Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +33.1% Cumul. Return since Sep 23, 2025 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trading the trend
(35707391)

Created by: NickKondylas NickKondylas
Started: 10/2008
Futures
Last trade: 5,690 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(100.0%)
Max Drawdown
798
Num Trades
32.2%
Win Trades
0.9 : 1
Profit Factor
4.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008                                                               +31.5%+26.1%+16.3%+92.9%
2009(11.5%)(0.8%)(0.4%)(13.2%)(4%)+2.2%+5.0%+0.4%+3.6%+2.4%+0.1%(4.8%)(20.7%)
2010(0.2%)(25.7%)(6.8%)(0.3%)(0.3%)(0.3%)(14.7%)+6.9%(24.4%)(211.4%)(7.9%)(0.2%)(156.7%)
2011(0.4%)  -    -    -    -    -    -    -    -    -    -    -  (0.4%)
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -  (3.5%)  -    -  (0.1%)  -  (0.1%)(0.1%)(0.1%)  -    -  (0.1%)-
2015(0.3%)  -  (0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)  -  (0.1%)(0.1%)(0.1%)(0.4%)
2016  -    -  (0.1%)  -  (0.1%)  -    -    -    -  (0.1%)  -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -                                            

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 98 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 6273 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/11/10 8:30 @TYZ0 US T-NOTE 10 YR LONG 1 126 60/64 11/11 9:37 126 50/64 3.96%
Trade id #54731486
Max drawdown($157)
Time11/11/10 9:37
Quant open1
Worst price126 50/64
Drawdown as % of equity-3.96%
 ($165)
Includes Typical Broker Commissions trade costs of $8.00
11/11/10 9:21 @QGZ0 MINY NATURAL GAS SHORT 1 4.015 11/11 9:36 4.045 1.89%
Trade id #54733817
Max drawdown($75)
Time11/11/10 9:34
Quant open-1
Worst price4.045
Drawdown as % of equity-1.89%
 ($83)
Includes Typical Broker Commissions trade costs of $8.00
11/11/10 8:00 BDZ0 EUREX BUND LONG 1 130.36 11/11 8:40 130.26 2.83%
Trade id #54730632
Max drawdown($120)
Time11/11/10 8:34
Quant open1
Worst price130.24
Drawdown as % of equity-2.83%
 ($117)
Includes Typical Broker Commissions trade costs of $8.00
11/11/10 7:30 BDZ0 EUREX BUND SHORT 1 130.21 11/11 7:40 130.28 1.69%
Trade id #54729999
Max drawdown($76)
Time11/11/10 7:40
Quant open-1
Worst price130.28
Drawdown as % of equity-1.69%
 ($84)
Includes Typical Broker Commissions trade costs of $8.00
11/11/10 6:30 BDZ0 EUREX BUND LONG 1 130.39 11/11 7:10 130.23 3.86%
Trade id #54728379
Max drawdown($174)
Time11/11/10 7:09
Quant open1
Worst price130.22
Drawdown as % of equity-3.86%
 ($182)
Includes Typical Broker Commissions trade costs of $8.00
11/11/10 5:50 BDZ0 EUREX BUND SHORT 1 130.17 11/11 6:10 130.28 2.56%
Trade id #54727034
Max drawdown($120)
Time11/11/10 6:09
Quant open-1
Worst price130.28
Drawdown as % of equity-2.56%
 ($128)
Includes Typical Broker Commissions trade costs of $8.00
11/10/10 14:10 @ESZ0 E-MINI S&P 500 LONG 1 1216.00 11/10 15:01 1214.50 2.9%
Trade id #54705654
Max drawdown($137)
Time11/10/10 14:25
Quant open1
Worst price1213.25
Drawdown as % of equity-2.90%
 ($83)
Includes Typical Broker Commissions trade costs of $8.00
11/10/10 9:20 EXZ0 DJ EURO STOXX 50 SHORT 1 2866.00 11/10 13:42 2852.00 0.86%
Trade id #54689757
Max drawdown($40)
Time11/10/10 9:31
Quant open-1
Worst price2870.00
Drawdown as % of equity-0.86%
 $144
Includes Typical Broker Commissions trade costs of $8.00
11/10/10 8:50 EXZ0 DJ EURO STOXX 50 LONG 1 2875.00 11/10 9:00 2871.00 1.06%
Trade id #54689002
Max drawdown($50)
Time11/10/10 8:55
Quant open1
Worst price2870.00
Drawdown as % of equity-1.06%
 ($52)
Includes Typical Broker Commissions trade costs of $8.00
11/10/10 7:40 EXZ0 DJ EURO STOXX 50 SHORT 1 2868.00 11/10 8:40 2869.00 1.27%
Trade id #54686902
Max drawdown($60)
Time11/10/10 8:31
Quant open-1
Worst price2874.00
Drawdown as % of equity-1.27%
 ($19)
Includes Typical Broker Commissions trade costs of $8.00
11/10/10 5:20 EXZ0 DJ EURO STOXX 50 SHORT 1 2870.00 11/10 7:10 2873.00 1.06%
Trade id #54682335
Max drawdown($50)
Time11/10/10 7:06
Quant open-1
Worst price2875.00
Drawdown as % of equity-1.06%
 ($41)
Includes Typical Broker Commissions trade costs of $8.00
11/10/10 4:30 EXZ0 DJ EURO STOXX 50 SHORT 1 2869.00 11/10 5:10 2871.00 1.29%
Trade id #54681328
Max drawdown($60)
Time11/10/10 5:08
Quant open-1
Worst price2875.00
Drawdown as % of equity-1.29%
 ($30)
Includes Typical Broker Commissions trade costs of $8.00
11/10/10 4:00 EXZ0 DJ EURO STOXX 50 SHORT 1 2870.00 11/10 4:20 2872.00 1.24%
Trade id #54680426
Max drawdown($60)
Time11/10/10 4:13
Quant open-1
Worst price2876.00
Drawdown as % of equity-1.24%
 ($30)
Includes Typical Broker Commissions trade costs of $8.00
11/10/10 2:40 EXZ0 DJ EURO STOXX 50 SHORT 1 2870.00 11/10 3:30 2878.00 1.86%
Trade id #54678414
Max drawdown($90)
Time11/10/10 3:25
Quant open-1
Worst price2879.00
Drawdown as % of equity-1.86%
 ($95)
Includes Typical Broker Commissions trade costs of $8.00
11/9/10 10:40 @TYZ0 US T-NOTE 10 YR SHORT 1 127 15/64 11/9 14:05 126 44/64 2.54%
Trade id #54648132
Max drawdown($109)
Time11/9/10 10:48
Quant open-1
Worst price127 22/64
Drawdown as % of equity-2.54%
 $538
Includes Typical Broker Commissions trade costs of $8.00
11/9/10 8:40 @TYZ0 US T-NOTE 10 YR LONG 1 127 36/64 11/9 9:20 127 26/64 3.58%
Trade id #54631203
Max drawdown($156)
Time11/9/10 9:13
Quant open1
Worst price127 26/64
Drawdown as % of equity-3.58%
 ($164)
Includes Typical Broker Commissions trade costs of $8.00
11/9/10 3:50 EXZ0 DJ EURO STOXX 50 LONG 1 2868.00 11/9 8:08 2884.00 1.15%
Trade id #54621330
Max drawdown($50)
Time11/9/10 4:14
Quant open1
Worst price2863.00
Drawdown as % of equity-1.15%
 $166
Includes Typical Broker Commissions trade costs of $8.00
11/9/10 2:20 EXZ0 DJ EURO STOXX 50 SHORT 1 2855.00 11/9 3:40 2863.00 2.13%
Trade id #54618959
Max drawdown($90)
Time11/9/10 3:40
Quant open-1
Worst price2864.00
Drawdown as % of equity-2.13%
 ($95)
Includes Typical Broker Commissions trade costs of $8.00
11/8/10 8:40 BDZ0 EUREX BUND LONG 1 130.41 11/8 13:35 130.46 1.4%
Trade id #54580574
Max drawdown($60)
Time11/8/10 9:07
Quant open1
Worst price130.35
Drawdown as % of equity-1.40%
 $46
Includes Typical Broker Commissions trade costs of $8.00
11/8/10 8:30 @FVZ0 US T-NOTE 5 YR SHORT 1 121 55/64 11/8 13:34 121 52/64 1.23%
Trade id #54580370
Max drawdown($54)
Time11/8/10 10:40
Quant open-1
Worst price121 59/64
Drawdown as % of equity-1.23%
 $39
Includes Typical Broker Commissions trade costs of $8.00
11/8/10 8:20 BDZ0 EUREX BUND LONG 1 130.40 11/8 8:30 130.35 1.4%
Trade id #54580005
Max drawdown($60)
Time11/8/10 8:28
Quant open1
Worst price130.34
Drawdown as % of equity-1.40%
 ($62)
Includes Typical Broker Commissions trade costs of $8.00
11/8/10 7:00 BDZ0 EUREX BUND LONG 1 130.39 11/8 8:00 130.34 1.22%
Trade id #54577905
Max drawdown($54)
Time11/8/10 7:59
Quant open1
Worst price130.35
Drawdown as % of equity-1.22%
 ($62)
Includes Typical Broker Commissions trade costs of $8.00
11/8/10 2:10 EXZ0 DJ EURO STOXX 50 SHORT 1 2854.00 11/8 6:40 2864.00 2.46%
Trade id #54569970
Max drawdown($109)
Time11/8/10 6:39
Quant open-1
Worst price2864.00
Drawdown as % of equity-2.46%
 ($117)
Includes Typical Broker Commissions trade costs of $8.00
11/5/10 15:06 @ESZ0 E-MINI S&P 500 LONG 1 1189.75 11/5 15:07 1219.00 n/a $1,455
Includes Typical Broker Commissions trade costs of $8.00
11/5/10 9:00 @QGZ0 MINY NATURAL GAS LONG 1 3.915 11/5 14:29 3.940 6.08%
Trade id #54532889
Max drawdown($175)
Time11/5/10 10:57
Quant open1
Worst price3.845
Drawdown as % of equity-6.08%
 $55
Includes Typical Broker Commissions trade costs of $8.00
11/5/10 10:10 BDZ0 EUREX BUND LONG 1 130.55 11/5 11:30 130.31 14.6%
Trade id #54537026
Max drawdown($420)
Time11/5/10 11:03
Quant open1
Worst price130.13
Drawdown as % of equity-14.60%
 ($269)
Includes Typical Broker Commissions trade costs of $8.00
11/4/10 14:59 @TYZ0 US T-NOTE 10 YR SHORT 1 127 48/64 11/4 15:32 127 49/64 1.42%
Trade id #54507108
Max drawdown($46)
Time11/4/10 15:04
Quant open-1
Worst price127 51/64
Drawdown as % of equity-1.42%
 ($24)
Includes Typical Broker Commissions trade costs of $8.00
11/4/10 13:50 @QGZ0 MINY NATURAL GAS LONG 2 3.855 11/4 15:32 3.845 4.24%
Trade id #54504247
Max drawdown($150)
Time11/4/10 14:19
Quant open2
Worst price3.825
Drawdown as % of equity-4.24%
 ($66)
Includes Typical Broker Commissions trade costs of $16.00
11/4/10 10:50 @USZ0 US T-BOND LONG 1 131 27/32 11/4 13:10 131 22/32 7.07%
Trade id #54495814
Max drawdown($250)
Time11/4/10 13:05
Quant open1
Worst price131 19/32
Drawdown as % of equity-7.07%
 ($164)
Includes Typical Broker Commissions trade costs of $8.00
11/4/10 10:30 @QGZ0 MINY NATURAL GAS LONG 1 3.810 11/4 10:40 3.785 3.06%
Trade id #54494727
Max drawdown($112)
Time11/4/10 10:36
Quant open1
Worst price3.765
Drawdown as % of equity-3.06%
 ($71)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    10/12/2008
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    6446.8
  • Age
    215 months ago
  • What it trades
    Futures
  • # Trades
    798
  • # Profitable
    257
  • % Profitable
    32.20%
  • Avg trade duration
    2.4 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Oct 19, 2010 - Oct 29, 2010
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $293.14
  • Avg loss
    $150.18
  • Model Account Values (Raw)
  • Cash
    $4,105
  • Margin Used
    $0
  • Buying Power
    $4,105
  • Ratios
  • W:L ratio
    0.93:1
  • Sharpe Ratio
    -0.51
  • Sortino Ratio
    -0.59
  • Calmar Ratio
    -0.234
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -905.86%
  • Correlation to SP500
    0.02020
  • Return Percent SP500 (cumu) during strategy life
    708.14%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -4.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    96.64%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $150
  • Avg Win
    $293
  • Sum Trade PL (losers)
    $81,245.000
  • Age
  • Num Months filled monthly returns table
    25
  • Win / Loss
  • Sum Trade PL (winners)
    $75,336.000
  • # Winners
    257
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    541
  • % Winners
    32.2%
  • Frequency
  • Avg Position Time (mins)
    146.97
  • Avg Position Time (hrs)
    2.45
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    5687
  • Regression
  • Alpha
    0.00
  • Beta
    0.14
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    19.49
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    13.61
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.67
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -6.881
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.367
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.188
  • Hold-and-Hope Ratio
    -0.143
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09391
  • SD
    0.40677
  • Sharpe ratio (Glass type estimate)
    -0.23086
  • Sharpe ratio (Hedges UMVUE)
    -0.22818
  • df
    65.00000
  • t
    -0.54141
  • p
    0.70496
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06666
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.60669
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06484
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60847
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.27042
  • Upside Potential Ratio
    0.61721
  • Upside part of mean
    0.21434
  • Downside part of mean
    -0.30824
  • Upside SD
    0.20760
  • Downside SD
    0.34727
  • N nonnegative terms
    45.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    66.00000
  • Mean of predictor
    0.37145
  • Mean of criterion
    -0.09391
  • SD of predictor
    0.29483
  • SD of criterion
    0.40677
  • Covariance
    -0.02129
  • r
    -0.17751
  • b (slope, estimate of beta)
    -0.24490
  • a (intercept, estimate of alpha)
    -0.00294
  • Mean Square Error
    0.16275
  • DF error
    64.00000
  • t(b)
    -1.44296
  • p(b)
    0.92305
  • t(a)
    -0.01604
  • p(a)
    0.50637
  • Lowerbound of 95% confidence interval for beta
    -0.58395
  • Upperbound of 95% confidence interval for beta
    0.09415
  • Lowerbound of 95% confidence interval for alpha
    -0.36894
  • Upperbound of 95% confidence interval for alpha
    0.36307
  • Treynor index (mean / b)
    0.38345
  • Jensen alpha (a)
    -0.00294
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22345
  • SD
    0.58482
  • Sharpe ratio (Glass type estimate)
    -0.38208
  • Sharpe ratio (Hedges UMVUE)
    -0.37766
  • df
    65.00000
  • t
    -0.89606
  • p
    0.81324
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21892
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.45767
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46059
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40333
  • Upside Potential Ratio
    0.35365
  • Upside part of mean
    0.19593
  • Downside part of mean
    -0.41937
  • Upside SD
    0.18456
  • Downside SD
    0.55401
  • N nonnegative terms
    45.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    66.00000
  • Mean of predictor
    0.32561
  • Mean of criterion
    -0.22345
  • SD of predictor
    0.28601
  • SD of criterion
    0.58482
  • Covariance
    -0.02476
  • r
    -0.14800
  • b (slope, estimate of beta)
    -0.30262
  • a (intercept, estimate of alpha)
    -0.12491
  • Mean Square Error
    0.33975
  • DF error
    64.00000
  • t(b)
    -1.19718
  • p(b)
    0.88218
  • t(a)
    -0.47709
  • p(a)
    0.68254
  • Lowerbound of 95% confidence interval for beta
    -0.80761
  • Upperbound of 95% confidence interval for beta
    0.20236
  • Lowerbound of 95% confidence interval for alpha
    -0.64795
  • Upperbound of 95% confidence interval for alpha
    0.39813
  • Treynor index (mean / b)
    0.73837
  • Jensen alpha (a)
    -0.12491
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.25644
  • Expected Shortfall on VaR
    0.30577
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04033
  • Expected Shortfall on VaR
    0.10105
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    66.00000
  • Minimum
    0.30078
  • Quartile 1
    0.99664
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.33738
  • Mean of quarter 1
    0.90060
  • Mean of quarter 2
    0.99966
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.06934
  • Inter Quartile Range
    0.00336
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.21212
  • Mean of outliers low
    0.88017
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.10640
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.36485
  • VaR(95%) (moments method)
    0.05244
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.11970
  • VaR(95%) (regression method)
    0.09480
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02597
  • Quartile 1
    0.23256
  • Median
    0.43914
  • Quartile 3
    0.64572
  • Maximum
    0.85230
  • Mean of quarter 1
    0.02597
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.85230
  • Inter Quartile Range
    0.41317
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.12862
  • Compounded annual return (geometric extrapolation)
    -0.20024
  • Calmar ratio (compounded annual return / max draw down)
    -0.23494
  • Compounded annual return / average of 25% largest draw downs
    -0.23494
  • Compounded annual return / Expected Shortfall lognormal
    -0.65489
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02803
  • SD
    0.70625
  • Sharpe ratio (Glass type estimate)
    0.03969
  • Sharpe ratio (Hedges UMVUE)
    0.03966
  • df
    1448.00000
  • t
    0.09333
  • p
    0.49877
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79374
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.87311
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79376
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87309
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06021
  • Upside Potential Ratio
    3.05669
  • Upside part of mean
    1.42293
  • Downside part of mean
    -1.39490
  • Upside SD
    0.53080
  • Downside SD
    0.46551
  • N nonnegative terms
    1192.00000
  • N negative terms
    257.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1449.00000
  • Mean of predictor
    0.43485
  • Mean of criterion
    0.02803
  • SD of predictor
    0.44125
  • SD of criterion
    0.70625
  • Covariance
    0.00289
  • r
    0.00927
  • b (slope, estimate of beta)
    0.01484
  • a (intercept, estimate of alpha)
    0.02200
  • Mean Square Error
    0.49909
  • DF error
    1447.00000
  • t(b)
    0.35260
  • p(b)
    0.49410
  • t(a)
    0.07169
  • p(a)
    0.49880
  • Lowerbound of 95% confidence interval for beta
    -0.06770
  • Upperbound of 95% confidence interval for beta
    0.09737
  • Lowerbound of 95% confidence interval for alpha
    -0.56879
  • Upperbound of 95% confidence interval for alpha
    0.61194
  • Treynor index (mean / b)
    1.88924
  • Jensen alpha (a)
    0.02158
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22221
  • SD
    0.71549
  • Sharpe ratio (Glass type estimate)
    -0.31058
  • Sharpe ratio (Hedges UMVUE)
    -0.31042
  • df
    1448.00000
  • t
    -0.73039
  • p
    0.50960
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14403
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.52296
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14391
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52308
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40535
  • Upside Potential Ratio
    2.38397
  • Upside part of mean
    1.30689
  • Downside part of mean
    -1.52910
  • Upside SD
    0.45960
  • Downside SD
    0.54820
  • N nonnegative terms
    1192.00000
  • N negative terms
    257.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1449.00000
  • Mean of predictor
    0.33822
  • Mean of criterion
    -0.22221
  • SD of predictor
    0.43860
  • SD of criterion
    0.71549
  • Covariance
    -0.00032
  • r
    -0.00100
  • b (slope, estimate of beta)
    -0.00164
  • a (intercept, estimate of alpha)
    -0.22166
  • Mean Square Error
    0.51227
  • DF error
    1447.00000
  • t(b)
    -0.03820
  • p(b)
    0.50064
  • t(a)
    -0.72749
  • p(a)
    0.51217
  • Lowerbound of 95% confidence interval for beta
    -0.08576
  • Upperbound of 95% confidence interval for beta
    0.08248
  • Lowerbound of 95% confidence interval for alpha
    -0.81934
  • Upperbound of 95% confidence interval for alpha
    0.37602
  • Treynor index (mean / b)
    135.63100
  • Jensen alpha (a)
    -0.22166
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07092
  • Expected Shortfall on VaR
    0.08780
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00481
  • Expected Shortfall on VaR
    0.01461
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1449.00000
  • Minimum
    0.53734
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.56931
  • Mean of quarter 1
    0.97875
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02174
  • Inter Quartile Range
    0.00000
  • Number outliers low
    257.00000
  • Percentage of outliers low
    0.17736
  • Mean of outliers low
    0.96998
  • Number of outliers high
    240.00000
  • Percentage of outliers high
    0.16563
  • Mean of outliers high
    1.03279
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.18477
  • VaR(95%) (moments method)
    0.00423
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00550
  • Quartile 1
    0.04601
  • Median
    0.10033
  • Quartile 3
    0.23958
  • Maximum
    0.85231
  • Mean of quarter 1
    0.00949
  • Mean of quarter 2
    0.06856
  • Mean of quarter 3
    0.16269
  • Mean of quarter 4
    0.49127
  • Inter Quartile Range
    0.19357
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.85231
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.39890
  • VaR(95%) (moments method)
    0.55833
  • Expected Shortfall (moments method)
    1.00874
  • Extreme Value Index (regression method)
    3.55495
  • VaR(95%) (regression method)
    0.98632
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.12791
  • Compounded annual return (geometric extrapolation)
    -0.19926
  • Calmar ratio (compounded annual return / max draw down)
    -0.23378
  • Compounded annual return / average of 25% largest draw downs
    -0.40559
  • Compounded annual return / Expected Shortfall lognormal
    -2.26952
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.20759
  • Mean of criterion
    0.00000
  • SD of predictor
    0.49032
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.08634
  • Mean of criterion
    0.00000
  • SD of predictor
    0.48905
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.07100
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -360701000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

"Trading the trend" is a moving average, momentum oscillator, trend following, fully mechanical system.
Buy and sell signals are automatically triggered by a momentum oscillator moving to extremes,but always in the direction of the trend. The system uses both stops and money management techniques.
System's goal is to help investors trade high probability opportunities in the futures markets.
Investors are encouraged to use the system in conjunction with their own risk management requirements.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2008-10-12
Suggested Minimum Capital
$25,000
# Trades
798
# Profitable
257
% Profitable
32.2%
Correlation S&P500
0.020
Sharpe Ratio
-0.51
Sortino Ratio
-0.59
Beta
0.14
Alpha
0.00

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

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.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.