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

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#NordicC2 / TY swing

By NordicC2

Futures · Started Mar 2016

hypothetical · Annual Return (Compounded)
1.6%
Max Drawdown
16.9%
Trades
58
Win Trades
86.2%
Profit Factor
2.20
Win Months
12.2%

About this strategy

TY #NordicC2 – swing trades 10-Years T-Notes Futures.

Information:*
• Symbol - TY (ZN with some brokers)
• Suggested capital – 20000 $
• Max. Drawdown – 7187$
• Max. Open positions – 5
• Avg. Time in Market – 1.77 days
• Max. Time in market – 18 days
• Max. Time to Recover – 59 days
• Avg. Trades per Month – 6.6
• Position size – remains the same no matter the growth of capital
• System is monitored continuously 24/5 by our team
--------* based on historical data

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
201622.94.01.70.51.12.9-0.1-1.20.40.835.9
20171.0-0.1-0.40.11.70.41.10.2-11.70.5-3.9-2.2-13.2
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.0
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
20260.00.00.00.00.00.00.0

Statistics

Overview

Strategy began3/22/2016
Suggested Minimum Capital$25,000
Age127 months
What it tradesFutures
# Trades58
# Profitable50
% Profitable86.2%
Avg trade duration2.9 days
Max peak-to-valley drawdown16.9%
drawdown periodSept 06, 2017 - Dec 19, 2017
Annual Return (Compounded)1.6%
Avg win$296
Avg loss$852

Ratios

W:L ratio2.18
Sharpe Ratio-0.03
Sortino Ratio-0.05
Calmar Ratio0.64

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life274.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-258.6%

Return Statistics

Ann Return (w trading costs)1.6%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)2.7%

Slump

Current Slump as Pcnt Equity20.3%
Current Slump, time of slump as pcnt of strategy life0.9%

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 loss100.0%
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 Automated90.7%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
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$852
Avg Win$296
# Winners50
Sum Trade PL (losers)$6,812
Sum Trade PL (winners)$14,820
Num Months Winners15
# Losers8
% Winners86.2%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table126

Frequency

Avg Position Time (mins)4154.15
Avg Position Time (hrs)69.24
Avg Trade Length2.90
Last Trade Ago3183

Regression

Alpha0
Beta0
Treynor Index0.13

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.20
MAE:Equity, average, losing trades0.05
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades3.41
MAE:PL (avg, all trades)0.14
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats93.53
MAE:PL - Winning Trades - this strat Percentile of All Strats46.54
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.86
Avg(MAE) / Avg(PL) - Losing trades-1.73
Hold-and-Hope Ratio0.29

RATIO STATISTICS

Mean0.08
SD0.19
Sharpe ratio (Glass type estimate)0.43
Sharpe ratio (Hedges UMVUE)0.42
df34
t0.73
p0.24
Lowerbound of 95% confidence interval for Sharpe Ratio-0.73
Upperbound of 95% confidence interval for Sharpe Ratio1.58
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.73
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.57
Sortino ratio1.29
Upside Potential Ratio2.48
Upside part of mean0.16
Downside part of mean-0.07
Upside SD0.18
Downside SD0.06
N nonnegative terms14
N negative terms21
N of observations35
Mean of predictor0.46
Mean of criterion0.08
SD of predictor0.28
SD of criterion0.19
Covariance-0.00
r-0.05
b (slope, estimate of beta)-0.03
a (intercept, estimate of alpha)0.10
Mean Square Error0.04
DF error33
t(b)-0.29
p(b)0.61
t(a)0.77
p(a)0.22
Lowerbound of 95% confidence interval for beta-0.27
Upperbound of 95% confidence interval for beta0.20
Lowerbound of 95% confidence interval for alpha-0.16
Upperbound of 95% confidence interval for alpha0.35
Treynor index (mean / b)-2.45
Jensen alpha (a)0.10
Mean0.07
SD0.17
Sharpe ratio (Glass type estimate)0.38
Sharpe ratio (Hedges UMVUE)0.38
df34
t0.66
p0.26
Lowerbound of 95% confidence interval for Sharpe Ratio-0.77
Upperbound of 95% confidence interval for Sharpe Ratio1.53
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.77
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.53
Sortino ratio1.01
Upside Potential Ratio2.18
Upside part of mean0.14
Downside part of mean-0.08
Upside SD0.16
Downside SD0.07
N nonnegative terms14
N negative terms21
N of observations35
Mean of predictor0.42
Mean of criterion0.07
SD of predictor0.26
SD of criterion0.17
Covariance-0.00
r-0.05
b (slope, estimate of beta)-0.03
a (intercept, estimate of alpha)0.08
Mean Square Error0.03
DF error33
t(b)-0.27
p(b)0.60
t(a)0.70
p(a)0.24
Lowerbound of 95% confidence interval for beta-0.27
Upperbound of 95% confidence interval for beta0.20
Lowerbound of 95% confidence interval for alpha-0.15
Upperbound of 95% confidence interval for alpha0.31
Treynor index (mean / b)-2.12
Jensen alpha (a)0.08
VaR(95%)0.07
Expected Shortfall on VaR0.09
VaR(95%)0.02
Expected Shortfall on VaR0.03
Mean0.07
SD0.10
Sharpe ratio (Glass type estimate)0.70
Sharpe ratio (Hedges UMVUE)0.70
df764
t1.20
p0.12
Lowerbound of 95% confidence interval for Sharpe Ratio-0.45
Upperbound of 95% confidence interval for Sharpe Ratio1.85
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.45
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.85
Sortino ratio1.20
Upside Potential Ratio5.38
Upside part of mean0.31
Downside part of mean-0.24
Upside SD0.08
Downside SD0.06
N nonnegative terms127
N negative terms638
N of observations765
Mean of predictor0.46
Mean of criterion0.07
SD of predictor0.29
SD of criterion0.10
Covariance-0.00
r-0.02
b (slope, estimate of beta)-0.01
a (intercept, estimate of alpha)0.07
Mean Square Error0.01
DF error763
t(b)-0.52
p(b)0.70
t(a)1.24
p(a)0.11
Lowerbound of 95% confidence interval for beta-0.03
Upperbound of 95% confidence interval for beta0.02
Lowerbound of 95% confidence interval for alpha-0.04
Upperbound of 95% confidence interval for alpha0.19
Treynor index (mean / b)-10.93
Jensen alpha (a)0.07
Mean0.07
SD0.10
Sharpe ratio (Glass type estimate)0.66
Sharpe ratio (Hedges UMVUE)0.65
df764
t1.12
p0.13
Lowerbound of 95% confidence interval for Sharpe Ratio-0.49
Upperbound of 95% confidence interval for Sharpe Ratio1.80
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.49
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.80
Sortino ratio1.11
Upside Potential Ratio5.27
Upside part of mean0.31
Downside part of mean-0.25
Upside SD0.08
Downside SD0.06
N nonnegative terms127
N negative terms638
N of observations765
Mean of predictor0.42
Mean of criterion0.07
SD of predictor0.30
SD of criterion0.10
Covariance-0.00
r-0.02
b (slope, estimate of beta)-0.01
a (intercept, estimate of alpha)0.07
Mean Square Error0.01
DF error763
t(b)-0.48
p(b)0.69
t(a)1.16
p(a)0.12
Lowerbound of 95% confidence interval for beta-0.03
Upperbound of 95% confidence interval for beta0.02
Lowerbound of 95% confidence interval for alpha-0.05
Upperbound of 95% confidence interval for alpha0.18
Treynor index (mean / b)-11.26
Jensen alpha (a)0.07
VaR(95%)0.01
Expected Shortfall on VaR0.01
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean-0.03
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor1.01
Mean of criterion-0.03
SD of predictor0.45
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean-0.03
SD0
Sharpe ratio (Glass type estimate)-9.74841826823373e+15
Sharpe ratio (Hedges UMVUE)-9.69206937105203e+15
df130
t-6893172865105920
p1
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.08701574255084e+16
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-8513981316595712
Sortino ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor0.91
Mean of criterion-0.03
SD of predictor0.45
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)-0.03
Mean Square Error0
DF error129
t(b)0
p(b)0.50
t(a)-6813252113661952
p(a)1
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.01
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha-0.03
Treynor index (mean / b)2.01206456575807e+32
Jensen alpha (a)-0.03
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations35
Minimum0.91
Quartile 11
Median1
Quartile 31.01
Maximum1.30
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31.00
Mean of quarter 41.05
Inter Quartile Range0.01
Number outliers low3
Percentage of outliers low0.09
Mean of outliers low0.95
Number of outliers high3
Percentage of outliers high0.09
Mean of outliers high1.12
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0.55
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.11
Number of observations765
Minimum0.96
Quartile 11
Median1
Quartile 31
Maximum1.07
Mean of quarter 11.00
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.00
Inter Quartile Range0
Number outliers low76
Percentage of outliers low0.10
Mean of outliers low0.99
Number of outliers high128
Percentage of outliers high0.17
Mean of outliers high1.01
Extreme Value Index (moments method)0.08
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)-0.06
VaR(95%) (regression method)0.00
Expected Shortfall (regression method)0.01
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
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

DRAW DOWN STATISTICS

Number of observations2
Minimum0.01
Quartile 10.05
Median0.08
Quartile 30.12
Maximum0.15
Mean of quarter 10.01
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.15
Inter Quartile Range0.07
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 observations20
Minimum0.00
Quartile 10.00
Median0.00
Quartile 30.01
Maximum0.15
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.00
Mean of quarter 40.05
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high3
Percentage of outliers high0.15
Mean of outliers high0.08
Extreme Value Index (moments method)1.12
VaR(95%) (moments method)0.05
Expected Shortfall (moments method)0
Extreme Value Index (regression method)3.18
VaR(95%) (regression method)0.07
Expected Shortfall (regression method)0
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
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
Strat Max DD how much worse than SP500 max DD during strat life?-431217344
Max Equity Drawdown (num days)104
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.11
Compounded annual return (geometric extrapolation)0.10
Calmar ratio (compounded annual return / max draw down)0.65
Compounded annual return / average of 25% largest draw downs0.65
Compounded annual return / Expected Shortfall lognormal1.07
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.11
Compounded annual return (geometric extrapolation)0.10
Calmar ratio (compounded annual return / max draw down)0.64
Compounded annual return / average of 25% largest draw downs1.96
Compounded annual return / Expected Shortfall lognormal7.90
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 124 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
TY Z7long7Sep 11, 2017Dec 19, 2017($5,997)
TY Z7short1Sep 5, 2017Sep 6, 2017$117
TY U7long1Aug 15, 2017Aug 15, 2017$86
TY U7long1Jul 25, 2017Jul 26, 2017$195
TY U7short1Jul 12, 2017Jul 13, 2017$132
TY U7long1Jul 3, 2017Jul 4, 2017$180
TY U7short1Jun 14, 2017Jun 14, 2017$8
TY M7short1Jun 2, 2017Jun 5, 2017$262
TY M7long1May 23, 2017May 24, 2017$101
TY M7long1May 19, 2017May 21, 2017$8
TY M7short2May 17, 2017May 19, 2017$250
TY M7short1May 12, 2017May 16, 2017$148
TY M7long1May 5, 2017May 5, 2017$226
TY M7short1Apr 11, 2017Apr 11, 2017$164
TY H7short2Feb 24, 2017Feb 24, 2017($344)
TY H7short2Feb 17, 2017Feb 20, 2017$187
TY H7short1Feb 2, 2017Feb 2, 2017$289
TY H7short1Jan 23, 2017Jan 23, 2017$148
TY H7long1Jan 13, 2017Jan 13, 2017$101
TY H7long2Jan 6, 2017Jan 9, 2017$203
TY H7short2Jan 5, 2017Jan 6, 2017$61
TY H7short1Dec 13, 2016Dec 13, 2016$101
TY H7long1Dec 5, 2016Dec 5, 2016$133
TY H7short1Dec 2, 2016Dec 2, 2016$132
TY H7long1Dec 1, 2016Dec 1, 2016$70
TY H7long1Nov 30, 2016Nov 30, 2016$116
TY Z6long2Nov 23, 2016Nov 23, 2016$156
TY Z6long2Oct 27, 2016Oct 28, 2016$125
TY Z6long4Oct 3, 2016Oct 19, 2016($361)
TY Z6short1Sep 15, 2016Sep 15, 2016$38

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.