Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW Followed by live capital $119,000 Hypothetical

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PrimeTime Mini Re-load

By JonLechleidner

Futures · Started Jun 2006

hypothetical · Annual Return (Compounded)
0.0%
Max Drawdown
100.0%
Trades
428
Win Trades
68.5%
Profit Factor
1
Win Months
1.6%

About this strategy

Im in the club business, so I sit here every day for the last 10 years and try to figure out this trading business. Ive been charting and trading for that time. Also, Ive done a number of trading courses, and have developed my own system. Im using several different data points, as well as my own system and ideas to come up with profitable trades. I"m trying to use no more than a 2 point stop, some of my trades are scaled into, but Ill never add to what I think is a loser. Best of luck to all C2ers and traders.

Jon

P.S. My system here at C2 is a re-load. On the first day, I tried to get to the top of the C2 list, and got smoked. Then I decided to re-load, and trade my system for real. My re-load has a big dip, because I left one day without a stop in place, my mistake! But as you can see I was able to re-coup, without another re-load, so, I feel good about that. Actually, if I would of known my old system would follow me forever, I would have kept it and tried to get the 30,000 back.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2006-1.8-16.035.1-10.44.2-15.742.925.3
200750.2-99.9-37156.9-20.4-9.2-9.90.00.00.00.00.00.0-196.0
20080.00.00.00.0-25.50.00.00.00.00.00.00.0
20090.00.00.00.00.00.00.00.00.0-0.00.00.0
20100.00.00.00.00.0-0.0-0.0-0.00.0-0.00.0-0.0
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
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began6/29/2006
Suggested Minimum Capital$100,000
Age246 months
What it tradesFutures
# Trades428
# Profitable293
% Profitable68.5%
Avg trade duration3.0 hours
Max peak-to-valley drawdown100.0%
drawdown periodMarch 01, 2007 - March 28, 2007
Annual Return (Compounded)0.0%
Avg win$3,156
Avg loss$6,884

Ratios

W:L ratio1
Sharpe Ratio-1.03
Sortino Ratio-1.07
Calmar Ratio-0.14

CORRELATION STATISTICS

Correlation to SP5000.08
Return Percent SP500 (cumu) during strategy life500.0%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-752.5%

Return Statistics

Ann Return (w trading costs)0.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.4%

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%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)100.0%
Chance of 70% account loss (Monte Carlo)100.0%
Chance of 80% account loss (Monte Carlo)100.0%
Chance of 90% account loss (Monte Carlo)100.0%
Chance of 100% account loss (Monte Carlo)100.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$6,884
Avg Win$3,156
# Winners293
Sum Trade PL (losers)$929,285
Sum Trade PL (winners)$924,643
Num Months Winners4
# Losers135
% Winners68.5%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table10

Frequency

Avg Position Time (mins)178.50
Avg Position Time (hrs)2.97
Avg Trade Length0.10
Last Trade Ago7039

Regression

Alpha0
Beta1.70
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.04
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.08
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades945.79
MAE:PL (avg, all trades)0.05
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats62.14
MAE:PL - Winning Trades - this strat Percentile of All Strats32.22
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.64
Avg(MAE) / Avg(PL) - Losing trades-1.22
Hold-and-Hope Ratio0.01

RATIO STATISTICS

Mean0.06
SD0.53
Sharpe ratio (Glass type estimate)0.11
Sharpe ratio (Hedges UMVUE)0.11
df81
t0.30
p0.38
Lowerbound of 95% confidence interval for Sharpe Ratio-0.64
Upperbound of 95% confidence interval for Sharpe Ratio0.86
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.64
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.86
Sortino ratio0.17
Upside Potential Ratio0.92
Upside part of mean0.34
Downside part of mean-0.27
Upside SD0.39
Downside SD0.36
N nonnegative terms73
N negative terms9
N of observations82
Mean of predictor0.20
Mean of criterion0.06
SD of predictor0.24
SD of criterion0.53
Covariance0.02
r0.14
b (slope, estimate of beta)0.30
a (intercept, estimate of alpha)0.00
Mean Square Error0.28
DF error80
t(b)1.24
p(b)0.11
t(a)0.01
p(a)0.50
Lowerbound of 95% confidence interval for beta-0.18
Upperbound of 95% confidence interval for beta0.78
Lowerbound of 95% confidence interval for alpha-0.41
Upperbound of 95% confidence interval for alpha0.42
Treynor index (mean / b)0.20
Jensen alpha (a)0.00
Mean-0.11
SD0.65
Sharpe ratio (Glass type estimate)-0.17
Sharpe ratio (Hedges UMVUE)-0.17
df81
t-0.46
p0.67
Lowerbound of 95% confidence interval for Sharpe Ratio-0.92
Upperbound of 95% confidence interval for Sharpe Ratio0.58
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.92
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.58
Sortino ratio-0.20
Upside Potential Ratio0.50
Upside part of mean0.28
Downside part of mean-0.39
Upside SD0.31
Downside SD0.56
N nonnegative terms73
N negative terms9
N of observations82
Mean of predictor0.17
Mean of criterion-0.11
SD of predictor0.24
SD of criterion0.65
Covariance0.03
r0.17
b (slope, estimate of beta)0.46
a (intercept, estimate of alpha)-0.19
Mean Square Error0.41
DF error80
t(b)1.58
p(b)0.06
t(a)-0.76
p(a)0.78
Lowerbound of 95% confidence interval for beta-0.12
Upperbound of 95% confidence interval for beta1.05
Lowerbound of 95% confidence interval for alpha-0.69
Upperbound of 95% confidence interval for alpha0.31
Treynor index (mean / b)-0.24
Jensen alpha (a)-0.19
VaR(95%)0.27
Expected Shortfall on VaR0.32
VaR(95%)0.01
Expected Shortfall on VaR0.04
Mean0.34
SD1.02
Sharpe ratio (Glass type estimate)0.34
Sharpe ratio (Hedges UMVUE)0.34
df1800
t0.89
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.41
Upperbound of 95% confidence interval for Sharpe Ratio1.09
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.41
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.09
Sortino ratio0.61
Upside Potential Ratio2.74
Upside part of mean1.55
Downside part of mean-1.20
Upside SD0.85
Downside SD0.56
N nonnegative terms1693
N negative terms108
N of observations1801
Mean of predictor0.28
Mean of criterion0.34
SD of predictor0.52
SD of criterion1.02
Covariance0.07
r0.13
b (slope, estimate of beta)0.26
a (intercept, estimate of alpha)0.27
Mean Square Error1.02
DF error1799
t(b)5.61
p(b)0.42
t(a)0.71
p(a)0.49
Lowerbound of 95% confidence interval for beta0.17
Upperbound of 95% confidence interval for beta0.34
Lowerbound of 95% confidence interval for alpha-0.48
Upperbound of 95% confidence interval for alpha1.03
Treynor index (mean / b)1.35
Jensen alpha (a)0.27
Mean-0.11
SD0.95
Sharpe ratio (Glass type estimate)-0.12
Sharpe ratio (Hedges UMVUE)-0.12
df1800
t-0.31
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.86
Upperbound of 95% confidence interval for Sharpe Ratio0.63
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.86
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.63
Sortino ratio-0.15
Upside Potential Ratio1.81
Upside part of mean1.31
Downside part of mean-1.42
Upside SD0.62
Downside SD0.72
N nonnegative terms1693
N negative terms108
N of observations1801
Mean of predictor0.15
Mean of criterion-0.11
SD of predictor0.52
SD of criterion0.95
Covariance0.07
r0.13
b (slope, estimate of beta)0.24
a (intercept, estimate of alpha)-0.15
Mean Square Error0.89
DF error1799
t(b)5.76
p(b)0.41
t(a)-0.41
p(a)0.51
Lowerbound of 95% confidence interval for beta0.16
Upperbound of 95% confidence interval for beta0.33
Lowerbound of 95% confidence interval for alpha-0.85
Upperbound of 95% confidence interval for alpha0.56
Treynor index (mean / b)-0.46
Jensen alpha (a)-0.15
VaR(95%)0.09
Expected Shortfall on VaR0.11
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.85
Mean of criterion0
SD of predictor0.63
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.64
Mean of criterion0
SD of predictor0.66
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.09
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations82
Minimum0.32
Quartile 11
Median1
Quartile 31
Maximum1.69
Mean of quarter 10.91
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.11
Inter Quartile Range0
Number outliers low9
Percentage of outliers low0.11
Mean of outliers low0.79
Number of outliers high9
Percentage of outliers high0.11
Mean of outliers high1.25
Extreme Value Index (moments method)-1.08
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations1801
Minimum0.41
Quartile 11
Median1
Quartile 31
Maximum2.26
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.02
Inter Quartile Range0
Number outliers low108
Percentage of outliers low0.06
Mean of outliers low0.92
Number of outliers high168
Percentage of outliers high0.09
Mean of outliers high1.06
Extreme Value Index (moments method)0.53
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations2
Minimum0.56
Quartile 10.60
Median0.65
Quartile 30.69
Maximum0.73
Mean of quarter 10.56
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.73
Inter Quartile Range0.09
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations8
Minimum0.00
Quartile 10.00
Median0.07
Quartile 30.54
Maximum0.74
Mean of quarter 10.00
Mean of quarter 20.02
Mean of quarter 30.31
Mean of quarter 40.69
Inter Quartile Range0.54
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-378368416
Max Equity Drawdown (num days)27
Last 4 Months - Pcnt Negative0.5%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.08
Compounded annual return (geometric extrapolation)-0.11
Calmar ratio (compounded annual return / max draw down)-0.15
Compounded annual return / average of 25% largest draw downs-0.15
Compounded annual return / Expected Shortfall lognormal-0.33
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.08
Compounded annual return (geometric extrapolation)-0.11
Calmar ratio (compounded annual return / max draw down)-0.14
Compounded annual return / average of 25% largest draw downs-0.15
Compounded annual return / Expected Shortfall lognormal-0.92
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 122 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES M7short50Jun 5, 2007Jun 5, 2007$2,725
ES M7long20Jun 5, 2007Jun 5, 2007$1,965
ES M7long20Jun 4, 2007Jun 4, 2007$3,965
ES M7short20Jun 4, 2007Jun 4, 2007$90
ES M7long20Jun 1, 2007Jun 1, 2007$4,840
ES M7long20Jun 1, 2007Jun 1, 2007$840
ES M7long50May 31, 2007May 31, 2007$975
ES M7short20May 31, 2007May 31, 2007$3,840
ES M7long80May 29, 2007May 30, 2007$1,610
ES M7short50May 29, 2007May 29, 2007$1,475
ES M7short50May 23, 2007May 23, 2007$225
ES M7long50May 9, 2007May 9, 2007($4,150)
ES M7short50May 8, 2007May 8, 2007$2,725
ES M7short50May 3, 2007May 3, 2007($7,900)
ES M7long90Apr 30, 2007May 1, 2007($30,845)
ES M7long20Apr 27, 2007Apr 27, 2007($160)
ES M7long66Apr 26, 2007Apr 26, 2007$297
ES M7short20Apr 26, 2007Apr 26, 2007$90
ES M7long40Apr 26, 2007Apr 26, 2007($70)
ES M7short60Apr 25, 2007Apr 25, 2007($570)
ES M7short20Apr 25, 2007Apr 25, 2007$2,090
ES M7long40Apr 24, 2007Apr 24, 2007$6,180
ES M7short20Apr 24, 2007Apr 24, 2007$590
ES M7long40Apr 24, 2007Apr 24, 2007$680
ES M7long20Apr 23, 2007Apr 23, 2007$590
ES M7long60Apr 23, 2007Apr 23, 2007$270
ES M7short40Apr 20, 2007Apr 23, 2007$680
ES M7long75Apr 20, 2007Apr 20, 2007$12,713
ES M7long60Apr 9, 2007Apr 9, 2007($7,980)
ES M7long60Apr 4, 2007Apr 4, 2007$1,770

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.