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Yugas-Futures
(117547867)

Created by: yugas-Investments yugas-Investments
Started: 04/2018
Futures
Last trade: 2 days ago
Trading style: Futures Trend-following Short Term

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.

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.
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
194.1%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(35.6%)
Max Drawdown
281
Num Trades
54.1%
Win Trades
1.5 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     +9.1%+28.4%+1.7%(2.4%)(4.3%)(18.9%)+36.5%+31.1%+39.6%+169.5%
2019+4.4%+2.7%+1.8%                                                      +9.1%

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 104 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/20/19 5:31 @YMM9 MINI DOW SHORT 1 25942 3/20 9:33 25849 0.01%
Trade id #122985199
Max drawdown($2)
Time3/20/19 8:16
Quant open-1
Worst price25942
Drawdown as % of equity-0.01%
$457
Includes Typical Broker Commissions trade costs of $4.02
3/19/19 12:05 @YMM9 MINI DOW LONG 1 26128 3/19 12:46 26060 1.01%
Trade id #122972956
Max drawdown($341)
Time3/19/19 12:46
Quant open0
Worst price26060
Drawdown as % of equity-1.01%
($345)
Includes Typical Broker Commissions trade costs of $4.02
3/19/19 5:12 @YMM9 MINI DOW LONG 1 26033 3/19 10:02 26049 0.11%
Trade id #122966082
Max drawdown($36)
Time3/19/19 6:14
Quant open1
Worst price26026
Drawdown as % of equity-0.11%
$74
Includes Typical Broker Commissions trade costs of $4.02
3/11/19 11:43 @YMM9 MINI DOW LONG 1 25594 3/11 14:44 25651 0.9%
Trade id #122865010
Max drawdown($300)
Time3/11/19 11:49
Quant open1
Worst price25534
Drawdown as % of equity-0.90%
$281
Includes Typical Broker Commissions trade costs of $4.02
3/8/19 10:09 @YMH9 MINI DOW SHORT 1 25291 3/8 10:43 25360 1.02%
Trade id #122835313
Max drawdown($345)
Time3/8/19 10:43
Quant open0
Worst price25360
Drawdown as % of equity-1.02%
($349)
Includes Typical Broker Commissions trade costs of $4.02
3/8/19 3:16 @YMH9 MINI DOW SHORT 1 25380 3/8 7:36 25344 0.45%
Trade id #122830858
Max drawdown($152)
Time3/8/19 4:12
Quant open-1
Worst price25411
Drawdown as % of equity-0.45%
$179
Includes Typical Broker Commissions trade costs of $4.02
3/7/19 4:52 @YMH9 MINI DOW SHORT 1 25580 3/7 6:30 25595 0.21%
Trade id #122814729
Max drawdown($71)
Time3/7/19 6:30
Quant open0
Worst price25595
Drawdown as % of equity-0.21%
($75)
Includes Typical Broker Commissions trade costs of $4.02
3/5/19 5:09 @YMH9 MINI DOW SHORT 1 25873 3/5 7:54 25816 n/a $279
Includes Typical Broker Commissions trade costs of $4.02
3/1/19 8:25 @YMH9 MINI DOW LONG 1 26083 3/1 9:42 26129 0.26%
Trade id #122746290
Max drawdown($85)
Time3/1/19 8:48
Quant open1
Worst price26066
Drawdown as % of equity-0.26%
$225
Includes Typical Broker Commissions trade costs of $4.02
2/27/19 3:24 @YMH9 MINI DOW SHORT 1 25979 2/27 4:09 25932 0.09%
Trade id #122708554
Max drawdown($31)
Time2/27/19 3:28
Quant open-1
Worst price25985
Drawdown as % of equity-0.09%
$228
Includes Typical Broker Commissions trade costs of $4.02
2/26/19 10:06 @YMH9 MINI DOW SHORT 1 26061 2/26 10:16 26057 n/a $16
Includes Typical Broker Commissions trade costs of $4.02
2/19/19 8:57 @YMH9 MINI DOW SHORT 1 25824 2/19 9:51 25869 0.8%
Trade id #122582786
Max drawdown($266)
Time2/19/19 9:39
Quant open-1
Worst price25877
Drawdown as % of equity-0.80%
($229)
Includes Typical Broker Commissions trade costs of $4.02
2/14/19 10:24 @YMH9 MINI DOW SHORT 1 25432 2/14 11:44 25410 0.73%
Trade id #122524890
Max drawdown($240)
Time2/14/19 10:35
Quant open-1
Worst price25480
Drawdown as % of equity-0.73%
$106
Includes Typical Broker Commissions trade costs of $4.02
2/13/19 8:40 @YMH9 MINI DOW LONG 1 25477 2/13 9:39 25566 0.05%
Trade id #122498414
Max drawdown($16)
Time2/13/19 8:42
Quant open1
Worst price25474
Drawdown as % of equity-0.05%
$438
Includes Typical Broker Commissions trade costs of $4.02
2/13/19 6:20 @YMH9 MINI DOW LONG 1 25464 2/13 7:33 25481 0.05%
Trade id #122495829
Max drawdown($15)
Time2/13/19 6:27
Quant open1
Worst price25461
Drawdown as % of equity-0.05%
$81
Includes Typical Broker Commissions trade costs of $4.02
2/11/19 3:14 @YMH9 MINI DOW LONG 1 25062 2/11 4:01 25165 0.31%
Trade id #122450291
Max drawdown($100)
Time2/11/19 3:16
Quant open1
Worst price25042
Drawdown as % of equity-0.31%
$511
Includes Typical Broker Commissions trade costs of $4.02
2/8/19 14:06 @YMH9 MINI DOW SHORT 1 24973 2/8 15:39 25016 0.73%
Trade id #122435522
Max drawdown($234)
Time2/8/19 15:24
Quant open-1
Worst price25020
Drawdown as % of equity-0.73%
($217)
Includes Typical Broker Commissions trade costs of $4.02
2/7/19 8:01 @YMH9 MINI DOW SHORT 1 25177 2/7 10:23 25253 1.16%
Trade id #122411410
Max drawdown($378)
Time2/7/19 10:23
Quant open0
Worst price25253
Drawdown as % of equity-1.16%
($382)
Includes Typical Broker Commissions trade costs of $4.02
2/5/19 4:01 @YMH9 MINI DOW LONG 1 25202 2/5 9:40 25287 0.02%
Trade id #122357880
Max drawdown($5)
Time2/5/19 4:03
Quant open1
Worst price25201
Drawdown as % of equity-0.02%
$422
Includes Typical Broker Commissions trade costs of $4.02
1/31/19 4:00 @YMH9 MINI DOW LONG 1 24991 1/31 7:35 24920 1.1%
Trade id #122285707
Max drawdown($356)
Time1/31/19 7:35
Quant open0
Worst price24920
Drawdown as % of equity-1.10%
($360)
Includes Typical Broker Commissions trade costs of $4.02
1/30/19 11:41 @YMH9 MINI DOW LONG 1 24854 1/30 12:05 24913 0.05%
Trade id #122270386
Max drawdown($17)
Time1/30/19 11:43
Quant open1
Worst price24851
Drawdown as % of equity-0.05%
$287
Includes Typical Broker Commissions trade costs of $4.02
1/28/19 10:41 @YMH9 MINI DOW SHORT 1 24405 1/28 10:42 24434 0.45%
Trade id #122217600
Max drawdown($146)
Time1/28/19 10:42
Quant open0
Worst price24434
Drawdown as % of equity-0.45%
($150)
Includes Typical Broker Commissions trade costs of $4.02
1/24/19 10:35 @YMH9 MINI DOW SHORT 1 24569 1/24 10:47 24547 0.02%
Trade id #122157472
Max drawdown($6)
Time1/24/19 10:41
Quant open-1
Worst price24570
Drawdown as % of equity-0.02%
$105
Includes Typical Broker Commissions trade costs of $4.02
1/23/19 6:00 @YMH9 MINI DOW SHORT 1 24467 1/23 6:59 24511 0.69%
Trade id #122125853
Max drawdown($223)
Time1/23/19 6:59
Quant open0
Worst price24511
Drawdown as % of equity-0.69%
($227)
Includes Typical Broker Commissions trade costs of $4.02
1/23/19 4:52 @YMH9 MINI DOW SHORT 1 24455 1/23 5:09 24464 0.22%
Trade id #122125538
Max drawdown($71)
Time1/23/19 5:00
Quant open-1
Worst price24469
Drawdown as % of equity-0.22%
($52)
Includes Typical Broker Commissions trade costs of $4.02
1/21/19 5:10 @YMH9 MINI DOW LONG 1 24565 1/21 5:54 24594 n/a $142
Includes Typical Broker Commissions trade costs of $4.02
1/18/19 9:42 @YMH9 MINI DOW LONG 1 24472 1/18 9:48 24498 0.24%
Trade id #122052570
Max drawdown($76)
Time1/18/19 9:45
Quant open1
Worst price24457
Drawdown as % of equity-0.24%
$126
Includes Typical Broker Commissions trade costs of $4.02
1/18/19 4:46 @YMH9 MINI DOW LONG 1 24414 1/18 6:57 24480 0.41%
Trade id #122046678
Max drawdown($132)
Time1/18/19 5:37
Quant open1
Worst price24388
Drawdown as % of equity-0.41%
$324
Includes Typical Broker Commissions trade costs of $4.02
1/17/19 15:16 @YMH9 MINI DOW LONG 1 24272 1/17 15:36 24327 0.19%
Trade id #122040070
Max drawdown($61)
Time1/17/19 15:26
Quant open1
Worst price24260
Drawdown as % of equity-0.19%
$269
Includes Typical Broker Commissions trade costs of $4.02
1/16/19 11:11 @YMH9 MINI DOW LONG 1 24147 1/16 13:29 24188 0.17%
Trade id #122008354
Max drawdown($55)
Time1/16/19 12:16
Quant open1
Worst price24136
Drawdown as % of equity-0.17%
$201
Includes Typical Broker Commissions trade costs of $4.02

Statistics

  • Strategy began
    4/17/2018
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    339.33
  • Age
    11 months ago
  • What it trades
    Futures
  • # Trades
    281
  • # Profitable
    152
  • % Profitable
    54.10%
  • Avg trade duration
    3.4 hours
  • Max peak-to-valley drawdown
    35.58%
  • drawdown period
    Oct 26, 2018 - Oct 30, 2018
  • Cumul. Return
    193.7%
  • Avg win
    $453.17
  • Avg loss
    $347.90
  • Model Account Values (Raw)
  • Cash
    $34,003
  • Margin Used
    $0
  • Buying Power
    $34,003
  • Ratios
  • W:L ratio
    1.53:1
  • Sharpe Ratio
    3.002
  • Sortino Ratio
    6.44
  • Calmar Ratio
    11.754
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.03600
  • Return Statistics
  • Ann Return (w trading costs)
    215.1%
  • Ann Return (Compnd, No Fees)
    271.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    33.00%
  • Chance of 20% account loss
    10.50%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    906
  • Popularity (Last 6 weeks)
    976
  • C2 Score
    85.2
  • 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
    $348
  • Avg Win
    $453
  • # Winners
    152
  • # Losers
    129
  • % Winners
    54.1%
  • Frequency
  • Avg Position Time (mins)
    201.83
  • Avg Position Time (hrs)
    3.36
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.76049
  • SD
    0.87400
  • Sharpe ratio (Glass type estimate)
    2.01429
  • Sharpe ratio (Hedges UMVUE)
    1.84081
  • df
    9.00000
  • t
    1.83879
  • p
    0.04955
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36674
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.30250
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46850
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.15012
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.83290
  • Upside Potential Ratio
    20.83540
  • Upside part of mean
    1.94768
  • Downside part of mean
    -0.18718
  • Upside SD
    0.96800
  • Downside SD
    0.09348
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.01985
  • Mean of criterion
    1.76049
  • SD of predictor
    0.14968
  • SD of criterion
    0.87400
  • Covariance
    -0.03301
  • r
    -0.25234
  • b (slope, estimate of beta)
    -1.47343
  • a (intercept, estimate of alpha)
    1.78974
  • Mean Square Error
    0.80464
  • DF error
    8.00000
  • t(b)
    -0.73760
  • p(b)
    0.75909
  • t(a)
    1.81989
  • p(a)
    0.05313
  • Lowerbound of 95% confidence interval for beta
    -6.07990
  • Upperbound of 95% confidence interval for beta
    3.13304
  • Lowerbound of 95% confidence interval for alpha
    -0.47807
  • Upperbound of 95% confidence interval for alpha
    4.05755
  • Treynor index (mean / b)
    -1.19482
  • Jensen alpha (a)
    1.78974
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.40690
  • SD
    0.69818
  • Sharpe ratio (Glass type estimate)
    2.01510
  • Sharpe ratio (Hedges UMVUE)
    1.84155
  • df
    9.00000
  • t
    1.83953
  • p
    0.04949
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36608
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.30346
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46789
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.15099
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.71340
  • Upside Potential Ratio
    16.71340
  • Upside part of mean
    1.59815
  • Downside part of mean
    -0.19125
  • Upside SD
    0.77105
  • Downside SD
    0.09562
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.00963
  • Mean of criterion
    1.40690
  • SD of predictor
    0.15090
  • SD of criterion
    0.69818
  • Covariance
    -0.02572
  • r
    -0.24409
  • b (slope, estimate of beta)
    -1.12936
  • a (intercept, estimate of alpha)
    1.41777
  • Mean Square Error
    0.51571
  • DF error
    8.00000
  • t(b)
    -0.71192
  • p(b)
    0.75163
  • t(a)
    1.80190
  • p(a)
    0.05462
  • Lowerbound of 95% confidence interval for beta
    -4.78754
  • Upperbound of 95% confidence interval for beta
    2.52881
  • Lowerbound of 95% confidence interval for alpha
    -0.39665
  • Upperbound of 95% confidence interval for alpha
    3.23219
  • Treynor index (mean / b)
    -1.24575
  • Jensen alpha (a)
    1.41777
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19287
  • Expected Shortfall on VaR
    0.25605
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03191
  • Expected Shortfall on VaR
    0.05810
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.94931
  • Quartile 1
    0.96788
  • Median
    1.03773
  • Quartile 3
    1.25583
  • Maximum
    1.67017
  • Mean of quarter 1
    0.95358
  • Mean of quarter 2
    1.00815
  • Mean of quarter 3
    1.07784
  • Mean of quarter 4
    1.48588
  • Inter Quartile Range
    0.28796
  • 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)
    -32.06930
  • VaR(95%) (moments method)
    0.04880
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.66433
  • VaR(95%) (regression method)
    0.05753
  • Expected Shortfall (regression method)
    0.05767
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04821
  • Quartile 1
    0.06010
  • Median
    0.07198
  • Quartile 3
    0.08387
  • Maximum
    0.09576
  • Mean of quarter 1
    0.04821
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09576
  • Inter Quartile Range
    0.02377
  • 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)
    2.76694
  • Compounded annual return (geometric extrapolation)
    3.19883
  • Calmar ratio (compounded annual return / max draw down)
    33.40560
  • Compounded annual return / average of 25% largest draw downs
    33.40560
  • Compounded annual return / Expected Shortfall lognormal
    12.49280
  • 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
    1.45093
  • SD
    0.48169
  • Sharpe ratio (Glass type estimate)
    3.01216
  • Sharpe ratio (Hedges UMVUE)
    3.00250
  • df
    234.00000
  • t
    2.85273
  • p
    0.00236
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.92163
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09645
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91520
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08979
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.43962
  • Upside Potential Ratio
    12.94480
  • Upside part of mean
    2.91663
  • Downside part of mean
    -1.46570
  • Upside SD
    0.43395
  • Downside SD
    0.22531
  • N nonnegative terms
    113.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    0.02210
  • Mean of criterion
    1.45093
  • SD of predictor
    0.15398
  • SD of criterion
    0.48169
  • Covariance
    -0.00885
  • r
    -0.11935
  • b (slope, estimate of beta)
    -0.37338
  • a (intercept, estimate of alpha)
    1.45900
  • Mean Square Error
    0.22970
  • DF error
    233.00000
  • t(b)
    -1.83496
  • p(b)
    0.96611
  • t(a)
    2.88332
  • p(a)
    0.00215
  • Lowerbound of 95% confidence interval for beta
    -0.77428
  • Upperbound of 95% confidence interval for beta
    0.02752
  • Lowerbound of 95% confidence interval for alpha
    0.46211
  • Upperbound of 95% confidence interval for alpha
    2.45626
  • Treynor index (mean / b)
    -3.88595
  • Jensen alpha (a)
    1.45918
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.33654
  • SD
    0.46661
  • Sharpe ratio (Glass type estimate)
    2.86438
  • Sharpe ratio (Hedges UMVUE)
    2.85519
  • df
    234.00000
  • t
    2.71277
  • p
    0.00358
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.77569
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.94710
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76959
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.94079
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.78278
  • Upside Potential Ratio
    12.23730
  • Upside part of mean
    2.82834
  • Downside part of mean
    -1.49180
  • Upside SD
    0.41255
  • Downside SD
    0.23112
  • N nonnegative terms
    113.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    0.01029
  • Mean of criterion
    1.33654
  • SD of predictor
    0.15408
  • SD of criterion
    0.46661
  • Covariance
    -0.00841
  • r
    -0.11704
  • b (slope, estimate of beta)
    -0.35446
  • a (intercept, estimate of alpha)
    1.34018
  • Mean Square Error
    0.21566
  • DF error
    233.00000
  • t(b)
    -1.79898
  • p(b)
    0.96334
  • t(a)
    2.73312
  • p(a)
    0.00338
  • Lowerbound of 95% confidence interval for beta
    -0.74265
  • Upperbound of 95% confidence interval for beta
    0.03373
  • Lowerbound of 95% confidence interval for alpha
    0.37410
  • Upperbound of 95% confidence interval for alpha
    2.30627
  • Treynor index (mean / b)
    -3.77065
  • Jensen alpha (a)
    1.34018
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04143
  • Expected Shortfall on VaR
    0.05286
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01299
  • Expected Shortfall on VaR
    0.02738
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    235.00000
  • Minimum
    0.91346
  • Quartile 1
    0.99570
  • Median
    1.00000
  • Quartile 3
    1.01066
  • Maximum
    1.18149
  • Mean of quarter 1
    0.97868
  • Mean of quarter 2
    0.99926
  • Mean of quarter 3
    1.00463
  • Mean of quarter 4
    1.03999
  • Inter Quartile Range
    0.01496
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.06383
  • Mean of outliers low
    0.95296
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.11915
  • Mean of outliers high
    1.06442
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36033
  • VaR(95%) (moments method)
    0.01656
  • Expected Shortfall (moments method)
    0.03232
  • Extreme Value Index (regression method)
    0.00102
  • VaR(95%) (regression method)
    0.01922
  • Expected Shortfall (regression method)
    0.02850
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00222
  • Quartile 1
    0.00677
  • Median
    0.01400
  • Quartile 3
    0.05108
  • Maximum
    0.24787
  • Mean of quarter 1
    0.00445
  • Mean of quarter 2
    0.00941
  • Mean of quarter 3
    0.02326
  • Mean of quarter 4
    0.13867
  • Inter Quartile Range
    0.04431
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.20092
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.60789
  • VaR(95%) (moments method)
    0.14989
  • Expected Shortfall (moments method)
    0.17103
  • Extreme Value Index (regression method)
    0.18759
  • VaR(95%) (regression method)
    0.19073
  • Expected Shortfall (regression method)
    0.29517
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.67597
  • Compounded annual return (geometric extrapolation)
    2.91355
  • Calmar ratio (compounded annual return / max draw down)
    11.75420
  • Compounded annual return / average of 25% largest draw downs
    21.01140
  • Compounded annual return / Expected Shortfall lognormal
    55.12300
  • 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
    2.02469
  • SD
    0.57740
  • Sharpe ratio (Glass type estimate)
    3.50659
  • Sharpe ratio (Hedges UMVUE)
    3.48632
  • df
    130.00000
  • t
    2.47954
  • p
    0.39375
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.69573
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.30439
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68231
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.29034
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.94407
  • Upside Potential Ratio
    13.98490
  • Upside part of mean
    3.56431
  • Downside part of mean
    -1.53961
  • Upside SD
    0.53059
  • Downside SD
    0.25487
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06430
  • Mean of criterion
    2.02469
  • SD of predictor
    0.19052
  • SD of criterion
    0.57740
  • Covariance
    -0.01692
  • r
    -0.15384
  • b (slope, estimate of beta)
    -0.46625
  • a (intercept, estimate of alpha)
    1.99472
  • Mean Square Error
    0.32802
  • DF error
    129.00000
  • t(b)
    -1.76838
  • p(b)
    0.59755
  • t(a)
    2.46219
  • p(a)
    0.36614
  • Lowerbound of 95% confidence interval for beta
    -0.98791
  • Upperbound of 95% confidence interval for beta
    0.05541
  • Lowerbound of 95% confidence interval for alpha
    0.39183
  • Upperbound of 95% confidence interval for alpha
    3.59760
  • Treynor index (mean / b)
    -4.34250
  • Jensen alpha (a)
    1.99472
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.86026
  • SD
    0.55615
  • Sharpe ratio (Glass type estimate)
    3.34489
  • Sharpe ratio (Hedges UMVUE)
    3.32556
  • df
    130.00000
  • t
    2.36520
  • p
    0.39844
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53720
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.14002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52443
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.12668
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.09417
  • Upside Potential Ratio
    13.09360
  • Upside part of mean
    3.43344
  • Downside part of mean
    -1.57318
  • Upside SD
    0.50139
  • Downside SD
    0.26222
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08232
  • Mean of criterion
    1.86026
  • SD of predictor
    0.19065
  • SD of criterion
    0.55615
  • Covariance
    -0.01613
  • r
    -0.15212
  • b (slope, estimate of beta)
    -0.44376
  • a (intercept, estimate of alpha)
    1.82373
  • Mean Square Error
    0.30449
  • DF error
    129.00000
  • t(b)
    -1.74811
  • p(b)
    0.59647
  • t(a)
    2.33617
  • p(a)
    0.37261
  • Lowerbound of 95% confidence interval for beta
    -0.94602
  • Upperbound of 95% confidence interval for beta
    0.05849
  • Lowerbound of 95% confidence interval for alpha
    0.27920
  • Upperbound of 95% confidence interval for alpha
    3.36826
  • Treynor index (mean / b)
    -4.19202
  • Jensen alpha (a)
    1.82373
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04821
  • Expected Shortfall on VaR
    0.06171
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01275
  • Expected Shortfall on VaR
    0.02782
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91346
  • Quartile 1
    0.99778
  • Median
    1.00144
  • Quartile 3
    1.01166
  • Maximum
    1.18149
  • Mean of quarter 1
    0.97710
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    1.00530
  • Mean of quarter 4
    1.04894
  • Inter Quartile Range
    0.01388
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.95465
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.07488
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.88882
  • VaR(95%) (moments method)
    0.01713
  • Expected Shortfall (moments method)
    0.17345
  • Extreme Value Index (regression method)
    -0.05414
  • VaR(95%) (regression method)
    0.02079
  • Expected Shortfall (regression method)
    0.03120
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00435
  • Quartile 1
    0.00795
  • Median
    0.01566
  • Quartile 3
    0.04279
  • Maximum
    0.24787
  • Mean of quarter 1
    0.00589
  • Mean of quarter 2
    0.01189
  • Mean of quarter 3
    0.02699
  • Mean of quarter 4
    0.14604
  • Inter Quartile Range
    0.03484
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.18110
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.92871
  • VaR(95%) (moments method)
    0.11721
  • Expected Shortfall (moments method)
    0.12863
  • Extreme Value Index (regression method)
    0.32576
  • VaR(95%) (regression method)
    0.22542
  • Expected Shortfall (regression method)
    0.42910
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.14091
  • Compounded annual return (geometric extrapolation)
    5.60725
  • Calmar ratio (compounded annual return / max draw down)
    22.62150
  • Compounded annual return / average of 25% largest draw downs
    38.39460
  • Compounded annual return / Expected Shortfall lognormal
    90.87080

Strategy Description

SYSTEM SETUP.
. Trading with strict SL, the moment trade is taken SL is set.
. Focus is on trading YM. lot size 1 contract, client can scale up depending on there account size(tip:assign min 15k for 1 lot and scale up 1 lot per 15k)
. Trade can last from few mins to 1 day. sometimes trade can be taken overnight if risk to reward is high.
. given the current volatility suggested amount is min 15k.
. expected DD are 35%. and appx. 7 losers in a row.

SYSTEM GOAL.
My Goal is to make 200-300 points, with 1 contract per month, within the DD range, my focus is on trading just 1 contract and not scaling or compounding, its all upto the client,depending on their account size and risk tolerance to scale. (Assign min 15k per lot )

*TRADING IS RISKY AND NOTHING IS GUARANTEED THERE IS VERY HIGH PROBABILITY OF LOSING CAPITAL*

Summary Statistics

Strategy began
2018-04-17
Suggested Minimum Capital
$30,000
# Trades
281
# Profitable
152
% Profitable
54.1%
Correlation S&P500
-0.036
Sharpe Ratio
3.002

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.

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