Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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By system_trader

Futures · Started Mar 2013

hypothetical · Annual Return (Compounded)
-55.6%
Max Drawdown
33.1%
Trades
408
Win Trades
32.1%
Profit Factor
0.90
Win Months
1.9%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2013-0.710.54.91.1-18.8-18.6-12.10.00.00.0-32.4
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 began3/23/2013
Suggested Minimum Capital$40,000
Age164 months
What it tradesFutures
# Trades408
# Profitable131
% Profitable32.1%
Avg trade duration2.5 hours
Max peak-to-valley drawdown33.1%
drawdown periodJune 20, 2013 - June 20, 2014
Cumul. Return-31.9%
Avg win$391
Avg loss$205

Ratios

W:L ratio0.90
Sharpe Ratio-0.71
Sortino Ratio-0.89
Calmar Ratio-0.16

CORRELATION STATISTICS

Correlation to SP5000.02
Return Percent SP500 (cumu) during strategy life388.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-23.3%

Return Statistics

Ann Return (w trading costs)-55.6%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-1.1%

Slump

Current Slump as Pcnt Equity78.6%
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 loss40.5%
Chance of 30% account loss2.0%
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 Automated98.7%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$205
Avg Win$391
# Winners131
Sum Trade PL (losers)$56,758
Sum Trade PL (winners)$51,177
Num Months Winners4
# Losers277
% Winners32.1%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table163

Frequency

Avg Position Time (mins)152.48
Avg Position Time (hrs)2.54
Avg Trade Length0.10
Last Trade Ago4748

Regression

Alpha-0.01
Beta0.01
Treynor Index-2.35

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
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-7.33
MAE:PL (avg, all trades)-0.60
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats19.64
MAE:PL - Winning Trades - this strat Percentile of All Strats36.66
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.31
Avg(MAE) / Avg(PL) - Losing trades-1.22
Hold-and-Hope Ratio-0.14

RATIO STATISTICS

a (intercept, estimate of alpha)-0.08
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)365
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 659 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
TFS U3long1Sep 6, 2013Sep 6, 2013$22
ES U3short1Sep 6, 2013Sep 6, 2013($446)
EMD U3short1Sep 6, 2013Sep 6, 2013($768)
TFS U3short1Sep 6, 2013Sep 6, 2013($928)
BP U3long1Sep 6, 2013Sep 6, 2013($121)
BP U3short1Sep 6, 2013Sep 6, 2013($102)
BP U3long1Sep 6, 2013Sep 6, 2013($39)
BP U3short1Sep 6, 2013Sep 6, 2013($108)
EMD U3long1Sep 5, 2013Sep 5, 2013$252
QCL V3long1Sep 5, 2013Sep 5, 2013$302
EMD U3long1Sep 5, 2013Sep 5, 2013($68)
QCL V3long1Sep 5, 2013Sep 5, 2013($78)
EMD U3long1Sep 5, 2013Sep 5, 2013($168)
ES U3long1Sep 4, 2013Sep 4, 2013$392
EMD U3long1Sep 4, 2013Sep 4, 2013($78)
TFS U3long1Sep 4, 2013Sep 4, 2013($138)
QCL V3long1Sep 4, 2013Sep 4, 2013($28)
QCL V3long1Sep 4, 2013Sep 4, 2013($218)
QCL V3short1Sep 4, 2013Sep 4, 2013($338)
ES U3short1Sep 3, 2013Sep 3, 2013$42
EMD U3short1Sep 3, 2013Sep 3, 2013$1,842
BP U3short1Sep 3, 2013Sep 3, 2013($89)
TFS U3long1Sep 3, 2013Sep 3, 2013($498)
EMD U3short1Sep 3, 2013Sep 3, 2013($338)
QCL V3long1Sep 3, 2013Sep 3, 2013($328)
EMD U3short1Sep 3, 2013Sep 3, 2013($278)
TFS U3short1Sep 3, 2013Sep 3, 2013($208)
QCL V3short1Sep 3, 2013Sep 3, 2013($178)
QCL V3long1Sep 3, 2013Sep 3, 2013($518)
EMD U3long1Sep 3, 2013Sep 3, 2013($398)

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.