SP Futures Millions
(136261700)
Subscription terms. Subscriptions to this system cost $150.00 per month.
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.
Trendfollowing
Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and timeframes used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.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 Cumulative Rate of Return is calculated
= (Ending_equity  Starting_equity) / Starting_equity
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2021  +33.3%  (10.4%)  (73.6%)  +476.6%  +81.8% 
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.
Started  $50,000  
Buy Power  $55,029  
Cash  $91,531  
Equity  $566  
Cumulative $  $42,381  
Total System Equity  $92,381  
Margined  $37,068  
Open P/L  $850 
Trading Record
Statistics

Strategy began7/1/2021

Suggested Minimum Cap$90,000

Strategy Age (days)110.83

Age111 days ago

What it tradesFutures

# Trades45

# Profitable41

% Profitable91.10%

Avg trade duration2.1 days

Max peaktovalley drawdown87.24%

drawdown periodSept 15, 2021  Oct 01, 2021

Cumul. Return81.8%

Avg win$1,110

Avg loss$853.25
 Model Account Values (Raw)

Cash$91,531

Margin Used$37,068

Buying Power$55,029
 Ratios

W:L ratio13.33:1

Sharpe Ratio1.34

Sortino Ratio2.43

Calmar Ratio8.911
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)76.83%

Correlation to SP5000.43930

Return Percent SP500 (cumu) during strategy life5.01%
 Return Statistics

Ann Return (w trading costs)582.2%
 Slump

Current Slump as Pcnt Equity18.90%
 Instruments

Percent Trades Futures1.00%
 Slump

Current Slump, time of slump as pcnt of strategy life0.30%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.818%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocksn/a

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)654.5%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss94.50%

Chance of 20% account loss89.00%

Chance of 30% account loss74.50%

Chance of 40% account loss62.00%

Chance of 60% account loss (Monte Carlo)34.50%

Chance of 70% account loss (Monte Carlo)20.50%

Chance of 80% account loss (Monte Carlo)10.50%

Chance of 90% account loss (Monte Carlo)1.00%

Chance of 100% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account loss56.50%
 Popularity

Popularity (Today)488

Popularity (Last 6 weeks)920
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score250

Popularity (7 days, Percentile 1000 scale)817
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$853

Avg Win$1,130

Sum Trade PL (losers)$3,413.000
 Age

Num Months filled monthly returns table4
 Win / Loss

Sum Trade PL (winners)$46,319.000

# Winners41

Num Months Winners2
 Dividends

Dividends Received in Model Acct0
 Win / Loss

# Losers4

% Winners91.1%
 Frequency

Avg Position Time (mins)3027.52

Avg Position Time (hrs)50.46

Avg Trade Length2.1 days

Last Trade Ago20
 Leverage

Daily leverage (average)19.07

Daily leverage (max)36.54
 Regression

Alpha0.78

Beta9.17

Treynor Index0.12
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.08

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)2.69

MAE:Equity, average, winning trades0.08

MAE:Equity, average, losing trades0.03

Avg(MAE) / Avg(PL)  All trades3.648

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 strat0.01

Avg(MAE) / Avg(PL)  Winning trades3.313

Avg(MAE) / Avg(PL)  Losing trades1.696

HoldandHope Ratio0.202
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean1.15490

SD1.55869

Sharpe ratio (Glass type estimate)0.74095

Sharpe ratio (Hedges UMVUE)0.41803

df2.00000

t0.37047

p0.62671

Lowerbound of 95% confidence interval for Sharpe Ratio4.63696

Upperbound of 95% confidence interval for Sharpe Ratio3.31763

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.35931

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.52324
 Statistics related to Sortino ratio

Sortino ratio1.00932

Upside Potential Ratio1.13483

Upside part of mean1.29852

Downside part of mean2.45342

Upside SD0.64926

Downside SD1.14424

N nonnegative terms1.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations3.00000

Mean of predictor0.01145

Mean of criterion1.15490

SD of predictor0.12363

SD of criterion1.55869

Covariance0.15437

r0.80107

b (slope, estimate of beta)10.09970

a (intercept, estimate of alpha)1.27055

Mean Square Error1.74089

DF error1.00000

t(b)1.33833

p(b)0.20426

t(a)0.48122

p(a)0.64277

Lowerbound of 95% confidence interval for beta85.78800

Upperbound of 95% confidence interval for beta105.98700

Lowerbound of 95% confidence interval for alpha34.81830

Upperbound of 95% confidence interval for alpha32.27720

Treynor index (mean / b)0.11435

Jensen alpha (a)1.27055
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean2.42081

SD2.00146

Sharpe ratio (Glass type estimate)1.20952

Sharpe ratio (Hedges UMVUE)0.68240

df2.00000

t0.60476

p0.69659

Lowerbound of 95% confidence interval for Sharpe Ratio5.15528

Upperbound of 95% confidence interval for Sharpe Ratio2.98686

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.65896

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.29416
 Statistics related to Sortino ratio

Sortino ratio1.43546

Upside Potential Ratio0.66546

Upside part of mean1.12226

Downside part of mean3.54307

Upside SD0.56113

Downside SD1.68643

N nonnegative terms1.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations3.00000

Mean of predictor0.00630

Mean of criterion2.42081

SD of predictor0.12428

SD of criterion2.00146

Covariance0.21838

r0.87796

b (slope, estimate of beta)14.13920

a (intercept, estimate of alpha)2.50987

Mean Square Error1.83620

DF error1.00000

t(b)1.83390

p(b)0.15891

t(a)0.92596

p(a)0.73777

Lowerbound of 95% confidence interval for beta83.82470

Upperbound of 95% confidence interval for beta112.10300

Lowerbound of 95% confidence interval for alpha36.95080

Upperbound of 95% confidence interval for alpha31.93110

Treynor index (mean / b)0.17121

Jensen alpha (a)2.50987
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.68402

Expected Shortfall on VaR0.74657
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.55415

Expected Shortfall on VaR0.88814
 ORDER STATISTICS
 Quartiles of return rates

Number of observations3.00000

Minimum0.43182

Quartile 10.69565

Median0.95949

Quartile 31.14322

Maximum1.32696

Mean of quarter 10.43182

Mean of quarter 20.95949

Mean of quarter 30.00000

Mean of quarter 41.32696

Inter Quartile Range0.44757

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations1.00000

Minimum0.58568

Quartile 10.58568

Median0.58568

Quartile 30.58568

Maximum0.58568

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)1.80086

Compounded annual return (geometric extrapolation)0.90864

Calmar ratio (compounded annual return / max draw down)1.55142

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal1.21708

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean4.12323

SD2.12945

Sharpe ratio (Glass type estimate)1.93629

Sharpe ratio (Hedges UMVUE)1.91761

df78.00000

t1.06325

p0.14547

Lowerbound of 95% confidence interval for Sharpe Ratio1.65196

Upperbound of 95% confidence interval for Sharpe Ratio5.51240

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.66436

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.49959
 Statistics related to Sortino ratio

Sortino ratio3.27419

Upside Potential Ratio10.53360

Upside part of mean13.26510

Downside part of mean9.14183

Upside SD1.71935

Downside SD1.25931

N nonnegative terms43.00000

N negative terms36.00000
 Statistics related to linear regression on benchmark

N of observations79.00000

Mean of predictor0.14086

Mean of criterion4.12323

SD of predictor0.11662

SD of criterion2.12945

Covariance0.12418

r0.50008

b (slope, estimate of beta)9.13158

a (intercept, estimate of alpha)2.83700

Mean Square Error3.44471

DF error77.00000

t(b)5.06731

p(b)0.00000

t(a)0.83699

p(a)0.20259

Lowerbound of 95% confidence interval for beta5.54323

Upperbound of 95% confidence interval for beta12.71990

Lowerbound of 95% confidence interval for alpha3.91238

Upperbound of 95% confidence interval for alpha9.58630

Treynor index (mean / b)0.45154

Jensen alpha (a)2.83696
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.94650

SD2.09255

Sharpe ratio (Glass type estimate)0.93020

Sharpe ratio (Hedges UMVUE)0.92123

df78.00000

t0.51079

p0.30547

Lowerbound of 95% confidence interval for Sharpe Ratio2.64500

Upperbound of 95% confidence interval for Sharpe Ratio4.49960

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.65101

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.49347
 Statistics related to Sortino ratio

Sortino ratio1.32926

Upside Potential Ratio8.23223

Upside part of mean12.05480

Downside part of mean10.10830

Upside SD1.48105

Downside SD1.46435

N nonnegative terms43.00000

N negative terms36.00000
 Statistics related to linear regression on benchmark

N of observations79.00000

Mean of predictor0.13409

Mean of criterion1.94650

SD of predictor0.11672

SD of criterion2.09255

Covariance0.12518

r0.51253

b (slope, estimate of beta)9.18852

a (intercept, estimate of alpha)0.71443

Mean Square Error3.27048

DF error77.00000

t(b)5.23762

p(b)0.00000

t(a)0.21638

p(a)0.41463

Lowerbound of 95% confidence interval for beta5.69520

Upperbound of 95% confidence interval for beta12.68180

Lowerbound of 95% confidence interval for alpha5.86025

Upperbound of 95% confidence interval for alpha7.28911

Treynor index (mean / b)0.21184

Jensen alpha (a)0.71443
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.18553

Expected Shortfall on VaR0.22749
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.07506

Expected Shortfall on VaR0.15482
 ORDER STATISTICS
 Quartiles of return rates

Number of observations79.00000

Minimum0.61693

Quartile 10.96188

Median1.00646

Quartile 31.05869

Maximum1.52560

Mean of quarter 10.87699

Mean of quarter 20.98624

Mean of quarter 31.03378

Mean of quarter 41.16725

Inter Quartile Range0.09680

Number outliers low4.00000

Percentage of outliers low0.05063

Mean of outliers low0.71541

Number of outliers high3.00000

Percentage of outliers high0.03797

Mean of outliers high1.43375
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.38878

VaR(95%) (moments method)0.12165

Expected Shortfall (moments method)0.23453

Extreme Value Index (regression method)0.33906

VaR(95%) (regression method)0.12439

Expected Shortfall (regression method)0.22666
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations8.00000

Minimum0.00135

Quartile 10.02643

Median0.15072

Quartile 30.20250

Maximum0.69603

Mean of quarter 10.00591

Mean of quarter 20.08934

Mean of quarter 30.16099

Mean of quarter 40.50178

Inter Quartile Range0.17607

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.12500

Mean of outliers high0.69603
 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)2.69841

Compounded annual return (geometric extrapolation)6.20237

Calmar ratio (compounded annual return / max draw down)8.91101

Compounded annual return / average of 25% largest draw downs12.36080

Compounded annual return / Expected Shortfall lognormal27.26460
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess log return rates
 Statistics related to linear regression on benchmark

VAR (95 Confidence Intrvl)0.18600
 DRAW DOWN STATISTICS
 Risk estimates based on draw downs (based on Extreme Value T
 assuming Pareto losses only (using partial moments from Sortino statistics)

Last 4 Months  Pcnt Negative0.50%

Strat Max DD how much worse than SP500 max DD during strat life?386857000

Max Equity Drawdown (num days)16
Strategy Description
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.