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Short-Term Stock Index Program

By BundleTrader

Futures · Started Jun 2006

hypothetical · Annual Return (Compounded)
9.5%
Max Drawdown
4.3%
Trades
198
Win Trades
55.1%
Profit Factor
2.50
Win Months
3.7%

About this strategy



This is a CTA program tracked here at Collective2 for auditing purposes at the request of a potential client.





Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200612.10.10.8-1.54.710.94.134.6
20074.56.9-0.0-0.0-0.0-0.0-0.03.0-1.40.00.00.013.3
20080.00.00.00.0-1.60.00.00.00.00.00.00.0-1.6
20090.00.00.00.00.00.00.00.00.0-0.00.00.0-0.0
20100.00.00.00.00.00.0-0.00.00.00.00.0-0.00.0
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began6/14/2006
Suggested Minimum Capital$100,000
Age247 months
What it tradesFutures
# Trades198
# Profitable109
% Profitable55.1%
Avg trade duration12.0 hours
Max peak-to-valley drawdown4.3%
drawdown periodAug 18, 2006 - Sept 21, 2006
Annual return (compounded)2.4%
Avg win$914
Avg loss$445

Ratios

W:L ratio2.52
Sharpe Ratio0.01
Sortino Ratio0.02
Calmar Ratio0.06

CORRELATION STATISTICS

Correlation to SP5000.04
Return Percent SP500 (cumu) during strategy life519.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)23.5%

Return Statistics

Ann Return (w trading costs)9.5%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)2.4%

Slump

Current Slump as Pcnt Equity4.4%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

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

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss0.0%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

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$445
Avg Win$914
# Winners109
Sum Trade PL (losers)$39,627
Sum Trade PL (winners)$99,665
Num Months Winners11
# Losers89
% Winners55.0%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table244

Frequency

Avg Position Time (mins)718.90
Avg Position Time (hrs)11.98
Avg Trade Length0.50
Last Trade Ago6942

Regression

Alpha0
Beta0.01
Treynor Index0.07

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades1.71
MAE:PL (avg, all trades)-0.29
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats67.67
MAE:PL - Winning Trades - this strat Percentile of All Strats53.65
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.45
Avg(MAE) / Avg(PL) - Losing trades-1.49
Hold-and-Hope Ratio0.58

RATIO STATISTICS

a (intercept, estimate of alpha)-0.01
VAR (95 Confidence Intrvl)0.03

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)34
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 503 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES U7long1Sep 10, 2007Sep 10, 2007($146)
ES U7short1Sep 10, 2007Sep 10, 2007$17
ES U7long3Sep 10, 2007Sep 10, 2007($574)
ES U7long2Sep 6, 2007Sep 10, 2007($829)
ES U7short1Sep 6, 2007Sep 6, 2007($183)
ES U7long1Sep 5, 2007Sep 6, 2007$155
ES U7short1Sep 5, 2007Sep 5, 2007($221)
ES U7long1Sep 5, 2007Sep 5, 2007($358)
ES U7short1Aug 31, 2007Aug 31, 2007($471)
ES U7long4Aug 30, 2007Aug 31, 2007($1,020)
ES U7short2Aug 30, 2007Aug 30, 2007($341)
ES U7long1Aug 29, 2007Aug 29, 2007$505
ES U7long1Aug 29, 2007Aug 29, 2007$92
ES U7short3Aug 28, 2007Aug 28, 2007$1,526
ES U7short1Aug 27, 2007Aug 27, 2007$417
ES U7long1Aug 24, 2007Aug 24, 2007$792
ES U7short1Aug 23, 2007Aug 24, 2007$17
ES U7short1Aug 20, 2007Aug 20, 2007($508)
ES U7long1Aug 20, 2007Aug 20, 2007($483)
ES U7long2Aug 16, 2007Aug 17, 2007$1,222
ES U7short3Aug 16, 2007Aug 16, 2007$2,876
ES H7long18Feb 12, 2007Feb 13, 2007$2,469
ES H7short9Feb 9, 2007Feb 9, 2007$2,000
ES H7long3Feb 8, 2007Feb 8, 2007($99)
ES H7short6Feb 7, 2007Feb 7, 2007($136)
ES H7long11Feb 5, 2007Feb 7, 2007$725
ES H7long11Jan 30, 2007Feb 2, 2007$3,637
ES H7short3Jan 29, 2007Jan 30, 2007($174)
ES H7long5Jan 26, 2007Jan 26, 2007$193
ES H7short2Jan 25, 2007Jan 25, 2007$809

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.