Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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Goldmine

By CsabaBiro01

Futures · Started Jan 2013

hypothetical · Annual Return (Compounded)
15.3%
Max Drawdown
4.0%
Trades
114
Win Trades
64.9%
Profit Factor
2.20
Win Months
2.4%

About this strategy

More than 5 years or 12 thousand hours of cash trading, research, system optimization has gone into this strategy. Our risk management is ensured by stoplosses and strict guidelines. For further information, please visit www.birotrading.com

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2013-0.35.15.00.02.0-0.61.50.00.00.00.00.013.3
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 began1/24/2013
Suggested Minimum Capital$25,000
Age166 months
What it tradesFutures
# Trades114
# Profitable74
% Profitable64.9%
Avg trade duration5.5 hours
Max peak-to-valley drawdown4.0%
drawdown periodApril 17, 2013 - May 06, 2013
Cumul. Return15.6%
Avg win$165
Avg loss$141

Ratios

W:L ratio2.17
Sharpe Ratio-0.33
Sortino Ratio-0.62
Calmar Ratio3.02

CORRELATION STATISTICS

Correlation to SP500-0.00
Return Percent SP500 (cumu) during strategy life414.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)10.6%

Return Statistics

Ann Return (w trading costs)15.3%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.2%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.7%

Slump

Current Slump as Pcnt Equity0.8%
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 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%

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$141
Avg Win$165
# Winners74
Sum Trade PL (losers)$5,624
Sum Trade PL (winners)$12,202
Num Months Winners7
# Losers40
% Winners64.9%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table165

Frequency

Avg Position Time (mins)332.62
Avg Position Time (hrs)5.54
Avg Trade Length0.20
Last Trade Ago4817

Regression

Alpha0
Beta0
Treynor Index6.37

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 trades3.68
MAE:PL (avg, all trades)0.99
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats10.72
MAE:PL - Winning Trades - this strat Percentile of All Strats52.10
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.39
Avg(MAE) / Avg(PL) - Losing trades-1.14
Hold-and-Hope Ratio0.27

RATIO STATISTICS

a (intercept, estimate of alpha)0.06
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)19
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 140 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
YM U3short2Jun 26, 2013Jul 3, 2013$428
YM U3short1Jun 26, 2013Jun 26, 2013($157)
YM U3long1Jun 25, 2013Jun 25, 2013$5
YM U3short1Jun 25, 2013Jun 25, 2013($140)
YM U3short1Jun 24, 2013Jun 24, 2013($166)
YM M3short1Jun 11, 2013Jun 11, 2013$300
YM M3short1Jun 5, 2013Jun 5, 2013$294
YM M3short1Jun 5, 2013Jun 5, 2013$2
YM M3long1Jun 4, 2013Jun 4, 2013$193
YM M3long1Jun 4, 2013Jun 4, 2013($142)
YM M3short1Jun 3, 2013Jun 3, 2013($130)
YM M3short1May 21, 2013May 21, 2013$147
YM M3long2May 15, 2013May 15, 2013$629
YM M3short1May 14, 2013May 15, 2013($173)
YM M3long1May 10, 2013May 10, 2013$19
YM M3long1May 10, 2013May 10, 2013($143)
YM M3long1May 9, 2013May 9, 2013$192
YM M3short1May 9, 2013May 9, 2013($33)
YM M3long1May 8, 2013May 8, 2013$122
YM M3long2May 7, 2013May 7, 2013$309
YM M3long3May 3, 2013May 7, 2013$64
YM M3short2May 3, 2013May 3, 2013($289)
YM M3long1May 3, 2013May 3, 2013$6
YM M3short1May 2, 2013May 3, 2013$11
YM M3long1May 2, 2013May 2, 2013$46
YM M3long1May 1, 2013May 1, 2013($135)
YM M3long1May 1, 2013May 1, 2013($143)
YM M3short2Apr 30, 2013May 1, 2013$126
YM M3long1Apr 25, 2013Apr 25, 2013$187
YM M3short1Apr 24, 2013Apr 24, 2013$7

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.