Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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eQuants Daily7

By QuantitativeTradin

Futures · Started Jul 2008

hypothetical · Annual Return (Compounded)
4.0%
Max Drawdown
37.5%
Trades
434
Win Trades
47.0%
Profit Factor
1.30
Win Months
3.7%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200821.033.026.545.80.63.3208.3
2009-2.6-0.1-0.0-2.51.6-0.6-2.91.1-0.5-6.9-9.1-6.2-25.7
20100.00.00.00.00.00.00.00.00.00.00.0-0.00.0
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
20140.00.00.00.00.00.00.00.0-0.00.00.00.0-0.0
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
20200.0-11.00.00.00.00.00.00.00.00.00.00.0-11.0
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 began7/16/2008
Suggested Minimum Capital$19,999
Age221 months
What it tradesFutures
# Trades434
# Profitable204
% Profitable47.0%
Avg trade duration2.9 hours
Max peak-to-valley drawdown37.5%
drawdown periodDec 12, 2008 - Feb 14, 2020
Annual Return (Compounded)4.0%
Avg win$577
Avg loss$384

Ratios

W:L ratio1.33
Sharpe Ratio0.24
Sortino Ratio0.56
Calmar Ratio0.30

CORRELATION STATISTICS

Correlation to SP500-0.00
Return Percent SP500 (cumu) during strategy life513.0%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-410.9%

Return Statistics

Ann Return (w trading costs)4.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)5.2%

Slump

Current Slump as Pcnt Equity57.4%
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 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)—

Automation

Percentage Signals Automated15.2%

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$384
Avg Win$577
# Winners204
Sum Trade PL (losers)$88,424
Sum Trade PL (winners)$117,667
Num Months Winners10
# Losers230
% Winners47.0%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table219

Frequency

Avg Position Time (mins)176.78
Avg Position Time (hrs)2.95
Avg Trade Length0.10
Last Trade Ago2401

Regression

Alpha0.01
Beta0
Treynor Index-4.09

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.07
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 trades6.24
MAE:PL (avg, all trades)-0.62
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats49.67
MAE:PL - Winning Trades - this strat Percentile of All Strats26.50
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.34
Avg(MAE) / Avg(PL) - Losing trades-1.15
Hold-and-Hope Ratio0.16

RATIO STATISTICS

Mean0.39
SD0.97
Sharpe ratio (Glass type estimate)0.41
Sharpe ratio (Hedges UMVUE)0.40
df69
t0.98
p0.16
Lowerbound of 95% confidence interval for Sharpe Ratio-0.41
Upperbound of 95% confidence interval for Sharpe Ratio1.22
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.41
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.22
Sortino ratio1.94
Upside Potential Ratio2.61
Upside part of mean0.53
Downside part of mean-0.14
Upside SD0.95
Downside SD0.20
N nonnegative terms58
N negative terms12
N of observations70
Mean of predictor0.36
Mean of criterion0.39
SD of predictor0.35
SD of criterion0.97
Covariance-0.14
r-0.42
b (slope, estimate of beta)-1.15
a (intercept, estimate of alpha)0.80
Mean Square Error0.78
DF error68
t(b)-3.83
p(b)1.00
t(a)2.11
p(a)0.02
Lowerbound of 95% confidence interval for beta-1.76
Upperbound of 95% confidence interval for beta-0.55
Lowerbound of 95% confidence interval for alpha0.04
Upperbound of 95% confidence interval for alpha1.56
Treynor index (mean / b)-0.34
Jensen alpha (a)0.80
Mean0.16
SD0.59
Sharpe ratio (Glass type estimate)0.28
Sharpe ratio (Hedges UMVUE)0.28
df69
t0.68
p0.25
Lowerbound of 95% confidence interval for Sharpe Ratio-0.53
Upperbound of 95% confidence interval for Sharpe Ratio1.09
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.54
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.09
Sortino ratio0.61
Upside Potential Ratio1.22
Upside part of mean0.33
Downside part of mean-0.17
Upside SD0.52
Downside SD0.27
N nonnegative terms58
N negative terms12
N of observations70
Mean of predictor0.29
Mean of criterion0.16
SD of predictor0.35
SD of criterion0.59
Covariance-0.10
r-0.51
b (slope, estimate of beta)-0.86
a (intercept, estimate of alpha)0.41
Mean Square Error0.26
DF error68
t(b)-4.88
p(b)1
t(a)1.91
p(a)0.03
Lowerbound of 95% confidence interval for beta-1.21
Upperbound of 95% confidence interval for beta-0.51
Lowerbound of 95% confidence interval for alpha-0.02
Upperbound of 95% confidence interval for alpha0.85
Treynor index (mean / b)-0.19
Jensen alpha (a)0.41
VaR(95%)0.23
Expected Shortfall on VaR0.28
VaR(95%)0.01
Expected Shortfall on VaR0.03
Mean0.77
SD1.21
Sharpe ratio (Glass type estimate)0.64
Sharpe ratio (Hedges UMVUE)0.64
df1541
t1.54
p0.48
Lowerbound of 95% confidence interval for Sharpe Ratio-0.17
Upperbound of 95% confidence interval for Sharpe Ratio1.44
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.17
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.44
Sortino ratio1.33
Upside Potential Ratio3.13
Upside part of mean1.81
Downside part of mean-1.04
Upside SD1.07
Downside SD0.58
N nonnegative terms1406
N negative terms136
N of observations1542
Mean of predictor0.44
Mean of criterion0.77
SD of predictor0.53
SD of criterion1.21
Covariance-0.33
r-0.52
b (slope, estimate of beta)-1.19
a (intercept, estimate of alpha)1.30
Mean Square Error1.08
DF error1540
t(b)-23.75
p(b)0.76
t(a)3.04
p(a)0.46
Lowerbound of 95% confidence interval for beta-1.29
Upperbound of 95% confidence interval for beta-1.09
Lowerbound of 95% confidence interval for alpha0.46
Upperbound of 95% confidence interval for alpha2.14
Treynor index (mean / b)-0.65
Jensen alpha (a)1.30
Mean0.16
SD1.09
Sharpe ratio (Glass type estimate)0.15
Sharpe ratio (Hedges UMVUE)0.15
df1541
t0.36
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.66
Upperbound of 95% confidence interval for Sharpe Ratio0.96
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.66
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.96
Sortino ratio0.21
Upside Potential Ratio1.88
Upside part of mean1.45
Downside part of mean-1.29
Upside SD0.77
Downside SD0.77
N nonnegative terms1406
N negative terms136
N of observations1542
Mean of predictor0.31
Mean of criterion0.16
SD of predictor0.52
SD of criterion1.09
Covariance-0.32
r-0.56
b (slope, estimate of beta)-1.17
a (intercept, estimate of alpha)0.53
Mean Square Error0.81
DF error1540
t(b)-26.66
p(b)0.78
t(a)1.41
p(a)0.48
Lowerbound of 95% confidence interval for beta-1.26
Upperbound of 95% confidence interval for beta-1.09
Lowerbound of 95% confidence interval for alpha-0.20
Upperbound of 95% confidence interval for alpha1.25
Treynor index (mean / b)-0.14
Jensen alpha (a)0.53
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 predictor1.30
Mean of criterion0
SD of predictor0.54
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 predictor1.15
Mean of criterion0
SD of predictor0.53
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 observations70
Minimum0.53
Quartile 11
Median1
Quartile 31
Maximum3.23
Mean of quarter 10.96
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.17
Inter Quartile Range0
Number outliers low12
Percentage of outliers low0.17
Mean of outliers low0.93
Number of outliers high10
Percentage of outliers high0.14
Mean of outliers high1.31
Extreme Value Index (moments method)-4.18
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)0.77
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.13
Number of observations1542
Minimum0.41
Quartile 11
Median1
Quartile 31
Maximum2.45
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.03
Inter Quartile Range0
Number outliers low136
Percentage of outliers low0.09
Mean of outliers low0.95
Number of outliers high126
Percentage of outliers high0.08
Mean of outliers high1.08
Extreme Value Index (moments method)1.71
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0
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
Minimum0.27
Quartile 10.32
Median0.37
Quartile 30.42
Maximum0.47
Mean of quarter 10.27
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.47
Inter Quartile Range0.10
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 observations7
Minimum0.05
Quartile 10.22
Median0.46
Quartile 30.52
Maximum0.59
Mean of quarter 10.11
Mean of quarter 20.37
Mean of quarter 30.51
Mean of quarter 40.56
Inter Quartile Range0.29
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?-409239392
Max Equity Drawdown (num days)4081
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.28
Compounded annual return (geometric extrapolation)0.18
Calmar ratio (compounded annual return / max draw down)0.38
Compounded annual return / average of 25% largest draw downs0.38
Compounded annual return / Expected Shortfall lognormal0.63
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.27
Compounded annual return (geometric extrapolation)0.18
Calmar ratio (compounded annual return / max draw down)0.30
Compounded annual return / average of 25% largest draw downs0.32
Compounded annual return / Expected Shortfall lognormal1.37
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 590 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES H0long1Feb 13, 2020Feb 17, 2020$455
ES H0short1Feb 13, 2020Feb 13, 2020($171)
ES H0short1Feb 12, 2020Feb 12, 2020$67
ES H0long1Feb 12, 2020Feb 12, 2020($208)
NQ H0short1Feb 12, 2020Feb 12, 2020$32
NQ H0long1Feb 12, 2020Feb 12, 2020($18)
NQ H0short1Feb 12, 2020Feb 12, 2020($133)
ES H0short1Feb 12, 2020Feb 12, 2020($83)
NQ H0short2Feb 12, 2020Feb 12, 2020($266)
NQ H0long1Feb 12, 2020Feb 12, 2020($258)
NQ H0short1Feb 12, 2020Feb 12, 2020($28)
ES H0long1Feb 12, 2020Feb 12, 2020$92
NQ H0long2Feb 12, 2020Feb 12, 2020$54
ES H0long1Feb 12, 2020Feb 12, 2020$42
ES H0short1Feb 10, 2020Feb 12, 2020($2,671)
NQ H0long1Feb 12, 2020Feb 12, 2020($68)
NQ H0short1Feb 11, 2020Feb 11, 2020$2
YM H0short1Feb 10, 2020Feb 10, 2020($53)
YM H0short1Feb 10, 2020Feb 10, 2020$7
YM H0long1Feb 10, 2020Feb 10, 2020$22
YM H0long1Feb 10, 2020Feb 10, 2020$22
YM H0short1Feb 10, 2020Feb 10, 2020($28)
ES H0short1Feb 7, 2020Feb 7, 2020$767
ES H0long1Feb 7, 2020Feb 7, 2020($96)
NQ H0short1Feb 6, 2020Feb 6, 2020$42
YM H0short1Feb 6, 2020Feb 6, 2020$17
YM H0long1Feb 6, 2020Feb 6, 2020$42
ES H0short2Feb 6, 2020Feb 6, 2020$72
ES H0short1Feb 6, 2020Feb 6, 2020($21)
ES H0long1Feb 6, 2020Feb 6, 2020($71)

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.