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

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2X Twin RBT

By JMJenkins

Futures · Started Aug 2008

hypothetical · Annual Return (Compounded)
4.3%
Max Drawdown
—
Trades
64
Win Trades
53.1%
Profit Factor
1.10
Win Months
1.8%

About this strategy

Beginning 2/23/09, the system will trade the ProShares 2X ETFs (QLD/QID) exclusively, at effective margins of 1X or 2X. This avoids 2X trades which go initially underwater from precipitating C2-generated margin calls, which disrupt the trading strategy. If you like the results going forward, send me a message, and otherwise, thanks anyway for having a look.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2008-4.741.98.3-21.22.918.8
2009-2.6-7.1-24.214.30.00.00.00.00.00.00.00.0-21.6
20100.00.00.00.00.0-0.00.0-0.00.00.00.0-0.0-0.0
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
2014-0.00.00.00.00.00.00.00.0-0.00.00.00.0-0.0
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
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
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 began8/8/2008
Suggested Minimum Capital$13,461
Age220 months
What it tradesFutures
# Trades64
# Profitable34
% Profitable53.1%
Avg trade duration2.3 days
Max peak-to-valley drawdown—
drawdown period—
Annual return (compounded)1.0%
Avg win$848
Avg loss$871

Ratios

W:L ratio1.10
Sharpe Ratio-0.11
Sortino Ratio-0.15
Calmar Ratio-0.07

CORRELATION STATISTICS

Correlation to SP5000.04
Return Percent SP500 (cumu) during strategy life489.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-11.3%

Return Statistics

Ann Return (w trading costs)4.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.0%

Slump

Current Slump as Pcnt Equity83.9%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.9%
Percent Trades Options0.0%
Percent Trades Stocks0.1%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss81.2%
Chance of 20% account loss58.8%
Chance of 30% account loss33.3%
Chance of 40% account loss15.8%
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$870
Avg Win$848
# Winners34
Sum Trade PL (losers)$26,115
Sum Trade PL (winners)$28,831
Num Months Winners9
# Losers30
% Winners53.1%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table218

Frequency

Avg Position Time (mins)3383.02
Avg Position Time (hrs)56.38
Avg Trade Length2.30
Last Trade Ago6367

Regression

Alpha0
Beta0.02
Treynor Index-0.16

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.05
MAE:Equity, 95th Percentile Value for this strat0.25
MAE:Equity, average, losing trades0.08
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades17.23
MAE:PL (avg, all trades)-0.33
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats69.48
MAE:PL - Winning Trades - this strat Percentile of All Strats56.41
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.42
Avg(MAE) / Avg(PL) - Losing trades-1.33
Hold-and-Hope Ratio0.06

RATIO STATISTICS

a (intercept, estimate of alpha)0.24
VAR (95 Confidence Intrvl)0.05

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)152
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 72 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
QID short15Mar 24, 2009Apr 2, 2009$1,542
QID long15Mar 23, 2009Mar 24, 2009($918)
QID long19Mar 10, 2009Mar 19, 2009($2,479)
QLD long560Mar 12, 2009Mar 12, 2009($7)
QLD long1748Mar 5, 2009Mar 9, 2009($416)
QID long7Mar 4, 2009Mar 5, 2009$147
QLD long1704Mar 2, 2009Mar 4, 2009$199
QLD long1432Feb 23, 2009Feb 24, 2009($51)
NQ H9long2Feb 16, 2009Feb 23, 2009($1,336)
NQ H9short2Feb 16, 2009Feb 16, 2009($16)
NQ H9long2Feb 9, 2009Feb 13, 2009($1,046)
NQ H9long2Feb 1, 2009Feb 4, 2009$2,434
NQ H9short2Jan 21, 2009Jan 26, 2009$794
NQ H9long2Jan 9, 2009Jan 21, 2009($1,546)
NQ H9short2Jan 5, 2009Jan 9, 2009$1,254
NQ H9long2Jan 5, 2009Jan 5, 2009$424
NQ H9short2Dec 30, 2008Jan 2, 2009($1,570)
NQ H9long1Dec 24, 2008Dec 29, 2008($3)
NQ H9short1Dec 17, 2008Dec 23, 2008$947
NQ H9long1Dec 16, 2008Dec 16, 2008$974
NQ Z8short1Dec 9, 2008Dec 16, 2008$172
NQ Z8long1Dec 4, 2008Dec 4, 2008($538)
NQ Z8long1Dec 2, 2008Dec 3, 2008($178)
NQ Z8long1Nov 28, 2008Dec 1, 2008($615)
NQ Z8short1Nov 25, 2008Nov 28, 2008($686)
NQ Z8long1Nov 21, 2008Nov 25, 2008$2,282
NQ Z8long1Nov 19, 2008Nov 20, 2008($1,858)
NQ Z8long1Nov 7, 2008Nov 12, 2008($1,060)
NQ Z8long1Nov 5, 2008Nov 5, 2008($1,306)
NQ Z8short1Oct 31, 2008Nov 5, 2008($876)

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.