Swing Futures
(107448037)
Subscription terms. Subscriptions to this system cost $269.00 per month.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2016  +4.2%  +35.7%  +41.4%  
2017  +18.3%  +7.9%  +17.2%  +5.1%  +3.6%  +12.8%  +11.0%  +8.8%  +1.1%  +0.4%  +1.1%  (2.5%)  +122.3% 
2018  +3.1%  (30.4%)  (5.9%)  (12.3%)  (17.4%)  +1.6%  (0.8%)  (50.6%) 
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  $16,668  
Buy Power  $31,476  
Cash  $31,476  
Equity  $0  
Cumulative $  $14,808  
Total System Equity  $31,476  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began11/23/2016

Suggested Minimum Cap$25,000

Strategy Age (days)601.78

Age20 months ago

What it tradesFutures

# Trades54

# Profitable44

% Profitable81.50%

Avg trade duration4.5 days

Max peaktovalley drawdown59.49%

drawdown periodDec 21, 2017  June 14, 2018

Annual Return (Compounded)30.2%

Avg win$1,366

Avg loss$4,529
 Model Account Values (Raw)

Cash$31,476

Margin Used$0

Buying Power$31,476
 Ratios

W:L ratio1.33:1

Sharpe Ratio1.122

Sortino Ratio1.583

Calmar Ratio0.938
 CORRELATION STATISTICS

Correlation to SP5000.25300
 Return Statistics

Ann Return (w trading costs)30.2%

Ann Return (Compnd, No Fees)46.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss57.50%

Chance of 20% account loss40.00%

Chance of 30% account loss17.00%

Chance of 40% account loss5.00%

Chance of 50% account loss0.50%
 Popularity

Popularity (Today)356

Popularity (Last 6 weeks)893

C2 Score6.5
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$4,530

Avg Win$1,366

# Winners44

# Losers10

% Winners81.5%
 Frequency

Avg Position Time (mins)6497.73

Avg Position Time (hrs)108.30

Avg Trade Length4.5 days

Last Trade Ago30
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.59796

SD0.68212

Sharpe ratio (Glass type estimate)0.87662

Sharpe ratio (Hedges UMVUE)0.83950

df18.00000

t1.10306

p0.37419

Lowerbound of 95% confidence interval for Sharpe Ratio0.71842

Upperbound of 95% confidence interval for Sharpe Ratio2.44831

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.74208

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.42107
 Statistics related to Sortino ratio

Sortino ratio1.58594

Upside Potential Ratio2.91763

Upside part of mean1.10006

Downside part of mean0.50210

Upside SD0.57309

Downside SD0.37704

N nonnegative terms14.00000

N negative terms5.00000
 Statistics related to linear regression on benchmark

N of observations19.00000

Mean of predictor0.12301

Mean of criterion0.59796

SD of predictor0.07469

SD of criterion0.68212

Covariance0.01558

r0.30578

b (slope, estimate of beta)2.79248

a (intercept, estimate of alpha)0.25447

Mean Square Error0.44659

DF error17.00000

t(b)1.32420

p(b)0.30841

t(a)0.43054

p(a)0.43400

Lowerbound of 95% confidence interval for beta1.65670

Upperbound of 95% confidence interval for beta7.24166

Lowerbound of 95% confidence interval for alpha0.99254

Upperbound of 95% confidence interval for alpha1.50149

Treynor index (mean / b)0.21413

Jensen alpha (a)0.25447
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.37357

SD0.67852

Sharpe ratio (Glass type estimate)0.55056

Sharpe ratio (Hedges UMVUE)0.52725

df18.00000

t0.69278

p0.41942

Lowerbound of 95% confidence interval for Sharpe Ratio1.02475

Upperbound of 95% confidence interval for Sharpe Ratio2.11092

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.03987

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.09436
 Statistics related to Sortino ratio

Sortino ratio0.79760

Upside Potential Ratio2.06900

Upside part of mean0.96905

Downside part of mean0.59548

Upside SD0.47794

Downside SD0.46837

N nonnegative terms14.00000

N negative terms5.00000
 Statistics related to linear regression on benchmark

N of observations19.00000

Mean of predictor0.11947

Mean of criterion0.37357

SD of predictor0.07479

SD of criterion0.67852

Covariance0.01715

r0.33794

b (slope, estimate of beta)3.06579

a (intercept, estimate of alpha)0.00730

Mean Square Error0.43180

DF error17.00000

t(b)1.48045

p(b)0.28903

t(a)0.01262

p(a)0.49805

Lowerbound of 95% confidence interval for beta1.30332

Upperbound of 95% confidence interval for beta7.43489

Lowerbound of 95% confidence interval for alpha1.21189

Upperbound of 95% confidence interval for alpha1.22648

Treynor index (mean / b)0.12185

Jensen alpha (a)0.00730
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.25252

Expected Shortfall on VaR0.30950
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.05860

Expected Shortfall on VaR0.14171
 ORDER STATISTICS
 Quartiles of return rates

Number of observations19.00000

Minimum0.58771

Quartile 11.00414

Median1.05662

Quartile 31.11588

Maximum1.56275

Mean of quarter 10.84333

Mean of quarter 21.02584

Mean of quarter 31.07998

Mean of quarter 41.26505

Inter Quartile Range0.11175

Number outliers low2.00000

Percentage of outliers low0.10526

Mean of outliers low0.70595

Number of outliers high2.00000

Percentage of outliers high0.10526

Mean of outliers high1.45643
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.07021

VaR(95%) (regression method)0.29381

Expected Shortfall (regression method)0.45507
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.46810

Quartile 10.46810

Median0.46810

Quartile 30.46810

Maximum0.46810

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.56102

Compounded annual return (geometric extrapolation)0.49403

Calmar ratio (compounded annual return / max draw down)1.05539

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

Compounded annual return / Expected Shortfall lognormal1.59621

0.00000

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

Mean0.44861

SD0.39929

Sharpe ratio (Glass type estimate)1.12352

Sharpe ratio (Hedges UMVUE)1.12152

df421.00000

t1.42589

p0.07732

Lowerbound of 95% confidence interval for Sharpe Ratio0.42332

Upperbound of 95% confidence interval for Sharpe Ratio2.66909

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.42468

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.66771
 Statistics related to Sortino ratio

Sortino ratio1.58294

Upside Potential Ratio5.13901

Upside part of mean1.45641

Downside part of mean1.00780

Upside SD0.28197

Downside SD0.28340

N nonnegative terms139.00000

N negative terms283.00000
 Statistics related to linear regression on benchmark

N of observations422.00000

Mean of predictor0.12848

Mean of criterion0.44861

SD of predictor0.10786

SD of criterion0.39929

Covariance0.01269

r0.29455

b (slope, estimate of beta)1.09040

a (intercept, estimate of alpha)0.30900

Mean Square Error0.14595

DF error420.00000

t(b)6.31662

p(b)0.00000

t(a)1.02215

p(a)0.15365

Lowerbound of 95% confidence interval for beta0.75109

Upperbound of 95% confidence interval for beta1.42972

Lowerbound of 95% confidence interval for alpha0.28477

Upperbound of 95% confidence interval for alpha0.90181

Treynor index (mean / b)0.41142

Jensen alpha (a)0.30852
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.36675

SD0.40738

Sharpe ratio (Glass type estimate)0.90026

Sharpe ratio (Hedges UMVUE)0.89866

df421.00000

t1.14255

p0.12694

Lowerbound of 95% confidence interval for Sharpe Ratio0.64580

Upperbound of 95% confidence interval for Sharpe Ratio2.44527

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.64687

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.44419
 Statistics related to Sortino ratio

Sortino ratio1.20071

Upside Potential Ratio4.64498

Upside part of mean1.41879

Downside part of mean1.05204

Upside SD0.26978

Downside SD0.30545

N nonnegative terms139.00000

N negative terms283.00000
 Statistics related to linear regression on benchmark

N of observations422.00000

Mean of predictor0.12260

Mean of criterion0.36675

SD of predictor0.10827

SD of criterion0.40738

Covariance0.01366

r0.30979

b (slope, estimate of beta)1.16570

a (intercept, estimate of alpha)0.22383

Mean Square Error0.15039

DF error420.00000

t(b)6.67742

p(b)0.00000

t(a)0.73073

p(a)0.23267

Lowerbound of 95% confidence interval for beta0.82255

Upperbound of 95% confidence interval for beta1.50884

Lowerbound of 95% confidence interval for alpha0.37827

Upperbound of 95% confidence interval for alpha0.82593

Treynor index (mean / b)0.31462

Jensen alpha (a)0.22383
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03921

Expected Shortfall on VaR0.04922
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01034

Expected Shortfall on VaR0.02353
 ORDER STATISTICS
 Quartiles of return rates

Number of observations422.00000

Minimum0.78181

Quartile 11.00000

Median1.00000

Quartile 31.00313

Maximum1.15243

Mean of quarter 10.98497

Mean of quarter 21.00000

Mean of quarter 31.00043

Mean of quarter 41.02184

Inter Quartile Range0.00313

Number outliers low45.00000

Percentage of outliers low0.10663

Mean of outliers low0.96544

Number of outliers high72.00000

Percentage of outliers high0.17062

Mean of outliers high1.02984
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.24767

VaR(95%) (moments method)0.00623

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.70687

VaR(95%) (regression method)0.01153

Expected Shortfall (regression method)0.05980
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations27.00000

Minimum0.00000

Quartile 10.00023

Median0.00145

Quartile 30.00833

Maximum0.51577

Mean of quarter 10.00005

Mean of quarter 20.00083

Mean of quarter 30.00549

Mean of quarter 40.10559

Inter Quartile Range0.00810

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high5.00000

Percentage of outliers high0.18518

Mean of outliers high0.14240
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.15150

VaR(95%) (moments method)0.07477

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)1.63819

VaR(95%) (regression method)0.12262

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.55150

Compounded annual return (geometric extrapolation)0.48388

Calmar ratio (compounded annual return / max draw down)0.93816

Compounded annual return / average of 25% largest draw downs4.58240

Compounded annual return / Expected Shortfall lognormal9.83113

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

Mean1.07238

SD0.57752

Sharpe ratio (Glass type estimate)1.85686

Sharpe ratio (Hedges UMVUE)1.84612

df130.00000

t1.31299

p0.55720

Lowerbound of 95% confidence interval for Sharpe Ratio4.63433

Upperbound of 95% confidence interval for Sharpe Ratio0.92764

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.62700

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.93475
 Statistics related to Sortino ratio

Sortino ratio2.18152

Upside Potential Ratio2.82616

Upside part of mean1.38927

Downside part of mean2.46165

Upside SD0.30616

Downside SD0.49157

N nonnegative terms36.00000

N negative terms95.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00932

Mean of criterion1.07238

SD of predictor0.16442

SD of criterion0.57752

Covariance0.02694

r0.28371

b (slope, estimate of beta)0.99650

a (intercept, estimate of alpha)1.08167

Mean Square Error0.30907

DF error129.00000

t(b)3.36038

p(b)0.32184

t(a)1.37579

p(a)0.57637

Lowerbound of 95% confidence interval for beta0.40978

Upperbound of 95% confidence interval for beta1.58321

Lowerbound of 95% confidence interval for alpha2.63722

Upperbound of 95% confidence interval for alpha0.47388

Treynor index (mean / b)1.07615

Jensen alpha (a)1.08167
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.25026

SD0.60388

Sharpe ratio (Glass type estimate)2.07037

Sharpe ratio (Hedges UMVUE)2.05841

df130.00000

t1.46398

p0.56368

Lowerbound of 95% confidence interval for Sharpe Ratio4.84970

Upperbound of 95% confidence interval for Sharpe Ratio0.71671

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.84148

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.72467
 Statistics related to Sortino ratio

Sortino ratio2.35054

Upside Potential Ratio2.52912

Upside part of mean1.34525

Downside part of mean2.59551

Upside SD0.29143

Downside SD0.53190

N nonnegative terms36.00000

N negative terms95.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00418

Mean of criterion1.25026

SD of predictor0.16526

SD of criterion0.60388

Covariance0.03038

r0.30445

b (slope, estimate of beta)1.11250

a (intercept, estimate of alpha)1.24561

Mean Square Error0.33344

DF error129.00000

t(b)3.63021

p(b)0.30922

t(a)1.52531

p(a)0.58448

Lowerbound of 95% confidence interval for beta0.50617

Upperbound of 95% confidence interval for beta1.71883

Lowerbound of 95% confidence interval for alpha2.86132

Upperbound of 95% confidence interval for alpha0.37010

Treynor index (mean / b)1.12383

Jensen alpha (a)1.24561
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.06400

Expected Shortfall on VaR0.07839
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02679

Expected Shortfall on VaR0.05785
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.78181

Quartile 11.00000

Median1.00000

Quartile 31.00082

Maximum1.15243

Mean of quarter 10.96301

Mean of quarter 21.00000

Mean of quarter 31.00004

Mean of quarter 41.02113

Inter Quartile Range0.00082

Number outliers low27.00000

Percentage of outliers low0.20611

Mean of outliers low0.95485

Number of outliers high27.00000

Percentage of outliers high0.20611

Mean of outliers high1.02557
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.69535

VaR(95%) (moments method)0.00560

Expected Shortfall (moments method)0.02374

Extreme Value Index (regression method)0.34086

VaR(95%) (regression method)0.04439

Expected Shortfall (regression method)0.10160
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00055

Quartile 10.12317

Median0.24579

Quartile 30.36840

Maximum0.49102

Mean of quarter 10.00055

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.49102

Inter Quartile Range0.24523

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)0.91458

Compounded annual return (geometric extrapolation)0.70546

Calmar ratio (compounded annual return / max draw down)1.43674

Compounded annual return / average of 25% largest draw downs1.43674

Compounded annual return / Expected Shortfall lognormal8.99952
Strategy Description
Summary Statistics
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
 Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
 Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been rescaled downward to make current goforward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
 All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.