Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW Followed by live capital $119,000 Hypothetical

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Daily Batch

By BrianAtkins

Futures · Started Feb 2011

hypothetical · Annual Return (Compounded)
7.1%
Max Drawdown
31.0%
Trades
346
Win Trades
50.3%
Profit Factor
1.30
Win Months
11.2%

About this strategy

Description: "Daily Batch" is a short term trading system that is 95% technical. The small amount of discretion that is taken is used to reinforce the risk reward parameters that I believe are vital to my trading success. Daily Batch is currently focused on 10 to 12 futures markets and can trade them both long or short. Trade signals are generated daily, with stops entered immediately, and profit targets set soon after entry.
Track record: The first month of trading on C2 saw some wild swings that are not typical of "Daily Batch". Since then we have seen results that match our expectations from both back testing and real time trading.
Position Size: "Daily Batch" currently places all orders with one contract per signal. This is the position size that I use based on a $25k account. Subscribers with more capital are free to increase their position size based on their own account size, and risk tolerance.
Trader Bio: I began trading in 1998 on the floor of the Chicago Mercantile Exchange. I currently trade full time for myself and clients. I also run a financial planning business with a focus on managed futures.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201157.28.315.14.57.9-2.53.23.9-1.4-8.52.9114.5
2012-2.81.610.11.217.1-1.60.1-0.85.23.24.3-3.237.7
2013-0.5-0.8-5.3-0.4-0.7-0.24.9-5.7-1.83.2-0.10.4-7.3
20141.1-0.2-1.9-5.52.1-5.1-3.7-2.1-3.2-0.2-0.2-5.9-22.4
2015-0.50.00.00.00.00.00.00.00.00.00.00.0-0.5
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 began2/14/2011
Suggested Minimum Capital$25,000
Age190 months
What it tradesFutures
# Trades346
# Profitable174
% Profitable50.3%
Avg trade duration2.4 days
Max peak-to-valley drawdown31.0%
drawdown periodNov 16, 2012 - Jan 31, 2015
Annual Return (Compounded)7.1%
Avg win$887
Avg loss$671

Ratios

W:L ratio1.34
Sharpe Ratio0.22
Sortino Ratio0.58
Calmar Ratio0.40

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life471.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-147.5%

Return Statistics

Ann Return (w trading costs)7.1%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)6.2%

Slump

Current Slump as Pcnt Equity45.0%
Current Slump, time of slump as pcnt of strategy life0.9%

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 loss44.5%
Chance of 20% account loss20.0%
Chance of 30% account loss5.0%
Chance of 40% account loss1.0%
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%

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$671
Avg Win$887
# Winners174
Sum Trade PL (losers)$115,369
Sum Trade PL (winners)$154,411
Num Months Winners21
# Losers172
% Winners50.3%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table188

Frequency

Avg Position Time (mins)3472.92
Avg Position Time (hrs)57.88
Avg Trade Length2.40
Last Trade Ago4299

Leverage

Daily leverage (average)1.11
Daily leverage (max)10.49

Regression

Alpha0.01
Beta-0.01
Treynor Index-1.20

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.01
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 trades5.85
MAE:PL (avg, all trades)-0.44
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats10.63
MAE:PL - Winning Trades - this strat Percentile of All Strats9.47
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.35
Avg(MAE) / Avg(PL) - Losing trades-1.06
Hold-and-Hope Ratio0.17

RATIO STATISTICS

Mean0.18
SD0.29
Sharpe ratio (Glass type estimate)0.61
Sharpe ratio (Hedges UMVUE)0.60
df65
t1.43
p0.08
Lowerbound of 95% confidence interval for Sharpe Ratio-0.24
Upperbound of 95% confidence interval for Sharpe Ratio1.45
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.24
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.44
Sortino ratio2.46
Upside Potential Ratio4.11
Upside part of mean0.30
Downside part of mean-0.12
Upside SD0.29
Downside SD0.07
N nonnegative terms25
N negative terms41
N of observations66
Mean of predictor0.23
Mean of criterion0.18
SD of predictor0.25
SD of criterion0.29
Covariance-0.00
r-0.07
b (slope, estimate of beta)-0.08
a (intercept, estimate of alpha)0.20
Mean Square Error0.09
DF error64
t(b)-0.53
p(b)0.70
t(a)1.51
p(a)0.07
Lowerbound of 95% confidence interval for beta-0.37
Upperbound of 95% confidence interval for beta0.21
Lowerbound of 95% confidence interval for alpha-0.06
Upperbound of 95% confidence interval for alpha0.45
Treynor index (mean / b)-2.31
Jensen alpha (a)0.20
Mean0.14
SD0.24
Sharpe ratio (Glass type estimate)0.59
Sharpe ratio (Hedges UMVUE)0.58
df65
t1.37
p0.09
Lowerbound of 95% confidence interval for Sharpe Ratio-0.26
Upperbound of 95% confidence interval for Sharpe Ratio1.42
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.26
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.42
Sortino ratio1.93
Upside Potential Ratio3.57
Upside part of mean0.26
Downside part of mean-0.12
Upside SD0.24
Downside SD0.07
N nonnegative terms25
N negative terms41
N of observations66
Mean of predictor0.20
Mean of criterion0.14
SD of predictor0.23
SD of criterion0.24
Covariance-0.00
r-0.07
b (slope, estimate of beta)-0.07
a (intercept, estimate of alpha)0.16
Mean Square Error0.06
DF error64
t(b)-0.55
p(b)0.71
t(a)1.46
p(a)0.07
Lowerbound of 95% confidence interval for beta-0.34
Upperbound of 95% confidence interval for beta0.20
Lowerbound of 95% confidence interval for alpha-0.06
Upperbound of 95% confidence interval for alpha0.38
Treynor index (mean / b)-1.92
Jensen alpha (a)0.16
VaR(95%)0.10
Expected Shortfall on VaR0.13
VaR(95%)0.03
Expected Shortfall on VaR0.05
Mean0.24
SD0.46
Sharpe ratio (Glass type estimate)0.53
Sharpe ratio (Hedges UMVUE)0.53
df1444
t1.24
p0.48
Lowerbound of 95% confidence interval for Sharpe Ratio-0.31
Upperbound of 95% confidence interval for Sharpe Ratio1.36
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.31
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.36
Sortino ratio0.98
Upside Potential Ratio3.29
Upside part of mean0.81
Downside part of mean-0.57
Upside SD0.39
Downside SD0.25
N nonnegative terms313
N negative terms1132
N of observations1445
Mean of predictor0.23
Mean of criterion0.24
SD of predictor0.24
SD of criterion0.46
Covariance-0.01
r-0.09
b (slope, estimate of beta)-0.17
a (intercept, estimate of alpha)0.26
Mean Square Error0.21
DF error1443
t(b)-3.39
p(b)0.56
t(a)1.44
p(a)0.48
Lowerbound of 95% confidence interval for beta-0.27
Upperbound of 95% confidence interval for beta-0.07
Lowerbound of 95% confidence interval for alpha-0.10
Upperbound of 95% confidence interval for alpha0.66
Treynor index (mean / b)-1.42
Jensen alpha (a)0.28
Mean0.14
SD0.44
Sharpe ratio (Glass type estimate)0.32
Sharpe ratio (Hedges UMVUE)0.32
df1444
t0.76
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.51
Upperbound of 95% confidence interval for Sharpe Ratio1.16
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.51
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.16
Sortino ratio0.48
Upside Potential Ratio2.53
Upside part of mean0.75
Downside part of mean-0.61
Upside SD0.33
Downside SD0.30
N nonnegative terms313
N negative terms1132
N of observations1445
Mean of predictor0.20
Mean of criterion0.14
SD of predictor0.24
SD of criterion0.44
Covariance-0.01
r-0.09
b (slope, estimate of beta)-0.16
a (intercept, estimate of alpha)0.18
Mean Square Error0.20
DF error1443
t(b)-3.35
p(b)0.56
t(a)0.94
p(a)0.48
Lowerbound of 95% confidence interval for beta-0.26
Upperbound of 95% confidence interval for beta-0.07
Lowerbound of 95% confidence interval for alpha-0.19
Upperbound of 95% confidence interval for alpha0.55
Treynor index (mean / b)-0.87
Jensen alpha (a)0.18
VaR(95%)0.04
Expected Shortfall on VaR0.05
VaR(95%)0.01
Expected Shortfall on VaR0.01
Mean-0.03
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-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor1.23
Mean of criterion-0.03
SD of predictor0.58
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-0.03
SD0
Sharpe ratio (Glass type estimate)-9.74841826823373e+15
Sharpe ratio (Hedges UMVUE)-9.69206937105203e+15
df130
t-6893172865105920
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-1.08701574255084e+16
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-8513981316595712
Sortino ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor1.07
Mean of criterion-0.03
SD of predictor0.56
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)-0.03
Mean Square Error0
DF error129
t(b)0
p(b)0.50
t(a)-6819704765153280
p(a)1
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.04
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha-0.03
Treynor index (mean / b)3.70042908833743e+32
Jensen alpha (a)-0.03
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations66
Minimum0.92
Quartile 11.00
Median1
Quartile 31.02
Maximum1.58
Mean of quarter 10.97
Mean of quarter 21.00
Mean of quarter 31.01
Mean of quarter 41.09
Inter Quartile Range0.02
Number outliers low8
Percentage of outliers low0.12
Mean of outliers low0.95
Number of outliers high7
Percentage of outliers high0.11
Mean of outliers high1.18
Extreme Value Index (moments method)-1.99
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)-0.15
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.05
Number of observations1445
Minimum0.58
Quartile 11
Median1
Quartile 31
Maximum1.56
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.01
Inter Quartile Range0
Number outliers low320
Percentage of outliers low0.22
Mean of outliers low0.99
Number of outliers high319
Percentage of outliers high0.22
Mean of outliers high1.01
Extreme Value Index (moments method)0.82
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)0.60
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.02
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 observations3
Minimum0.03
Quartile 10.08
Median0.13
Quartile 30.18
Maximum0.22
Mean of quarter 10.03
Mean of quarter 20.13
Mean of quarter 30
Mean of quarter 40.22
Inter Quartile Range0.09
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 observations32
Minimum0.00
Quartile 10.00
Median0.02
Quartile 30.06
Maximum0.42
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.03
Mean of quarter 40.21
Inter Quartile Range0.05
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high6
Percentage of outliers high0.19
Mean of outliers high0.26
Extreme Value Index (moments method)-1.41
VaR(95%) (moments method)0.18
Expected Shortfall (moments method)0.19
Extreme Value Index (regression method)-0.63
VaR(95%) (regression method)0.26
Expected Shortfall (regression method)0.30
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?-312622208
Max Equity Drawdown (num days)806
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.28
Compounded annual return (geometric extrapolation)0.19
Calmar ratio (compounded annual return / max draw down)0.84
Compounded annual return / average of 25% largest draw downs0.84
Compounded annual return / Expected Shortfall lognormal1.49
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.28
Compounded annual return (geometric extrapolation)0.19
Calmar ratio (compounded annual return / max draw down)0.44
Compounded annual return / average of 25% largest draw downs0.87
Compounded annual return / Expected Shortfall lognormal3.43
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 615 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
GF F5short2Dec 3, 2014Dec 4, 2014($3,166)
C Z4long1Sep 5, 2014Sep 9, 2014($508)
S X4long1Sep 5, 2014Sep 9, 2014($1,033)
W Z4long1Sep 5, 2014Sep 8, 2014($508)
C U4short1Aug 18, 2014Sep 3, 2014$405
W U4short1Aug 25, 2014Aug 28, 2014($883)
SB V4long1Aug 6, 2014Aug 7, 2014($299)
S U4short1Jul 25, 2014Jul 28, 2014($1,683)
SB V4long1Jul 8, 2014Jul 9, 2014($490)
S N4short1Jun 20, 2014Jun 22, 2014($871)
W N4long1Jun 6, 2014Jun 10, 2014($646)
C N4long1Jun 6, 2014Jun 9, 2014($508)
HE N4short1Jun 4, 2014Jun 6, 2014($738)
LE M4short1Jun 4, 2014Jun 5, 2014($428)
BO N4short1May 23, 2014May 29, 2014$622
HE N4short1May 15, 2014May 27, 2014$1,212
C N4short1May 14, 2014May 15, 2014$430
W N4short1May 1, 2014May 4, 2014($733)
BO N4short1Apr 28, 2014Apr 30, 2014$262
S K4short1Apr 10, 2014Apr 16, 2014($1,558)
W K4short1Apr 9, 2014Apr 14, 2014($921)
C K4short1Apr 2, 2014Apr 9, 2014($608)
QM K4short1Apr 7, 2014Apr 8, 2014($746)
C K4short1Mar 20, 2014Mar 24, 2014($408)
SM K4short1Mar 21, 2014Mar 23, 2014$1,072
QM K4short1Mar 20, 2014Mar 20, 2014($496)
QM K4short1Mar 17, 2014Mar 19, 2014($658)
W K4short1Mar 10, 2014Mar 11, 2014($658)
W H4short1Jan 15, 2014Jan 29, 2014$480
S H4long1Jan 23, 2014Jan 24, 2014($746)

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.