Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW +40.3% Cumul. Return since Jul 10, 2026 Hypothetical

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ER2 Time Series Forecasting

By ZhigangLiu

Futures · Started Mar 2006

hypothetical · Annual Return (Compounded)
-23.4%
Max Drawdown
93.8%
Trades
159
Win Trades
64.8%
Profit Factor
0.60
Win Months
0.4%

About this strategy

Using hybrid time series forecasting combined with AI to determine the intraday movement of the e-minis. ER2 has the lagest intraday movement among all the e-minis, so it is chosen as the primary trading tool.

Long term time series forecasting is very difficult, if not impossible. But for short term, like the intraday movement, I am very happy with the result.

The ultimate goal for a day trading system is to make money everyday at the end of the day.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200629.9-97.2-785.1-19.3-0.5-6.0-4.90.00.00.0-130.3
20070.00.00.00.00.00.00.00.00.00.00.00.0
20080.00.00.00.0-1.00.00.00.00.00.00.00.0
20090.00.00.00.00.00.00.00.00.0-0.10.00.0
20100.00.00.00.00.0-0.1-0.1-0.1-0.00.00.0-0.0
20110.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began3/20/2006
Suggested Minimum Capital$100,000
Age249 months
What it tradesFutures
# Trades159
# Profitable103
% Profitable64.8%
Avg trade duration11.4 hours
Max peak-to-valley drawdown93.8%
drawdown periodMarch 31, 2006 - Sept 05, 2006
Annual return (compounded)-10.1%
Avg win$1,522
Avg loss$4,385

Ratios

W:L ratio0.64
Sharpe Ratio-4.54
Sortino Ratio-4.38
Calmar Ratio-0.00

CORRELATION STATISTICS

Correlation to SP5000.04
Return Percent SP500 (cumu) during strategy life484.1%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-119.4%

Return Statistics

Ann Return (w trading costs)-23.4%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-10.1%

Slump

Current Slump as Pcnt Equity—
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$4,385
Avg Win$1,522
# Winners103
Sum Trade PL (losers)$245,580
Sum Trade PL (winners)$156,780
Num Months Winners1
# Losers56
% Winners64.8%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table3

Frequency

Avg Position Time (mins)683.60
Avg Position Time (hrs)11.39
Avg Trade Length0.50
Last Trade Ago7305

Regression

Alpha0
Beta3.20
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.12
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.27
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.04
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-6.33
MAE:PL (avg, all trades)0.10
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats54.83
MAE:PL - Winning Trades - this strat Percentile of All Strats43.32
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.70
Avg(MAE) / Avg(PL) - Losing trades-1.30
Hold-and-Hope Ratio-0.16

RATIO STATISTICS

a (intercept, estimate of alpha)3.39
VAR (95 Confidence Intrvl)0.18

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)158
Last 4 Months - Pcnt Negative0.5%

Trading record

SymbolSideQtyOpenedClosedP/L
ER2 U6long1Sep 7, 2006Sep 7, 2006$132
ER2 U6short1Jul 11, 2006Sep 7, 2006($128)
ER2 U6long1Jul 11, 2006Jul 11, 2006($8)
ER2 U6short5Jun 14, 2006Jun 14, 2006($3,040)
ER2 U6long5Jun 14, 2006Jun 14, 2006($1,190)
ER2 U6short5Jun 14, 2006Jun 14, 2006($540)
ER2 M6long1May 31, 2006May 31, 2006$302
ER2 M6long1May 31, 2006May 31, 2006$42
ER2 M6long1May 31, 2006May 31, 2006$2
ER2 M6long10May 30, 2006May 30, 2006($9,380)
ER2 M6short10May 2, 2006May 5, 2006($20,780)
ER2 M6long10May 1, 2006May 2, 2006($380)
ER2 M6long10May 1, 2006May 1, 2006$1,420
ER2 M6long10Apr 28, 2006Apr 28, 2006$520
ER2 M6short10Apr 28, 2006Apr 28, 2006$420
ER2 M6long10Apr 26, 2006Apr 27, 2006$2,520
ER2 M6short10Apr 26, 2006Apr 26, 2006$1,420
ER2 M6short10Apr 26, 2006Apr 26, 2006$720
ER2 M6long10Apr 26, 2006Apr 26, 2006$1,520
ER2 M6long10Apr 25, 2006Apr 25, 2006$420
ER2 M6long10Apr 25, 2006Apr 25, 2006$620
ER2 M6short10Apr 25, 2006Apr 25, 2006$820
ER2 M6long10Apr 24, 2006Apr 24, 2006($180)
ER2 M6short10Apr 24, 2006Apr 24, 2006($180)
ER2 M6long10Apr 24, 2006Apr 24, 2006$120
ER2 M6long10Apr 24, 2006Apr 24, 2006$520
ER2 M6short10Apr 24, 2006Apr 24, 2006$1,820
ER2 M6long10Apr 24, 2006Apr 24, 2006($680)
ER2 M6short20Apr 20, 2006Apr 20, 2006($7,760)
ER2 M6short10Apr 20, 2006Apr 20, 2006$220

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.