Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

These are hypothetical performance results that have certain inherent limitations. Learn more

HistoryRepeatsItself
(121517646)

Created by: oakenshield1 oakenshield1
Started: 12/2018
Futures, Forex
Last trade: 108 days ago
Trading style: Futures Commodities Financials / Indexes

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $120.00 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.

Trading Category: Futures
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
-77.9%
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.

(97.7%)
Max Drawdown
265
Num Trades
78.9%
Win Trades
0.9 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             (0.5%)(0.5%)
2019(4.9%)(25.6%)(5.9%)(11.4%)+8.2%+36.7%+18.5%+36.5%+0.5%+33.6%(1.9%)+0.4%+86.6%
2020(11.8%)+25.3%+22.5%+10.0%(13.6%)(7.2%)+3.4%  -  (97.1%)                  

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 232 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/29/20 6:55 @SBN0 Sugar #11 SHORT 2 10.81 5/29 7:44 10.92 0.91%
Trade id #129256776
Max drawdown($268)
Time5/29/20 7:43
Quant open2
Worst price10.93
Drawdown as % of equity-0.91%
($262)
Includes Typical Broker Commissions trade costs of $16.00
5/28/20 11:37 @QIN0 MiNY Silver SHORT 1 17.9625 5/28 13:30 17.9375 0.42%
Trade id #129240106
Max drawdown($125)
Time5/28/20 12:06
Quant open1
Worst price18.0125
Drawdown as % of equity-0.42%
$55
Includes Typical Broker Commissions trade costs of $8.00
5/27/20 4:53 @CCN0 COCOA SHORT 1 2400 5/27 5:16 2407 0.24%
Trade id #129207844
Max drawdown($70)
Time5/27/20 5:16
Quant open1
Worst price2407
Drawdown as % of equity-0.24%
($78)
Includes Typical Broker Commissions trade costs of $8.00
5/15/20 8:39 @MYMM0 MICRO E-MINI DOW SHORT 9 23449 5/26 3:05 24909 23.07%
Trade id #129038049
Max drawdown($6,824)
Time5/26/20 2:27
Quant open9
Worst price24966
Drawdown as % of equity-23.07%
($6,580)
Includes Typical Broker Commissions trade costs of $8.46
5/25/20 8:22 @YMM0 MINI DOW LONG 2 24671 5/26 3:04 24916 1.67%
Trade id #129173414
Max drawdown($467)
Time5/25/20 20:04
Quant open2
Worst price24624
Drawdown as % of equity-1.67%
$2,437
Includes Typical Broker Commissions trade costs of $16.00
5/20/20 5:59 @YMM0 MINI DOW LONG 2 24461 5/20 6:33 24435 1.13%
Trade id #129103980
Max drawdown($332)
Time5/20/20 6:33
Quant open2
Worst price24428
Drawdown as % of equity-1.13%
($276)
Includes Typical Broker Commissions trade costs of $16.00
5/15/20 7:22 @MYMM0 MICRO E-MINI DOW SHORT 1 23323 5/15 7:42 23279 0.09%
Trade id #129036965
Max drawdown($31)
Time5/15/20 7:27
Quant open1
Worst price23386
Drawdown as % of equity-0.09%
$21
Includes Typical Broker Commissions trade costs of $0.94
5/15/20 5:07 @QIN0 MiNY Silver SHORT 1 16.5725 5/15 7:16 16.6650 0.48%
Trade id #129035601
Max drawdown($162)
Time5/15/20 6:20
Quant open1
Worst price16.6375
Drawdown as % of equity-0.48%
($239)
Includes Typical Broker Commissions trade costs of $8.00
5/14/20 10:45 @QIN0 MiNY Silver SHORT 1 16.0125 5/14 10:55 16.0625 0.55%
Trade id #129021341
Max drawdown($187)
Time5/14/20 10:54
Quant open1
Worst price16.0875
Drawdown as % of equity-0.55%
($133)
Includes Typical Broker Commissions trade costs of $8.00
5/14/20 7:53 @QGM0 MINY NATURAL GAS LONG 2 1.640 5/14 10:46 1.675 0.37%
Trade id #129017445
Max drawdown($125)
Time5/14/20 8:45
Quant open2
Worst price1.615
Drawdown as % of equity-0.37%
$159
Includes Typical Broker Commissions trade costs of $16.00
5/14/20 9:47 @QIN0 MiNY Silver SHORT 1 15.8250 5/14 9:57 15.8375 n/a ($39)
Includes Typical Broker Commissions trade costs of $8.00
5/13/20 11:47 @YMM0 MINI DOW SHORT 1 23230 5/13 11:54 23190 0.21%
Trade id #129003377
Max drawdown($70)
Time5/13/20 11:52
Quant open1
Worst price23244
Drawdown as % of equity-0.21%
$192
Includes Typical Broker Commissions trade costs of $8.00
5/13/20 1:49 @WN0 WHEAT LONG 2 511 5/13 10:45 501 2/4 2.71%
Trade id #128994452
Max drawdown($925)
Time5/13/20 10:45
Quant open2
Worst price501 3/4
Drawdown as % of equity-2.71%
($966)
Includes Typical Broker Commissions trade costs of $16.00
5/11/20 19:28 @QOM0 miNY Gold LONG 2 1700.78 5/12 3:08 1701.50 1.88%
Trade id #128969191
Max drawdown($652)
Time5/11/20 20:32
Quant open2
Worst price1694.25
Drawdown as % of equity-1.88%
$57
Includes Typical Broker Commissions trade costs of $16.00
5/11/20 11:43 @QOM0 miNY Gold LONG 2 1698.53 5/11 18:30 1699.00 1.09%
Trade id #128961741
Max drawdown($377)
Time5/11/20 12:10
Quant open2
Worst price1694.75
Drawdown as % of equity-1.09%
$32
Includes Typical Broker Commissions trade costs of $16.00
5/11/20 11:15 @QOM0 miNY Gold LONG 1 1696.85 5/11 11:39 1697.75 n/a $37
Includes Typical Broker Commissions trade costs of $8.00
5/11/20 9:18 @QIN0 MiNY Silver SHORT 1 15.7350 5/11 10:12 15.7250 0.2%
Trade id #128958055
Max drawdown($68)
Time5/11/20 9:24
Quant open1
Worst price15.7625
Drawdown as % of equity-0.20%
$17
Includes Typical Broker Commissions trade costs of $8.00
4/29/20 5:54 @CCK0 COCOA LONG 1 2418 5/11 7:12 2397 1.11%
Trade id #128783460
Max drawdown($370)
Time5/6/20 0:00
Quant open1
Worst price2381
Drawdown as % of equity-1.11%
($218)
Includes Typical Broker Commissions trade costs of $8.00
5/11/20 6:28 @QOM0 miNY Gold LONG 2 1697.30 5/11 6:38 1698.50 n/a $104
Includes Typical Broker Commissions trade costs of $16.00
5/8/20 8:31 @QIN0 MiNY Silver SHORT 1 15.7250 5/8 8:49 15.5958 0.84%
Trade id #128923319
Max drawdown($281)
Time5/8/20 8:38
Quant open1
Worst price15.8375
Drawdown as % of equity-0.84%
$315
Includes Typical Broker Commissions trade costs of $8.00
5/8/20 6:20 @QIN0 MiNY Silver SHORT 1 15.8000 5/8 8:03 15.8208 0.09%
Trade id #128921853
Max drawdown($31)
Time5/8/20 6:24
Quant open1
Worst price15.8125
Drawdown as % of equity-0.09%
($60)
Includes Typical Broker Commissions trade costs of $8.00
5/4/20 21:03 @WN0 WHEAT LONG 2 517 3/4 5/8 3:33 521 2/4 0.66%
Trade id #128864154
Max drawdown($225)
Time5/5/20 0:00
Quant open1
Worst price512 1/4
Drawdown as % of equity-0.66%
$367
Includes Typical Broker Commissions trade costs of $16.00
5/5/20 5:03 @SBN0 Sugar #11 SHORT 2 10.46 5/6 11:38 10.42 2.78%
Trade id #128868978
Max drawdown($907)
Time5/5/20 12:06
Quant open2
Worst price10.86
Drawdown as % of equity-2.78%
$62
Includes Typical Broker Commissions trade costs of $16.00
5/3/20 18:53 @QIN0 MiNY Silver SHORT 1 14.9125 5/3 18:59 14.8375 n/a $180
Includes Typical Broker Commissions trade costs of $8.00
4/29/20 7:46 @KCN0 COFFEE SHORT 1 107.70 4/29 9:07 106.70 0.29%
Trade id #128784552
Max drawdown($93)
Time4/29/20 8:06
Quant open1
Worst price107.95
Drawdown as % of equity-0.29%
$367
Includes Typical Broker Commissions trade costs of $8.00
4/27/20 15:55 @QOM0 miNY Gold LONG 2 1728.00 4/27 18:47 1723.00 1.16%
Trade id #128758837
Max drawdown($400)
Time4/27/20 17:00
Quant open2
Worst price1724.00
Drawdown as % of equity-1.16%
($516)
Includes Typical Broker Commissions trade costs of $16.00
4/24/20 4:14 @YMM0 MINI DOW SHORT 1 23290 4/24 12:12 23398 4.67%
Trade id #128721572
Max drawdown($1,570)
Time4/24/20 9:31
Quant open1
Worst price23604
Drawdown as % of equity-4.67%
($548)
Includes Typical Broker Commissions trade costs of $8.00
4/23/20 6:51 @YMM0 MINI DOW SHORT 1 23307 4/24 2:53 23318 7.04%
Trade id #128704770
Max drawdown($2,325)
Time4/23/20 10:46
Quant open1
Worst price23772
Drawdown as % of equity-7.04%
($63)
Includes Typical Broker Commissions trade costs of $8.00
4/23/20 6:20 @YMM0 MINI DOW SHORT 1 23318 4/23 6:42 23293 0.5%
Trade id #128704499
Max drawdown($175)
Time4/23/20 6:30
Quant open1
Worst price23353
Drawdown as % of equity-0.50%
$117
Includes Typical Broker Commissions trade costs of $8.00
4/23/20 4:59 @CCN0 COCOA LONG 2 2374 4/23 6:11 2369 0.34%
Trade id #128703538
Max drawdown($120)
Time4/23/20 5:20
Quant open2
Worst price2368
Drawdown as % of equity-0.34%
($116)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    12/16/2018
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    651.72
  • Age
    22 months ago
  • What it trades
    Futures, Forex
  • # Trades
    265
  • # Profitable
    209
  • % Profitable
    78.90%
  • Avg trade duration
    4.5 days
  • Max peak-to-valley drawdown
    97.72%
  • drawdown period
    April 14, 2020 - Sept 18, 2020
  • Annual Return (Compounded)
    -77.9%
  • Avg win
    $259.00
  • Avg loss
    $1,089
  • Model Account Values (Raw)
  • Cash
    $32,818
  • Margin Used
    $2,472
  • Buying Power
    $2,646
  • Ratios
  • W:L ratio
    0.89:1
  • Sharpe Ratio
    -0.2
  • Sortino Ratio
    -0.22
  • Calmar Ratio
    -0.459
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -121.82%
  • Correlation to SP500
    0.03770
  • Return Percent SP500 (cumu) during strategy life
    29.35%
  • Return Statistics
  • Ann Return (w trading costs)
    -77.9%
  • Slump
  • Current Slump as Pcnt Equity
    4288.20%
  • Instruments
  • Percent Trades Futures
    0.63%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.26%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.779%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.05%
  • Percent Trades Forex
    0.32%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -37.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    66.00%
  • Chance of 20% account loss
    35.50%
  • Chance of 30% account loss
    14.00%
  • Chance of 40% account loss
    8.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    741
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    449
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,090
  • Avg Win
    $259
  • Sum Trade PL (losers)
    $61,013.000
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $54,131.000
  • # Winners
    209
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    56
  • % Winners
    78.9%
  • Frequency
  • Avg Position Time (mins)
    6484.75
  • Avg Position Time (hrs)
    108.08
  • Avg Trade Length
    4.5 days
  • Last Trade Ago
    105
  • Leverage
  • Daily leverage (average)
    3.98
  • Daily leverage (max)
    12.80
  • Regression
  • Alpha
    -0.07
  • Beta
    0.13
  • Treynor Index
    -0.48
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    62.31
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    90.79
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.66
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    3.325
  • 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
    0.384
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.876
  • Hold-and-Hope Ratio
    -0.214
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.82647
  • SD
    0.73995
  • Sharpe ratio (Glass type estimate)
    1.11692
  • Sharpe ratio (Hedges UMVUE)
    1.07215
  • df
    19.00000
  • t
    1.44194
  • p
    0.30340
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45553
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66171
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48383
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62813
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.87734
  • Upside Potential Ratio
    4.61893
  • Upside part of mean
    1.32672
  • Downside part of mean
    -0.50025
  • Upside SD
    0.70326
  • Downside SD
    0.28724
  • N nonnegative terms
    13.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.19581
  • Mean of criterion
    0.82647
  • SD of predictor
    0.19948
  • SD of criterion
    0.73995
  • Covariance
    -0.06806
  • r
    -0.46108
  • b (slope, estimate of beta)
    -1.71037
  • a (intercept, estimate of alpha)
    1.16138
  • Mean Square Error
    0.45508
  • DF error
    18.00000
  • t(b)
    -2.20452
  • p(b)
    0.73054
  • t(a)
    2.13420
  • p(a)
    0.27531
  • Lowerbound of 95% confidence interval for beta
    -3.34037
  • Upperbound of 95% confidence interval for beta
    -0.08038
  • Lowerbound of 95% confidence interval for alpha
    0.01811
  • Upperbound of 95% confidence interval for alpha
    2.30465
  • Treynor index (mean / b)
    -0.48321
  • Jensen alpha (a)
    1.16138
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58790
  • SD
    0.65663
  • Sharpe ratio (Glass type estimate)
    0.89534
  • Sharpe ratio (Hedges UMVUE)
    0.85944
  • df
    19.00000
  • t
    1.15588
  • p
    0.33863
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66023
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42832
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68313
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40202
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84331
  • Upside Potential Ratio
    3.56043
  • Upside part of mean
    1.13556
  • Downside part of mean
    -0.54766
  • Upside SD
    0.58024
  • Downside SD
    0.31894
  • N nonnegative terms
    13.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.17378
  • Mean of criterion
    0.58790
  • SD of predictor
    0.21349
  • SD of criterion
    0.65663
  • Covariance
    -0.06332
  • r
    -0.45170
  • b (slope, estimate of beta)
    -1.38925
  • a (intercept, estimate of alpha)
    0.82932
  • Mean Square Error
    0.36226
  • DF error
    18.00000
  • t(b)
    -2.14800
  • p(b)
    0.72585
  • t(a)
    1.72931
  • p(a)
    0.31127
  • Lowerbound of 95% confidence interval for beta
    -2.74805
  • Upperbound of 95% confidence interval for beta
    -0.03045
  • Lowerbound of 95% confidence interval for alpha
    -0.17821
  • Upperbound of 95% confidence interval for alpha
    1.83686
  • Treynor index (mean / b)
    -0.42318
  • Jensen alpha (a)
    0.82932
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.23110
  • Expected Shortfall on VaR
    0.28795
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07619
  • Expected Shortfall on VaR
    0.15556
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.75439
  • Quartile 1
    0.94631
  • Median
    1.03292
  • Quartile 3
    1.12231
  • Maximum
    1.55103
  • Mean of quarter 1
    0.84374
  • Mean of quarter 2
    0.99616
  • Mean of quarter 3
    1.07321
  • Mean of quarter 4
    1.36238
  • Inter Quartile Range
    0.17601
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    1.48861
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.76074
  • VaR(95%) (moments method)
    0.17017
  • Expected Shortfall (moments method)
    0.17497
  • Extreme Value Index (regression method)
    -0.32123
  • VaR(95%) (regression method)
    0.21289
  • Expected Shortfall (regression method)
    0.25829
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.18987
  • Quartile 1
    0.19737
  • Median
    0.20488
  • Quartile 3
    0.29085
  • Maximum
    0.37683
  • Mean of quarter 1
    0.18987
  • Mean of quarter 2
    0.20488
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.37683
  • Inter Quartile Range
    0.09348
  • 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)
    0.99842
  • Compounded annual return (geometric extrapolation)
    0.80021
  • Calmar ratio (compounded annual return / max draw down)
    2.12353
  • Compounded annual return / average of 25% largest draw downs
    2.12353
  • Compounded annual return / Expected Shortfall lognormal
    2.77903
  • 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
    0.19259
  • SD
    0.80266
  • Sharpe ratio (Glass type estimate)
    0.23994
  • Sharpe ratio (Hedges UMVUE)
    0.23952
  • df
    437.00000
  • t
    0.31023
  • p
    0.37827
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27613
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75578
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27643
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75547
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.27321
  • Upside Potential Ratio
    4.10931
  • Upside part of mean
    2.89672
  • Downside part of mean
    -2.70413
  • Upside SD
    0.38214
  • Downside SD
    0.70491
  • N nonnegative terms
    254.00000
  • N negative terms
    184.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    438.00000
  • Mean of predictor
    0.19771
  • Mean of criterion
    0.19259
  • SD of predictor
    0.27829
  • SD of criterion
    0.80266
  • Covariance
    0.01079
  • r
    0.04832
  • b (slope, estimate of beta)
    0.13937
  • a (intercept, estimate of alpha)
    0.16500
  • Mean Square Error
    0.64424
  • DF error
    436.00000
  • t(b)
    1.01019
  • p(b)
    0.15648
  • t(a)
    0.26559
  • p(a)
    0.39534
  • Lowerbound of 95% confidence interval for beta
    -0.13179
  • Upperbound of 95% confidence interval for beta
    0.41054
  • Lowerbound of 95% confidence interval for alpha
    -1.05624
  • Upperbound of 95% confidence interval for alpha
    1.38630
  • Treynor index (mean / b)
    1.38180
  • Jensen alpha (a)
    0.16503
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.50730
  • SD
    1.48917
  • Sharpe ratio (Glass type estimate)
    -0.34066
  • Sharpe ratio (Hedges UMVUE)
    -0.34008
  • df
    437.00000
  • t
    -0.44046
  • p
    0.67009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.85655
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17552
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.85611
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17596
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.35192
  • Upside Potential Ratio
    1.96129
  • Upside part of mean
    2.82724
  • Downside part of mean
    -3.33455
  • Upside SD
    0.36819
  • Downside SD
    1.44152
  • N nonnegative terms
    254.00000
  • N negative terms
    184.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    438.00000
  • Mean of predictor
    0.15870
  • Mean of criterion
    -0.50730
  • SD of predictor
    0.28014
  • SD of criterion
    1.48917
  • Covariance
    0.02538
  • r
    0.06083
  • b (slope, estimate of beta)
    0.32333
  • a (intercept, estimate of alpha)
    -0.55861
  • Mean Square Error
    2.21450
  • DF error
    436.00000
  • t(b)
    1.27244
  • p(b)
    0.10195
  • t(a)
    -0.48506
  • p(a)
    0.68606
  • Lowerbound of 95% confidence interval for beta
    -0.17609
  • Upperbound of 95% confidence interval for beta
    0.82276
  • Lowerbound of 95% confidence interval for alpha
    -2.82208
  • Upperbound of 95% confidence interval for alpha
    1.70485
  • Treynor index (mean / b)
    -1.56897
  • Jensen alpha (a)
    -0.55861
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14210
  • Expected Shortfall on VaR
    0.17398
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02001
  • Expected Shortfall on VaR
    0.04809
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    438.00000
  • Minimum
    0.16075
  • Quartile 1
    0.98806
  • Median
    1.00000
  • Quartile 3
    1.01305
  • Maximum
    1.16666
  • Mean of quarter 1
    0.96303
  • Mean of quarter 2
    0.99583
  • Mean of quarter 3
    1.00578
  • Mean of quarter 4
    1.03830
  • Inter Quartile Range
    0.02499
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.02511
  • Mean of outliers low
    0.86552
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.06393
  • Mean of outliers high
    1.07532
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37391
  • VaR(95%) (moments method)
    0.03353
  • Expected Shortfall (moments method)
    0.06200
  • Extreme Value Index (regression method)
    0.07155
  • VaR(95%) (regression method)
    0.02789
  • Expected Shortfall (regression method)
    0.03913
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00086
  • Quartile 1
    0.01274
  • Median
    0.04531
  • Quartile 3
    0.11682
  • Maximum
    0.86745
  • Mean of quarter 1
    0.00617
  • Mean of quarter 2
    0.02079
  • Mean of quarter 3
    0.08170
  • Mean of quarter 4
    0.37366
  • Inter Quartile Range
    0.10408
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.66988
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.29844
  • VaR(95%) (moments method)
    0.34804
  • Expected Shortfall (moments method)
    0.62795
  • Extreme Value Index (regression method)
    0.83489
  • VaR(95%) (regression method)
    0.56377
  • Expected Shortfall (regression method)
    3.60966
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.34202
  • Compounded annual return (geometric extrapolation)
    -0.39788
  • Calmar ratio (compounded annual return / max draw down)
    -0.45868
  • Compounded annual return / average of 25% largest draw downs
    -1.06482
  • Compounded annual return / Expected Shortfall lognormal
    -2.28697
  • 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
    -1.52005
  • SD
    1.23352
  • Sharpe ratio (Glass type estimate)
    -1.23228
  • Sharpe ratio (Hedges UMVUE)
    -1.22516
  • df
    130.00000
  • t
    -0.87136
  • p
    0.53810
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.00584
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.00096
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55064
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.25939
  • Upside Potential Ratio
    1.34378
  • Upside part of mean
    1.62190
  • Downside part of mean
    -3.14195
  • Upside SD
    0.24900
  • Downside SD
    1.20697
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.71505
  • Mean of criterion
    -1.52005
  • SD of predictor
    0.33137
  • SD of criterion
    1.23352
  • Covariance
    0.05088
  • r
    0.12448
  • b (slope, estimate of beta)
    0.46336
  • a (intercept, estimate of alpha)
    -1.85137
  • Mean Square Error
    1.50961
  • DF error
    129.00000
  • t(b)
    1.42487
  • p(b)
    0.42096
  • t(a)
    -1.05607
  • p(a)
    0.55885
  • Lowerbound of 95% confidence interval for beta
    -0.18005
  • Upperbound of 95% confidence interval for beta
    1.10676
  • Lowerbound of 95% confidence interval for alpha
    -5.31988
  • Upperbound of 95% confidence interval for alpha
    1.61714
  • Treynor index (mean / b)
    -3.28050
  • Jensen alpha (a)
    -1.85137
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.55223
  • SD
    2.60689
  • Sharpe ratio (Glass type estimate)
    -1.36263
  • Sharpe ratio (Hedges UMVUE)
    -1.35475
  • df
    130.00000
  • t
    -0.96352
  • p
    0.54210
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.13684
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41666
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.13145
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42194
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.36893
  • Upside Potential Ratio
    0.61352
  • Upside part of mean
    1.59201
  • Downside part of mean
    -5.14424
  • Upside SD
    0.24231
  • Downside SD
    2.59489
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.66026
  • Mean of criterion
    -3.55223
  • SD of predictor
    0.32878
  • SD of criterion
    2.60689
  • Covariance
    0.10340
  • r
    0.12064
  • b (slope, estimate of beta)
    0.95650
  • a (intercept, estimate of alpha)
    -4.18377
  • Mean Square Error
    6.74889
  • DF error
    129.00000
  • t(b)
    1.38023
  • p(b)
    0.42339
  • t(a)
    -1.13004
  • p(a)
    0.56293
  • VAR (95 Confidence Intrvl)
    0.14200
  • Lowerbound of 95% confidence interval for beta
    -0.41462
  • Upperbound of 95% confidence interval for beta
    2.32761
  • Lowerbound of 95% confidence interval for alpha
    -11.50890
  • Upperbound of 95% confidence interval for alpha
    3.14135
  • Treynor index (mean / b)
    -3.71379
  • Jensen alpha (a)
    -4.18377
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24306
  • Expected Shortfall on VaR
    0.29109
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02103
  • Expected Shortfall on VaR
    0.05297
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.16075
  • Quartile 1
    0.99322
  • Median
    1.00000
  • Quartile 3
    1.00631
  • Maximum
    1.08103
  • Mean of quarter 1
    0.95390
  • Mean of quarter 2
    0.99849
  • Mean of quarter 3
    1.00122
  • Mean of quarter 4
    1.02339
  • Inter Quartile Range
    0.01309
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.81432
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.04511
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.83086
  • VaR(95%) (moments method)
    0.03152
  • Expected Shortfall (moments method)
    0.19531
  • Extreme Value Index (regression method)
    0.65235
  • VaR(95%) (regression method)
    0.02520
  • Expected Shortfall (regression method)
    0.07743
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00497
  • Quartile 1
    0.01308
  • Median
    0.05852
  • Quartile 3
    0.08602
  • Maximum
    0.86745
  • Mean of quarter 1
    0.00903
  • Mean of quarter 2
    0.05852
  • Mean of quarter 3
    0.08602
  • Mean of quarter 4
    0.86745
  • Inter Quartile Range
    0.07293
  • 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
    0.20000
  • Mean of outliers high
    0.86745
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -293480000
  • Max Equity Drawdown (num days)
    157
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.66141
  • Compounded annual return (geometric extrapolation)
    -0.97134
  • Calmar ratio (compounded annual return / max draw down)
    -1.11976
  • Compounded annual return / average of 25% largest draw downs
    -1.11976
  • Compounded annual return / Expected Shortfall lognormal
    -3.33690

Strategy Description

What I trade?
=============
(Important Update: HRI system has been declared as futures-only strategy starting with March 21, 2020)

Futures:
I have a broad interest in index and commodity futures. Dow Jones, S&P and DAX are the main indexes I usually follow along with a few more European indices plus Russia, Japan and of course China. As to the commodities side, I'm interested in trading both agro-commodities (mainly COFFEE, COCOA and WHEAT) as well as precious & industrial metals (GOLD, SILVER, PLATINUM, COPPER, ZINC, ALUMINIUM etc.). I'm not very much into oil markets but if my system detects a "winner-trade", sometimes I trade oil futures.

How I trade?
============

The style can be summarized as fairly classic and TA (technical analysis) oriented, although feedback from global and local economic sources are always being taken into account during the decision process. The system is very opportunistic (based on multi-timeframe level TA) so that positions can be closed and re-opened frequently. I usually try to compose a portfolio that has a variety among the instruments in various levels and usually carry positions which can be divided into short, mid-term and long-term positions. While waiting for more advantageous prices for long-term positions system can exploit some intra-day opportunities.


When I trade?
============

I have a full-time academic position in a state university in Turkey, I'm a Turkish citizen and I live in Turkey . I have some advantages in this regard, as I usually get already out of office and be at my home office when markets open in US. Usually, I'm on-and-off online during the whole trading day. You can reach me at any time of the day for questions and I always try my best to return as quickly as possible.

Where I trade?
==============

I have also some disadvantages because I live in Turkey. I can't open an US brokerage account and as a result I can't apply for TOS certificate for my system. I have an account at an European brokerage firm's London branch, where Turkish authorities used to allow Turkish citizens to open account at foreign brokers back then. I'm sorry for not providing TOS but alas, things got worse here :(

FAQ
==============
Q1) "Why has that big draw-down occurred during the first months of your system?"

A1) I'm totally aware that my system shows an non-negligible DD during the first months of its life. The main reason for such a big DD occurred that I wasn't maintaining the system back then, at all. I had no subscribers and my perspective at trading on C2 has changed dramatically since I realized that I need to keep a good record of trades compared to the first times I started this strategy. If I had the chance to go back in time I would totally close my account during the times when I had no time to maintaining it and re-open when I found that time. Currently, I have developed the self-determination in the favor of being a disciplined and well-focused C2 strategy provider so that I can easily assure you that it won't happen again.

Q2) "Was it a one-time thing or can it occur again?"

A2) Yes it was only a one time thing. No, it can't happen again as I'm actively maintaining my system and even in the worst case scenarios there are stop-losses points for every position I open which were not existing back then.

Q3) "Was it due to your system's dynamics or nature?/ Can this system cause this big DDs all the time?"

A3) No, it was not caused by my system's nature. As I have stated above, it was just because I wasn't actively maintaining the system. Moreover, the system currently running under this same brand name is not the same one running back then.

Q4) "Is your system completely auto or manual or what?"

A4) The "HistoryRepeatsItself" system is manual as it depends on signals generated by a combination of TA indicators in a platform of my choice. I manually enter the orders here once I take signals from my custom combination of indicators.

Q5) "Are you a fundamental or technical trader?"

A5) One would call me technical -even a quant sort of- trader as I'm an academics on quantitative methods myself and very much related with computer programming and trading interrelation for long years even before the hype started on algorithmic and HFC trading. But my current system here is an uncomplicated one which merely depends on technical analysis patterns although I'm constantly refreshing my decision paradigms with macroeconomic and financial news.

Q6) "What are your purposes as a trader?"

A6) My current purpose as a trader is to make enough money to make a living on trading without need for an academic full time position in my case. I'm taking my C2 trading record very seriously since I made this decision.

Q7) "If your system is so great why are you on C2?"

A7) Unfortunately, I haven't got enough capital like most of the traders on this platform. Otherwise, most probably I wouldn't be here and just minding my own business.

Summary Statistics

Strategy began
2018-12-16
Suggested Minimum Capital
$25,000
# Trades
265
# Profitable
209
% Profitable
78.9%
Correlation S&P500
0.038
Sharpe Ratio
-0.20
Sortino Ratio
-0.22
Beta
0.13
Alpha
-0.07
Leverage
3.98 Average
12.80 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.