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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 12/19/2019
Most recent certification approved 12/19/19 8:17 ET
Trades at broker Interactive Brokers (Server 10)
Scaling percentage used 100%
# trading signals issued by system since certification 109
# trading signals executed in manager's Interactive Brokers (Server 10) account 109
Percent signals followed since 12/19/2019 100%
This information was last updated 2/24/20 3:46 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 12/19/2019, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how AGM - Access to Global Markets calculates the hypothetical results you see on this web site.

Carma Managed Futures
(117442067)

Created by: CarmaAdvisory CarmaAdvisory
Started: 04/2018
Futures
Last trade: 3 days ago
Trading style: Futures Trend-following Momentum

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 $150.00 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.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
62.7%
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.

(20.4%)
Max Drawdown
939
Num Trades
37.5%
Win Trades
1.5 : 1
Profit Factor
73.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     (9.1%)+4.9%(5%)(1.2%)+11.5%+8.9%+0.7%+2.7%+9.0%+22.6%
2019+10.0%(0.2%)  -  +2.2%+2.3%+5.4%+3.3%+16.1%  -  +6.1%+2.2%+11.4%+75.1%
2020+6.2%+9.8%                                                            +16.6%

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 589 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/21/20 9:49 @ESH0 E-MINI S&P 500 SHORT 1 3337.50 2/21 11:26 3345.09 0.3%
Trade id #127636520
Max drawdown($525)
Time2/21/20 10:25
Quant open1
Worst price3348.00
Drawdown as % of equity-0.30%
($383)
Includes Typical Broker Commissions trade costs of $4.02
2/20/20 11:31 @ESH0 E-MINI S&P 500 SHORT 1 3354.69 2/20 11:36 3353.90 0.13%
Trade id #127620241
Max drawdown($227)
Time2/20/20 11:32
Quant open1
Worst price3359.25
Drawdown as % of equity-0.13%
$35
Includes Typical Broker Commissions trade costs of $4.02
2/20/20 8:40 @YMH0 MINI DOW SHORT 1 29245 2/20 9:52 29317 0.2%
Trade id #127615794
Max drawdown($353)
Time2/20/20 9:51
Quant open1
Worst price29316
Drawdown as % of equity-0.20%
($361)
Includes Typical Broker Commissions trade costs of $4.02
2/14/20 16:40 QGCJ0 Gold 100 oz LONG 1 1588.0 2/19 8:46 1606.9 0.36%
Trade id #127522847
Max drawdown($617)
Time2/18/20 0:00
Quant open1
Worst price1581.8
Drawdown as % of equity-0.36%
$1,889
Includes Typical Broker Commissions trade costs of $6.00
2/14/20 8:42 @USH0 US T-BOND LONG 1 162 21/32 2/14 15:37 162 9/32 0.2%
Trade id #127511747
Max drawdown($343)
Time2/14/20 15:34
Quant open1
Worst price162 10/32
Drawdown as % of equity-0.20%
($381)
Includes Typical Broker Commissions trade costs of $6.00
2/14/20 12:53 @YMH0 MINI DOW SHORT 1 29338 2/14 14:33 29337 0.03%
Trade id #127518112
Max drawdown($49)
Time2/14/20 13:07
Quant open1
Worst price29348
Drawdown as % of equity-0.03%
($1)
Includes Typical Broker Commissions trade costs of $4.02
2/10/20 9:34 @YMH0 MINI DOW LONG 1 29041 2/11 9:34 29293 0.04%
Trade id #127435986
Max drawdown($67)
Time2/10/20 9:36
Quant open1
Worst price29028
Drawdown as % of equity-0.04%
$1,254
Includes Typical Broker Commissions trade costs of $4.02
2/10/20 10:17 XGH0 DAX INDEX LONG 1 13492.67 2/10 10:55 13465.07 0.4%
Trade id #127437476
Max drawdown($700)
Time2/10/20 10:53
Quant open1
Worst price13467.00
Drawdown as % of equity-0.40%
($760)
Includes Typical Broker Commissions trade costs of $6.00
2/10/20 9:14 XGH0 DAX INDEX SHORT 1 13444.82 2/10 9:34 13471.77 0.36%
Trade id #127435406
Max drawdown($632)
Time2/10/20 9:34
Quant open1
Worst price13468.00
Drawdown as % of equity-0.36%
($743)
Includes Typical Broker Commissions trade costs of $6.00
2/5/20 23:16 BDH0 EUREX BUND SHORT 1 173.55 2/6 19:46 174.03 0.28%
Trade id #127386732
Max drawdown($477)
Time2/6/20 19:45
Quant open1
Worst price173.98
Drawdown as % of equity-0.28%
($534)
Includes Typical Broker Commissions trade costs of $6.00
2/3/20 20:21 @NQH0 E-MINI NASDAQ 100 STK IDX LONG 1 9141.55 2/5 9:39 9398.71 0.81%
Trade id #127344876
Max drawdown($1,371)
Time2/4/20 0:00
Quant open1
Worst price9073.00
Drawdown as % of equity-0.81%
$5,139
Includes Typical Broker Commissions trade costs of $4.02
1/15/20 2:08 BDH0 EUREX BUND LONG 1 171.27 2/4 4:05 174.49 0.11%
Trade id #127004100
Max drawdown($181)
Time1/15/20 2:23
Quant open1
Worst price171.11
Drawdown as % of equity-0.11%
$3,552
Includes Typical Broker Commissions trade costs of $6.00
2/3/20 11:41 @ESH0 E-MINI S&P 500 SHORT 1 3246.48 2/3 20:36 3256.59 0.28%
Trade id #127337166
Max drawdown($463)
Time2/3/20 20:24
Quant open1
Worst price3255.75
Drawdown as % of equity-0.28%
($509)
Includes Typical Broker Commissions trade costs of $4.02
2/3/20 10:05 XGH0 DAX INDEX SHORT 1 13054.41 2/3 10:28 13073.40 0.27%
Trade id #127335206
Max drawdown($458)
Time2/3/20 10:06
Quant open1
Worst price13071.00
Drawdown as % of equity-0.27%
($531)
Includes Typical Broker Commissions trade costs of $6.00
2/3/20 9:48 XGH0 DAX INDEX LONG 1 13044.26 2/3 10:05 13055.00 0.09%
Trade id #127334659
Max drawdown($159)
Time2/3/20 9:50
Quant open1
Worst price13038.50
Drawdown as % of equity-0.09%
$290
Includes Typical Broker Commissions trade costs of $6.00
1/31/20 10:13 @NQH0 E-MINI NASDAQ 100 STK IDX SHORT 1 9087.89 2/2 18:03 9025.43 0.18%
Trade id #127309647
Max drawdown($302)
Time1/31/20 10:27
Quant open1
Worst price9103.00
Drawdown as % of equity-0.18%
$1,245
Includes Typical Broker Commissions trade costs of $4.02
1/31/20 9:52 @ESH0 E-MINI S&P 500 SHORT 1 3259.97 1/31 11:46 3244.47 0.21%
Trade id #127309076
Max drawdown($351)
Time1/31/20 10:00
Quant open1
Worst price3267.00
Drawdown as % of equity-0.21%
$771
Includes Typical Broker Commissions trade costs of $4.02
1/8/20 8:15 @DXH0 US Dollar Index LONG 2 96.936 1/31 11:01 97.248 0.21%
Trade id #126910848
Max drawdown($332)
Time1/8/20 10:12
Quant open2
Worst price96.770
Drawdown as % of equity-0.21%
$612
Includes Typical Broker Commissions trade costs of $12.00
1/30/20 16:01 @NQH0 E-MINI NASDAQ 100 STK IDX LONG 1 9179.41 1/31 2:32 9208.32 0.31%
Trade id #127298894
Max drawdown($518)
Time1/30/20 16:02
Quant open1
Worst price9153.50
Drawdown as % of equity-0.31%
$574
Includes Typical Broker Commissions trade costs of $4.02
1/30/20 14:47 @YMH0 MINI DOW LONG 1 28594 1/30 19:28 28761 0.16%
Trade id #127296551
Max drawdown($267)
Time1/30/20 14:48
Quant open1
Worst price28541
Drawdown as % of equity-0.16%
$828
Includes Typical Broker Commissions trade costs of $4.02
1/30/20 14:42 @ESH0 E-MINI S&P 500 LONG 1 3266.31 1/30 14:43 3253.83 0.26%
Trade id #127296293
Max drawdown($440)
Time1/30/20 14:43
Quant open1
Worst price3257.50
Drawdown as % of equity-0.26%
($628)
Includes Typical Broker Commissions trade costs of $4.02
1/30/20 12:37 @YMH0 MINI DOW SHORT 1 28495 1/30 13:33 28546 0.14%
Trade id #127292459
Max drawdown($235)
Time1/30/20 12:38
Quant open1
Worst price28542
Drawdown as % of equity-0.14%
($262)
Includes Typical Broker Commissions trade costs of $4.02
1/23/20 9:16 @EUH0 EUROFX SHORT 1 1.11084 1/30 8:11 1.10595 0.02%
Trade id #127171619
Max drawdown($39)
Time1/23/20 9:17
Quant open1
Worst price1.11115
Drawdown as % of equity-0.02%
$605
Includes Typical Broker Commissions trade costs of $6.00
1/30/20 2:06 @NQH0 E-MINI NASDAQ 100 STK IDX SHORT 1 9013.78 1/30 4:24 9067.42 0.63%
Trade id #127280448
Max drawdown($1,059)
Time1/30/20 4:24
Quant open1
Worst price9066.75
Drawdown as % of equity-0.63%
($1,077)
Includes Typical Broker Commissions trade costs of $4.02
1/27/20 20:02 @YMH0 MINI DOW LONG 1 28577 1/28 3:49 28567 0.13%
Trade id #127241399
Max drawdown($214)
Time1/27/20 21:05
Quant open1
Worst price28534
Drawdown as % of equity-0.13%
($54)
Includes Typical Broker Commissions trade costs of $4.02
1/24/20 12:02 @YMH0 MINI DOW SHORT 1 28996 1/24 12:36 28997 0.08%
Trade id #127210484
Max drawdown($126)
Time1/24/20 12:05
Quant open1
Worst price29021
Drawdown as % of equity-0.08%
($11)
Includes Typical Broker Commissions trade costs of $4.02
1/21/20 10:48 @USH0 US T-BOND LONG 1 158 20/32 1/22 19:29 159 1/32 0.29%
Trade id #127118663
Max drawdown($468)
Time1/21/20 21:52
Quant open1
Worst price158 5/32
Drawdown as % of equity-0.29%
$400
Includes Typical Broker Commissions trade costs of $6.00
1/17/20 6:15 @EUH0 EUROFX SHORT 2 1.11321 1/21 8:01 1.11499 0.24%
Trade id #127060039
Max drawdown($397)
Time1/21/20 5:35
Quant open2
Worst price1.11480
Drawdown as % of equity-0.24%
($457)
Includes Typical Broker Commissions trade costs of $12.00
1/16/20 20:29 @USH0 US T-BOND SHORT 1 157 11/32 1/20 20:19 157 25/32 0.36%
Trade id #127056179
Max drawdown($593)
Time1/17/20 0:00
Quant open1
Worst price157 30/32
Drawdown as % of equity-0.36%
($443)
Includes Typical Broker Commissions trade costs of $6.00
1/15/20 6:01 @EUH0 EUROFX LONG 1 1.11825 1/16 10:12 1.11774 0.12%
Trade id #127005710
Max drawdown($200)
Time1/16/20 0:00
Quant open1
Worst price1.11665
Drawdown as % of equity-0.12%
($70)
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    4/10/2018
  • Suggested Minimum Cap
    $160,000
  • Strategy Age (days)
    685.04
  • Age
    23 months ago
  • What it trades
    Futures
  • # Trades
    939
  • # Profitable
    352
  • % Profitable
    37.50%
  • Avg trade duration
    1.1 days
  • Max peak-to-valley drawdown
    20.41%
  • drawdown period
    Oct 19, 2018 - Nov 19, 2018
  • Annual Return (Compounded)
    61.9%
  • Avg win
    $1,040
  • Avg loss
    $425.64
  • Model Account Values (Raw)
  • Cash
    $182,758
  • Margin Used
    $17,880
  • Buying Power
    $173,664
  • Ratios
  • W:L ratio
    1.47:1
  • Sharpe Ratio
    1.85
  • Sortino Ratio
    3.25
  • Calmar Ratio
    4.652
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    122.43%
  • Correlation to SP500
    -0.04240
  • Return Percent SP500 (cumu) during strategy life
    25.63%
  • Return Statistics
  • Ann Return (w trading costs)
    61.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.00%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.619%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    66.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    23.00%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    9147.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    996
  • Popularity (Last 6 weeks)
    997
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    998
  • Popularity (7 days, Percentile 1000 scale)
    998
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $426
  • Avg Win
    $1,054
  • Sum Trade PL (losers)
    $249,850.000
  • AUM
  • AUM (AutoTrader num accounts)
    35
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $371,090.000
  • # Winners
    352
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    10546000
  • Win / Loss
  • # Losers
    587
  • % Winners
    37.5%
  • Frequency
  • Avg Position Time (mins)
    1648.70
  • Avg Position Time (hrs)
    27.48
  • Avg Trade Length
    1.1 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    2.93
  • Daily leverage (max)
    9.56
  • Regression
  • Alpha
    0.13
  • Beta
    -0.07
  • Treynor Index
    -1.98
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    15.38
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    12.91
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.23
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.029
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.138
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.558
  • Hold-and-Hope Ratio
    0.542
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49294
  • SD
    0.20135
  • Sharpe ratio (Glass type estimate)
    2.44817
  • Sharpe ratio (Hedges UMVUE)
    2.35950
  • df
    21.00000
  • t
    3.31483
  • p
    0.14951
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.80120
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04884
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74564
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.97336
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.82447
  • Upside Potential Ratio
    9.24428
  • Upside part of mean
    0.58239
  • Downside part of mean
    -0.08945
  • Upside SD
    0.23448
  • Downside SD
    0.06300
  • N nonnegative terms
    16.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.10997
  • Mean of criterion
    0.49294
  • SD of predictor
    0.11075
  • SD of criterion
    0.20135
  • Covariance
    -0.00613
  • r
    -0.27496
  • b (slope, estimate of beta)
    -0.49989
  • a (intercept, estimate of alpha)
    0.54791
  • Mean Square Error
    0.03935
  • DF error
    20.00000
  • t(b)
    -1.27897
  • p(b)
    0.63748
  • t(a)
    3.58861
  • p(a)
    0.18707
  • Lowerbound of 95% confidence interval for beta
    -1.31518
  • Upperbound of 95% confidence interval for beta
    0.31541
  • Lowerbound of 95% confidence interval for alpha
    0.22943
  • Upperbound of 95% confidence interval for alpha
    0.86640
  • Treynor index (mean / b)
    -0.98611
  • Jensen alpha (a)
    0.54791
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46431
  • SD
    0.19222
  • Sharpe ratio (Glass type estimate)
    2.41554
  • Sharpe ratio (Hedges UMVUE)
    2.32805
  • df
    21.00000
  • t
    3.27065
  • p
    0.15218
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.77319
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01199
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71838
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93773
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.19706
  • Upside Potential Ratio
    8.61203
  • Upside part of mean
    0.55560
  • Downside part of mean
    -0.09129
  • Upside SD
    0.22152
  • Downside SD
    0.06451
  • N nonnegative terms
    16.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.10342
  • Mean of criterion
    0.46431
  • SD of predictor
    0.11053
  • SD of criterion
    0.19222
  • Covariance
    -0.00590
  • r
    -0.27782
  • b (slope, estimate of beta)
    -0.48316
  • a (intercept, estimate of alpha)
    0.51428
  • Mean Square Error
    0.03580
  • DF error
    20.00000
  • t(b)
    -1.29337
  • p(b)
    0.63891
  • t(a)
    3.54715
  • p(a)
    0.18929
  • Lowerbound of 95% confidence interval for beta
    -1.26240
  • Upperbound of 95% confidence interval for beta
    0.29608
  • Lowerbound of 95% confidence interval for alpha
    0.21185
  • Upperbound of 95% confidence interval for alpha
    0.81671
  • Treynor index (mean / b)
    -0.96099
  • Jensen alpha (a)
    0.51428
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05122
  • Expected Shortfall on VaR
    0.07277
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01086
  • Expected Shortfall on VaR
    0.02553
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.94221
  • Quartile 1
    1.00446
  • Median
    1.04586
  • Quartile 3
    1.06418
  • Maximum
    1.16600
  • Mean of quarter 1
    0.97500
  • Mean of quarter 2
    1.02584
  • Mean of quarter 3
    1.05727
  • Mean of quarter 4
    1.11490
  • Inter Quartile Range
    0.05972
  • 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
    0.04545
  • Mean of outliers high
    1.16600
  • 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)
    -0.72208
  • VaR(95%) (regression method)
    0.04900
  • Expected Shortfall (regression method)
    0.05826
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01972
  • Quartile 1
    0.04641
  • Median
    0.07309
  • Quartile 3
    0.09978
  • Maximum
    0.12647
  • Mean of quarter 1
    0.01972
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12647
  • Inter Quartile Range
    0.05338
  • 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)
    0.79937
  • Compounded annual return (geometric extrapolation)
    0.63594
  • Calmar ratio (compounded annual return / max draw down)
    5.02829
  • Compounded annual return / average of 25% largest draw downs
    5.02829
  • Compounded annual return / Expected Shortfall lognormal
    8.73898
  • 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
    0.51538
  • SD
    0.21368
  • Sharpe ratio (Glass type estimate)
    2.41198
  • Sharpe ratio (Hedges UMVUE)
    2.40824
  • df
    484.00000
  • t
    3.28166
  • p
    0.00055
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.96226
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.85934
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.95972
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85675
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.34753
  • Upside Potential Ratio
    11.69400
  • Upside part of mean
    1.38627
  • Downside part of mean
    -0.87089
  • Upside SD
    0.18034
  • Downside SD
    0.11854
  • N nonnegative terms
    258.00000
  • N negative terms
    227.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    485.00000
  • Mean of predictor
    0.10492
  • Mean of criterion
    0.51538
  • SD of predictor
    0.13828
  • SD of criterion
    0.21368
  • Covariance
    -0.00112
  • r
    -0.03782
  • b (slope, estimate of beta)
    -0.05845
  • a (intercept, estimate of alpha)
    0.52200
  • Mean Square Error
    0.04569
  • DF error
    483.00000
  • t(b)
    -0.83185
  • p(b)
    0.79705
  • t(a)
    3.31600
  • p(a)
    0.00049
  • Lowerbound of 95% confidence interval for beta
    -0.19650
  • Upperbound of 95% confidence interval for beta
    0.07961
  • Lowerbound of 95% confidence interval for alpha
    0.21249
  • Upperbound of 95% confidence interval for alpha
    0.83053
  • Treynor index (mean / b)
    -8.81805
  • Jensen alpha (a)
    0.52151
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49231
  • SD
    0.21196
  • Sharpe ratio (Glass type estimate)
    2.32270
  • Sharpe ratio (Hedges UMVUE)
    2.31910
  • df
    484.00000
  • t
    3.16019
  • p
    0.00084
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.87356
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.76948
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87116
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.76704
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.10165
  • Upside Potential Ratio
    11.41610
  • Upside part of mean
    1.37025
  • Downside part of mean
    -0.87794
  • Upside SD
    0.17706
  • Downside SD
    0.12003
  • N nonnegative terms
    258.00000
  • N negative terms
    227.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    485.00000
  • Mean of predictor
    0.09534
  • Mean of criterion
    0.49231
  • SD of predictor
    0.13843
  • SD of criterion
    0.21196
  • Covariance
    -0.00112
  • r
    -0.03814
  • b (slope, estimate of beta)
    -0.05839
  • a (intercept, estimate of alpha)
    0.49788
  • Mean Square Error
    0.04495
  • DF error
    483.00000
  • t(b)
    -0.83875
  • p(b)
    0.79899
  • t(a)
    3.19206
  • p(a)
    0.00075
  • Lowerbound of 95% confidence interval for beta
    -0.19519
  • Upperbound of 95% confidence interval for beta
    0.07840
  • Lowerbound of 95% confidence interval for alpha
    0.19141
  • Upperbound of 95% confidence interval for alpha
    0.80435
  • Treynor index (mean / b)
    -8.43106
  • Jensen alpha (a)
    0.49788
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01947
  • Expected Shortfall on VaR
    0.02481
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00729
  • Expected Shortfall on VaR
    0.01490
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    485.00000
  • Minimum
    0.95453
  • Quartile 1
    0.99599
  • Median
    1.00057
  • Quartile 3
    1.00671
  • Maximum
    1.08105
  • Mean of quarter 1
    0.98824
  • Mean of quarter 2
    0.99878
  • Mean of quarter 3
    1.00309
  • Mean of quarter 4
    1.01830
  • Inter Quartile Range
    0.01072
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.03299
  • Mean of outliers low
    0.97106
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.05979
  • Mean of outliers high
    1.03628
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26348
  • VaR(95%) (moments method)
    0.01116
  • Expected Shortfall (moments method)
    0.01856
  • Extreme Value Index (regression method)
    0.10581
  • VaR(95%) (regression method)
    0.01052
  • Expected Shortfall (regression method)
    0.01543
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    42.00000
  • Minimum
    0.00058
  • Quartile 1
    0.00315
  • Median
    0.00996
  • Quartile 3
    0.02419
  • Maximum
    0.14669
  • Mean of quarter 1
    0.00167
  • Mean of quarter 2
    0.00572
  • Mean of quarter 3
    0.01825
  • Mean of quarter 4
    0.06234
  • Inter Quartile Range
    0.02104
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    0.13100
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.44867
  • VaR(95%) (moments method)
    0.06839
  • Expected Shortfall (moments method)
    0.13948
  • Extreme Value Index (regression method)
    0.44116
  • VaR(95%) (regression method)
    0.05797
  • Expected Shortfall (regression method)
    0.10959
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.87489
  • Compounded annual return (geometric extrapolation)
    0.68240
  • Calmar ratio (compounded annual return / max draw down)
    4.65196
  • Compounded annual return / average of 25% largest draw downs
    10.94700
  • Compounded annual return / Expected Shortfall lognormal
    27.50830
  • 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
    0.74193
  • SD
    0.18771
  • Sharpe ratio (Glass type estimate)
    3.95262
  • Sharpe ratio (Hedges UMVUE)
    3.92977
  • df
    130.00000
  • t
    2.79493
  • p
    0.38096
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.13226
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.75841
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11711
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.74244
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.71190
  • Upside Potential Ratio
    15.16860
  • Upside part of mean
    1.29181
  • Downside part of mean
    -0.54988
  • Upside SD
    0.17267
  • Downside SD
    0.08516
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24225
  • Mean of criterion
    0.74193
  • SD of predictor
    0.10640
  • SD of criterion
    0.18771
  • Covariance
    -0.00031
  • r
    -0.01549
  • b (slope, estimate of beta)
    -0.02733
  • a (intercept, estimate of alpha)
    0.74855
  • Mean Square Error
    0.03550
  • DF error
    129.00000
  • t(b)
    -0.17596
  • p(b)
    0.50986
  • t(a)
    2.78174
  • p(a)
    0.35000
  • Lowerbound of 95% confidence interval for beta
    -0.33462
  • Upperbound of 95% confidence interval for beta
    0.27996
  • Lowerbound of 95% confidence interval for alpha
    0.21614
  • Upperbound of 95% confidence interval for alpha
    1.28097
  • Treynor index (mean / b)
    -27.14850
  • Jensen alpha (a)
    0.74855
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72367
  • SD
    0.18515
  • Sharpe ratio (Glass type estimate)
    3.90850
  • Sharpe ratio (Hedges UMVUE)
    3.88591
  • df
    130.00000
  • t
    2.76373
  • p
    0.38221
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.08905
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.71338
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.69767
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.42133
  • Upside Potential Ratio
    14.86220
  • Upside part of mean
    1.27716
  • Downside part of mean
    -0.55349
  • Upside SD
    0.16922
  • Downside SD
    0.08593
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23649
  • Mean of criterion
    0.72367
  • SD of predictor
    0.10660
  • SD of criterion
    0.18515
  • Covariance
    -0.00027
  • r
    -0.01346
  • b (slope, estimate of beta)
    -0.02338
  • a (intercept, estimate of alpha)
    0.72921
  • Mean Square Error
    0.03454
  • DF error
    129.00000
  • t(b)
    -0.15293
  • p(b)
    0.50857
  • t(a)
    2.74848
  • p(a)
    0.35166
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    -0.32592
  • Upperbound of 95% confidence interval for beta
    0.27915
  • Lowerbound of 95% confidence interval for alpha
    0.20428
  • Upperbound of 95% confidence interval for alpha
    1.25413
  • Treynor index (mean / b)
    -30.94700
  • Jensen alpha (a)
    0.72921
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01593
  • Expected Shortfall on VaR
    0.02061
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00388
  • Expected Shortfall on VaR
    0.00863
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97329
  • Quartile 1
    0.99881
  • Median
    1.00111
  • Quartile 3
    1.00643
  • Maximum
    1.07068
  • Mean of quarter 1
    0.99206
  • Mean of quarter 2
    1.00007
  • Mean of quarter 3
    1.00320
  • Mean of quarter 4
    1.01642
  • Inter Quartile Range
    0.00761
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.98183
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.03409
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36474
  • VaR(95%) (moments method)
    0.00558
  • Expected Shortfall (moments method)
    0.01113
  • Extreme Value Index (regression method)
    0.10349
  • VaR(95%) (regression method)
    0.00755
  • Expected Shortfall (regression method)
    0.01222
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00058
  • Quartile 1
    0.00161
  • Median
    0.00417
  • Quartile 3
    0.01650
  • Maximum
    0.05340
  • Mean of quarter 1
    0.00093
  • Mean of quarter 2
    0.00292
  • Mean of quarter 3
    0.00656
  • Mean of quarter 4
    0.03744
  • Inter Quartile Range
    0.01489
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15790
  • Mean of outliers high
    0.04643
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.56132
  • VaR(95%) (moments method)
    0.04218
  • Expected Shortfall (moments method)
    0.04759
  • Extreme Value Index (regression method)
    -0.04076
  • VaR(95%) (regression method)
    0.03798
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.04634
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -270242000
  • Max Equity Drawdown (num days)
    31
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.91229
  • Compounded annual return (geometric extrapolation)
    1.12035
  • Calmar ratio (compounded annual return / max draw down)
    20.98030
  • Compounded annual return / average of 25% largest draw downs
    29.92590
  • Compounded annual return / Expected Shortfall lognormal
    54.36320

Strategy Description

The strategy aims to generate positive absolute returns while keeping a low correlation with traditional asset classes and containing volatility regardless of market conditions.
Carma Managed Futures is a collection of active trading strategies that specialize in liquid, transparent, exchange-traded futures markets.
Pillars:
• A systematic approach based on proprietary trading systems
• Rule-based: no emotional biases
• Diversification across multiple markets and time frames
• Highly liquid financial instruments

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
The risk of trading futures contracts is substantial. The high degree of leverage associated with futures contracts can work against you as well as for you. This high degree of leverage can result in substantial losses, as well as gains. You should carefully consider whether futures contracts are suitable for you in light of your financial condition. If you are unsure you should seek professional advice.

Summary Statistics

Strategy began
2018-04-10
Suggested Minimum Capital
$160,000
# Trades
939
# Profitable
352
% Profitable
37.5%
Correlation S&P500
-0.042
Sharpe Ratio
1.85
Sortino Ratio
3.25
Beta
-0.07
Alpha
0.13
Leverage
2.93 Average
9.56 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

AGM - Access to Global Markets calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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.

0