Collective2 Collective2
Featured Strategy Iberia Capital Strategy Followed by live capital $29,300 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it

Killed system

By PaulL2

Futures · Started Apr 2008

hypothetical · Annual Return (Compounded)
18.5%
Max Drawdown
28.7%
Trades
177
Win Trades
48.6%
Profit Factor
1.30
Win Months
6.3%

About this strategy

7-6-09/ System is offered at no cost until new equity highs are reached

7-7-2010/ System seems to have picked up where it left off in 2008. This system is price and Volitility based and up until now doesn't seem to perform very well in lower volitility environments. After watching the system in the drawdown period I feel I have now corrected(with a few minor adjustments) the problem and I believe this system will now perform in all market conditions. I do believe after further manual backtest that this system will always perform better in higher volitility environments but the equity curve should now continue to rise or stay flat in lower volitility. The fact that this system is able to dig its way out of a drawdown and seems to be on its way to new equity highs is very promising. Remember that the low number of trades that this system produces every month is to the traders benefit in keeping commissions as low as possible. S&P Mini Rainmaker will always trade just one contract on C2, that way its easier for the subscriber to adjust the number of contracts they would like to trade in there own account based on there own risk tolerance.
-The above statement is my opinion. There are obviously no guarantees in trading.


















































Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200819.912.3-1.3-8.013.14.57.820.24.294.9
20095.6-11.3-4.4-4.8-3.8-4.31.3-5.7-0.2-0.2-2.2-3.1-29.3
20102.6-4.8-0.2-0.417.47.50.4-1.80.8-7.9-0.3-0.011.8
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
20190.00.00.00.00.00.00.00.00.00.00.00.0
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 began4/23/2008
Suggested Minimum Capital$10,000
Age224 months
What it tradesFutures
# Trades177
# Profitable86
% Profitable48.6%
Avg trade duration6.4 hours
Max peak-to-valley drawdown28.7%
drawdown periodJan 29, 2009 - Jan 04, 2010
Annual return (compounded)3.5%
Avg win$409
Avg loss$289

Ratios

W:L ratio1.34
Sharpe Ratio0.08
Sortino Ratio0.13
Calmar Ratio0.17

CORRELATION STATISTICS

Correlation to SP500-0.03
Return Percent SP500 (cumu) during strategy life453.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)66.8%

Return Statistics

Ann Return (w trading costs)18.5%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)3.5%

Slump

Current Slump as Pcnt Equity33.6%
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 loss18.8%
Chance of 20% account loss11.8%
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$289
Avg Win$409
# Winners86
Sum Trade PL (losers)$26,286
Sum Trade PL (winners)$35,197
Num Months Winners15
# Losers91
% Winners48.6%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table222

Frequency

Avg Position Time (mins)382.40
Avg Position Time (hrs)6.37
Avg Trade Length0.30
Last Trade Ago5791

Regression

Alpha0
Beta-0.01
Treynor Index-0.16

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.02
MAE:Equity, average, losing trades0.02
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades6.46
MAE:PL (avg, all trades)-0.35
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats45.10
MAE:PL - Winning Trades - this strat Percentile of All Strats45.35
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.32
Avg(MAE) / Avg(PL) - Losing trades-1.16
Hold-and-Hope Ratio0.15

RATIO STATISTICS

a (intercept, estimate of alpha)0.38
VAR (95 Confidence Intrvl)0.05

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)340
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 227 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES Z0short1Nov 1, 2010Nov 1, 2010($46)
ES Z0long1Oct 29, 2010Oct 29, 2010$17
ES Z0short1Oct 27, 2010Oct 27, 2010($208)
ES Z0long1Oct 20, 2010Oct 20, 2010$80
ES Z0long1Oct 19, 2010Oct 19, 2010($608)
ES Z0short1Oct 13, 2010Oct 13, 2010($388)
ES Z0short1Sep 30, 2010Sep 30, 2010($158)
ES Z0short1Sep 29, 2010Sep 29, 2010($50)
ES Z0long1Sep 15, 2010Sep 15, 2010$355
ES U0short1Sep 9, 2010Sep 9, 2010($87)
ES U0long1Sep 8, 2010Sep 8, 2010$17
ES U0long1Aug 31, 2010Aug 31, 2010($25)
ES U0long1Aug 27, 2010Aug 27, 2010$430
ES U0short1Aug 24, 2010Aug 24, 2010($289)
ES U0long1Aug 17, 2010Aug 17, 2010($221)
ES U0long1Aug 16, 2010Aug 16, 2010$80
ES U0short1Aug 6, 2010Aug 6, 2010($233)
ES U0long1Jul 29, 2010Jul 29, 2010($688)
ES U0long1Jul 27, 2010Jul 27, 2010($8)
ES U0long1Jul 22, 2010Jul 22, 2010($8)
ES U0short1Jul 15, 2010Jul 15, 2010($396)
ES U0short1Jul 14, 2010Jul 14, 2010($83)
ES U0long1Jul 7, 2010Jul 7, 2010$842
ES U0short1Jul 6, 2010Jul 6, 2010$480
ES U0short1Jun 29, 2010Jun 29, 2010$555
ES U0short1Jun 24, 2010Jun 24, 2010$242
ES M0long1Jun 10, 2010Jun 10, 2010$505
ES M0short1Jun 9, 2010Jun 9, 2010$130
ES M0long1Jun 1, 2010Jun 1, 2010($196)
ES M0long1May 25, 2010May 25, 2010$280

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.