Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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TestTrading

By MarkSmith6

Futures · Started Jan 2013

hypothetical · Annual Return (Compounded)
-386.3%
Max Drawdown
90.2%
Trades
198
Win Trades
64.1%
Profit Factor
0.90
Win Months
2.4%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201311.721.79.2-41.313.8-206.50.00.00.00.00.00.0-205.6
20140.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began1/2/2013
Suggested Minimum Capital$10,000
Age166 months
What it tradesFutures
# Trades198
# Profitable127
% Profitable64.1%
Avg trade duration7.0 hours
Max peak-to-valley drawdown90.2%
drawdown periodJune 14, 2013 - June 20, 2014
Cumul. Return-47.7%
Avg win$451
Avg loss$907

Ratios

W:L ratio0.89
Sharpe Ratio-0.03
Sortino Ratio-0.06
Calmar Ratio-0.40

CORRELATION STATISTICS

Correlation to SP500-0.02
Return Percent SP500 (cumu) during strategy life420.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-88.5%

Return Statistics

Ann Return (w trading costs)-386.3%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.5%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-8.7%

Slump

Current Slump as Pcnt Equity—
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 loss65.0%
Chance of 20% account loss41.0%
Chance of 30% account loss22.5%
Chance of 40% account loss11.5%
Chance of 50% account loss5.0%
Chance of 60% account loss (Monte Carlo)1.0%
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%

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$907
Avg Win$451
# Winners127
Sum Trade PL (losers)$64,377
Sum Trade PL (winners)$57,235
Num Months Winners4
# Losers71
% Winners64.1%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table6

Frequency

Avg Position Time (mins)418.60
Avg Position Time (hrs)6.98
Avg Trade Length0.30
Last Trade Ago4823

Regression

Alpha0
Beta-0.87
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.07
MAE:Equity, 95th Percentile Value for this strat0.08
MAE:Equity, average, losing trades0.09
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.07
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-15.17
MAE:PL (avg, all trades)1.46
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats42.19
MAE:PL - Winning Trades - this strat Percentile of All Strats68.14
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.97
Avg(MAE) / Avg(PL) - Losing trades-1.48
Hold-and-Hope Ratio-0.07

RATIO STATISTICS

a (intercept, estimate of alpha)0.04
VAR (95 Confidence Intrvl)0.12

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)371
Last 4 Months - Pcnt Negative0.5%

Trading record

Placed 570 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES U3long22Jun 19, 2013Jun 20, 2013($26,476)
ES U3short7Jun 19, 2013Jun 19, 2013$1,394
ES M3short19Jun 17, 2013Jun 19, 2013($2,565)
ES U3short6Jun 19, 2013Jun 19, 2013$965
ES M3long2Jun 14, 2013Jun 14, 2013($116)
ES M3long2Jun 14, 2013Jun 14, 2013$284
ES M3short3Jun 13, 2013Jun 14, 2013$1,026
ES M3long3Jun 13, 2013Jun 13, 2013$876
ES M3short10Jun 11, 2013Jun 11, 2013($118)
ES M3long2Jun 7, 2013Jun 7, 2013$284
ES M3long5Jun 5, 2013Jun 6, 2013$2,110
ES M3short10Jun 5, 2013Jun 5, 2013$1,545
ES M3long10Jun 5, 2013Jun 5, 2013($530)
ES M3short3Jun 5, 2013Jun 5, 2013$426
ES M3long8Jun 4, 2013Jun 5, 2013($39)
ES M3long2Jun 4, 2013Jun 4, 2013$509
ES M3long3Jun 3, 2013Jun 4, 2013$1,076
ES M3short23May 17, 2013Jun 3, 2013$3,204
ES M3long7May 16, 2013May 16, 2013$382
ES M3short11May 15, 2013May 16, 2013($338)
ES M3short2May 15, 2013May 15, 2013$259
ES M3short8May 15, 2013May 15, 2013($1,814)
ES M3short4May 14, 2013May 15, 2013$243
ES M3short3May 14, 2013May 14, 2013$76
ES M3short6May 13, 2013May 13, 2013$152
ES M3short2May 13, 2013May 13, 2013($166)
ES M3short2May 13, 2013May 13, 2013($41)
ES M3short8May 10, 2013May 10, 2013($627)
ES M3long1May 10, 2013May 10, 2013$92
ES M3short8May 9, 2013May 10, 2013$474

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.