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

Predictor Discretionary (44880815)

Created by: DannyWhite DannyWhite
Started: 11/2009
Futures
Last trade: 2,066 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. Subscriptions to this system cost $1.00 per month.

5.4%
Annual Return (Compounded)
17.3%
Max Drawdown
633
Num Trades
61.0%
Win Trades
1.4 : 1
Profit Factor
17.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009                                                                      +3.7%(1.7%)+2.0%
2010+0.3%+3.7%(0.8%)+3.0%(0.9%)(1.3%)+3.4%+0.6%(4.9%)(1.9%)+0.8%+2.7%+4.4%
2011+9.0%(3%)+26.0%(9%)+8.0%+0.6%(5.8%)  -  +2.6%+11.8%+2.6%+2.8%+50.1%
2012+0.3%(5.2%)  -    -    -    -    -    -    -    -    -    -  (5%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -              0.0

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 12 hours.

Trading Record

This strategy has placed 12 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/21/12 14:17 @ESH2 E-MINI S&P 500 SHORT 5 1359.50 2/21 14:43 1357.50 0.49%
Trade id #70829419
Max drawdown($250)
Time2/21/12 14:19
Quant open-5
Worst price1360.50
Drawdown as % of equity-0.49%
$460
Includes Typical Broker Commissions trade costs of $40.00
2/21/12 11:38 @ESH2 E-MINI S&P 500 SHORT 5 1363.50 2/21 11:53 1363.25 0.12%
Trade id #70824769
Max drawdown($62)
Time2/21/12 11:40
Quant open-5
Worst price1363.75
Drawdown as % of equity-0.12%
$23
Includes Typical Broker Commissions trade costs of $40.00
2/21/12 9:55 @ESH2 E-MINI S&P 500 SHORT 5 1359.00 2/21 10:18 1360.50 1.1%
Trade id #70820922
Max drawdown($562)
Time2/21/12 10:15
Quant open-5
Worst price1361.25
Drawdown as % of equity-1.10%
($415)
Includes Typical Broker Commissions trade costs of $40.00
2/21/12 9:55 @ESH2 E-MINI S&P 500 LONG 5 1359.25 2/21 9:55 1359.00 0.12%
Trade id #70820898
Max drawdown($63)
Time2/21/12 9:55
Quant open0
Worst price1359.00
Drawdown as % of equity-0.12%
($103)
Includes Typical Broker Commissions trade costs of $40.00
2/17/12 14:28 @ESH2 E-MINI S&P 500 LONG 5 1358.50 2/17 15:32 1360.75 0.12%
Trade id #70760586
Max drawdown($62)
Time2/17/12 14:30
Quant open5
Worst price1358.25
Drawdown as % of equity-0.12%
$523
Includes Typical Broker Commissions trade costs of $40.00
2/17/12 10:48 @ESH2 E-MINI S&P 500 SHORT 5 1357.50 2/17 10:49 1358.25 0.37%
Trade id #70752757
Max drawdown($188)
Time2/17/12 10:49
Quant open0
Worst price1358.25
Drawdown as % of equity-0.37%
($228)
Includes Typical Broker Commissions trade costs of $40.00
2/17/12 10:05 @ESH2 E-MINI S&P 500 SHORT 5 1357.50 2/17 10:46 1358.25 0.86%
Trade id #70747796
Max drawdown($437)
Time2/17/12 10:26
Quant open-5
Worst price1359.25
Drawdown as % of equity-0.86%
($228)
Includes Typical Broker Commissions trade costs of $40.00
2/16/12 16:04 @ESH2 E-MINI S&P 500 SHORT 5 1354.50 2/16 20:15 1356.25 0.86%
Trade id #70723595
Max drawdown($438)
Time2/16/12 20:15
Quant open0
Worst price1356.25
Drawdown as % of equity-0.86%
($478)
Includes Typical Broker Commissions trade costs of $40.00
2/15/12 15:47 @ESH2 E-MINI S&P 500 LONG 5 1341.50 2/15 15:56 1340.50 0.48%
Trade id #70665390
Max drawdown($250)
Time2/15/12 15:50
Quant open5
Worst price1340.50
Drawdown as % of equity-0.48%
($290)
Includes Typical Broker Commissions trade costs of $40.00
2/15/12 15:40 @ESH2 E-MINI S&P 500 LONG 5 1340.50 2/15 15:44 1341.50 0.24%
Trade id #70665122
Max drawdown($125)
Time2/15/12 15:42
Quant open5
Worst price1340.00
Drawdown as % of equity-0.24%
$210
Includes Typical Broker Commissions trade costs of $40.00
2/15/12 14:40 @ESH2 E-MINI S&P 500 LONG 5 1343.00 2/15 14:59 1340.25 1.32%
Trade id #70663293
Max drawdown($688)
Time2/15/12 14:59
Quant open0
Worst price1340.25
Drawdown as % of equity-1.32%
($728)
Includes Typical Broker Commissions trade costs of $40.00
2/15/12 14:31 @ESH2 E-MINI S&P 500 SHORT 5 1344.00 2/15 14:39 1343.25 0.24%
Trade id #70662977
Max drawdown($125)
Time2/15/12 14:34
Quant open-5
Worst price1344.50
Drawdown as % of equity-0.24%
$148
Includes Typical Broker Commissions trade costs of $40.00
2/15/12 14:24 @ESH2 E-MINI S&P 500 LONG 5 1342.75 2/15 14:24 0.00 0.12%
Trade id #70662625
Max drawdown($62)
Time2/15/12 14:26
Quant open5
Worst price1342.50
Drawdown as % of equity-0.12%
($20)
Includes Typical Broker Commissions trade costs of $20.00
2/15/12 13:46 @ESH2 E-MINI S&P 500 LONG 5 1344.25 2/15 14:14 1342.25 0.96%
Trade id #70661369
Max drawdown($500)
Time2/15/12 14:14
Quant open0
Worst price1342.25
Drawdown as % of equity-0.96%
($540)
Includes Typical Broker Commissions trade costs of $40.00
2/15/12 12:01 @ESH2 E-MINI S&P 500 SHORT 5 1352.50 2/15 12:13 1351.50 0.36%
Trade id #70656686
Max drawdown($187)
Time2/15/12 12:07
Quant open-5
Worst price1353.25
Drawdown as % of equity-0.36%
$210
Includes Typical Broker Commissions trade costs of $40.00
2/15/12 11:16 @ESH2 E-MINI S&P 500 SHORT 10 1349.12 2/15 11:28 1351.50 2.28%
Trade id #70654886
Max drawdown($1,188)
Time2/15/12 11:28
Quant open0
Worst price1351.50
Drawdown as % of equity-2.28%
($1,268)
Includes Typical Broker Commissions trade costs of $80.00
2/15/12 10:50 @ESH2 E-MINI S&P 500 LONG 5 1350.75 2/15 11:15 1349.50 0.96%
Trade id #70653856
Max drawdown($500)
Time2/15/12 11:14
Quant open5
Worst price1348.75
Drawdown as % of equity-0.96%
($353)
Includes Typical Broker Commissions trade costs of $40.00
2/15/12 10:36 @ESH2 E-MINI S&P 500 SHORT 5 1349.25 2/15 10:44 1351.25 0.96%
Trade id #70653014
Max drawdown($500)
Time2/15/12 10:44
Quant open0
Worst price1351.25
Drawdown as % of equity-0.96%
($540)
Includes Typical Broker Commissions trade costs of $40.00
2/15/12 10:20 @ESH2 E-MINI S&P 500 LONG 5 1348.50 2/15 10:24 1349.50 0.12%
Trade id #70652242
Max drawdown($62)
Time2/15/12 10:22
Quant open5
Worst price1348.25
Drawdown as % of equity-0.12%
$210
Includes Typical Broker Commissions trade costs of $40.00
2/15/12 10:04 @ESH2 E-MINI S&P 500 SHORT 5 1351.00 2/15 10:20 1347.75 0.36%
Trade id #70651159
Max drawdown($187)
Time2/15/12 10:06
Quant open-5
Worst price1351.75
Drawdown as % of equity-0.36%
$773
Includes Typical Broker Commissions trade costs of $40.00
2/15/12 9:47 @ESH2 E-MINI S&P 500 LONG 5 1349.75 2/15 9:59 1350.75 0.36%
Trade id #70649996
Max drawdown($187)
Time2/15/12 9:49
Quant open5
Worst price1349.00
Drawdown as % of equity-0.36%
$210
Includes Typical Broker Commissions trade costs of $40.00
2/14/12 15:53 @ESH2 E-MINI S&P 500 SHORT 5 1345.50 2/14 16:02 1347.50 1.22%
Trade id #70614188
Max drawdown($625)
Time2/14/12 16:00
Quant open-5
Worst price1348.00
Drawdown as % of equity-1.22%
($540)
Includes Typical Broker Commissions trade costs of $40.00
2/14/12 15:32 @ESH2 E-MINI S&P 500 LONG 5 1339.25 2/14 15:35 1340.50 0%
Trade id #70611756
Max drawdown$0
Time2/14/12 15:34
Quant open5
Worst price1339.25
Drawdown as % of equity0.00%
$273
Includes Typical Broker Commissions trade costs of $40.00
2/14/12 15:23 @ESH2 E-MINI S&P 500 LONG 5 1338.50 2/14 15:31 1339.00 0.37%
Trade id #70611514
Max drawdown($187)
Time2/14/12 15:31
Quant open5
Worst price1337.75
Drawdown as % of equity-0.37%
$85
Includes Typical Broker Commissions trade costs of $40.00
2/14/12 15:13 @ESH2 E-MINI S&P 500 SHORT 5 1341.50 2/14 15:15 1340.50 0%
Trade id #70611155
Max drawdown$0
Time2/14/12 15:15
Quant open-5
Worst price1341.50
Drawdown as % of equity0.00%
$210
Includes Typical Broker Commissions trade costs of $40.00
2/14/12 14:57 @ESH2 E-MINI S&P 500 LONG 5 1340.75 2/14 15:09 1341.50 0.37%
Trade id #70610728
Max drawdown($187)
Time2/14/12 15:00
Quant open5
Worst price1340.00
Drawdown as % of equity-0.37%
$148
Includes Typical Broker Commissions trade costs of $40.00
2/14/12 11:07 @ESH2 E-MINI S&P 500 SHORT 5 1342.50 2/14 11:24 1343.50 0.86%
Trade id #70602606
Max drawdown($437)
Time2/14/12 11:23
Quant open-5
Worst price1344.25
Drawdown as % of equity-0.86%
($290)
Includes Typical Broker Commissions trade costs of $40.00
2/14/12 10:32 @ESH2 E-MINI S&P 500 SHORT 5 1343.50 2/14 10:41 1343.00 0.61%
Trade id #70601109
Max drawdown($312)
Time2/14/12 10:35
Quant open-5
Worst price1344.75
Drawdown as % of equity-0.61%
$85
Includes Typical Broker Commissions trade costs of $40.00
2/14/12 10:20 @ESH2 E-MINI S&P 500 LONG 5 1342.75 2/14 10:23 1343.75 0%
Trade id #70600374
Max drawdown$0
Time2/14/12 10:22
Quant open5
Worst price1342.75
Drawdown as % of equity0.00%
$210
Includes Typical Broker Commissions trade costs of $40.00
2/14/12 10:17 @ESH2 E-MINI S&P 500 LONG 5 1342.50 2/14 10:19 1342.25 0.37%
Trade id #70600143
Max drawdown($187)
Time2/14/12 10:19
Quant open5
Worst price1341.75
Drawdown as % of equity-0.37%
($103)
Includes Typical Broker Commissions trade costs of $40.00

Statistics

  • Strategy began
    11/11/2009
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    2895.65
  • Age
    97 months ago
  • What it trades
    Futures
  • # Trades
    633
  • # Profitable
    386
  • % Profitable
    61.00%
  • Avg trade duration
    9.7 hours
  • Max peak-to-valley drawdown
    17.34%
  • drawdown period
    Oct 05, 2011 - Oct 11, 2011
  • Annual Return (Compounded)
    5.4%
  • Avg win
    $264.22
  • Avg loss
    $301.68
  • Model Account Values (Raw)
  • Cash
    $50,388
  • Margin Used
    $0
  • Buying Power
    $50,388
  • Ratios
  • W:L ratio
    1.37:1
  • Sharpe Ratio
    0.754
  • Sortino Ratio
    1.266
  • Calmar Ratio
    1.718
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.10300
  • Return Statistics
  • Ann Return (w trading costs)
    5.4%
  • Ann Return (Compnd, No Fees)
    10.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $302
  • Avg Win
    $264
  • # Winners
    386
  • # Losers
    247
  • % Winners
    61.0%
  • Frequency
  • Avg Position Time (mins)
    580.10
  • Avg Position Time (hrs)
    9.67
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    2064
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16630
  • SD
    0.17588
  • Sharpe ratio (Glass type estimate)
    0.94553
  • Sharpe ratio (Hedges UMVUE)
    0.93156
  • df
    51.00000
  • t
    1.96828
  • p
    0.02724
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01809
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02718
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89029
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.43272
  • Upside Potential Ratio
    4.96920
  • Upside part of mean
    0.24073
  • Downside part of mean
    -0.07443
  • Upside SD
    0.17406
  • Downside SD
    0.04844
  • N nonnegative terms
    18.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    52.00000
  • Mean of predictor
    0.17650
  • Mean of criterion
    0.16630
  • SD of predictor
    0.14479
  • SD of criterion
    0.17588
  • Covariance
    -0.00079
  • r
    -0.03108
  • b (slope, estimate of beta)
    -0.03775
  • a (intercept, estimate of alpha)
    0.17296
  • Mean Square Error
    0.03152
  • DF error
    50.00000
  • t(b)
    -0.21987
  • p(b)
    0.58657
  • t(a)
    1.91091
  • p(a)
    0.03088
  • Lowerbound of 95% confidence interval for beta
    -0.38263
  • Upperbound of 95% confidence interval for beta
    0.30712
  • Lowerbound of 95% confidence interval for alpha
    -0.00884
  • Upperbound of 95% confidence interval for alpha
    0.35476
  • Treynor index (mean / b)
    -4.40494
  • Jensen alpha (a)
    0.17296
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15127
  • SD
    0.16260
  • Sharpe ratio (Glass type estimate)
    0.93027
  • Sharpe ratio (Hedges UMVUE)
    0.91653
  • df
    51.00000
  • t
    1.93652
  • p
    0.02918
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03272
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88449
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04166
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87472
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.06175
  • Upside Potential Ratio
    4.58920
  • Upside part of mean
    0.22673
  • Downside part of mean
    -0.07546
  • Upside SD
    0.15937
  • Downside SD
    0.04941
  • N nonnegative terms
    18.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    52.00000
  • Mean of predictor
    0.16476
  • Mean of criterion
    0.15127
  • SD of predictor
    0.14359
  • SD of criterion
    0.16260
  • Covariance
    -0.00067
  • r
    -0.02865
  • b (slope, estimate of beta)
    -0.03245
  • a (intercept, estimate of alpha)
    0.15661
  • Mean Square Error
    0.02695
  • DF error
    50.00000
  • t(b)
    -0.20268
  • p(b)
    0.57990
  • t(a)
    1.88346
  • p(a)
    0.03273
  • Lowerbound of 95% confidence interval for beta
    -0.35398
  • Upperbound of 95% confidence interval for beta
    0.28909
  • Lowerbound of 95% confidence interval for alpha
    -0.01040
  • Upperbound of 95% confidence interval for alpha
    0.32363
  • Treynor index (mean / b)
    -4.66210
  • Jensen alpha (a)
    0.15661
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06256
  • Expected Shortfall on VaR
    0.08063
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01677
  • Expected Shortfall on VaR
    0.03314
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    52.00000
  • Minimum
    0.94058
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.02452
  • Maximum
    1.23056
  • Mean of quarter 1
    0.98128
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00613
  • Mean of quarter 4
    1.07734
  • Inter Quartile Range
    0.02452
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01923
  • Mean of outliers low
    0.94058
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    1.15535
  • 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)
    -0.83788
  • VaR(95%) (regression method)
    0.02856
  • Expected Shortfall (regression method)
    0.03585
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.02136
  • Quartile 1
    0.02688
  • Median
    0.03408
  • Quartile 3
    0.03929
  • Maximum
    0.06900
  • Mean of quarter 1
    0.02315
  • Mean of quarter 2
    0.03272
  • Mean of quarter 3
    0.03543
  • Mean of quarter 4
    0.05479
  • Inter Quartile Range
    0.01241
  • 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
    0.16667
  • Mean of outliers high
    0.06900
  • 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)
    0.27085
  • Compounded annual return (geometric extrapolation)
    0.19623
  • Calmar ratio (compounded annual return / max draw down)
    2.84379
  • Compounded annual return / average of 25% largest draw downs
    3.58170
  • Compounded annual return / Expected Shortfall lognormal
    2.43368
  • 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
    0.17552
  • SD
    0.23277
  • Sharpe ratio (Glass type estimate)
    0.75406
  • Sharpe ratio (Hedges UMVUE)
    0.75357
  • df
    1150.00000
  • t
    1.58049
  • p
    0.47672
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68951
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18205
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68918
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.26603
  • Upside Potential Ratio
    5.46505
  • Upside part of mean
    0.75768
  • Downside part of mean
    -0.58216
  • Upside SD
    0.18717
  • Downside SD
    0.13864
  • N nonnegative terms
    217.00000
  • N negative terms
    934.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1151.00000
  • Mean of predictor
    0.19359
  • Mean of criterion
    0.17552
  • SD of predictor
    0.21975
  • SD of criterion
    0.23277
  • Covariance
    -0.00132
  • r
    -0.02571
  • b (slope, estimate of beta)
    -0.02723
  • a (intercept, estimate of alpha)
    0.18100
  • Mean Square Error
    0.05419
  • DF error
    1149.00000
  • t(b)
    -0.87174
  • p(b)
    0.51636
  • t(a)
    1.62538
  • p(a)
    0.46952
  • Lowerbound of 95% confidence interval for beta
    -0.08852
  • Upperbound of 95% confidence interval for beta
    0.03406
  • Lowerbound of 95% confidence interval for alpha
    -0.03745
  • Upperbound of 95% confidence interval for alpha
    0.39904
  • Treynor index (mean / b)
    -6.44542
  • Jensen alpha (a)
    0.18080
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14883
  • SD
    0.23005
  • Sharpe ratio (Glass type estimate)
    0.64695
  • Sharpe ratio (Hedges UMVUE)
    0.64652
  • df
    1150.00000
  • t
    1.35599
  • p
    0.48002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28867
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58229
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28896
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58200
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04190
  • Upside Potential Ratio
    5.18694
  • Upside part of mean
    0.74092
  • Downside part of mean
    -0.59209
  • Upside SD
    0.18043
  • Downside SD
    0.14284
  • N nonnegative terms
    217.00000
  • N negative terms
    934.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1151.00000
  • Mean of predictor
    0.16938
  • Mean of criterion
    0.14883
  • SD of predictor
    0.21980
  • SD of criterion
    0.23005
  • Covariance
    -0.00129
  • r
    -0.02553
  • b (slope, estimate of beta)
    -0.02672
  • a (intercept, estimate of alpha)
    0.15335
  • Mean Square Error
    0.05293
  • DF error
    1149.00000
  • t(b)
    -0.86562
  • p(b)
    0.51625
  • t(a)
    1.39549
  • p(a)
    0.47382
  • Lowerbound of 95% confidence interval for beta
    -0.08728
  • Upperbound of 95% confidence interval for beta
    0.03384
  • Lowerbound of 95% confidence interval for alpha
    -0.06226
  • Upperbound of 95% confidence interval for alpha
    0.36897
  • Treynor index (mean / b)
    -5.57006
  • Jensen alpha (a)
    0.15335
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02255
  • Expected Shortfall on VaR
    0.02833
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00679
  • Expected Shortfall on VaR
    0.01488
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1151.00000
  • Minimum
    0.88980
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.15140
  • Mean of quarter 1
    0.99146
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01164
  • Inter Quartile Range
    0.00000
  • Number outliers low
    203.00000
  • Percentage of outliers low
    0.17637
  • Mean of outliers low
    0.98789
  • Number of outliers high
    227.00000
  • Percentage of outliers high
    0.19722
  • Mean of outliers high
    1.01477
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32730
  • VaR(95%) (moments method)
    0.00370
  • Expected Shortfall (moments method)
    0.00817
  • Extreme Value Index (regression method)
    0.26262
  • VaR(95%) (regression method)
    0.00813
  • Expected Shortfall (regression method)
    0.01840
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    38.00000
  • Minimum
    0.00053
  • Quartile 1
    0.01411
  • Median
    0.02790
  • Quartile 3
    0.06411
  • Maximum
    0.11255
  • Mean of quarter 1
    0.00460
  • Mean of quarter 2
    0.02058
  • Mean of quarter 3
    0.04576
  • Mean of quarter 4
    0.08773
  • Inter Quartile Range
    0.04999
  • 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)
    -0.45963
  • VaR(95%) (moments method)
    0.09751
  • Expected Shortfall (moments method)
    0.10700
  • Extreme Value Index (regression method)
    -0.98857
  • VaR(95%) (regression method)
    0.08454
  • Expected Shortfall (regression method)
    0.08682
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26716
  • Compounded annual return (geometric extrapolation)
    0.19332
  • Calmar ratio (compounded annual return / max draw down)
    1.71768
  • Compounded annual return / average of 25% largest draw downs
    2.20351
  • Compounded annual return / Expected Shortfall lognormal
    6.82484
  • 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
    -0.02791
  • 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
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.45380
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.19994
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • 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
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.43343
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.20079
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6805890000000000.00000
  • p(a)
    1.00000
  • 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
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    96527399999999986092805030150144.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • 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

These are my discretionary predictions which are based on my own proprietary blend of analysis including quantitative analysis (mechanical systems), technical analysis, sentiment, and other factors.

Notice: Go to http://themarketpredictor.com/ to learn more about methodology and read my commentary!


FAQ

1. I see some fractional contracts why is that?

I've been so successful that my system equity grew to a point where I felt it made sense for me to "rescale" it down. This will make it easier for those with less capital to track me. The percent changes are the same except I'm penalized because the monthly fees are applied to a lower starting capital.

2. The after commissions performance doesn't look the best. What performance is possible?

The after commission is set by default to "typical" commissions which is too high for this system. If you use MBTrading or OpenECry, you will see a much better and more realistic result. Some traders may even achieve slightly better actual results then the after cost estimates (using cheaper brokers/better deals using Gen1). I have found this to be true at least on some days.

More Info:

1. I focus on directional timing strategies. The core strategy will not hold more then 1 position at any time. I do experiment and try to find creative edges.

2. I do use some leverage. Leverage can both magnify gains and losses and the differences both positive and negative are typically strongly modulated by volatility.

I vary my position size currently on a few factors: confidence, time-in-market consideration, perceived risk, personal goals, and type of trade.

3. I do not use or believe in martingale strategies. However, I do believe that in certain rare cases the optimal course of action may require that one opens a new position on a position that is already underwater. I always try to take the optimal action. I may at unique times average into a trade.

4. Most of my trades are executed during the regular session and closed before or shortly after the close. I may hold positions up to a few days but currently my style is day trading.

5. I use multiple risk management strategies. First, I use the C2 constraint feature which sets a large autostop on each position. This is currently set at 3% but may be reduced or increased. I anticipate the range to stay between 2% and 3.5%. However, I often will set a tighter stop of only a few points shortly after entering a position. I rarely take losses in that range but it can happen.

6. I do trade distinctly different styles, and I do experiment. In some cases, I may shoot for a high win ratio and use targets and in other cases I may try to catch big trends. I always try to win. But, I'm, also, training, practicing, and trying to hone my techniques. Be wary of extrapolating a short history of my trading style into the future. During some periods, you may see my trading style change dramatically as I work on new skills or try out new ideas. I always try to win though.

7. My market calls could prove extremely valuable and profitable to the intraday trader and do promote my service as more then a trading system. I do feel my services could be invaluable in terms of intraday decision support.

8. I have found that setting hard/inflexible rules does not bring out the best in my performance. Instead, I've found that having a general plan and guidelines to be more effective. Thus, one should view this plan as a work-in-progress and as a general guidelines or blue print. This plan will be updated as time goes on and changes may be made without explicit notification.

9. My performance may vary as I change my personal goals. My current goals are to be consistently profitable, and my new goal is to produce returns in the 50% to 120% range. Higher returns require taking a higher risk. Please note that risk will be higher going forward. The previous maximum risk likely understate the future risks.

10. As noted, I do take experimental trades and vary my position size. If you auto-trade either issue may be an important consideration. I advise to monitor and evaluate your risk tolerance carefully.
-------------------------------

This system is open only to individual subscribers, retail traders, and independent professional traders. If you are a broker, hedge fund manager, or proprietary trading group please contact me for rates and/or partnership opportunities. Signals may not be reproduced without permission.

Warning:
This system, as any trading system, is host to both known and unknown risk. Significant loss including total account loss is a distinct possibility with any system. Past performance is no guarantee of future profits. I am not a financial professional and can not, and do not, offer investment advice.

No warranty is implied or guaranteed. As system is discretionary, adaptation or changes to all rules, style of trading, position sizing, and use of leverage may take place at any time without warning or notification. You agree to not hold me liable for any order entry mistakes, timing delays, or other failures. By signing up for my system you acknowledge all of these risks and unspecified risk and agree to not hold me liable for any losses. Any claims are my opinion and not the claims of my employer.


Please don't even *THINK* about trading this system unless you are prepared to lose up to 12% to 30% on a NORMAL downswing and more on a larger then anticipated downswing. I've set extremely high return goals for myself that will increase the risk going forward. Thanks!

Summary Statistics

Strategy began
2009-11-11
Minimum Capital Required
$25,000
# Trades
633
# Profitable
386
% Profitable
61.0%
Correlation S&P500
0.103
Sharpe Ratio
0.754

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.

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