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DeltaHedge

Futures · Started Jul 2007

hypothetical · Annual Return (Compounded)
11.3%
Max Drawdown
15.1%
Trades
4216
Win Trades
45.8%
Profit Factor
1.20
Win Months
5.7%

About this strategy

The DeltaHedge Daily Trading Recommendation Service was developed with the assumption that the market can do virtually ANYTHING on ANY GIVEN DAY...and that NO ONE (not even the "experts") can predict the future. My grandfather had a favorite saying: "If I knew where I was going to die, I wouldnt go there," and, in a sense, this is the over-riding philosophy upon which this system is modeled. The selected futures contracts we will be recommending are: Cocoa, Cotton, Wheat, Soybeans, Soybean Meal and Soybean Oil. After 7:00 PM EST each night, but before the first commoditys main trading session open at 8:00 AM EST, we will post recommendations to enter two contrary futures Stop orders: to BOTH Buy AND Sell the nearby month futures contracts at different levels. Signals should be entered as close to recommendation time as possible, or at least by the individual commodities main trading session opens. All open positions or pending orders should be closed 5 minutes before the individual commodities main trading session closes to make sure we exit all trades by the end of the day. On days when we will be closed and not posting trades, we will notify you well in advance. The obvious question is: If the pending orders placed are contrary, dont the profits/losses cancel one-another? The answer is that the futures markets we have selected for DeltaHedge are some of the MOST DIRECTIONAL (per day) and have some of the MOST CONSTANT VOLATILITIES that we have found among all the futures instruments. On the vast majority of days, only one of the orders (Buy OR Sell) will trigger, and the other order will not. Additionally, the orders triggered to enter are at a certain level away from the Open. The unique feature of the system lies in exactly where these levels are placed. The levels at which we enter each side is essentially just past the "noise" levels of the individual markets. These "noise" levels have been calculated using a complex series of mathematical algorithms that have been determined based on statistics of how each of the selected futures have traded, over time. These levels change on a daily basis. The other essential feature which we made mandatory for the system is that it be LOW MAINTENANCE, meaning one should be able to enter the trades easily at the market opens and not have to worry or touch them until the end of the day when it comes time to close open positions and still-pending orders. THE BOTTOM LINE OF WHAT TO EXPECT FROM PERFORMANCE: With this system, we are not trying to get rich quick. We are looking to make a MODEST OVERALL DAILY PROFIT, on a CONSISTENT DAILY BASIS, with LOW OVERALL DRAWDOWN. We are trading only 1 contract per commodity. As profits grow, you may decide to GRADUALLY and INCREMENTALLY increase the number of positions traded in order to pyramid profits, but ONLY if you achieve a comfortable account balance to support this with proper money management, which is also key. Most futures brokerages require the margin minimums ($2,660 per Cocoa futures contract, $3,780 per Coffee futures contract, $1,820 per Cotton futures contract, $3,375 per Wheat futures contract, $4,725 per Soybeans futures contract, $2,700 per Soybean Meal futures contract and $2,025 per Soybean Oil futures contract). Most brokerages require only half the margin minimums if positions are not held overnight; ours are not. Additionally, since we place two opposing orders, the margin requirements at the time the pending orders are placed is nearly $0, but since one side (Long OR Short) is usually taken on a given day, we recommend you should have at least the day-trading margin minimums ($10,542.50 per all 7 futures contracts) plus at least $10,000 per all 7 futures contracts traded to allow for maximum drawdown over a few days so you will not be "out of the game" if/when this occurs = at LEAST $20,542.50 recommended in your account to trade 1 contract lots. Most successful trades achieve a profit of ~$500-$1,000 (but occasionally much more). On days in which a market moves very little (no weather reports, news, or events), no trades trigger, and our pending orders automatically expire. The worst possibility on a given day is one in which a market moves and triggers a Long or Short trade, reverses hard, and also triggers the opposing Long or Short trade. This happens relatively rarely, and in this case, we will have to absorb a loss equal ONLY to the spread between the opposing trades, usually ~$250-$500. In the world of futures trading, this is a relatively minor loss during a very volatile trading environment. The system has proven to be very profitable with very low drawdown in historical trading for all the back years tested (typically generating ~$100,000+ per all 7 futures contracts, per year, excluding commissions) as well as in real trading in 2006, 2007, 2008 and so far in 2009. We invite you to enjoy the recommendations and to paper trade the system yourself for at least the 7-day Free Trial period to understand its potential. If you like the service, we welcome you to join our family of paid subscribers. We believe you will be able to cover our modest monthly fee with your average daily profit within a few days each month. Happy trading!

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20073.7-0.8-5.611.813.57.232.0
2008-1.716.013.7-0.5-2.2-1.10.03.8-6.02.81.1-6.618.1
2009-9.4-4.0-0.53.13.9-2.2-0.10.10.7-0.00.00.0-8.8
2010-0.20.00.00.00.00.00.00.00.00.00.0-0.0-0.2
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
20180.00.00.00.00.00.00.00.00.00.00.0-0.1-0.1
20190.00.00.00.00.00.00.00.00.00.00.00.0
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 began7/16/2007
Suggested Minimum Capital$100,000
Age233 months
What it tradesFutures
# Trades4216
# Profitable1933
% Profitable45.8%
Avg trade duration3.4 hours
Max peak-to-valley drawdown15.1%
drawdown periodAug 13, 2008 - March 10, 2009
Annual return (compounded)3.9%
Avg win$401
Avg loss$293

Ratios

W:L ratio1.16
Sharpe Ratio-0.01
Sortino Ratio-0.02
Calmar Ratio0.32

CORRELATION STATISTICS

Correlation to SP5000.02
Return Percent SP500 (cumu) during strategy life392.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)97.6%

Return Statistics

Ann Return (w trading costs)11.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)3.9%

Slump

Current Slump as Pcnt Equity28.4%
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 loss6.2%
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$293
Avg Win$401
# Winners1933
Sum Trade PL (losers)$669,969
Sum Trade PL (winners)$774,408
Num Months Winners17
# Losers2283
% Winners45.8%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table231

Frequency

Avg Position Time (mins)204.97
Avg Position Time (hrs)3.42
Avg Trade Length0.10
Last Trade Ago6244

Regression

Alpha0
Beta0.01
Treynor Index0.01

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0
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 trades-20.94
MAE:PL (avg, all trades)-0.55
MAE:PL (avg, losing trades)
MAE:PL - Losing Trades - this strat Percentile of All Strats30.61
MAE:PL - Winning Trades - this strat Percentile of All Strats31.73
MAE:PL (avg, winning trades)
MAE:PL - worst single value for strategy
Avg(MAE) / Avg(PL) - Winning trades0.38
Avg(MAE) / Avg(PL) - Losing trades-1.18
Hold-and-Hope Ratio-0.05

RATIO STATISTICS

a (intercept, estimate of alpha)0.26
VAR (95 Confidence Intrvl)0.05

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)209
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 2457 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
SM U9long1Jul 31, 2009Aug 2, 2009$5
CT Z9long1Jul 31, 2009Jul 31, 2009$92
W U9long1Jul 31, 2009Jul 31, 2009($58)
BO Z9long1Jul 31, 2009Jul 31, 2009($248)
KC U9long1Jul 31, 2009Jul 31, 2009$742
CC U9short1Jul 31, 2009Jul 31, 2009($308)
CT Z9long1Jul 30, 2009Jul 30, 2009($118)
BO Z9long1Jul 30, 2009Jul 30, 2009$472
S X9long1Jul 30, 2009Jul 30, 2009$630
W U9short1Jul 30, 2009Jul 30, 2009$80
KC U9long1Jul 30, 2009Jul 30, 2009($402)
SM U9long1Jul 30, 2009Jul 30, 2009($588)
CC U9short1Jul 30, 2009Jul 30, 2009($308)
BO Z9short1Jul 29, 2009Jul 29, 2009$142
SM U9long1Jul 29, 2009Jul 29, 2009$152
W U9short1Jul 29, 2009Jul 29, 2009$5
CT Z9long1Jul 29, 2009Jul 29, 2009($358)
CC U9long1Jul 29, 2009Jul 29, 2009($288)
KC U9long1Jul 29, 2009Jul 29, 2009($646)
CT Z9long1Jul 28, 2009Jul 28, 2009($118)
S Q9long1Jul 28, 2009Jul 28, 2009$542
BO Q9short1Jul 28, 2009Jul 28, 2009($164)
SM U9long1Jul 28, 2009Jul 28, 2009$72
W U9long1Jul 28, 2009Jul 28, 2009($358)
KC U9short1Jul 28, 2009Jul 28, 2009$367
CC U9long1Jul 28, 2009Jul 28, 2009($288)
SM U9short1Jul 27, 2009Jul 27, 2009($128)
BO Q9short1Jul 27, 2009Jul 27, 2009($62)
W U9long1Jul 27, 2009Jul 27, 2009($108)
CT Z9short1Jul 27, 2009Jul 27, 2009($328)

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.