Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW +44.9% Cumul. Return since Jul 10, 2026 Hypothetical

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Rocket Science-Mini S&P

By TheodoreWatson

Futures · Started Jan 2007

hypothetical · Annual Return (Compounded)
1.8%
Max Drawdown
62.6%
Trades
77
Win Trades
88.3%
Profit Factor
1.20
Win Months
3.4%

About this strategy



-FOR SERIOUS TRADERS AND HEDGE FUNDS ONLY -

Yeah, it

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200752.00.914.020.323.1-11.15.433.89.1-15.8-21.1-21.784.3
2008-22.60.00.00.0-4.60.00.00.00.00.00.00.0-26.2
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 began1/8/2007
Suggested Minimum Capital$100,000
Age240 months
What it tradesFutures
# Trades77
# Profitable68
% Profitable88.3%
Avg trade duration2.8 days
Max peak-to-valley drawdown62.6%
drawdown periodSept 25, 2007 - May 24, 2008
Annual Return (Compounded)1.8%
Avg win$7,110
Avg loss$45,452

Ratios

W:L ratio1.18
Sharpe Ratio0.05
Sortino Ratio0.07
Calmar Ratio-0.11

CORRELATION STATISTICS

Correlation to SP5000.06
Return Percent SP500 (cumu) during strategy life440.6%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-400.0%

Return Statistics

Ann Return (w trading costs)1.8%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)2.9%

Slump

Current Slump as Pcnt Equity167.5%
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)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%

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$45,452
Avg Win$7,110
# Winners68
Sum Trade PL (losers)$409,065
Sum Trade PL (winners)$483,451
Num Months Winners10
# Losers9
% Winners88.3%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table237

Frequency

Avg Position Time (mins)4091.08
Avg Position Time (hrs)68.18
Avg Trade Length2.80
Last Trade Ago6826

Regression

Alpha0
Beta0.05
Treynor Index0.06

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.08
MAE:Equity, 95th Percentile Value for this strat0.38
MAE:Equity, average, losing trades0.27
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.06
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades36.66
MAE:PL (avg, all trades)1.49
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats6.50
MAE:PL - Winning Trades - this strat Percentile of All Strats32.93
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.61
Avg(MAE) / Avg(PL) - Losing trades-1.12
Hold-and-Hope Ratio0.03

RATIO STATISTICS

Mean0.05
SD0.51
Sharpe ratio (Glass type estimate)0.09
Sharpe ratio (Hedges UMVUE)0.09
df75
t0.24
p0.41
Lowerbound of 95% confidence interval for Sharpe Ratio-0.69
Upperbound of 95% confidence interval for Sharpe Ratio0.87
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.69
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.87
Sortino ratio0.16
Upside Potential Ratio1.03
Upside part of mean0.32
Downside part of mean-0.27
Upside SD0.40
Downside SD0.31
N nonnegative terms67
N negative terms9
N of observations76
Mean of predictor0.20
Mean of criterion0.05
SD of predictor0.28
SD of criterion0.51
Covariance0.04
r0.32
b (slope, estimate of beta)0.58
a (intercept, estimate of alpha)-0.07
Mean Square Error0.24
DF error74
t(b)2.86
p(b)0.00
t(a)-0.34
p(a)0.63
Lowerbound of 95% confidence interval for beta0.18
Upperbound of 95% confidence interval for beta0.99
Lowerbound of 95% confidence interval for alpha-0.46
Upperbound of 95% confidence interval for alpha0.33
Treynor index (mean / b)0.08
Jensen alpha (a)-0.07
Mean-0.07
SD0.50
Sharpe ratio (Glass type estimate)-0.15
Sharpe ratio (Hedges UMVUE)-0.15
df75
t-0.37
p0.64
Lowerbound of 95% confidence interval for Sharpe Ratio-0.93
Upperbound of 95% confidence interval for Sharpe Ratio0.63
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.93
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.63
Sortino ratio-0.19
Upside Potential Ratio0.66
Upside part of mean0.26
Downside part of mean-0.34
Upside SD0.31
Downside SD0.40
N nonnegative terms67
N negative terms9
N of observations76
Mean of predictor0.16
Mean of criterion-0.07
SD of predictor0.28
SD of criterion0.50
Covariance0.04
r0.30
b (slope, estimate of beta)0.55
a (intercept, estimate of alpha)-0.16
Mean Square Error0.23
DF error74
t(b)2.74
p(b)0.00
t(a)-0.83
p(a)0.80
Lowerbound of 95% confidence interval for beta0.15
Upperbound of 95% confidence interval for beta0.94
Lowerbound of 95% confidence interval for alpha-0.55
Upperbound of 95% confidence interval for alpha0.23
Treynor index (mean / b)-0.14
Jensen alpha (a)-0.16
VaR(95%)0.22
Expected Shortfall on VaR0.26
VaR(95%)0.01
Expected Shortfall on VaR0.05
Mean0.48
SD1.15
Sharpe ratio (Glass type estimate)0.42
Sharpe ratio (Hedges UMVUE)0.42
df1666
t1.06
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.36
Upperbound of 95% confidence interval for Sharpe Ratio1.20
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.36
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.20
Sortino ratio0.81
Upside Potential Ratio3.16
Upside part of mean1.88
Downside part of mean-1.39
Upside SD0.98
Downside SD0.59
N nonnegative terms1522
N negative terms145
N of observations1667
Mean of predictor0.38
Mean of criterion0.48
SD of predictor0.69
SD of criterion1.15
Covariance0.21
r0.26
b (slope, estimate of beta)0.43
a (intercept, estimate of alpha)0.32
Mean Square Error1.23
DF error1665
t(b)10.99
p(b)0.34
t(a)0.72
p(a)0.49
Lowerbound of 95% confidence interval for beta0.35
Upperbound of 95% confidence interval for beta0.51
Lowerbound of 95% confidence interval for alpha-0.54
Upperbound of 95% confidence interval for alpha1.18
Treynor index (mean / b)1.12
Jensen alpha (a)0.32
Mean-0.07
SD1.06
Sharpe ratio (Glass type estimate)-0.07
Sharpe ratio (Hedges UMVUE)-0.07
df1666
t-0.18
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.85
Upperbound of 95% confidence interval for Sharpe Ratio0.71
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.85
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.71
Sortino ratio-0.09
Upside Potential Ratio1.98
Upside part of mean1.58
Downside part of mean-1.65
Upside SD0.69
Downside SD0.80
N nonnegative terms1522
N negative terms145
N of observations1667
Mean of predictor0.15
Mean of criterion-0.07
SD of predictor0.67
SD of criterion1.06
Covariance0.20
r0.28
b (slope, estimate of beta)0.45
a (intercept, estimate of alpha)-0.14
Mean Square Error1.03
DF error1665
t(b)12.08
p(b)0.32
t(a)-0.35
p(a)0.51
Lowerbound of 95% confidence interval for beta0.37
Upperbound of 95% confidence interval for beta0.52
Lowerbound of 95% confidence interval for alpha-0.93
Upperbound of 95% confidence interval for alpha0.65
Treynor index (mean / b)-0.17
Jensen alpha (a)-0.14
VaR(95%)0.10
Expected Shortfall on VaR0.13
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 predictor0.90
Mean of criterion0
SD of predictor0.57
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 predictor0.73
Mean of criterion0
SD of predictor0.58
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)0.10
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 observations76
Minimum0.51
Quartile 11
Median1
Quartile 31
Maximum1.89
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 low0.12
Mean of outliers low0.81
Number of outliers high9
Percentage of outliers high0.12
Mean of outliers high1.22
Extreme Value Index (moments method)-7.31
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)-0.32
VaR(95%) (regression method)0.13
Expected Shortfall (regression method)0.25
Number of observations1667
Minimum0.35
Quartile 11
Median1
Quartile 31
Maximum2.73
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.03
Inter Quartile Range0
Number outliers low145
Percentage of outliers low0.09
Mean of outliers low0.94
Number of outliers high184
Percentage of outliers high0.11
Mean of outliers high1.06
Extreme Value Index (moments method)0.60
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.01
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 observations3
Minimum0.42
Quartile 10.45
Median0.49
Quartile 30.49
Maximum0.49
Mean of quarter 10.42
Mean of quarter 20.49
Mean of quarter 30
Mean of quarter 40.49
Inter Quartile Range0.03
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 observations4
Minimum0.51
Quartile 10.55
Median0.60
Quartile 30.64
Maximum0.67
Mean of quarter 10.51
Mean of quarter 20.57
Mean of quarter 30.63
Mean of quarter 40.67
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 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?-403167328
Max Equity Drawdown (num days)242
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.06
Compounded annual return (geometric extrapolation)-0.07
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-0.27
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.06
Compounded annual return (geometric extrapolation)-0.07
Calmar ratio (compounded annual return / max draw down)-0.11
Compounded annual return / average of 25% largest draw downs-0.11
Compounded annual return / Expected Shortfall lognormal-0.57
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 81 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES H8long25Dec 27, 2007Jan 4, 2008($63,638)
ES Z7long25Dec 12, 2007Dec 21, 2007($42,075)
ES Z7short25Dec 11, 2007Dec 11, 2007$3,863
ES Z7long25Dec 10, 2007Dec 11, 2007$6,050
ES Z7long25Nov 14, 2007Nov 30, 2007$6,363
ES Z7long25Nov 13, 2007Nov 14, 2007$7,925
ES Z7long25Nov 13, 2007Nov 13, 2007$6,050
ES Z7long25Nov 8, 2007Nov 8, 2007$3,863
ES Z7long25Oct 17, 2007Nov 7, 2007($92,388)
ES Z7short25Oct 12, 2007Oct 15, 2007$3,550
ES Z7short25Sep 26, 2007Oct 11, 2007($68,013)
ES Z7short25Sep 24, 2007Sep 25, 2007$3,550
ES Z7short25Sep 24, 2007Sep 24, 2007$6,050
ES Z7long25Sep 20, 2007Sep 21, 2007$6,363
ES Z7long25Sep 19, 2007Sep 19, 2007$6,363
ES Z7long25Sep 18, 2007Sep 19, 2007$6,675
ES U7long25Sep 5, 2007Sep 18, 2007$6,988
ES U7long25Sep 4, 2007Sep 4, 2007$6,050
ES U7short25Aug 30, 2007Aug 30, 2007$3,550
ES U7short25Aug 29, 2007Aug 29, 2007$3,550
ES U7short25Aug 29, 2007Aug 29, 2007$3,863
ES U7short25Aug 28, 2007Aug 28, 2007$3,863
ES U7long25Aug 23, 2007Aug 24, 2007$6,675
ES U7long25Aug 22, 2007Aug 22, 2007$6,363
ES U7long25Aug 21, 2007Aug 22, 2007$6,363
ES U7long25Aug 17, 2007Aug 20, 2007$5,738
ES U7short25Aug 17, 2007Aug 17, 2007$3,550
ES U7short25Aug 16, 2007Aug 16, 2007$3,550
ES U7short25Aug 16, 2007Aug 16, 2007$3,863
ES U7long25Aug 16, 2007Aug 16, 2007$6,675

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.