Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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Wolf Testing Site

By OferWolfson

Futures · Started Sep 2010

hypothetical · Annual Return (Compounded)
11.3%
Max Drawdown
13.1%
Trades
33
Win Trades
39.4%
Profit Factor
1.50
Win Months
2.1%

About this strategy

No Subscriptions! My System Playing Ground.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20102.014.0-2.11.215.1
20119.2-5.5-0.3-0.3-5.0-2.90.00.00.00.00.00.0-5.2
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
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
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 began9/6/2010
Suggested Minimum Capital$10,000
Age195 months
What it tradesFutures
# Trades33
# Profitable13
% Profitable39.4%
Avg trade duration10.8 hours
Max peak-to-valley drawdown13.1%
drawdown periodFeb 23, 2011 - June 08, 2011
Annual return (compounded)1.0%
Avg win$400
Avg loss$175

Ratios

W:L ratio1.48
Sharpe Ratio-0.31
Sortino Ratio-0.55
Calmar Ratio0.35

CORRELATION STATISTICS

Correlation to SP500-0.00
Return Percent SP500 (cumu) during strategy life583.7%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-37.1%

Return Statistics

Ann Return (w trading costs)11.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.0%

Slump

Current Slump as Pcnt Equity15.4%
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 Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss0.0%
Chance of 20% account loss0.0%
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)0.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$175
Avg Win$400
# Winners13
Sum Trade PL (losers)$3,504
Sum Trade PL (winners)$5,196
Num Months Winners4
# Losers20
% Winners39.4%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table193

Frequency

Avg Position Time (mins)646.48
Avg Position Time (hrs)10.77
Avg Trade Length0.40
Last Trade Ago5572

Regression

Alpha0
Beta0
Treynor Index12.09

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
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 trades4.34
MAE:PL (avg, all trades)-0.47
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats3.27
MAE:PL - Winning Trades - this strat Percentile of All Strats9.06
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.28
Avg(MAE) / Avg(PL) - Losing trades-1
Hold-and-Hope Ratio0.23

RATIO STATISTICS

a (intercept, estimate of alpha)-0.00
VAR (95 Confidence Intrvl)0.02

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)105
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 27 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
SPY long400Jun 11, 2011Jun 13, 2011$68
SPY1118R128 short4Jun 8, 2011Jun 11, 2011$197
ES M1long1Jun 6, 2011Jun 7, 2011($546)
ES M1long1May 5, 2011May 5, 2011($271)
ES M1long1May 4, 2011May 4, 2011($171)
ES M1long1May 3, 2011May 3, 2011($96)
ES M1short1Apr 28, 2011Apr 29, 2011$242
ES M1short1Apr 27, 2011Apr 27, 2011($171)
ES M1short1Apr 26, 2011Apr 26, 2011($108)
ES M1short1Apr 26, 2011Apr 26, 2011($71)
ES M1long1Apr 14, 2011Apr 14, 2011($83)
ES M1long1Apr 12, 2011Apr 12, 2011$230
ES H1long1Feb 23, 2011Feb 24, 2011($396)
ES H1long1Feb 22, 2011Feb 22, 2011($246)
ES H1long1Jan 30, 2011Jan 31, 2011$780
ES H1short1Jan 27, 2011Jan 27, 2011$330
ES Z0short1Dec 2, 2010Dec 3, 2010$455
ES Z0short1Dec 1, 2010Dec 2, 2010($271)
ES Z0short1Nov 21, 2010Nov 22, 2010$392
ES Z0short1Nov 18, 2010Nov 18, 2010($202)
ES Z0short1Nov 17, 2010Nov 18, 2010($143)
ES Z0short1Nov 17, 2010Nov 17, 2010($83)
ES Z0long1Nov 16, 2010Nov 16, 2010($179)
ES Z0long1Nov 16, 2010Nov 16, 2010($111)
ES Z0long1Nov 15, 2010Nov 16, 2010($78)
ES Z0short1Nov 4, 2010Nov 5, 2010$234
ES Z0long1Oct 19, 2010Oct 19, 2010($196)
ES Z0long1Oct 18, 2010Oct 18, 2010$467
ES Z0short1Oct 13, 2010Oct 14, 2010$342
ES Z0short1Sep 30, 2010Sep 30, 2010$855

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.