917
  • Lowerbound of 95% confidence interval for alpha
    -0.02733
  • Upperbound of 95% confidence interval for alpha
    0.28616
  • Treynor index (mean / b)
    0.53434
  • Jensen alpha (a)
    0.12941
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15625
  • SD
    0.26113
  • Sharpe ratio (Glass type estimate)
    0.59836
  • Sharpe ratio (Hedges UMVUE)
    0.59820
  • df
    2784.00000
  • t
    1.95085
  • p
    0.02559
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00305
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19967
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00316
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19956
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95549
  • Upside Potential Ratio
    3.57493
  • Upside part of mean
    0.58460
  • Downside part of mean
    -0.42835
  • Upside SD
    0.20375
  • Downside SD
    0.16353
  • N nonnegative terms
    2439.00000
  • N negative terms
    346.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2785.00000
  • Mean of predictor
    0.15470
  • Mean of criterion
    0.15625
  • SD of predictor
    0.18691
  • SD of criterion
    0.26113
  • Covariance
    0.01211
  • r
    0.24808
  • b (slope, estimate of beta)
    0.34659
  • a (intercept, estimate of alpha)
    0.10263
  • Mean Square Error
    0.06401
  • DF error
    2783.00000
  • t(b)
    13.50960
  • p(b)
    -0.00000
  • t(a)
    1.32080
  • p(a)
    0.09334
  • Lowerbound of 95% confidence interval for beta
    0.29629
  • Upperbound of 95% confidence interval for beta
    0.39690
  • Lowerbound of 95% confidence interval for alpha
    -0.04973
  • Upperbound of 95% confidence interval for alpha
    0.25500
  • Treynor index (mean / b)
    0.45081
  • Jensen alpha (a)
    0.10263
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02561
  • Expected Shortfall on VaR
    0.03213
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00093
  • Expected Shortfall on VaR
    0.00340
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2785.00000
  • Minimum
    0.80271
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.34352
  • Mean of quarter 1
    0.99366
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00926
  • Inter Quartile Range
    0.00000
  • Number outliers low
    346.00000
  • Percentage of outliers low
    0.12424
  • Mean of outliers low
    0.98724
  • Number of outliers high
    419.00000
  • Percentage of outliers high
    0.15045
  • Mean of outliers high
    1.01538
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.85177
  • VaR(95%) (moments method)
    0.00218
  • Expected Shortfall (moments method)
    0.02495
  • Extreme Value Index (regression method)
    0.24695
  • VaR(95%) (regression method)
    0.00474
  • Expected Shortfall (regression method)
    0.01722
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    72.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00002
  • Median
    0.00916
  • Quartile 3
    0.05330
  • Maximum
    0.27154
  • Mean of quarter 1
    0.00001
  • Mean of quarter 2
    0.00349
  • Mean of quarter 3
    0.02249
  • Mean of quarter 4
    0.12640
  • Inter Quartile Range
    0.05328
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.09722
  • Mean of outliers high
    0.19477
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.01598
  • VaR(95%) (moments method)
    0.12067
  • Expected Shortfall (moments method)
    0.16064
  • Extreme Value Index (regression method)
    0.12771
  • VaR(95%) (regression method)
    0.10416
  • Expected Shortfall (regression method)
    0.14174
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40114
  • Compounded annual return (geometric extrapolation)
    0.16912
  • Calmar ratio (compounded annual return / max draw down)
    0.62280
  • Compounded annual return / average of 25% largest draw downs
    1.33798
  • Compounded annual return / Expected Shortfall lognormal
    5.26272
  • 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
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.49742
  • Mean of criterion
    0.00000
  • SD of predictor
    0.41121
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.41263
  • Mean of criterion
    0.00000
  • SD of predictor
    0.41322
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -372477000
  • Max Equity Drawdown (num days)
    1166
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

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
Suggested Minimum Capital
$40,000
# Trades
113
# Profitable
87
% Profitable
77.0%
Correlation S&P500
0.227
Sharpe Ratio
0.34
Sortino Ratio
0.57
Beta
0.34
Alpha
0.02

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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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.