Collective2 Collective2
Featured Strategy Quant AI pro Followed by live capital $116,000 Hypothetical

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This is an archived track record. This track record was archived on 1/16/23 14:14 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Marlin
(125206069)

Created by: sean_modd sean_modd
Started: 09/2019
Futures
Last trade: 720 days ago
Trading style: Futures Trend-following Commodities

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 $125.00 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
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames 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, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
-
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(100.0%)
Max Drawdown
615
Num Trades
40.2%
Win Trades
0.9 : 1
Profit Factor
31.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                        +7.5%+11.3%(3.8%)(1.9%)+12.9%
2020+8.8%+25.9%+34.3%+16.3%+2.0%(6.3%)(2.1%)(5.8%)(7.2%)+7.3%+4.8%(5.6%)+85.8%
2021(8.6%)(15.4%)(19.1%)+8.8%(0.9%)+6.9%+18.4%(12.4%)(10.5%)+1.6%+47.6%+13.9%+14.2%
2022+12.7%(1.3%)+1.2%(2.6%)+4.7%+0.9%  -  +1.8%(6.8%)(6.9%)(12.8%)(10.8%)
2023(123.6%)  -    -    -    -    -    -    -    -    -    -    -  (123.6%)
2024  -    -    -    -    -    -    -    -    -    -    -    -  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 168 hours.

Trading Record

This strategy has placed 480 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1439 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/4/23 6:23 QHGH3 Copper SHORT 20 376.60 1/10 16:48 398.10 217.01%
Trade id #143084414
Max drawdown($82,000)
Time1/6/23 0:00
Quant open20
Worst price393.00
Drawdown as % of equity-217.01%
 ($107,673)
Includes Typical Broker Commissions trade costs of $160.00
1/6/23 6:43 @KCH3 COFFEE SHORT 4 158.80 1/6 10:35 161.10 8.61%
Trade id #143120192
Max drawdown($5,625)
Time1/6/23 9:14
Quant open4
Worst price162.55
Drawdown as % of equity-8.61%
 ($3,482)
Includes Typical Broker Commissions trade costs of $32.00
12/30/22 14:40 @BPH3 BRITISH POUND SHORT 9 1.2095 1/5/23 9:03 1.2023 0.68%
Trade id #143049049
Max drawdown($750)
Time12/30/22 16:59
Quant open5
Worst price1.2123
Drawdown as % of equity-0.68%
 $3,978
Includes Typical Broker Commissions trade costs of $72.00
12/28/22 13:50 @WH3 WHEAT LONG 3 785 3/4 1/4/23 6:26 766 2/4 4.46%
Trade id #143022710
Max drawdown($3,487)
Time1/4/23 5:41
Quant open3
Worst price762 2/4
Drawdown as % of equity-4.46%
 ($2,912)
Includes Typical Broker Commissions trade costs of $24.00
12/28/22 13:49 @CTH3 COTTON - #2 SHORT 6 8330 1/4/23 6:25 8394 3.56%
Trade id #143022669
Max drawdown($4,020)
Time12/30/22 0:00
Quant open6
Worst price8464
Drawdown as % of equity-3.56%
 ($1,968)
Includes Typical Broker Commissions trade costs of $48.00
12/30/22 14:27 QPLJ3 PLATINUM SHORT 40 1081.6 1/4/23 6:22 1096.3 38.02%
Trade id #143048960
Max drawdown($30,500)
Time1/4/23 3:14
Quant open20
Worst price1112.1
Drawdown as % of equity-38.02%
 ($29,820)
Includes Typical Broker Commissions trade costs of $320.00
12/28/22 13:53 @TNH3 ULTRA 10 YR US TREASURY NOTE SHORT 2 117.937500 12/30 14:39 117.906250 0.99%
Trade id #143022809
Max drawdown($1,156)
Time12/29/22 0:00
Quant open2
Worst price118.516000
Drawdown as % of equity-0.99%
 $47
Includes Typical Broker Commissions trade costs of $16.00
12/29/22 10:27 @ESH3 E-MINI S&P 500 SHORT 3 3861.50 12/30 14:39 3829.00 2.85%
Trade id #143033114
Max drawdown($3,187)
Time12/29/22 14:06
Quant open3
Worst price3882.75
Drawdown as % of equity-2.85%
 $4,851
Includes Typical Broker Commissions trade costs of $24.00
12/29/22 10:29 QPLJ3 PLATINUM SHORT 45 1079.7 12/30 14:26 1081.8 4.6%
Trade id #143033141
Max drawdown($5,115)
Time12/30/22 9:21
Quant open3
Worst price1087.6
Drawdown as % of equity-4.60%
 ($5,025)
Includes Typical Broker Commissions trade costs of $360.00
12/12/22 10:03 QHGH3 Copper SHORT 6 391.02 12/28 13:47 382.40 2.57%
Trade id #142845667
Max drawdown($3,200)
Time12/13/22 0:00
Quant open1
Worst price392.90
Drawdown as % of equity-2.57%
 $12,877
Includes Typical Broker Commissions trade costs of $48.00
11/30/22 10:49 @HEG3 LEAN HOGS SHORT 4 84.263 12/27 9:30 88.950 7.71%
Trade id #142719887
Max drawdown($8,500)
Time12/27/22 9:30
Quant open4
Worst price89.575
Drawdown as % of equity-7.71%
 ($7,532)
Includes Typical Broker Commissions trade costs of $32.00
11/30/22 10:49 @CTH3 COTTON - #2 SHORT 4 8148 12/27 5:38 8514 15.46%
Trade id #142719885
Max drawdown($16,330)
Time12/21/22 0:00
Quant open4
Worst price8965
Drawdown as % of equity-15.46%
 ($7,342)
Includes Typical Broker Commissions trade costs of $32.00
11/30/22 10:48 @KCH3 COFFEE LONG 2 169.80 12/12 9:57 164.50 9.67%
Trade id #142719878
Max drawdown($11,437)
Time12/12/22 6:17
Quant open2
Worst price154.55
Drawdown as % of equity-9.67%
 ($3,991)
Includes Typical Broker Commissions trade costs of $16.00
11/11/22 12:05 @CH3 CORN SHORT 3 661 11/30 10:48 666 3/4 1.93%
Trade id #142537138
Max drawdown($2,400)
Time11/15/22 0:00
Quant open3
Worst price677
Drawdown as % of equity-1.93%
 ($887)
Includes Typical Broker Commissions trade costs of $24.00
11/11/22 12:06 @CCH3 COCOA LONG 2 2508 11/30 10:48 2492 1.45%
Trade id #142537145
Max drawdown($1,790)
Time11/23/22 0:00
Quant open2
Worst price2419
Drawdown as % of equity-1.45%
 ($346)
Includes Typical Broker Commissions trade costs of $16.00
10/10/22 6:30 @QOZ2 miNY Gold SHORT 2 1666.38 11/11 12:05 1748.62 7.33%
Trade id #142101652
Max drawdown($9,387)
Time11/10/22 0:00
Quant open2
Worst price1760.25
Drawdown as % of equity-7.33%
 ($8,241)
Includes Typical Broker Commissions trade costs of $16.00
11/7/22 7:25 QHGH3 Copper LONG 1 360.80 11/9 9:59 371.00 0.89%
Trade id #142463501
Max drawdown($1,137)
Time11/8/22 0:00
Quant open1
Worst price356.25
Drawdown as % of equity-0.89%
 $2,542
Includes Typical Broker Commissions trade costs of $8.00
11/7/22 7:09 @QGF3 MINY NATURAL GAS SHORT 1 7.335 11/8 5:54 6.910 0.32%
Trade id #142463389
Max drawdown($412)
Time11/7/22 11:14
Quant open1
Worst price7.500
Drawdown as % of equity-0.32%
 $1,055
Includes Typical Broker Commissions trade costs of $8.00
10/21/22 10:47 @LBF3 Random Length Lumber Globex LONG 1 544.00 10/25 10:00 500.00 4.51%
Trade id #142262801
Max drawdown($5,940)
Time10/25/22 10:00
Quant open1
Worst price490.00
Drawdown as % of equity-4.51%
 ($4,848)
Includes Typical Broker Commissions trade costs of $8.00
9/27/22 10:51 @LEZ2 LIVE CATTLE SHORT 2 147.300 10/21 9:30 151.400 2.6%
Trade id #141944081
Max drawdown($3,560)
Time10/20/22 0:00
Quant open2
Worst price151.750
Drawdown as % of equity-2.60%
 ($3,296)
Includes Typical Broker Commissions trade costs of $16.00
9/6/22 13:07 @CTZ2 COTTON - #2 SHORT 12 10222 10/5 9:20 9910 7.91%
Trade id #141674191
Max drawdown($10,975)
Time9/12/22 0:00
Quant open5
Worst price10810
Drawdown as % of equity-7.91%
 $18,634
Includes Typical Broker Commissions trade costs of $96.00
10/3/22 16:25 @ESZ2 E-MINI S&P 500 SHORT 1 3695.25 10/4 9:39 3765.00 2.76%
Trade id #142018904
Max drawdown($3,762)
Time10/4/22 9:39
Quant open1
Worst price3770.50
Drawdown as % of equity-2.76%
 ($3,496)
Includes Typical Broker Commissions trade costs of $8.00
10/3/22 10:30 @QOZ2 miNY Gold SHORT 1 1699.25 10/3 16:24 1708.75 0.41%
Trade id #142011997
Max drawdown($575)
Time10/3/22 15:49
Quant open1
Worst price1710.75
Drawdown as % of equity-0.41%
 ($483)
Includes Typical Broker Commissions trade costs of $8.00
8/24/22 12:59 QGCZ2 Gold 100 oz SHORT 11 1731.5 9/30 9:46 1700.4 1.19%
Trade id #141524102
Max drawdown($1,650)
Time8/25/22 0:00
Quant open1
Worst price1778.8
Drawdown as % of equity-1.19%
 $34,092
Includes Typical Broker Commissions trade costs of $88.00
8/3/21 21:38 @QMU1 MINY CRUDE OIL SHORT 1 70.200 9/12/22 13:35 63.725 0.34%
Trade id #136813926
Max drawdown($300)
Time8/4/21 0:00
Quant open1
Worst price70.800
Drawdown as % of equity-0.34%
 $3,230
Includes Typical Broker Commissions trade costs of $8.00
4/29/22 12:24 QGCM2 Gold 100 oz SHORT 1 1909.2 9/12 13:11 1833.6 0.28%
Trade id #140315806
Max drawdown($360)
Time4/29/22 13:52
Quant open1
Worst price1912.8
Drawdown as % of equity-0.28%
 $7,552
Includes Typical Broker Commissions trade costs of $8.00
9/6/22 13:05 @CTZ2 COTTON - #2 SHORT 5 10359 9/6 13:05 10359 n/a ($40)
Includes Typical Broker Commissions trade costs of $40.00
9/2/22 6:03 QCLV2 CRUDE OIL SHORT 1 88.53 9/6 13:03 86.77 0.36%
Trade id #141633310
Max drawdown($1,130)
Time9/2/22 8:41
Quant open1
Worst price89.66
Drawdown as % of equity-0.36%
 $1,752
Includes Typical Broker Commissions trade costs of $8.00
8/25/22 8:33 @CZ2 CORN LONG 1 659 3/4 8/31 7:10 668 2/4 0.21%
Trade id #141534554
Max drawdown($625)
Time8/25/22 20:00
Quant open1
Worst price647 1/4
Drawdown as % of equity-0.21%
 $430
Includes Typical Broker Commissions trade costs of $8.00
8/24/22 12:58 @SX2 SOYBEANS LONG 1 1454 2/4 8/25 14:12 1430 0.43%
Trade id #141524089
Max drawdown($1,287)
Time8/25/22 14:12
Quant open1
Worst price1428 3/4
Drawdown as % of equity-0.43%
 ($1,233)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    9/3/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1944.36
  • Age
    65 months ago
  • What it trades
    Futures
  • # Trades
    615
  • # Profitable
    247
  • % Profitable
    40.20%
  • Avg trade duration
    5.3 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Jan 08, 2023 - Jan 15, 2023
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $2,314
  • Avg loss
    $1,719
  • Model Account Values (Raw)
  • Cash
    ($11,135)
  • Margin Used
    $0
  • Buying Power
    ($11,135)
  • Ratios
  • W:L ratio
    0.90:1
  • Sharpe Ratio
    -0.62
  • Sortino Ratio
    -0.62
  • Calmar Ratio
    -0.973
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -187.99%
  • Correlation to SP500
    -0.05130
  • Return Percent SP500 (cumu) during strategy life
    103.25%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.42%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    619
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    291
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,719
  • Avg Win
    $2,314
  • Sum Trade PL (losers)
    $632,732.000
  • Age
  • Num Months filled monthly returns table
    41
  • Win / Loss
  • Sum Trade PL (winners)
    $571,586.000
  • # Winners
    247
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    368
  • % Winners
    40.2%
  • Frequency
  • Avg Position Time (mins)
    7625.70
  • Avg Position Time (hrs)
    127.09
  • Avg Trade Length
    5.3 days
  • Last Trade Ago
    720
  • Leverage
  • Daily leverage (average)
    2.87
  • Daily leverage (max)
    108.22
  • Regression
  • Alpha
    0.00
  • Beta
    -0.15
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.26
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -13.121
  • 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
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    0.288
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.081
  • Hold-and-Hope Ratio
    -0.076
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19670
  • SD
    0.64366
  • Sharpe ratio (Glass type estimate)
    0.30559
  • Sharpe ratio (Hedges UMVUE)
    0.29836
  • df
    32.00000
  • t
    0.50677
  • p
    0.30789
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88099
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48750
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88579
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48253
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.44858
  • Upside Potential Ratio
    1.86269
  • Upside part of mean
    0.81677
  • Downside part of mean
    -0.62007
  • Upside SD
    0.46119
  • Downside SD
    0.43849
  • N nonnegative terms
    18.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.09668
  • Mean of criterion
    0.19670
  • SD of predictor
    0.18817
  • SD of criterion
    0.64366
  • Covariance
    -0.02721
  • r
    -0.22466
  • b (slope, estimate of beta)
    -0.76848
  • a (intercept, estimate of alpha)
    0.27099
  • Mean Square Error
    0.40608
  • DF error
    31.00000
  • t(b)
    -1.28366
  • p(b)
    0.89561
  • t(a)
    0.69735
  • p(a)
    0.24539
  • Lowerbound of 95% confidence interval for beta
    -1.98945
  • Upperbound of 95% confidence interval for beta
    0.45250
  • Lowerbound of 95% confidence interval for alpha
    -0.52157
  • Upperbound of 95% confidence interval for alpha
    1.06356
  • Treynor index (mean / b)
    -0.25596
  • Jensen alpha (a)
    0.27099
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05253
  • SD
    0.77599
  • Sharpe ratio (Glass type estimate)
    -0.06769
  • Sharpe ratio (Hedges UMVUE)
    -0.06609
  • df
    32.00000
  • t
    -0.11225
  • p
    0.54434
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24919
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.11484
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24810
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11593
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.08065
  • Upside Potential Ratio
    1.11640
  • Upside part of mean
    0.72713
  • Downside part of mean
    -0.77965
  • Upside SD
    0.39993
  • Downside SD
    0.65131
  • N nonnegative terms
    18.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.07858
  • Mean of criterion
    -0.05253
  • SD of predictor
    0.19185
  • SD of criterion
    0.77599
  • Covariance
    -0.02271
  • r
    -0.15257
  • b (slope, estimate of beta)
    -0.61710
  • a (intercept, estimate of alpha)
    -0.00403
  • Mean Square Error
    0.60713
  • DF error
    31.00000
  • t(b)
    -0.85951
  • p(b)
    0.80167
  • t(a)
    -0.00852
  • p(a)
    0.50337
  • Lowerbound of 95% confidence interval for beta
    -2.08139
  • Upperbound of 95% confidence interval for beta
    0.84720
  • Lowerbound of 95% confidence interval for alpha
    -0.96921
  • Upperbound of 95% confidence interval for alpha
    0.96115
  • Treynor index (mean / b)
    0.08512
  • Jensen alpha (a)
    -0.00403
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.31123
  • Expected Shortfall on VaR
    0.37068
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10990
  • Expected Shortfall on VaR
    0.23485
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.36375
  • Quartile 1
    0.93929
  • Median
    1.01093
  • Quartile 3
    1.08557
  • Maximum
    1.41538
  • Mean of quarter 1
    0.83129
  • Mean of quarter 2
    0.98280
  • Mean of quarter 3
    1.04140
  • Mean of quarter 4
    1.24282
  • Inter Quartile Range
    0.14628
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03030
  • Mean of outliers low
    0.36375
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.36899
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54597
  • VaR(95%) (moments method)
    0.18555
  • Expected Shortfall (moments method)
    0.44542
  • Extreme Value Index (regression method)
    0.30125
  • VaR(95%) (regression method)
    0.15412
  • Expected Shortfall (regression method)
    0.25614
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.07278
  • Quartile 1
    0.25845
  • Median
    0.44411
  • Quartile 3
    0.56634
  • Maximum
    0.68857
  • Mean of quarter 1
    0.07278
  • Mean of quarter 2
    0.44411
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.68857
  • Inter Quartile Range
    0.30789
  • 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)
    -0.02380
  • Compounded annual return (geometric extrapolation)
    -0.02432
  • Calmar ratio (compounded annual return / max draw down)
    -0.03532
  • Compounded annual return / average of 25% largest draw downs
    -0.03532
  • Compounded annual return / Expected Shortfall lognormal
    -0.06560
  • 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
    -0.58170
  • SD
    0.90908
  • Sharpe ratio (Glass type estimate)
    -0.63988
  • Sharpe ratio (Hedges UMVUE)
    -0.63922
  • df
    726.00000
  • t
    -1.06590
  • p
    0.85659
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.81673
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.53740
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81629
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53784
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.67774
  • Upside Potential Ratio
    2.35458
  • Upside part of mean
    2.02094
  • Downside part of mean
    -2.60264
  • Upside SD
    0.29983
  • Downside SD
    0.85830
  • N nonnegative terms
    353.00000
  • N negative terms
    374.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    727.00000
  • Mean of predictor
    0.12297
  • Mean of criterion
    -0.58170
  • SD of predictor
    0.26722
  • SD of criterion
    0.90908
  • Covariance
    -0.01538
  • r
    -0.06329
  • b (slope, estimate of beta)
    -0.21531
  • a (intercept, estimate of alpha)
    -0.49600
  • Mean Square Error
    0.82425
  • DF error
    725.00000
  • t(b)
    -1.70760
  • p(b)
    0.95593
  • t(a)
    -1.01832
  • p(a)
    0.84557
  • Lowerbound of 95% confidence interval for beta
    -0.46286
  • Upperbound of 95% confidence interval for beta
    0.03223
  • Lowerbound of 95% confidence interval for alpha
    -1.62566
  • Upperbound of 95% confidence interval for alpha
    0.51521
  • Treynor index (mean / b)
    2.70165
  • Jensen alpha (a)
    -0.55523
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.92719
  • SD
    5.55353
  • Sharpe ratio (Glass type estimate)
    -0.70715
  • Sharpe ratio (Hedges UMVUE)
    -0.70642
  • df
    726.00000
  • t
    -1.17796
  • p
    0.88040
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.88410
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.47023
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.88359
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47075
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.70792
  • Upside Potential Ratio
    0.35655
  • Upside part of mean
    1.97794
  • Downside part of mean
    -5.90513
  • Upside SD
    0.28899
  • Downside SD
    5.54749
  • N nonnegative terms
    353.00000
  • N negative terms
    374.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    727.00000
  • Mean of predictor
    0.08713
  • Mean of criterion
    -3.92719
  • SD of predictor
    0.26820
  • SD of criterion
    5.55353
  • Covariance
    -0.03490
  • r
    -0.02343
  • b (slope, estimate of beta)
    -0.48514
  • a (intercept, estimate of alpha)
    -3.88493
  • Mean Square Error
    30.86730
  • DF error
    725.00000
  • t(b)
    -0.63103
  • p(b)
    0.73589
  • t(a)
    -1.16456
  • p(a)
    0.87771
  • Lowerbound of 95% confidence interval for beta
    -1.99450
  • Upperbound of 95% confidence interval for beta
    1.02422
  • Lowerbound of 95% confidence interval for alpha
    -10.43420
  • Upperbound of 95% confidence interval for alpha
    2.66436
  • Treynor index (mean / b)
    8.09494
  • Jensen alpha (a)
    -3.88493
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.43973
  • Expected Shortfall on VaR
    0.51084
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02216
  • Expected Shortfall on VaR
    0.05270
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    727.00000
  • Minimum
    0.00012
  • Quartile 1
    0.99124
  • Median
    1.00000
  • Quartile 3
    1.00795
  • Maximum
    1.14876
  • Mean of quarter 1
    0.96446
  • Mean of quarter 2
    0.99608
  • Mean of quarter 3
    1.00322
  • Mean of quarter 4
    1.02782
  • Inter Quartile Range
    0.01671
  • Number outliers low
    34.00000
  • Percentage of outliers low
    0.04677
  • Mean of outliers low
    0.88061
  • Number of outliers high
    51.00000
  • Percentage of outliers high
    0.07015
  • Mean of outliers high
    1.05739
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.74741
  • VaR(95%) (moments method)
    0.03107
  • Expected Shortfall (moments method)
    0.12557
  • Extreme Value Index (regression method)
    0.61910
  • VaR(95%) (regression method)
    0.02307
  • Expected Shortfall (regression method)
    0.05993
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00303
  • Quartile 1
    0.00708
  • Median
    0.02062
  • Quartile 3
    0.05212
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00506
  • Mean of quarter 2
    0.01158
  • Mean of quarter 3
    0.02856
  • Mean of quarter 4
    0.30630
  • Inter Quartile Range
    0.04504
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.17391
  • Mean of outliers high
    0.42988
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.96905
  • VaR(95%) (moments method)
    0.30709
  • Expected Shortfall (moments method)
    10.55230
  • Extreme Value Index (regression method)
    2.41736
  • VaR(95%) (regression method)
    0.31935
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.36038
  • Compounded annual return (geometric extrapolation)
    -0.97974
  • Calmar ratio (compounded annual return / max draw down)
    -0.97975
  • Compounded annual return / average of 25% largest draw downs
    -3.19868
  • Compounded annual return / Expected Shortfall lognormal
    -1.91793
  • 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
    -5.67046
  • SD
    1.95893
  • Sharpe ratio (Glass type estimate)
    -2.89468
  • Sharpe ratio (Hedges UMVUE)
    -2.87794
  • df
    130.00000
  • t
    -2.04685
  • p
    0.58835
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.68325
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.09527
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.67174
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08415
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.87158
  • Upside Potential Ratio
    0.70011
  • Upside part of mean
    1.38250
  • Downside part of mean
    -7.05296
  • Upside SD
    0.17734
  • Downside SD
    1.97468
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08229
  • Mean of criterion
    -5.67046
  • SD of predictor
    0.30380
  • SD of criterion
    1.95893
  • Covariance
    -0.03551
  • r
    -0.05967
  • b (slope, estimate of beta)
    -0.38477
  • a (intercept, estimate of alpha)
    -5.70212
  • Mean Square Error
    3.85337
  • DF error
    129.00000
  • t(b)
    -0.67897
  • p(b)
    0.53797
  • t(a)
    -2.05371
  • p(a)
    0.61268
  • Lowerbound of 95% confidence interval for beta
    -1.50601
  • Upperbound of 95% confidence interval for beta
    0.73646
  • Lowerbound of 95% confidence interval for alpha
    -11.19550
  • Upperbound of 95% confidence interval for alpha
    -0.20876
  • Treynor index (mean / b)
    14.73720
  • Jensen alpha (a)
    -5.70212
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -23.91740
  • SD
    13.02820
  • Sharpe ratio (Glass type estimate)
    -1.83582
  • Sharpe ratio (Hedges UMVUE)
    -1.82521
  • df
    130.00000
  • t
    -1.29812
  • p
    0.55656
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.61308
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.94835
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.60588
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.95547
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.83120
  • Upside Potential Ratio
    0.10466
  • Upside part of mean
    1.36694
  • Downside part of mean
    -25.28430
  • Upside SD
    0.17470
  • Downside SD
    13.06100
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12799
  • Mean of criterion
    -23.91740
  • SD of predictor
    0.30330
  • SD of criterion
    13.02820
  • Covariance
    -0.15815
  • r
    -0.04002
  • b (slope, estimate of beta)
    -1.71926
  • a (intercept, estimate of alpha)
    -24.13740
  • Mean Square Error
    170.77500
  • DF error
    129.00000
  • t(b)
    -0.45495
  • p(b)
    0.52547
  • t(a)
    -1.30561
  • p(a)
    0.57254
  • VAR (95 Confidence Intrvl)
    0.42800
  • Lowerbound of 95% confidence interval for beta
    -9.19607
  • Upperbound of 95% confidence interval for beta
    5.75754
  • Lowerbound of 95% confidence interval for alpha
    -60.71530
  • Upperbound of 95% confidence interval for alpha
    12.44040
  • Treynor index (mean / b)
    13.91140
  • Jensen alpha (a)
    -24.13740
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.75712
  • Expected Shortfall on VaR
    0.81960
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06499
  • Expected Shortfall on VaR
    0.15057
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00012
  • Quartile 1
    0.99075
  • Median
    1.00000
  • Quartile 3
    1.00647
  • Maximum
    1.04497
  • Mean of quarter 1
    0.89708
  • Mean of quarter 2
    0.99629
  • Mean of quarter 3
    1.00252
  • Mean of quarter 4
    1.01869
  • Inter Quartile Range
    0.01571
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.72850
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.03671
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.25063
  • VaR(95%) (moments method)
    0.07256
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.14190
  • VaR(95%) (regression method)
    0.05731
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.12241
  • Quartile 1
    0.34181
  • Median
    0.56120
  • Quartile 3
    0.78060
  • Maximum
    0.99999
  • Mean of quarter 1
    0.12241
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.43879
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -340817000
  • Max Equity Drawdown (num days)
    7
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99999
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    -1.00001
  • Compounded annual return / Expected Shortfall lognormal
    -1.22011

Strategy Description

The Marlin Fund brings a mix of systematic and discretionary principles to trading commodities. Largely based on trade signals that are generated via proprietary trend breakout indicators, the trade signals generated are occasionally subjected to a layer of further analysis before a trade is executed. Utilizing a discretionary approach at times to what would otherwise be a fully systematic strategy , provides a level of risk management oversight to account for any upcoming catalysts that may have an adverse impact on Marlin's investment returns.

In essence, the key concept of Marlin is pinpointing when a new price trend is about to commence or when an existing trend is coming to an end. This strategy can be employed across all baskets of commodities but tends to avoid those that are illiquid. Given that Marlin is a trend following strategy, the trades can last a couple of days to a couple of months.

Summary Statistics

Strategy began
2019-09-03
Suggested Minimum Capital
$25,000
# Trades
615
# Profitable
247
% Profitable
40.2%
Correlation S&P500
-0.051
Sharpe Ratio
-0.62
Sortino Ratio
-0.62
Beta
-0.15
Alpha
0.00
Leverage
2.87 Average
108.22 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

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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