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ADAPTNN
(119990435)

Created by: EmanueleFerraro2 EmanueleFerraro2
Started: 09/2018
Futures
Last trade: Today
Trading style: Futures 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 $197.00 per month.

Trading Category: Futures
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).
24.6%
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.

(3.6%)
Max Drawdown
28
Num Trades
92.9%
Win Trades
6.1 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                        +5.1%+12.0%+5.8%      +24.6%

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 33 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/13/18 3:00 XGZ8 DAX INDEX SHORT 1 11368.67 11/13 10:46 11411.50 n/a ($1,214)
Includes Typical Broker Commissions trade costs of $6.00
11/12/18 3:45 XGZ8 DAX INDEX SHORT 1 11455.00 11/12 3:59 11430.50 0.58%
Trade id #120876804
Max drawdown($367)
Time11/12/18 3:50
Quant open-1
Worst price11468.00
Drawdown as % of equity-0.58%
$684
Includes Typical Broker Commissions trade costs of $6.00
11/9/18 4:28 XGZ8 DAX INDEX SHORT 1 11452.50 11/9 6:21 11432.00 1.15%
Trade id #120846140
Max drawdown($721)
Time11/9/18 5:08
Quant open-1
Worst price11478.00
Drawdown as % of equity-1.15%
$575
Includes Typical Broker Commissions trade costs of $6.00
11/8/18 4:25 XGZ8 DAX INDEX SHORT 1 11612.50 11/8 4:46 11580.00 0.05%
Trade id #120819708
Max drawdown($28)
Time11/8/18 4:28
Quant open-1
Worst price11613.50
Drawdown as % of equity-0.05%
$922
Includes Typical Broker Commissions trade costs of $6.00
11/7/18 3:22 XGZ8 DAX INDEX SHORT 1 11598.00 11/7 7:50 11576.00 1.5%
Trade id #120784812
Max drawdown($919)
Time11/7/18 4:19
Quant open-1
Worst price11630.50
Drawdown as % of equity-1.50%
$626
Includes Typical Broker Commissions trade costs of $6.00
11/6/18 3:17 XGZ8 DAX INDEX SHORT 1 11514.00 11/6 3:37 11490.50 0.16%
Trade id #120750677
Max drawdown($99)
Time11/6/18 3:19
Quant open-1
Worst price11517.50
Drawdown as % of equity-0.16%
$665
Includes Typical Broker Commissions trade costs of $6.00
11/5/18 3:14 XGZ8 DAX INDEX SHORT 1 11520.00 11/5 3:55 11499.00 0.87%
Trade id #120721002
Max drawdown($524)
Time11/5/18 3:29
Quant open-1
Worst price11538.50
Drawdown as % of equity-0.87%
$592
Includes Typical Broker Commissions trade costs of $6.00
11/2/18 3:54 XGZ8 DAX INDEX SHORT 1 11618.00 11/2 4:48 11597.25 1.3%
Trade id #120687096
Max drawdown($770)
Time11/2/18 4:31
Quant open-1
Worst price11645.00
Drawdown as % of equity-1.30%
$587
Includes Typical Broker Commissions trade costs of $6.00
10/29/18 3:44 XGZ8 DAX INDEX SHORT 1 11247.00 10/29 4:36 11228.25 1.16%
Trade id #120589724
Max drawdown($683)
Time10/29/18 4:12
Quant open-1
Worst price11271.00
Drawdown as % of equity-1.16%
$528
Includes Typical Broker Commissions trade costs of $6.00
10/25/18 3:02 XGZ8 DAX INDEX SHORT 1 11098.00 10/25 3:10 11079.00 0.22%
Trade id #120528979
Max drawdown($127)
Time10/25/18 3:05
Quant open-1
Worst price11102.50
Drawdown as % of equity-0.22%
$536
Includes Typical Broker Commissions trade costs of $6.00
10/24/18 3:14 XGZ8 DAX INDEX SHORT 1 11310.00 10/24 3:30 11289.50 0.44%
Trade id #120504408
Max drawdown($256)
Time10/24/18 3:25
Quant open-1
Worst price11319.00
Drawdown as % of equity-0.44%
$580
Includes Typical Broker Commissions trade costs of $6.00
10/22/18 3:02 XGZ8 DAX INDEX SHORT 1 11647.00 10/22 3:18 11624.50 1.12%
Trade id #120462539
Max drawdown($641)
Time10/22/18 3:04
Quant open-1
Worst price11669.50
Drawdown as % of equity-1.12%
$644
Includes Typical Broker Commissions trade costs of $6.00
10/19/18 3:14 XGZ8 DAX INDEX LONG 1 11596.50 10/19 10:24 11550.50 5.49%
Trade id #120433549
Max drawdown($3,096)
Time10/19/18 6:02
Quant open1
Worst price11488.50
Drawdown as % of equity-5.49%
($1,326)
Includes Typical Broker Commissions trade costs of $6.00
10/18/18 3:07 XGZ8 DAX INDEX SHORT 1 11681.50 10/18 9:35 11662.50 5.01%
Trade id #120414097
Max drawdown($2,909)
Time10/18/18 3:53
Quant open-1
Worst price11783.00
Drawdown as % of equity-5.01%
$540
Includes Typical Broker Commissions trade costs of $6.00
10/17/18 2:54 XGZ8 DAX INDEX LONG 1 11811.50 10/17 3:15 11831.50 0.8%
Trade id #120393562
Max drawdown($460)
Time10/17/18 3:05
Quant open1
Worst price11795.50
Drawdown as % of equity-0.80%
$572
Includes Typical Broker Commissions trade costs of $6.00
10/16/18 3:31 XGZ8 DAX INDEX SHORT 1 11637.50 10/16 4:42 11628.50 1.06%
Trade id #120372446
Max drawdown($604)
Time10/16/18 3:47
Quant open-1
Worst price11658.50
Drawdown as % of equity-1.06%
$255
Includes Typical Broker Commissions trade costs of $6.00
10/15/18 4:01 XGZ8 DAX INDEX SHORT 1 11467.00 10/15 4:24 11446.00 1.17%
Trade id #120345435
Max drawdown($661)
Time10/15/18 4:11
Quant open-1
Worst price11490.00
Drawdown as % of equity-1.17%
$601
Includes Typical Broker Commissions trade costs of $6.00
10/10/18 3:12 XGZ8 DAX INDEX SHORT 1 11954.00 10/10 3:27 11931.00 0.54%
Trade id #120267642
Max drawdown($303)
Time10/10/18 3:18
Quant open-1
Worst price11964.50
Drawdown as % of equity-0.54%
$655
Includes Typical Broker Commissions trade costs of $6.00
10/9/18 3:40 XGZ8 DAX INDEX SHORT 2 11955.50 10/9 4:04 11947.25 0.97%
Trade id #120246099
Max drawdown($534)
Time10/9/18 3:50
Quant open-1
Worst price11969.50
Drawdown as % of equity-0.97%
$461
Includes Typical Broker Commissions trade costs of $12.00
10/8/18 3:05 XGZ8 DAX INDEX SHORT 1 12029.00 10/8 3:45 12011.00 1.53%
Trade id #120225729
Max drawdown($837)
Time10/8/18 3:13
Quant open-1
Worst price12058.00
Drawdown as % of equity-1.53%
$511
Includes Typical Broker Commissions trade costs of $6.00
10/5/18 3:02 XGZ8 DAX INDEX SHORT 1 12218.00 10/5 3:21 12201.00 0.85%
Trade id #120195893
Max drawdown($459)
Time10/5/18 3:15
Quant open-1
Worst price12234.00
Drawdown as % of equity-0.85%
$483
Includes Typical Broker Commissions trade costs of $6.00
10/4/18 3:12 XGZ8 DAX INDEX SHORT 1 12255.50 10/4 3:21 12216.00 n/a $1,127
Includes Typical Broker Commissions trade costs of $6.00
10/1/18 4:12 XGZ8 DAX INDEX SHORT 1 12299.00 10/1 7:48 12285.00 1.59%
Trade id #120111726
Max drawdown($835)
Time10/1/18 4:56
Quant open-1
Worst price12328.00
Drawdown as % of equity-1.59%
$400
Includes Typical Broker Commissions trade costs of $6.00
9/28/18 5:38 XGZ8 DAX INDEX SHORT 1 12334.00 9/28 6:12 12306.50 0.5%
Trade id #120081790
Max drawdown($259)
Time9/28/18 5:46
Quant open-1
Worst price12343.00
Drawdown as % of equity-0.50%
$790
Includes Typical Broker Commissions trade costs of $6.00
9/27/18 3:04 XGZ8 DAX INDEX SHORT 1 12319.50 9/27 3:22 12303.00 0.76%
Trade id #120058934
Max drawdown($390)
Time9/27/18 3:13
Quant open-1
Worst price12333.00
Drawdown as % of equity-0.76%
$476
Includes Typical Broker Commissions trade costs of $6.00
9/26/18 3:13 XGZ8 DAX INDEX SHORT 1 12358.50 9/26 3:38 12343.00 0.43%
Trade id #120036681
Max drawdown($217)
Time9/26/18 3:17
Quant open-1
Worst price12366.00
Drawdown as % of equity-0.43%
$450
Includes Typical Broker Commissions trade costs of $6.00
9/25/18 5:52 XGZ8 DAX INDEX SHORT 1 12352.00 9/25 10:59 12338.00 2.98%
Trade id #120017707
Max drawdown($1,508)
Time9/25/18 7:09
Quant open-1
Worst price12404.00
Drawdown as % of equity-2.98%
$407
Includes Typical Broker Commissions trade costs of $6.00
9/24/18 3:14 XGZ8 DAX INDEX SHORT 1 12374.00 9/24 3:36 12351.00 0.64%
Trade id #119996701
Max drawdown($319)
Time9/24/18 3:18
Quant open-1
Worst price12385.00
Drawdown as % of equity-0.64%
$669
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    9/23/2018
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    51.48
  • Age
    52 days ago
  • What it trades
    Futures
  • # Trades
    28
  • # Profitable
    26
  • % Profitable
    92.90%
  • Avg trade duration
    1.6 hours
  • Max peak-to-valley drawdown
    3.63%
  • drawdown period
    Oct 18, 2018 - Oct 19, 2018
  • Cumul. Return
    24.7%
  • Avg win
    $596.08
  • Avg loss
    $1,264
  • Model Account Values (Raw)
  • Cash
    $62,970
  • Margin Used
    $0
  • Buying Power
    $62,970
  • Ratios
  • W:L ratio
    6.13:1
  • Sharpe Ratio
    16.995
  • Sortino Ratio
    49.956
  • Calmar Ratio
    428.802
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.08500
  • Return Statistics
  • Ann Return (w trading costs)
    336.8%
  • Ann Return (Compnd, No Fees)
    397.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    953
  • Popularity (Last 6 weeks)
    958
  • C2 Score
    90.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Win
    $596
  • Avg Loss
    $1,264
  • # Winners
    26
  • # Losers
    2
  • % Winners
    92.9%
  • Frequency
  • Avg Position Time (mins)
    98.20
  • Avg Position Time (hrs)
    1.64
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    0
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    1.67200

Strategy Description

The strategy is generated by a complex algorithm based on genetic programming and a neural network for pattern identification.
The algorithm optimizes the strategy every night and generates on average one trade per day with a contract but it is possible to operate with several contracts. If the market is very volatile or opens with very large gaps, the risk increases and I tend to manually stop the strategy. The stop loss varies according to volatility.
Many features and performance reports will be available on this site: http://www.steelportfolio.com

Summary Statistics

Strategy began
2018-09-23
Suggested Minimum Capital
$60,000
# Trades
28
# Profitable
26
% Profitable
92.9%
Correlation S&P500
-0.085
Sharpe Ratio
16.995

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