Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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By KD

Futures · Started Dec 2012

hypothetical · Annual Return (Compounded)
-92.0%
Max Drawdown
84.8%
Trades
261
Win Trades
41.0%
Profit Factor
0.70
Win Months
1.2%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201223.323.3
201314.5-2.9-4.2-2.3-17.2-34.8-33.9-50.7-38.20.00.00.0-88.7
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
20190.00.00.00.00.00.00.00.00.00.00.00.0
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 began12/10/2012
Suggested Minimum Capital$50,000
Age167 months
What it tradesFutures
# Trades261
# Profitable107
% Profitable41.0%
Avg trade duration3.7 days
Max peak-to-valley drawdown84.8%
drawdown periodMarch 18, 2013 - June 21, 2014
Cumul. Return-77.1%
Avg win$1,042
Avg loss$976

Ratios

W:L ratio0.74
Sharpe Ratio-0.57
Sortino Ratio-0.66
Calmar Ratio-0.46

CORRELATION STATISTICS

Correlation to SP5000.01
Return Percent SP500 (cumu) during strategy life436.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-98.2%

Return Statistics

Ann Return (w trading costs)-92.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.8%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-10.3%

Slump

Current Slump as Pcnt Equity929.1%
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)39.0%
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$976
Avg Win$1,042
# Winners107
Sum Trade PL (losers)$150,349
Sum Trade PL (winners)$111,493
Num Months Winners2
# Losers154
% Winners41.0%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table166

Frequency

Avg Position Time (mins)5336.75
Avg Position Time (hrs)88.95
Avg Trade Length3.70
Last Trade Ago4751

Regression

Alpha-0.04
Beta0.01
Treynor Index-3.32

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0.14
MAE:Equity, average, losing trades0.04
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 trades-5.79
MAE:PL (avg, all trades)-0.49
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats27.65
MAE:PL - Winning Trades - this strat Percentile of All Strats33.19
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.46
Avg(MAE) / Avg(PL) - Losing trades-1.15
Hold-and-Hope Ratio-0.17

RATIO STATISTICS

a (intercept, estimate of alpha)-0.46
VAR (95 Confidence Intrvl)0.04

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)460
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 249 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
QGC Z3long3Sep 1, 2013Sep 6, 2013($4,464)
EU U3short1Sep 1, 2013Sep 6, 2013$1,267
ES U3long1Sep 5, 2013Sep 5, 2013($221)
TY Z3long1Aug 29, 2013Sep 5, 2013($1,180)
ES U3long1Sep 4, 2013Sep 4, 2013$467
ES U3long1Sep 3, 2013Sep 3, 2013($483)
EU U3long1Aug 11, 2013Sep 1, 2013($1,533)
QGC Z3short1Aug 27, 2013Sep 1, 2013$2,282
ES U3long1Aug 29, 2013Aug 29, 2013($46)
ES U3short1Aug 28, 2013Aug 28, 2013($183)
ES U3long1Aug 27, 2013Aug 27, 2013($721)
QGC Z3short1Aug 25, 2013Aug 27, 2013($2,448)
QCL V3short1Aug 26, 2013Aug 27, 2013($1,828)
ES U3long1Aug 26, 2013Aug 26, 2013($446)
QGC Z3short2Aug 23, 2013Aug 25, 2013$444
ES U3long1Aug 23, 2013Aug 23, 2013$117
ES U3short1Aug 23, 2013Aug 23, 2013($333)
ES U3long1Aug 22, 2013Aug 22, 2013$355
ES U3short1Aug 21, 2013Aug 21, 2013$417
QGC Z3short2Aug 15, 2013Aug 20, 2013($656)
QCL V3long1Aug 20, 2013Aug 20, 2013($8)
QCL V3long1Aug 16, 2013Aug 20, 2013($2,038)
QCL V3short1Aug 16, 2013Aug 16, 2013$142
QCL U3short1Aug 11, 2013Aug 16, 2013($1,748)
ES U3short1Aug 15, 2013Aug 15, 2013$405
QGC Z3short1Aug 12, 2013Aug 15, 2013($1,868)
ES U3long1Aug 14, 2013Aug 14, 2013($383)
ES U3long1Aug 12, 2013Aug 12, 2013$117
ES U3short1Aug 7, 2013Aug 7, 2013$180
QGC Z3long1Aug 6, 2013Aug 7, 2013$92

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.