Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW +44.9% Cumul. Return since Jul 10, 2026 Hypothetical

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Turning Point

By futurm

Futures · Started May 2010

hypothetical · Annual Return (Compounded)
17.2%
Max Drawdown
24.5%
Trades
223
Win Trades
59.2%
Profit Factor
1.60
Win Months
10.2%

About this strategy

"Turning Point" is based on over 20 years of dedicated work in understanding price movement.

This system is manually traded.

Tight stops always given.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2010-4.020.51.013.79.5-0.06.56.264.3
2011-1.95.3-17.94.9-4.3-0.415.02.913.2-4.4-2.63.39.3
2012-0.36.91.2-4.3-10.64.04.70.511.132.37.60.059.8
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
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
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 began5/11/2010
Suggested Minimum Capital$20,000
Age199 months
What it tradesFutures
# Trades223
# Profitable132
% Profitable59.2%
Avg trade duration2.7 days
Max peak-to-valley drawdown24.5%
drawdown periodFeb 28, 2011 - June 09, 2011
Annual Return (Compounded)17.2%
Avg win$887
Avg loss$829

Ratios

W:L ratio1.55
Sharpe Ratio0.36
Sortino Ratio0.60
Calmar Ratio0.87

CORRELATION STATISTICS

Correlation to SP5000.01
Return Percent SP500 (cumu) during strategy life553.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)93.8%

Return Statistics

Ann Return (w trading costs)17.2%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.2%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)7.1%

Slump

Current Slump as Pcnt Equity0.0%
Current Slump, time of slump as pcnt of strategy life0.7%

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 Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)494
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$829
Avg Win$887
# Winners132
Sum Trade PL (losers)$75,430
Sum Trade PL (winners)$117,024
Num Months Winners20
# Losers91
% Winners59.2%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table197

Frequency

Avg Position Time (mins)3818.95
Avg Position Time (hrs)63.65
Avg Trade Length2.70
Last Trade Ago5044

Regression

Alpha0.01
Beta0.01
Treynor Index2

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.03
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 trades3.75
MAE:PL (avg, all trades)0.34
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats19.69
MAE:PL - Winning Trades - this strat Percentile of All Strats33.34
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.54
Avg(MAE) / Avg(PL) - Losing trades-1.06
Hold-and-Hope Ratio0.27

RATIO STATISTICS

Mean0.20
SD0.24
Sharpe ratio (Glass type estimate)0.85
Sharpe ratio (Hedges UMVUE)0.84
df73
t2.11
p0.02
Lowerbound of 95% confidence interval for Sharpe Ratio0.05
Upperbound of 95% confidence interval for Sharpe Ratio1.65
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.04
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.64
Sortino ratio1.95
Upside Potential Ratio3.14
Upside part of mean0.32
Downside part of mean-0.12
Upside SD0.22
Downside SD0.10
N nonnegative terms20
N negative terms54
N of observations74
Mean of predictor0.11
Mean of criterion0.20
SD of predictor0.13
SD of criterion0.24
Covariance0.00
r0.06
b (slope, estimate of beta)0.11
a (intercept, estimate of alpha)0.19
Mean Square Error0.06
DF error72
t(b)0.50
p(b)0.31
t(a)1.92
p(a)0.03
Lowerbound of 95% confidence interval for beta-0.32
Upperbound of 95% confidence interval for beta0.53
Lowerbound of 95% confidence interval for alpha-0.01
Upperbound of 95% confidence interval for alpha0.38
Treynor index (mean / b)1.86
Jensen alpha (a)0.19
Mean0.17
SD0.22
Sharpe ratio (Glass type estimate)0.77
Sharpe ratio (Hedges UMVUE)0.76
df73
t1.91
p0.03
Lowerbound of 95% confidence interval for Sharpe Ratio-0.03
Upperbound of 95% confidence interval for Sharpe Ratio1.56
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.04
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.56
Sortino ratio1.59
Upside Potential Ratio2.77
Upside part of mean0.30
Downside part of mean-0.13
Upside SD0.20
Downside SD0.11
N nonnegative terms20
N negative terms54
N of observations74
Mean of predictor0.10
Mean of criterion0.17
SD of predictor0.13
SD of criterion0.22
Covariance0.00
r0.05
b (slope, estimate of beta)0.09
a (intercept, estimate of alpha)0.16
Mean Square Error0.05
DF error72
t(b)0.43
p(b)0.34
t(a)1.76
p(a)0.04
Lowerbound of 95% confidence interval for beta-0.32
Upperbound of 95% confidence interval for beta0.49
Lowerbound of 95% confidence interval for alpha-0.02
Upperbound of 95% confidence interval for alpha0.35
Treynor index (mean / b)2.00
Jensen alpha (a)0.16
VaR(95%)0.09
Expected Shortfall on VaR0.11
VaR(95%)0.03
Expected Shortfall on VaR0.06
Mean0.19
SD0.18
Sharpe ratio (Glass type estimate)1.02
Sharpe ratio (Hedges UMVUE)1.02
df2142
t2.54
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.23
Upperbound of 95% confidence interval for Sharpe Ratio1.81
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.23
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.80
Sortino ratio1.68
Upside Potential Ratio5.85
Upside part of mean0.65
Downside part of mean-0.46
Upside SD0.15
Downside SD0.11
N nonnegative terms277
N negative terms1866
N of observations2143
Mean of predictor0.11
Mean of criterion0.19
SD of predictor0.16
SD of criterion0.18
Covariance0.00
r0.02
b (slope, estimate of beta)0.03
a (intercept, estimate of alpha)0.15
Mean Square Error0.03
DF error2141
t(b)1.10
p(b)0.14
t(a)2.50
p(a)0.01
Lowerbound of 95% confidence interval for beta-0.02
Upperbound of 95% confidence interval for beta0.08
Lowerbound of 95% confidence interval for alpha0.04
Upperbound of 95% confidence interval for alpha0.33
Treynor index (mean / b)6.72
Jensen alpha (a)0.18
Mean0.17
SD0.18
Sharpe ratio (Glass type estimate)0.93
Sharpe ratio (Hedges UMVUE)0.93
df2142
t2.33
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.15
Upperbound of 95% confidence interval for Sharpe Ratio1.72
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.15
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.72
Sortino ratio1.50
Upside Potential Ratio5.64
Upside part of mean0.64
Downside part of mean-0.47
Upside SD0.14
Downside SD0.11
N nonnegative terms277
N negative terms1866
N of observations2143
Mean of predictor0.10
Mean of criterion0.17
SD of predictor0.16
SD of criterion0.18
Covariance0.00
r0.02
b (slope, estimate of beta)0.03
a (intercept, estimate of alpha)0.17
Mean Square Error0.03
DF error2141
t(b)1.08
p(b)0.14
t(a)2.29
p(a)0.01
Lowerbound of 95% confidence interval for beta-0.02
Upperbound of 95% confidence interval for beta0.08
Lowerbound of 95% confidence interval for alpha0.02
Upperbound of 95% confidence interval for alpha0.31
Treynor index (mean / b)6.31
Jensen alpha (a)0.17
VaR(95%)0.02
Expected Shortfall on VaR0.02
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean-0.01
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 ratio-18.55
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.01
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms172
N of observations172
Mean of predictor0.21
Mean of criterion-0.01
SD of predictor0.11
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
Mean-0.01
SD0
Sharpe ratio (Glass type estimate)-3.15763010599649e+16
Sharpe ratio (Hedges UMVUE)-3.14375993861079e+16
df171
t-2.23277998051164e+16
p1
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.47694997228749e+16
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.81057999810724e+16
Sortino ratio-18.55
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.01
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms172
N of observations172
Mean of predictor0.21
Mean of criterion-0.01
SD of predictor0.11
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)-0.01
Mean Square Error0
DF error170
t(b)0
p(b)0.50
t(a)-2.21483990211625e+16
p(a)1
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.02
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha-0.01
Upperbound of 95% confidence interval for alpha-0.01
Treynor index (mean / b)-3.37868992283815e+31
Jensen alpha (a)-0.01
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations74
Minimum0.85
Quartile 11
Median1
Quartile 31.01
Maximum1.22
Mean of quarter 10.96
Mean of quarter 21
Mean of quarter 31.00
Mean of quarter 41.11
Inter Quartile Range0.01
Number outliers low10
Percentage of outliers low0.14
Mean of outliers low0.93
Number of outliers high16
Percentage of outliers high0.22
Mean of outliers high1.12
Extreme Value Index (moments method)-42.72
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-0.48
VaR(95%) (regression method)0.07
Expected Shortfall (regression method)0.10
Number of observations2143
Minimum0.91
Quartile 11
Median1
Quartile 31
Maximum1.10
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.01
Inter Quartile Range0
Number outliers low242
Percentage of outliers low0.11
Mean of outliers low0.99
Number of outliers high278
Percentage of outliers high0.13
Mean of outliers high1.01
Extreme Value Index (moments method)0.50
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)0.15
VaR(95%) (regression method)0.00
Expected Shortfall (regression method)0.01
Number of observations172
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 observations7
Minimum0.00
Quartile 10.02
Median0.05
Quartile 30.14
Maximum0.19
Mean of quarter 10.01
Mean of quarter 20.04
Mean of quarter 30.14
Mean of quarter 40.17
Inter Quartile Range0.12
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 observations29
Minimum0.00
Quartile 10.00
Median0.02
Quartile 30.07
Maximum0.20
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.05
Mean of quarter 40.13
Inter Quartile Range0.07
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.07
Mean of outliers high0.20
Extreme Value Index (moments method)0.21
VaR(95%) (moments method)0.14
Expected Shortfall (moments method)0.20
Extreme Value Index (regression method)-0.35
VaR(95%) (regression method)0.12
Expected Shortfall (regression method)0.14
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
Max Equity Drawdown (num days)101
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.34
Compounded annual return (geometric extrapolation)0.20
Calmar ratio (compounded annual return / max draw down)1.08
Compounded annual return / average of 25% largest draw downs1.19
Compounded annual return / Expected Shortfall lognormal1.78
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.33
Compounded annual return (geometric extrapolation)0.20
Calmar ratio (compounded annual return / max draw down)0.97
Compounded annual return / average of 25% largest draw downs1.53
Compounded annual return / Expected Shortfall lognormal10.09
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 252 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
BO Z2long1Nov 19, 2012Nov 21, 2012$424
EU Z2long1Nov 19, 2012Nov 21, 2012$367
QPL F3long1Nov 19, 2012Nov 20, 2012($158)
SB H3long1Nov 19, 2012Nov 20, 2012$910
CD Z2long1Nov 15, 2012Nov 20, 2012$432
QCL F3long1Nov 14, 2012Nov 20, 2012$2,322
CC Z2long1Nov 13, 2012Nov 15, 2012$762
W Z2long1Oct 31, 2012Nov 7, 2012$1,217
C Z2short1Nov 4, 2012Nov 7, 2012($271)
SB H3long1Oct 31, 2012Nov 7, 2012($546)
LE Z2long1Nov 6, 2012Nov 7, 2012($438)
LE Z2long1Oct 31, 2012Nov 2, 2012($408)
BO Z2long1Nov 1, 2012Nov 2, 2012($650)
HE Z2long1Oct 29, 2012Oct 29, 2012($698)
RR X2long1Oct 24, 2012Oct 26, 2012($490)
BO Z2long1Oct 17, 2012Oct 25, 2012$166
BP Z2long1Oct 24, 2012Oct 25, 2012$486
BP Z2short1Oct 18, 2012Oct 21, 2012$223
CT Z2long1Oct 15, 2012Oct 17, 2012$2,982
US Z2short1Oct 16, 2012Oct 17, 2012$1,773
CC Z2long1Oct 9, 2012Oct 17, 2012($88)
CD Z2short1Oct 10, 2012Oct 16, 2012$452
QPL F3short1Oct 8, 2012Oct 10, 2012$912
ES Z2short1Oct 8, 2012Oct 10, 2012$1,342
HE Z2short1Oct 9, 2012Oct 10, 2012($360)
US Z2short1Sep 30, 2012Oct 9, 2012$1,211
HE Z2long1Oct 1, 2012Oct 4, 2012$472
KC Z2long1Sep 28, 2012Oct 3, 2012$2,805
YM Z2long1Oct 1, 2012Oct 2, 2012($233)
W Z2short1Sep 25, 2012Sep 28, 2012($221)

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.