Collective2 Collective2
Featured Strategy Iberia Capital Strategy Followed by live capital $29,000 Hypothetical

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#NordicC2 / ES day 2

By NordicC2

Futures · Started Mar 2016

hypothetical · Annual Return (Compounded)
16.6%
Max Drawdown
5.5%
Trades
53
Win Trades
71.7%
Profit Factor
3.20
Win Months
3.9%

About this strategy

ES #NordicC2 – day trades E-mini S&P 500 Futures.

Information:*
• Symbol – ES
• Suggested capital – 10000 $
• Max. Drawdown – 3600$
• Max. Open positions – 2
• Avg. Time in Market – 40 min
• Max. Time in market – 290 min
• Max. Time to Recover – 69 days
• Avg. Trades per Month – 18
• Position size – remains the same no matter the growth of capital
• System is monitored continuously 24/5 by our team
--------* based on historical data (updated 2016-09-28)

Strategy is built to keep it simple to follow. Position sizing depends individually on your capital. So it is up to you if you want to trade more contracts.

If there are any other questions considering this strategy please ask and we will provide you with all the relevant information.

Best of luck in Markets
NordicC2_Capital team

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201614.92.10.6-0.6-1.9-2.31.10.50.00.014.2
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began3/17/2016
Suggested Minimum Capital$25,000
Age127 months
What it tradesFutures
# Trades53
# Profitable38
% Profitable71.7%
Avg trade duration1.1 hours
Max peak-to-valley drawdown5.5%
drawdown periodJune 17, 2016 - Sept 08, 2016
Cumul. Return15.2%
Avg win$181
Avg loss$143

Ratios

W:L ratio3.22
Sharpe Ratio-0.29
Sortino Ratio-0.61
Calmar Ratio2.03

CORRELATION STATISTICS

Correlation to SP500-0.00
Return Percent SP500 (cumu) during strategy life275.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)1.6%

Return Statistics

Ann Return (w trading costs)16.6%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.2%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.7%

Slump

Current Slump as Pcnt Equity3.5%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss0.0%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated16.8%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)606
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$143
Avg Win$181
# Winners38
Sum Trade PL (losers)$2,141
Sum Trade PL (winners)$6,884
Num Months Winners5
# Losers15
% Winners71.7%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table127

Frequency

Avg Position Time (mins)68.77
Avg Position Time (hrs)1.15
Avg Trade Length0
Last Trade Ago3622

Regression

Alpha0
Beta0
Treynor Index6.41

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.03
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades1.75
MAE:PL (avg, all trades)0.04
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats68.76
MAE:PL - Winning Trades - this strat Percentile of All Strats35.52
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.43
Avg(MAE) / Avg(PL) - Losing trades-2.15
Hold-and-Hope Ratio0.54

RATIO STATISTICS

Mean0.19
SD0.18
Sharpe ratio (Glass type estimate)1.10
Sharpe ratio (Hedges UMVUE)1.01
df10
t1.05
p0.16
Lowerbound of 95% confidence interval for Sharpe Ratio-1.03
Upperbound of 95% confidence interval for Sharpe Ratio3.17
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.08
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.11
Sortino ratio7.00
Upside Potential Ratio8.50
Upside part of mean0.24
Downside part of mean-0.04
Upside SD0.18
Downside SD0.03
N nonnegative terms5
N negative terms6
N of observations11
Mean of predictor0.11
Mean of criterion0.19
SD of predictor0.08
SD of criterion0.18
Covariance0.00
r0.04
b (slope, estimate of beta)0.08
a (intercept, estimate of alpha)0.18
Mean Square Error0.03
DF error9
t(b)0.11
p(b)0.46
t(a)0.87
p(a)0.20
Lowerbound of 95% confidence interval for beta-1.55
Upperbound of 95% confidence interval for beta1.70
Lowerbound of 95% confidence interval for alpha-0.29
Upperbound of 95% confidence interval for alpha0.66
Treynor index (mean / b)2.51
Jensen alpha (a)0.18
Mean0.18
SD0.16
Sharpe ratio (Glass type estimate)1.09
Sharpe ratio (Hedges UMVUE)1.01
df10
t1.04
p0.16
Lowerbound of 95% confidence interval for Sharpe Ratio-1.04
Upperbound of 95% confidence interval for Sharpe Ratio3.17
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.09
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.10
Sortino ratio6.41
Upside Potential Ratio7.91
Upside part of mean0.22
Downside part of mean-0.04
Upside SD0.16
Downside SD0.03
N nonnegative terms5
N negative terms6
N of observations11
Mean of predictor0.11
Mean of criterion0.18
SD of predictor0.08
SD of criterion0.16
Covariance0.00
r0.03
b (slope, estimate of beta)0.06
a (intercept, estimate of alpha)0.17
Mean Square Error0.03
DF error9
t(b)0.10
p(b)0.46
t(a)0.88
p(a)0.20
Lowerbound of 95% confidence interval for beta-1.45
Upperbound of 95% confidence interval for beta1.58
Lowerbound of 95% confidence interval for alpha-0.27
Upperbound of 95% confidence interval for alpha0.62
Treynor index (mean / b)2.78
Jensen alpha (a)0.17
VaR(95%)0.06
Expected Shortfall on VaR0.08
VaR(95%)0.01
Expected Shortfall on VaR0.02
Mean0.18
SD0.07
Sharpe ratio (Glass type estimate)2.46
Sharpe ratio (Hedges UMVUE)2.45
df326
t2.40
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.44
Upperbound of 95% confidence interval for Sharpe Ratio4.47
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.43
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.47
Sortino ratio6.24
Upside Potential Ratio9.16
Upside part of mean0.26
Downside part of mean-0.08
Upside SD0.07
Downside SD0.03
N nonnegative terms54
N negative terms273
N of observations327
Mean of predictor0.13
Mean of criterion0.18
SD of predictor0.10
SD of criterion0.07
Covariance-0.00
r-0.01
b (slope, estimate of beta)-0.01
a (intercept, estimate of alpha)0.05
Mean Square Error0.01
DF error325
t(b)-0.15
p(b)0.56
t(a)2.40
p(a)0.01
Lowerbound of 95% confidence interval for beta-0.08
Upperbound of 95% confidence interval for beta0.07
Lowerbound of 95% confidence interval for alpha0.03
Upperbound of 95% confidence interval for alpha0.32
Treynor index (mean / b)-29.43
Jensen alpha (a)0.18
Mean0.17
SD0.07
Sharpe ratio (Glass type estimate)2.45
Sharpe ratio (Hedges UMVUE)2.44
df326
t2.39
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.43
Upperbound of 95% confidence interval for Sharpe Ratio4.47
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.42
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.46
Sortino ratio6.09
Upside Potential Ratio9.00
Upside part of mean0.26
Downside part of mean-0.08
Upside SD0.07
Downside SD0.03
N nonnegative terms54
N negative terms273
N of observations327
Mean of predictor0.12
Mean of criterion0.17
SD of predictor0.10
SD of criterion0.07
Covariance-0.00
r-0.01
b (slope, estimate of beta)-0.01
a (intercept, estimate of alpha)0.17
Mean Square Error0.00
DF error325
t(b)-0.16
p(b)0.56
t(a)2.39
p(a)0.01
Lowerbound of 95% confidence interval for beta-0.08
Upperbound of 95% confidence interval for beta0.07
Lowerbound of 95% confidence interval for alpha0.03
Upperbound of 95% confidence interval for alpha0.32
Treynor index (mean / b)-28.29
Jensen alpha (a)0.17
VaR(95%)0.01
Expected Shortfall on VaR0.01
VaR(95%)0.00
Expected Shortfall on VaR0.00
Mean-0.03
SD0.04
Sharpe ratio (Glass type estimate)-0.72
Sharpe ratio (Hedges UMVUE)-0.72
df171
t-0.51
p0.52
Lowerbound of 95% confidence interval for Sharpe Ratio-3.49
Upperbound of 95% confidence interval for Sharpe Ratio2.05
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.49
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.06
Sortino ratio-0.77
Upside Potential Ratio1.62
Upside part of mean0.06
Downside part of mean-0.09
Upside SD0.01
Downside SD0.04
N nonnegative terms13
N negative terms159
N of observations172
Mean of predictor0.11
Mean of criterion-0.03
SD of predictor0.09
SD of criterion0.04
Covariance0.00
r0.02
b (slope, estimate of beta)0.01
a (intercept, estimate of alpha)-0.03
Mean Square Error0.00
DF error170
t(b)0.29
p(b)0.49
t(a)-0.53
p(a)0.52
Lowerbound of 95% confidence interval for beta-0.06
Upperbound of 95% confidence interval for beta0.07
Lowerbound of 95% confidence interval for alpha-0.14
Upperbound of 95% confidence interval for alpha0.08
Treynor index (mean / b)-2.92
Jensen alpha (a)-0.03
Mean-0.03
SD0.04
Sharpe ratio (Glass type estimate)-0.73
Sharpe ratio (Hedges UMVUE)-0.73
df171
t-0.52
p0.53
Lowerbound of 95% confidence interval for Sharpe Ratio-3.51
Upperbound of 95% confidence interval for Sharpe Ratio2.04
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.50
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.04
Sortino ratio-0.78
Upside Potential Ratio1.60
Upside part of mean0.06
Downside part of mean-0.09
Upside SD0.01
Downside SD0.04
N nonnegative terms13
N negative terms159
N of observations172
Mean of predictor0.11
Mean of criterion-0.03
SD of predictor0.09
SD of criterion0.04
Covariance0.00
r0.02
b (slope, estimate of beta)0.01
a (intercept, estimate of alpha)-0.03
Mean Square Error0.00
DF error170
t(b)0.28
p(b)0.49
t(a)-0.53
p(a)0.52
Lowerbound of 95% confidence interval for beta-0.06
VAR (95 Confidence Intrvl)0.00
Upperbound of 95% confidence interval for beta0.07
Lowerbound of 95% confidence interval for alpha-0.14
Upperbound of 95% confidence interval for alpha0.08
Treynor index (mean / b)-3.06
Jensen alpha (a)-0.03
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0.00
Expected Shortfall on VaR0.00

ORDER STATISTICS

Number of observations11
Minimum0.98
Quartile 11
Median1
Quartile 31.01
Maximum1.17
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31.01
Mean of quarter 41.07
Inter Quartile Range0.01
Number outliers low1
Percentage of outliers low0.09
Mean of outliers low0.98
Number of outliers high1
Percentage of outliers high0.09
Mean of outliers high1.17
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-0.59
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.03
Number of observations327
Minimum0.98
Quartile 11
Median1
Quartile 31
Maximum1.05
Mean of quarter 11.00
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.00
Inter Quartile Range0
Number outliers low22
Percentage of outliers low0.07
Mean of outliers low1.00
Number of outliers high54
Percentage of outliers high0.17
Mean of outliers high1.00
Extreme Value Index (moments method)0.72
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)0.68
VaR(95%) (regression method)0.00
Expected Shortfall (regression method)0.01
Number of observations172
Minimum0.98
Quartile 11
Median1
Quartile 31
Maximum1.00
Mean of quarter 11.00
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.00
Inter Quartile Range0
Number outliers low4
Percentage of outliers low0.02
Mean of outliers low0.99
Number of outliers high13
Percentage of outliers high0.08
Mean of outliers high1.00
Extreme Value Index (moments method)-32.38
VaR(95%) (moments method)-316017999872
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-0.11
VaR(95%) (regression method)-0.01
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations1
Minimum0.03
Quartile 10.03
Median0.03
Quartile 30.03
Maximum0.03
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations4
Minimum0.00
Quartile 10.00
Median0.00
Quartile 30.01
Maximum0.04
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.00
Mean of quarter 40.04
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.25
Mean of outliers high0.04
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations1
Minimum0.03
Quartile 10.03
Median0.03
Quartile 30.03
Maximum0.03
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Max Equity Drawdown (num days)83
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.21
Compounded annual return (geometric extrapolation)0.21
Calmar ratio (compounded annual return / max draw down)7.84
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal2.62
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.20
Compounded annual return (geometric extrapolation)0.20
Calmar ratio (compounded annual return / max draw down)5.17
Compounded annual return / average of 25% largest draw downs5.17
Compounded annual return / Expected Shortfall lognormal27.40
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.02
Compounded annual return (geometric extrapolation)-0.02
Calmar ratio (compounded annual return / max draw down)-0.54
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal-4.17

Trading record

Placed 69 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES Z6long1Oct 4, 2016Oct 4, 2016$92
ES Z6long2Oct 3, 2016Oct 3, 2016$59
ES Z6long1Sep 29, 2016Sep 29, 2016$117
ES Z6long1Sep 28, 2016Sep 28, 2016$130
ES Z6long2Sep 27, 2016Sep 27, 2016$72
ES Z6long1Sep 15, 2016Sep 15, 2016$55
ES Z6long1Sep 14, 2016Sep 14, 2016$117
ES U6short1Sep 8, 2016Sep 8, 2016$117
ES U6long2Sep 8, 2016Sep 8, 2016($316)
ES U6long1Sep 7, 2016Sep 7, 2016$30
ES U6long1Sep 2, 2016Sep 2, 2016$92
ES U6long2Aug 31, 2016Aug 31, 2016($966)
ES U6short1Aug 17, 2016Aug 17, 2016$117
ES U6long1Aug 12, 2016Aug 12, 2016$5
ES U6long1Aug 5, 2016Aug 5, 2016$217
ES U6long1Aug 4, 2016Aug 4, 2016$30
ES U6long1Jul 29, 2016Jul 29, 2016$92
ES U6short2Jul 15, 2016Jul 15, 2016($166)
ES U6short1Jul 14, 2016Jul 14, 2016($21)
ES U6long2Jul 14, 2016Jul 14, 2016($16)
ES U6short4Jul 7, 2016Jul 7, 2016($357)
ES U6long1Jul 5, 2016Jul 5, 2016$5
ES U6short1Jun 30, 2016Jun 30, 2016$30
ES U6short1Jun 29, 2016Jun 29, 2016($46)
ES U6short1Jun 28, 2016Jun 28, 2016($96)
ES U6long1Jun 21, 2016Jun 21, 2016($96)
ES U6short1Jun 17, 2016Jun 17, 2016$80
ES U6long1Jun 14, 2016Jun 14, 2016$92
ES M6long1Jun 10, 2016Jun 10, 2016($71)
ES M6long1Jun 7, 2016Jun 7, 2016$5

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.