Collective2 Collective2

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

4 Point Stop in the S&P

By CraigBender2

Futures · Started Aug 2008

hypothetical · Annual Return (Compounded)
-58.7%
Max Drawdown
100.0%
Trades
119
Win Trades
56.3%
Profit Factor
0.80
Win Months
0.9%

About this strategy

I will be using a 4 point stop on most trades. A max of 6-7 will be used on rare occasions, but a stop will usually be in place. I believe this will allow me to minimize the big losses and keep the equity going up. It will cause the win % to be a bit lower, but I think that is acceptable to smooth out the curve and help everyone sleep a little better at night.
Good luck!!

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200877.657.9-133.30.00.0-193.4
20090.0-2.60.00.00.00.00.00.00.0-0.00.00.0
20100.00.00.00.00.00.00.00.00.0-0.00.0-0.0
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
20240.00.00.00.00.00.00.00.00.00.00.0
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 began8/1/2008
Suggested Minimum Capital$100,000
Age220 months
What it tradesFutures
# Trades119
# Profitable67
% Profitable56.3%
Avg trade duration4.2 hours
Max peak-to-valley drawdown100.0%
drawdown periodOct 24, 2008 - June 21, 2014
Annual return (compounded)0.0%
Avg win$8,463
Avg loss$13,533

Ratios

W:L ratio0.81
Sharpe Ratio-0.37
Sortino Ratio-0.43
Calmar Ratio0

CORRELATION STATISTICS

Correlation to SP5000.27
Return Percent SP500 (cumu) during strategy life506.0%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-170.6%

Return Statistics

Ann Return (w trading costs)-58.7%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.0%

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)97.5%
Chance of 90% account loss (Monte Carlo)100.0%
Chance of 100% account loss (Monte Carlo)97.5%

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$13,533
Avg Win$8,463
# Winners67
Sum Trade PL (losers)$703,693
Sum Trade PL (winners)$567,006
Num Months Winners2
# Losers52
% Winners56.3%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table3

Frequency

Avg Position Time (mins)249.57
Avg Position Time (hrs)4.16
Avg Trade Length0.20
Last Trade Ago6524

Regression

Alpha0
Beta1.43
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.07
MAE:Equity, 95th Percentile Value for this strat0.03
MAE:Equity, average, losing trades0.05
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.09
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-6.99
MAE:PL (avg, all trades)-0.31
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats36.49
MAE:PL - Winning Trades - this strat Percentile of All Strats30.21
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.65
Avg(MAE) / Avg(PL) - Losing trades-1.21
Hold-and-Hope Ratio-0.14

RATIO STATISTICS

a (intercept, estimate of alpha)358153.91
VAR (95 Confidence Intrvl)0.90

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)2066
Last 4 Months - Pcnt Negative0.2%

Trading record

Placed 94 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES Z8long81Oct 14, 2008Oct 27, 2008($435,773)
ES Z8long20Oct 13, 2008Oct 13, 2008$3,590
ES Z8long65Oct 9, 2008Oct 13, 2008$23,105
ES Z8long35Oct 8, 2008Oct 9, 2008$18,595
ES Z8long35Oct 8, 2008Oct 8, 2008$18,095
ES Z8short25Oct 8, 2008Oct 8, 2008$5,425
ES Z8long90Oct 7, 2008Oct 8, 2008($8,095)
ES Z8short25Oct 7, 2008Oct 7, 2008$4,925
ES Z8long30Oct 7, 2008Oct 7, 2008$19,135
ES Z8long50Oct 7, 2008Oct 7, 2008($4,775)
ES Z8long65Oct 6, 2008Oct 6, 2008$32,355
ES Z8long30Oct 6, 2008Oct 6, 2008($7,740)
ES Z8long30Oct 6, 2008Oct 6, 2008($6,240)
ES Z8long30Oct 5, 2008Oct 6, 2008($6,240)
ES Z8short30Sep 30, 2008Sep 30, 2008$3,010
ES Z8short25Sep 30, 2008Sep 30, 2008($1,263)
ES Z8short30Sep 30, 2008Sep 30, 2008$4,135
ES Z8short30Sep 30, 2008Sep 30, 2008$3,260
ES Z8long35Sep 29, 2008Sep 30, 2008$52,658
ES Z8long35Sep 29, 2008Sep 29, 2008$20,720
ES Z8long35Sep 29, 2008Sep 29, 2008($9,030)
ES Z8long35Sep 29, 2008Sep 29, 2008($8,593)
ES Z8long30Sep 29, 2008Sep 29, 2008($7,365)
ES Z8long30Sep 28, 2008Sep 29, 2008($6,240)
ES Z8long30Sep 25, 2008Sep 27, 2008$11,760
ES Z8short75Sep 24, 2008Sep 25, 2008($9,663)
ES Z8short45Sep 23, 2008Sep 24, 2008$6,703
ES Z8short25Sep 23, 2008Sep 23, 2008$10,113
ES Z8short35Sep 23, 2008Sep 23, 2008$18,533
ES Z8long60Sep 22, 2008Sep 23, 2008($9,730)

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.