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RetailTrader
(118723858)

Created by: RetailTradingCompany RetailTradingCompany
Started: 06/2018
Futures
Last trade: 112 days ago
Trading style: Futures Trend-following Commodities

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 $199.00 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.
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
60.9%
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.

(27.1%)
Max Drawdown
37
Num Trades
37.8%
Win Trades
2.1 : 1
Profit Factor
28.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                          (12.6%)(9%)(8.1%)+114.8%+2.8%(0.1%)+61.2%
2019(0.2%)                                                                  (0.2%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 90 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/6/18 9:56 @HEQ8 LEAN HOGS SHORT 1 76.600 10/2 10:01 88.150 4.69%
Trade id #118801509
Max drawdown($4,620)
Time10/2/18 10:01
Quant open0
Worst price88.150
Drawdown as % of equity-4.69%
($4,626)
Includes Typical Broker Commissions trade costs of $6.00
7/6/18 9:55 @KCU8 COFFEE LONG 2 112.70 10/2 7:47 91.35 15.53%
Trade id #118801477
Max drawdown($16,013)
Time10/2/18 7:47
Quant open0
Worst price91.35
Drawdown as % of equity-15.53%
($16,025)
Includes Typical Broker Commissions trade costs of $12.00
7/6/18 10:24 @SU8 SOYBEANS LONG 2 858 1/4 10/2 7:47 1177 5.75%
Trade id #118802496
Max drawdown($4,675)
Time9/12/18 10:36
Quant open2
Worst price811 2/4
Drawdown as % of equity-5.75%
$31,863
Includes Typical Broker Commissions trade costs of $12.00
7/9/18 6:49 @CTV8 COTTON - #2 LONG 2 8677 10/2 7:47 7331 13.05%
Trade id #118820364
Max drawdown($13,460)
Time10/2/18 7:47
Quant open0
Worst price7331
Drawdown as % of equity-13.05%
($13,472)
Includes Typical Broker Commissions trade costs of $12.00
7/6/18 10:23 @CU8 CORN LONG 2 349 4/4 10/2 7:47 519 1.61%
Trade id #118802472
Max drawdown($1,287)
Time9/13/18 11:23
Quant open2
Worst price337
Drawdown as % of equity-1.61%
$16,901
Includes Typical Broker Commissions trade costs of $12.00
7/11/18 20:54 @ESU8 E-MINI S&P 500 LONG 5 2778.35 9/21 12:30 2943.00 n/a $41,143
Includes Typical Broker Commissions trade costs of $20.10
7/6/18 9:33 TLT1820S120 TLT Jul20'18 120 put LONG 13 0.14 7/21 9:37 0.00 0%
Trade id #118800881
Max drawdown$2
Time7/10/18 9:31
Quant open
Worst price0.01
Drawdown as % of equity0.00%
($191)
Includes Typical Broker Commissions trade costs of $9.10
7/5/18 22:27 @ADU8 AUSTRALIAN DOLLAR LONG 2 0.7405 7/11 21:11 0.7364 n/a ($832)
Includes Typical Broker Commissions trade costs of $12.00
7/6/18 7:20 QNGU8 Natural Gas SHORT 4 2.784 7/11 21:10 2.793 0%
Trade id #118799184
Max drawdown$0
Time7/11/18 21:02
Quant open
Worst price2.793
Drawdown as % of equity0.00%
($378)
Includes Typical Broker Commissions trade costs of $18.40
7/11/18 21:04 @YMU8 MINI DOW LONG 1 24726 7/11 21:09 24732 n/a $26
Includes Typical Broker Commissions trade costs of $4.02
7/11/18 21:01 QCLQ8 CRUDE OIL SHORT 2 70.56 7/11 21:09 70.60 n/a ($89)
Includes Typical Broker Commissions trade costs of $9.20
7/9/18 13:27 QPLV8 PLATINUM LONG 2 849.6 7/11 21:03 829.6 0%
Trade id #118828921
Max drawdown$0
Time7/10/18 5:18
Quant open
Worst price845.9
Drawdown as % of equity0.00%
($2,017)
Includes Typical Broker Commissions trade costs of $12.00
7/10/18 22:22 QHGU8 Copper LONG 1 275.15 7/11 21:03 273.80 n/a ($344)
Includes Typical Broker Commissions trade costs of $6.00
7/5/18 22:16 QHOU8 Heating Oil LONG 2 2.1728 7/11 20:59 2.1255 0%
Trade id #118795562
Max drawdown$0
Time7/6/18 9:49
Quant open
Worst price2.1676
Drawdown as % of equity0.00%
($3,982)
Includes Typical Broker Commissions trade costs of $9.20
7/5/18 22:16 QGCQ8 Gold 100 oz LONG 4 1257.0 7/11 11:13 1246.9 0%
Trade id #118795558
Max drawdown$0
Time7/10/18 22:23
Quant open
Worst price1251.5
Drawdown as % of equity0.00%
($4,044)
Includes Typical Broker Commissions trade costs of $24.00
7/9/18 6:55 QCLU8 CRUDE OIL LONG 1 71.55 7/11 10:30 71.35 n/a ($205)
Includes Typical Broker Commissions trade costs of $4.60
7/6/18 10:10 @TYU8 US T-NOTE 10 YR LONG 3 120 23/64 7/10 22:22 120 19/64 0%
Trade id #118802179
Max drawdown$0
Time7/6/18 12:41
Quant open
Worst price120 21/64
Drawdown as % of equity0.00%
($206)
Includes Typical Broker Commissions trade costs of $18.00
7/6/18 12:42 @USU8 US T-BOND LONG 3 145 22/32 7/10 22:22 145 13/32 0%
Trade id #118806624
Max drawdown$0
Time7/9/18 13:25
Quant open
Worst price145 6/32
Drawdown as % of equity0.00%
($893)
Includes Typical Broker Commissions trade costs of $18.00
7/6/18 9:52 @CDU8 CANADIAN DOLLAR LONG 1 0.7641 7/10 20:47 0.7614 n/a ($271)
Includes Typical Broker Commissions trade costs of $6.00
7/6/18 9:31 @LEQ8 LIVE CATTLE LONG 2 107.225 7/10 9:33 105.700 n/a ($1,232)
Includes Typical Broker Commissions trade costs of $12.00
7/9/18 6:47 @ESU8 E-MINI S&P 500 LONG 1 2773.50 7/10 5:11 2789.50 n/a $796
Includes Typical Broker Commissions trade costs of $4.02
7/6/18 13:01 @YMU8 MINI DOW LONG 2 24466 7/10 5:10 24807 0%
Trade id #118806932
Max drawdown$0
Time7/6/18 14:38
Quant open
Worst price24454
Drawdown as % of equity0.00%
$3,402
Includes Typical Broker Commissions trade costs of $8.04
7/5/18 22:20 @DXU8 US Dollar Index LONG 2 93.955 7/9 6:49 93.580 0%
Trade id #118795579
Max drawdown$0
Time7/6/18 10:13
Quant open
Worst price93.725
Drawdown as % of equity0.00%
($762)
Includes Typical Broker Commissions trade costs of $12.00
7/6/18 10:00 QPLV8 PLATINUM SHORT 5 844.5 7/9 6:46 861.9 0%
Trade id #118801745
Max drawdown$0
Time7/6/18 11:20
Quant open
Worst price847.6
Drawdown as % of equity0.00%
($4,380)
Includes Typical Broker Commissions trade costs of $30.00
7/5/18 22:16 QSIU8 Silver 5000 oz LONG 1 16.015 7/6 14:38 16.050 n/a $169
Includes Typical Broker Commissions trade costs of $6.00
7/6/18 10:04 QCLU8 CRUDE OIL SHORT 1 70.40 7/6 14:37 71.57 n/a ($1,175)
Includes Typical Broker Commissions trade costs of $4.60
7/5/18 22:18 @YMU8 MINI DOW LONG 3 24345 7/6 12:53 24459 n/a $1,693
Includes Typical Broker Commissions trade costs of $12.06
7/5/18 22:18 @USU8 US T-BOND SHORT 1 145 16/32 7/6 12:42 145 22/32 n/a ($194)
Includes Typical Broker Commissions trade costs of $6.00
7/6/18 10:05 @ESU8 E-MINI S&P 500 SHORT 1 2744.50 7/6 12:38 2763.25 n/a ($942)
Includes Typical Broker Commissions trade costs of $4.02
7/6/18 9:37 NOC1817H335 NOC Aug17'18 335 call LONG 11 1.95 7/6 10:09 1.55 0%
Trade id #118801118
Max drawdown$0
Time7/6/18 9:48
Quant open
Worst price1.63
Drawdown as % of equity0.00%
($455)
Includes Typical Broker Commissions trade costs of $15.40

Statistics

  • Strategy began
    6/30/2018
  • Suggested Minimum Cap
    $120,000
  • Strategy Age (days)
    205.81
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    37
  • # Profitable
    14
  • % Profitable
    37.80%
  • Avg trade duration
    26.6 days
  • Max peak-to-valley drawdown
    27.12%
  • drawdown period
    July 10, 2018 - Oct 02, 2018
  • Cumul. Return
    61.3%
  • Avg win
    $8,614
  • Avg loss
    $2,478
  • Model Account Values (Raw)
  • Cash
    $140,533
  • Margin Used
    $5,628
  • Buying Power
    $157,960
  • Ratios
  • W:L ratio
    2.12:1
  • Sharpe Ratio
    1.506
  • Sortino Ratio
    7.868
  • Calmar Ratio
    8.285
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.01700
  • Return Statistics
  • Ann Return (w trading costs)
    130.7%
  • Ann Return (Compnd, No Fees)
    138.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    56.50%
  • Chance of 20% account loss
    19.00%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    546
  • Popularity (Last 6 weeks)
    810
  • C2 Score
    51.4
  • 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
    $2,479
  • Avg Win
    $8,614
  • # Winners
    14
  • # Losers
    23
  • % Winners
    37.8%
  • Frequency
  • Avg Position Time (mins)
    38258.40
  • Avg Position Time (hrs)
    637.64
  • Avg Trade Length
    26.6 days
  • Last Trade Ago
    111
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.88369
  • SD
    1.58470
  • Sharpe ratio (Glass type estimate)
    1.18867
  • Sharpe ratio (Hedges UMVUE)
    0.94842
  • df
    4.00000
  • t
    0.76728
  • p
    0.24285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.01632
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.26108
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.05510
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.86014
  • Upside Potential Ratio
    9.95870
  • Upside part of mean
    2.38661
  • Downside part of mean
    -0.50292
  • Upside SD
    1.49910
  • Downside SD
    0.23965
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.15745
  • Mean of criterion
    1.88369
  • SD of predictor
    0.14654
  • SD of criterion
    1.58470
  • Covariance
    -0.00182
  • r
    -0.00782
  • b (slope, estimate of beta)
    -0.08460
  • a (intercept, estimate of alpha)
    1.87037
  • Mean Square Error
    3.34817
  • DF error
    3.00000
  • t(b)
    -0.01355
  • p(b)
    0.50498
  • t(a)
    0.62339
  • p(a)
    0.28861
  • Lowerbound of 95% confidence interval for beta
    -19.95390
  • Upperbound of 95% confidence interval for beta
    19.78470
  • Lowerbound of 95% confidence interval for alpha
    -7.67803
  • Upperbound of 95% confidence interval for alpha
    11.41880
  • Treynor index (mean / b)
    -22.26590
  • Jensen alpha (a)
    1.87037
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.15236
  • SD
    1.14647
  • Sharpe ratio (Glass type estimate)
    1.00513
  • Sharpe ratio (Hedges UMVUE)
    0.80198
  • df
    4.00000
  • t
    0.64881
  • p
    0.27591
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.16198
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.05780
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.28482
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.88878
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.50905
  • Upside Potential Ratio
    6.59458
  • Upside part of mean
    1.68535
  • Downside part of mean
    -0.53299
  • Upside SD
    1.04731
  • Downside SD
    0.25557
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.16691
  • Mean of criterion
    1.15236
  • SD of predictor
    0.14829
  • SD of criterion
    1.14647
  • Covariance
    -0.01065
  • r
    -0.06267
  • b (slope, estimate of beta)
    -0.48455
  • a (intercept, estimate of alpha)
    1.07148
  • Mean Square Error
    1.74565
  • DF error
    3.00000
  • t(b)
    -0.10877
  • p(b)
    0.53987
  • t(a)
    0.49202
  • p(a)
    0.32823
  • Lowerbound of 95% confidence interval for beta
    -14.66210
  • Upperbound of 95% confidence interval for beta
    13.69300
  • Lowerbound of 95% confidence interval for alpha
    -5.85901
  • Upperbound of 95% confidence interval for alpha
    8.00197
  • Treynor index (mean / b)
    -2.37822
  • Jensen alpha (a)
    1.07148
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.36132
  • Expected Shortfall on VaR
    0.43983
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10802
  • Expected Shortfall on VaR
    0.17866
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.86308
  • Quartile 1
    0.93501
  • Median
    0.99934
  • Quartile 3
    1.02947
  • Maximum
    1.96961
  • Mean of quarter 1
    0.89905
  • Mean of quarter 2
    0.99934
  • Mean of quarter 3
    1.02947
  • Mean of quarter 4
    1.96961
  • Inter Quartile Range
    0.09446
  • 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
    0.20000
  • Mean of outliers high
    1.96961
  • 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
    2.00000
  • Minimum
    0.00066
  • Quartile 1
    0.04875
  • Median
    0.09683
  • Quartile 3
    0.14492
  • Maximum
    0.19301
  • Mean of quarter 1
    0.00066
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.19301
  • Inter Quartile Range
    0.09618
  • 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)
    1.52453
  • Compounded annual return (geometric extrapolation)
    2.25524
  • Calmar ratio (compounded annual return / max draw down)
    11.68460
  • Compounded annual return / average of 25% largest draw downs
    11.68460
  • Compounded annual return / Expected Shortfall lognormal
    5.12756
  • 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
    1.45868
  • SD
    0.96216
  • Sharpe ratio (Glass type estimate)
    1.51605
  • Sharpe ratio (Hedges UMVUE)
    1.50596
  • df
    113.00000
  • t
    1.00003
  • p
    0.44046
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46509
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.49058
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47182
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.48374
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.86773
  • Upside Potential Ratio
    13.42230
  • Upside part of mean
    2.48849
  • Downside part of mean
    -1.02981
  • Upside SD
    0.94413
  • Downside SD
    0.18540
  • N nonnegative terms
    32.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    114.00000
  • Mean of predictor
    -0.05696
  • Mean of criterion
    1.45868
  • SD of predictor
    0.23115
  • SD of criterion
    0.96216
  • Covariance
    -0.00359
  • r
    -0.01615
  • b (slope, estimate of beta)
    -0.06720
  • a (intercept, estimate of alpha)
    1.45500
  • Mean Square Error
    0.93378
  • DF error
    112.00000
  • t(b)
    -0.17089
  • p(b)
    0.50807
  • t(a)
    0.99300
  • p(a)
    0.45329
  • Lowerbound of 95% confidence interval for beta
    -0.84640
  • Upperbound of 95% confidence interval for beta
    0.71199
  • Lowerbound of 95% confidence interval for alpha
    -1.44808
  • Upperbound of 95% confidence interval for alpha
    4.35778
  • Treynor index (mean / b)
    -21.70560
  • Jensen alpha (a)
    1.45485
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.10223
  • SD
    0.79269
  • Sharpe ratio (Glass type estimate)
    1.39050
  • Sharpe ratio (Hedges UMVUE)
    1.38125
  • df
    113.00000
  • t
    0.91722
  • p
    0.44534
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58938
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.36427
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59550
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.35800
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.78367
  • Upside Potential Ratio
    11.28030
  • Upside part of mean
    2.14976
  • Downside part of mean
    -1.04753
  • Upside SD
    0.76887
  • Downside SD
    0.19058
  • N nonnegative terms
    32.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    114.00000
  • Mean of predictor
    -0.08393
  • Mean of criterion
    1.10223
  • SD of predictor
    0.23435
  • SD of criterion
    0.79269
  • Covariance
    -0.00359
  • r
    -0.01932
  • b (slope, estimate of beta)
    -0.06534
  • a (intercept, estimate of alpha)
    1.09675
  • Mean Square Error
    0.63372
  • DF error
    112.00000
  • t(b)
    -0.20448
  • p(b)
    0.50966
  • t(a)
    0.90856
  • p(a)
    0.45723
  • Lowerbound of 95% confidence interval for beta
    -0.69850
  • Upperbound of 95% confidence interval for beta
    0.56782
  • Lowerbound of 95% confidence interval for alpha
    -1.29504
  • Upperbound of 95% confidence interval for alpha
    3.48853
  • Treynor index (mean / b)
    -16.86870
  • Jensen alpha (a)
    1.09675
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07350
  • Expected Shortfall on VaR
    0.09212
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01118
  • Expected Shortfall on VaR
    0.02366
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    114.00000
  • Minimum
    0.92463
  • Quartile 1
    0.99745
  • Median
    1.00000
  • Quartile 3
    1.00026
  • Maximum
    1.56590
  • Mean of quarter 1
    0.98527
  • Mean of quarter 2
    0.99957
  • Mean of quarter 3
    1.00002
  • Mean of quarter 4
    1.03744
  • Inter Quartile Range
    0.00280
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.15790
  • Mean of outliers low
    0.97873
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.05625
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66575
  • VaR(95%) (moments method)
    0.01224
  • Expected Shortfall (moments method)
    0.04177
  • Extreme Value Index (regression method)
    0.63001
  • VaR(95%) (regression method)
    0.01414
  • Expected Shortfall (regression method)
    0.04501
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00015
  • Median
    0.00031
  • Quartile 3
    0.00305
  • Maximum
    0.25301
  • Mean of quarter 1
    0.00014
  • Mean of quarter 2
    0.00020
  • Mean of quarter 3
    0.00041
  • Mean of quarter 4
    0.12847
  • Inter Quartile Range
    0.00290
  • 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
    0.16667
  • Mean of outliers high
    0.25301
  • 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)
    1.45975
  • Compounded annual return (geometric extrapolation)
    2.09609
  • Calmar ratio (compounded annual return / max draw down)
    8.28461
  • Compounded annual return / average of 25% largest draw downs
    16.31570
  • Compounded annual return / Expected Shortfall lognormal
    22.75350

Strategy Description

I mostly trade Futures and Options. I love the high risk/reward with CL, GC, and NG. ES, NQ, TF, ZB and other commodities as well. Options for any potential stock, with appropriate trend following set-ups. Rarely trade Volatility. Tired of following blindly Collective2 traders with most blowing up or quitting. Sick and tired of losing my hard-earned money. Goals and strategy change 2018. Made too many mistakes, sometimes over and over. Quit systems in draw-downs, become emotional-and lost $$. No strategy, no exit plans. Made and lost a lot of $$. This is my final attempt to not become a stat. If I blow up this account, I am done. I will quit trading forever. Will just join the boring lifestyle/automated retirement plans (I risk none of this with retirement accounts). I trade a discretionary account-('gambling account for fun'). When this $$ is gone--it is gone. Twitter is a great source of gathering consensus on trends/change occurring, trade set-ups. I have several technical analysis gurus/professionals that I also follow closely. With all of that consensus-and attempt to make trades. Again, not looking for subscribers. Just doing this to 'revenge' trade my prior losses-and to take matters into my own hands and stop blaming everyone else.

Summary Statistics

Strategy began
2018-06-30
Suggested Minimum Capital
$120,000
# Trades
37
# Profitable
14
% Profitable
37.8%
Correlation S&P500
-0.017
Sharpe Ratio
1.506

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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