Eliran Strategy
(142675129)
Subscription terms. Subscriptions to this system cost $150.00 per month.
C2Star
C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.
You can read more about C2Star certification requirements here.
Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.
Momentum
Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).Commodities
Focuses on non-financial futures such as "softs" and grains, or metals and energy.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.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2022 | +0.9% | (2%) | (1.1%) | ||||||||||
2023 | +9.2% | +5.1% | +34.0% | +7.5% | +17.0% | (5.2%) | (17.9%) | (0.2%) | (2.2%) | +2.3% | (2%) | +4.4% | +53.5% |
2024 | (0.2%) | (0.2%) | (14%) | (0.3%) | - | +504.8% | - |
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started | $50,000 | |
Buy Power | $282,076 | |
Cash | $1 | |
Equity | $1 | |
Cumulative $ | $347,356 | |
Includes dividends and cash-settled expirations: | $337 | Itemized |
Total System Equity | $397,356 | |
Margined | $1 | |
Open P/L | $316,400 | |
Data has been delayed by 2 hours for non-subscribers |
System developer has asked us to delay this information by 2 hours.
Trading Record
Statistics
-
Strategy began11/25/2022
-
Suggested Minimum Cap$400,000
-
Strategy Age (days)684.02
-
Age23 months ago
-
What it tradesFutures
-
# Trades166
-
# Profitable143
-
% Profitable86.10%
-
Avg trade duration13.0 days
-
Max peak-to-valley drawdown40%
-
drawdown periodJune 06, 2023 - March 19, 2024
-
Annual Return (Compounded)198.1%
-
Avg win$2,388
-
Avg loss$2,515
- Model Account Values (Raw)
-
Cash$80,956
-
Margin Used$52,000
-
Buying Power$282,076
- Ratios
-
W:L ratio5.92:1
-
Sharpe Ratio0.66
-
Sortino Ratio17.11
-
Calmar Ratio11.166
- CORRELATION STATISTICS
-
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)639.90%
-
Correlation to SP5000.36730
-
Return Percent SP500 (cumu) during strategy life45.55%
- Return Statistics
-
Ann Return (w trading costs)198.1%
- Slump
-
Current Slump as Pcnt Equity0.10%
- Instruments
-
Percent Trades Futures0.90%
- Slump
-
Current Slump, time of slump as pcnt of strategy life0.05%
- Instruments
-
Short Options - Percent Covered100.00%
- Return Statistics
-
Return Pcnt Since TOS Statusn/a
-
Return Pcnt (Compound or Annual, age-based, NFA compliant)1.981%
- Instruments
-
Percent Trades Optionsn/a
-
Percent Trades Stocks0.10%
-
Percent Trades Forexn/a
- Return Statistics
-
Ann Return (Compnd, No Fees)199.1%
- Risk of Ruin (Monte-Carlo)
-
Chance of 10% account loss42.00%
-
Chance of 20% account loss13.00%
-
Chance of 30% account loss3.00%
-
Chance of 40% account loss1.00%
-
Chance of 60% account loss (Monte Carlo)n/a
-
Chance of 70% account loss (Monte Carlo)n/a
-
Chance of 80% account loss (Monte Carlo)n/a
-
Chance of 90% account loss (Monte Carlo)n/a
- Automation
-
Percentage Signals Automatedn/a
- Risk of Ruin (Monte-Carlo)
-
Chance of 50% account lossn/a
- Popularity
-
Popularity (Today)427
-
Popularity (Last 6 weeks)562
- Trading Style
-
Any stock shorts? 0/10
- Popularity
-
C2 Score430
-
Popularity (7 days, Percentile 1000 scale)489
- Trades-Own-System Certification
-
Trades Own System?-
-
TOS percentn/a
- Win / Loss
-
Avg Loss$2,515
-
Avg Win$2,831
-
Sum Trade PL (losers)$57,848.000
- Age
-
Num Months filled monthly returns table22
- Win / Loss
-
Sum Trade PL (winners)$404,867.000
-
# Winners143
-
Num Months Winners9
- Dividends
-
Dividends Received in Model Acct337
- Win / Loss
-
# Losers23
-
% Winners86.1%
- Frequency
-
Avg Position Time (mins)18631.20
-
Avg Position Time (hrs)310.52
-
Avg Trade Length12.9 days
-
Last Trade Ago204
- Leverage
-
Daily leverage (average)2.23
-
Daily leverage (max)8.66
- Regression
-
Alpha0.32
-
Beta10.33
-
Treynor Index0.08
- Maximum Adverse Excursion (MAE)
-
MAE:Equity, average, all trades0.02
-
MAE:PL - worst single value for strategy-
-
MAE:PL (avg, winning trades)-
-
MAE:PL (avg, losing trades)-
-
MAE:PL (avg, all trades)1.99
-
MAE:Equity, average, winning trades0.01
-
MAE:Equity, average, losing trades0.05
-
Avg(MAE) / Avg(PL) - All trades23.621
-
MAE:Equity, losing trades only, 95th Percentile Value for this strat-
-
MAE:Equity, win trades only, 95th Percentile Value for this strat-
-
MAE:Equity, 95th Percentile Value for this strat0.10
-
Avg(MAE) / Avg(PL) - Winning trades1.035
-
Avg(MAE) / Avg(PL) - Losing trades-1.264
-
Hold-and-Hope Ratio1.605
- Analysis based on MONTHLY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.32945
-
SD0.44960
-
Sharpe ratio (Glass type estimate)0.73275
-
Sharpe ratio (Hedges UMVUE)0.69266
-
df14.00000
-
t0.81924
-
p0.39306
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.05345
-
Upperbound of 95% confidence interval for Sharpe Ratio2.49367
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.07906
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.46437
- Statistics related to Sortino ratio
-
Sortino ratio1.58589
-
Upside Potential Ratio3.37873
-
Upside part of mean0.70188
-
Downside part of mean-0.37244
-
Upside SD0.39314
-
Downside SD0.20774
-
N nonnegative terms8.00000
-
N negative terms7.00000
- Statistics related to linear regression on benchmark
-
N of observations15.00000
-
Mean of predictor0.15571
-
Mean of criterion0.32945
-
SD of predictor0.17737
-
SD of criterion0.44960
-
Covariance-0.01793
-
r-0.22484
-
b (slope, estimate of beta)-0.56994
-
a (intercept, estimate of alpha)0.41819
-
Mean Square Error0.20669
-
DF error13.00000
-
t(b)-0.83197
-
p(b)0.64192
-
t(a)0.99477
-
p(a)0.33270
-
Lowerbound of 95% confidence interval for beta-2.04990
-
Upperbound of 95% confidence interval for beta0.91002
-
Lowerbound of 95% confidence interval for alpha-0.49001
-
Upperbound of 95% confidence interval for alpha1.32640
-
Treynor index (mean / b)-0.57804
-
Jensen alpha (a)0.41819
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.24119
-
SD0.41581
-
Sharpe ratio (Glass type estimate)0.58006
-
Sharpe ratio (Hedges UMVUE)0.54832
-
df14.00000
-
t0.64853
-
p0.41461
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.19593
-
Upperbound of 95% confidence interval for Sharpe Ratio2.33588
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.21645
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.31309
- Statistics related to Sortino ratio
-
Sortino ratio1.07914
-
Upside Potential Ratio2.84787
-
Upside part of mean0.63651
-
Downside part of mean-0.39532
-
Upside SD0.34097
-
Downside SD0.22351
-
N nonnegative terms8.00000
-
N negative terms7.00000
- Statistics related to linear regression on benchmark
-
N of observations15.00000
-
Mean of predictor0.14014
-
Mean of criterion0.24119
-
SD of predictor0.17446
-
SD of criterion0.41581
-
Covariance-0.01721
-
r-0.23726
-
b (slope, estimate of beta)-0.56549
-
a (intercept, estimate of alpha)0.32044
-
Mean Square Error0.17571
-
DF error13.00000
-
t(b)-0.88060
-
p(b)0.64962
-
t(a)0.83107
-
p(a)0.35822
-
Lowerbound of 95% confidence interval for beta-1.95281
-
Upperbound of 95% confidence interval for beta0.82182
-
Lowerbound of 95% confidence interval for alpha-0.51255
-
Upperbound of 95% confidence interval for alpha1.15343
-
Treynor index (mean / b)-0.42652
-
Jensen alpha (a)0.32044
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.16250
-
Expected Shortfall on VaR0.20270
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.06888
-
Expected Shortfall on VaR0.13189
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations15.00000
-
Minimum0.84394
-
Quartile 10.96318
-
Median1.03215
-
Quartile 31.08904
-
Maximum1.39281
-
Mean of quarter 10.90059
-
Mean of quarter 20.99513
-
Mean of quarter 31.05530
-
Mean of quarter 41.17449
-
Inter Quartile Range0.12587
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high1.00000
-
Percentage of outliers high0.06667
-
Mean of outliers high1.39281
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)0.04481
-
VaR(95%) (moments method)0.09905
-
Expected Shortfall (moments method)0.14134
-
Extreme Value Index (regression method)-0.89516
-
VaR(95%) (regression method)0.09613
-
Expected Shortfall (regression method)0.10365
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations2.00000
-
Minimum0.02272
-
Quartile 10.08602
-
Median0.14932
-
Quartile 30.21262
-
Maximum0.27592
-
Mean of quarter 10.02272
-
Mean of quarter 20.00000
-
Mean of quarter 30.00000
-
Mean of quarter 40.27592
-
Inter Quartile Range0.12660
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high0.00000
-
Percentage of outliers high0.00000
-
Mean of outliers high0.00000
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)0.00000
-
VaR(95%) (moments method)0.00000
-
Expected Shortfall (moments method)0.00000
-
Extreme Value Index (regression method)0.00000
-
VaR(95%) (regression method)0.00000
-
Expected Shortfall (regression method)0.00000
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)0.31989
-
Compounded annual return (geometric extrapolation)0.30878
-
Calmar ratio (compounded annual return / max draw down)1.11909
-
Compounded annual return / average of 25% largest draw downs1.11909
-
Compounded annual return / Expected Shortfall lognormal1.52338
-
0.00000
-
0.00000
- Analysis based on DAILY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean3.77958
-
SD4.06533
-
Sharpe ratio (Glass type estimate)0.92971
-
Sharpe ratio (Hedges UMVUE)0.92770
-
df347.00000
-
t1.07149
-
p0.14235
-
Lowerbound of 95% confidence interval for Sharpe Ratio-0.77296
-
Upperbound of 95% confidence interval for Sharpe Ratio2.63111
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.77433
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.62973
- Statistics related to Sortino ratio
-
Sortino ratio22.95850
-
Upside Potential Ratio28.70230
-
Upside part of mean4.72517
-
Downside part of mean-0.94558
-
Upside SD4.06286
-
Downside SD0.16463
-
N nonnegative terms112.00000
-
N negative terms236.00000
- Statistics related to linear regression on benchmark
-
N of observations348.00000
-
Mean of predictor0.23694
-
Mean of criterion3.77958
-
SD of predictor0.15349
-
SD of criterion4.06533
-
Covariance0.22647
-
r0.36292
-
b (slope, estimate of beta)9.61212
-
a (intercept, estimate of alpha)1.50200
-
Mean Square Error14.39160
-
DF error346.00000
-
t(b)7.24476
-
p(b)0.00000
-
t(a)0.45427
-
p(a)0.32496
-
Lowerbound of 95% confidence interval for beta7.00257
-
Upperbound of 95% confidence interval for beta12.22170
-
Lowerbound of 95% confidence interval for alpha-5.00154
-
Upperbound of 95% confidence interval for alpha8.00574
-
Treynor index (mean / b)0.39321
-
Jensen alpha (a)1.50210
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean1.53263
-
SD1.52755
-
Sharpe ratio (Glass type estimate)1.00333
-
Sharpe ratio (Hedges UMVUE)1.00116
-
df347.00000
-
t1.15633
-
p0.12417
-
Lowerbound of 95% confidence interval for Sharpe Ratio-0.69962
-
Upperbound of 95% confidence interval for Sharpe Ratio2.70491
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.70110
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.70341
- Statistics related to Sortino ratio
-
Sortino ratio9.09612
-
Upside Potential Ratio14.79050
-
Upside part of mean2.49209
-
Downside part of mean-0.95946
-
Upside SD1.51898
-
Downside SD0.16849
-
N nonnegative terms112.00000
-
N negative terms236.00000
- Statistics related to linear regression on benchmark
-
N of observations348.00000
-
Mean of predictor0.22515
-
Mean of criterion1.53263
-
SD of predictor0.15267
-
SD of criterion1.52755
-
Covariance0.08270
-
r0.35462
-
b (slope, estimate of beta)3.54811
-
a (intercept, estimate of alpha)0.73377
-
Mean Square Error2.04588
-
DF error346.00000
-
t(b)7.05471
-
p(b)0.00000
-
t(a)0.58879
-
p(a)0.27819
-
Lowerbound of 95% confidence interval for beta2.55890
-
Upperbound of 95% confidence interval for beta4.53731
-
Lowerbound of 95% confidence interval for alpha-1.71739
-
Upperbound of 95% confidence interval for alpha3.18493
-
Treynor index (mean / b)0.43196
-
Jensen alpha (a)0.73377
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.13876
-
Expected Shortfall on VaR0.17156
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.00990
-
Expected Shortfall on VaR0.02092
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations348.00000
-
Minimum0.91753
-
Quartile 10.99910
-
Median1.00000
-
Quartile 31.00308
-
Maximum5.67691
-
Mean of quarter 10.98589
-
Mean of quarter 20.99997
-
Mean of quarter 31.00040
-
Mean of quarter 41.07188
-
Inter Quartile Range0.00399
-
Number outliers low50.00000
-
Percentage of outliers low0.14368
-
Mean of outliers low0.97845
-
Number of outliers high61.00000
-
Percentage of outliers high0.17529
-
Mean of outliers high1.09984
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)-0.31997
-
VaR(95%) (moments method)0.00447
-
Expected Shortfall (moments method)0.00575
-
Extreme Value Index (regression method)0.27172
-
VaR(95%) (regression method)0.01247
-
Expected Shortfall (regression method)0.02464
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations17.00000
-
Minimum0.00002
-
Quartile 10.00901
-
Median0.02188
-
Quartile 30.03092
-
Maximum0.33687
-
Mean of quarter 10.00561
-
Mean of quarter 20.01574
-
Mean of quarter 30.02853
-
Mean of quarter 40.12787
-
Inter Quartile Range0.02191
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high2.00000
-
Percentage of outliers high0.11765
-
Mean of outliers high0.21354
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)0.82751
-
VaR(95%) (moments method)0.12935
-
Expected Shortfall (moments method)0.78297
-
Extreme Value Index (regression method)1.90526
-
VaR(95%) (regression method)0.20066
-
Expected Shortfall (regression method)0.00000
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)5.23013
-
Compounded annual return (geometric extrapolation)3.76140
-
Calmar ratio (compounded annual return / max draw down)11.16580
-
Compounded annual return / average of 25% largest draw downs29.41550
-
Compounded annual return / Expected Shortfall lognormal21.92490
-
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
-
Mean9.24774
-
SD6.61835
-
Sharpe ratio (Glass type estimate)1.39729
-
Sharpe ratio (Hedges UMVUE)1.38921
-
df130.00000
-
t0.98803
-
p0.45683
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.38238
-
Upperbound of 95% confidence interval for Sharpe Ratio4.17163
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.38773
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.16615
- Statistics related to Sortino ratio
-
Sortino ratio51.04800
-
Upside Potential Ratio54.79010
-
Upside part of mean9.92564
-
Downside part of mean-0.67790
-
Upside SD6.61527
-
Downside SD0.18116
-
N nonnegative terms17.00000
-
N negative terms114.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.53921
-
Mean of criterion9.24774
-
SD of predictor0.16645
-
SD of criterion6.61835
-
Covariance0.58829
-
r0.53401
-
b (slope, estimate of beta)21.23310
-
a (intercept, estimate of alpha)-2.20124
-
Mean Square Error31.55420
-
DF error129.00000
-
t(b)7.17373
-
p(b)0.17697
-
t(a)-0.27166
-
p(a)0.51522
-
Lowerbound of 95% confidence interval for beta15.37700
-
Upperbound of 95% confidence interval for beta27.08920
-
Lowerbound of 95% confidence interval for alpha-18.23280
-
Upperbound of 95% confidence interval for alpha13.83040
-
Treynor index (mean / b)0.43554
-
Jensen alpha (a)-2.20124
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean3.34134
-
SD2.46672
-
Sharpe ratio (Glass type estimate)1.35457
-
Sharpe ratio (Hedges UMVUE)1.34674
-
df130.00000
-
t0.95783
-
p0.45814
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.42466
-
Upperbound of 95% confidence interval for Sharpe Ratio4.12872
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.42990
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.12337
- Statistics related to Sortino ratio
-
Sortino ratio17.85060
-
Upside Potential Ratio21.56340
-
Upside part of mean4.03631
-
Downside part of mean-0.69497
-
Upside SD2.45883
-
Downside SD0.18718
-
N nonnegative terms17.00000
-
N negative terms114.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.52507
-
Mean of criterion3.34134
-
SD of predictor0.16462
-
SD of criterion2.46672
-
Covariance0.21136
-
r0.52052
-
b (slope, estimate of beta)7.79976
-
a (intercept, estimate of alpha)-0.75407
-
Mean Square Error4.47052
-
DF error129.00000
-
t(b)6.92383
-
p(b)0.18427
-
t(a)-0.24739
-
p(a)0.51386
-
VAR (95 Confidence Intrvl)0.13900
-
Lowerbound of 95% confidence interval for beta5.57093
-
Upperbound of 95% confidence interval for beta10.02860
-
Lowerbound of 95% confidence interval for alpha-6.78481
-
Upperbound of 95% confidence interval for alpha5.27667
-
Treynor index (mean / b)0.42839
-
Jensen alpha (a)-0.75407
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.21173
-
Expected Shortfall on VaR0.25921
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.00825
-
Expected Shortfall on VaR0.01821
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations131.00000
-
Minimum0.91753
-
Quartile 11.00000
-
Median1.00000
-
Quartile 31.00000
-
Maximum5.67691
-
Mean of quarter 10.99010
-
Mean of quarter 21.00000
-
Mean of quarter 31.00000
-
Mean of quarter 41.15044
-
Inter Quartile Range0.00000
-
Number outliers low11.00000
-
Percentage of outliers low0.08397
-
Mean of outliers low0.97029
-
Number of outliers high17.00000
-
Percentage of outliers high0.12977
-
Mean of outliers high1.29204
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)0.00000
-
VaR(95%) (moments method)0.00000
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Expected Shortfall (moments method)0.00000
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Extreme Value Index (regression method)-0.02026
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VaR(95%) (regression method)0.01291
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Expected Shortfall (regression method)0.03395
- DRAW DOWN STATISTICS
- Quartiles of draw downs
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Number of observations2.00000
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Minimum0.00957
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Quartile 10.06413
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Median0.11870
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Quartile 30.17326
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Maximum0.22783
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Mean of quarter 10.00957
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Mean of quarter 20.00000
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Mean of quarter 30.00000
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Mean of quarter 40.22783
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Inter Quartile Range0.10913
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Number outliers low0.00000
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Percentage of outliers low0.00000
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Mean of outliers low0.00000
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Number of outliers high0.00000
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Percentage of outliers high0.00000
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Mean of outliers high0.00000
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)0.00000
-
VaR(95%) (moments method)0.00000
-
Expected Shortfall (moments method)0.00000
-
Extreme Value Index (regression method)0.00000
-
VaR(95%) (regression method)0.00000
-
Last 4 Months - Pcnt Negative0.25%
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Expected Shortfall (regression method)0.00000
-
Strat Max DD how much worse than SP500 max DD during strat life?-377556000
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Max Equity Drawdown (num days)287
- COMBINED STATISTICS
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Annualized return (arithmetic extrapolation)8.78084
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Compounded annual return (geometric extrapolation)28.05670
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Calmar ratio (compounded annual return / max draw down)123.14800
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Compounded annual return / average of 25% largest draw downs123.14800
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Compounded annual return / Expected Shortfall lognormal108.24100
Strategy Description
To close a position in profit, my strategy looks for price changes of around 0.10 to 0.60 pip on CL. The key for this approach is analyzing the volume profile of the market.
In addition to monitoring open positions, setting take profits, and analyzing the volume profile of the market, I also use technical analysis to identify the best entry points for my trades. By studying the graphs and charts, I can pinpoint potential support and resistance levels, identify trends, and make informed decisions about when to enter and exit positions. This helps me to maximize profits and minimize risk.
To effectively follow this strategy, it's recommended to have at least 100K in capital. However, it is possible to manage with 50K capital by using the auto trade settings and setting the maximum futures contract to 1.
I also have five portfolios, each with a varying degree of risk. These portfolios consist of ETFs from different sectors, and they are named ETFs 1 to 5.
If you're interested, I can provide a link to learn more.
Please feel free to contact me with any questions or concerns you may have, 24/7.
Looking forward to hearing from you soon!
Best regards,
Eliran :)
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.