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

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#NordicC2 / ES swing

By NordicC2

Futures · Started May 2016

hypothetical · Annual Return (Compounded)
3.8%
Max Drawdown
15.9%
Trades
80
Win Trades
87.5%
Profit Factor
21.80
Win Months
11.4%

About this strategy

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

Information:*
• Symbol – ES
• Suggested capital – 25000 $
• Max. Drawdown – 6212$
• Max. Open positions – 4
• Avg. Time in Market – 90 min
• Max. Time in market – 3 days
• Max. Time to Recover – 30 days
• Avg. Trades per Month – 15
• 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
201616.52.51.50.72.10.85.9-0.432.6
20170.10.6-0.13.41.40.71.42.80.00.00.00.010.7
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
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
20260.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began5/8/2016
Suggested Minimum Capital$25,000
Age125 months
What it tradesFutures
# Trades80
# Profitable70
% Profitable87.5%
Avg trade duration3.4 hours
Max peak-to-valley drawdown15.9%
drawdown periodOct 10, 2016 - Oct 13, 2016
Annual Return (Compounded)3.8%
Avg win$226
Avg loss$72

Ratios

W:L ratio21.84
Sharpe Ratio0.28
Sortino Ratio0.58
Calmar Ratio1.98

CORRELATION STATISTICS

Correlation to SP5000.02
Return Percent SP500 (cumu) during strategy life272.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-228.2%

Return Statistics

Ann Return (w trading costs)3.8%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)4.7%

Slump

Current Slump as Pcnt Equity0.0%
Current Slump, time of slump as pcnt of strategy life0.0%

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 loss100.0%
Chance of 20% account loss6.7%
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 Automated94.8%

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$72
Avg Win$226
# Winners70
Sum Trade PL (losers)$724
Sum Trade PL (winners)$15,811
Num Months Winners14
# Losers10
% Winners87.5%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table124

Frequency

Avg Position Time (mins)203.93
Avg Position Time (hrs)3.40
Avg Trade Length0.10
Last Trade Ago3291

Regression

Alpha0.01
Beta0.01
Treynor Index0.69

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.04
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 trades1.76
MAE:PL (avg, all trades)1.22
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats93.48
MAE:PL - Winning Trades - this strat Percentile of All Strats66.68
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.03
Avg(MAE) / Avg(PL) - Losing trades-10.36
Hold-and-Hope Ratio0.55

RATIO STATISTICS

Mean0.15
SD0.14
Sharpe ratio (Glass type estimate)1.04
Sharpe ratio (Hedges UMVUE)1.01
df31
t1.70
p0.05
Lowerbound of 95% confidence interval for Sharpe Ratio-0.20
Upperbound of 95% confidence interval for Sharpe Ratio2.26
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.21
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.24
Sortino ratio4.16
Upside Potential Ratio5.16
Upside part of mean0.19
Downside part of mean-0.04
Upside SD0.14
Downside SD0.04
N nonnegative terms13
N negative terms19
N of observations32
Mean of predictor0.50
Mean of criterion0.15
SD of predictor0.31
SD of criterion0.14
Covariance-0.01
r-0.13
b (slope, estimate of beta)-0.06
a (intercept, estimate of alpha)0.18
Mean Square Error0.02
DF error30
t(b)-0.74
p(b)0.77
t(a)1.84
p(a)0.04
Lowerbound of 95% confidence interval for beta-0.24
Upperbound of 95% confidence interval for beta0.11
Lowerbound of 95% confidence interval for alpha-0.02
Upperbound of 95% confidence interval for alpha0.38
Treynor index (mean / b)-2.36
Jensen alpha (a)0.18
Mean0.14
SD0.14
Sharpe ratio (Glass type estimate)1.03
Sharpe ratio (Hedges UMVUE)1.01
df31
t1.68
p0.05
Lowerbound of 95% confidence interval for Sharpe Ratio-0.20
Upperbound of 95% confidence interval for Sharpe Ratio2.25
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.22
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.23
Sortino ratio3.77
Upside Potential Ratio4.76
Upside part of mean0.18
Downside part of mean-0.04
Upside SD0.13
Downside SD0.04
N nonnegative terms13
N negative terms19
N of observations32
Mean of predictor0.45
Mean of criterion0.14
SD of predictor0.28
SD of criterion0.14
Covariance-0.00
r-0.13
b (slope, estimate of beta)-0.06
a (intercept, estimate of alpha)0.17
Mean Square Error0.02
DF error30
t(b)-0.71
p(b)0.76
t(a)1.81
p(a)0.04
Lowerbound of 95% confidence interval for beta-0.24
Upperbound of 95% confidence interval for beta0.12
Lowerbound of 95% confidence interval for alpha-0.02
Upperbound of 95% confidence interval for alpha0.36
Treynor index (mean / b)-2.27
Jensen alpha (a)0.17
VaR(95%)0.05
Expected Shortfall on VaR0.07
VaR(95%)0.01
Expected Shortfall on VaR0.02
Mean0.15
SD0.12
Sharpe ratio (Glass type estimate)1.23
Sharpe ratio (Hedges UMVUE)1.23
df702
t2.01
p0.02
Lowerbound of 95% confidence interval for Sharpe Ratio0.03
Upperbound of 95% confidence interval for Sharpe Ratio2.42
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.03
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.42
Sortino ratio2.95
Upside Potential Ratio4.88
Upside part of mean0.24
Downside part of mean-0.10
Upside SD0.11
Downside SD0.05
N nonnegative terms106
N negative terms597
N of observations703
Mean of predictor0.54
Mean of criterion0.15
SD of predictor0.36
SD of criterion0.12
Covariance0.00
r0.03
b (slope, estimate of beta)0.01
a (intercept, estimate of alpha)0.14
Mean Square Error0.01
DF error701
t(b)0.80
p(b)0.21
t(a)1.93
p(a)0.03
Lowerbound of 95% confidence interval for beta-0.01
Upperbound of 95% confidence interval for beta0.03
Lowerbound of 95% confidence interval for alpha-0.00
Upperbound of 95% confidence interval for alpha0.28
Treynor index (mean / b)14.60
Jensen alpha (a)0.14
Mean0.14
SD0.11
Sharpe ratio (Glass type estimate)1.22
Sharpe ratio (Hedges UMVUE)1.22
df702
t1.99
p0.02
Lowerbound of 95% confidence interval for Sharpe Ratio0.02
Upperbound of 95% confidence interval for Sharpe Ratio2.41
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.02
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.41
Sortino ratio2.76
Upside Potential Ratio4.67
Upside part of mean0.24
Downside part of mean-0.10
Upside SD0.10
Downside SD0.05
N nonnegative terms106
N negative terms597
N of observations703
Mean of predictor0.47
Mean of criterion0.14
SD of predictor0.38
SD of criterion0.11
Covariance0.00
r0.03
b (slope, estimate of beta)0.01
a (intercept, estimate of alpha)0.13
Mean Square Error0.01
DF error701
t(b)0.77
p(b)0.22
t(a)1.93
p(a)0.03
Lowerbound of 95% confidence interval for beta-0.01
Upperbound of 95% confidence interval for beta0.03
Lowerbound of 95% confidence interval for alpha-0.00
Upperbound of 95% confidence interval for alpha0.27
Treynor index (mean / b)15.64
Jensen alpha (a)0.13
VaR(95%)0.01
Expected Shortfall on VaR0.01
VaR(95%)0.00
Expected Shortfall on VaR0.00
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 predictor1.08
Mean of criterion-0.03
SD of predictor0.51
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 predictor0.94
Mean of criterion-0.03
SD of predictor0.52
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)-6823497221275648
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)3.09814688728057e+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 observations32
Minimum0.94
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 41.06
Inter Quartile Range0.01
Number outliers low1
Percentage of outliers low0.03
Mean of outliers low0.94
Number of outliers high5
Percentage of outliers high0.16
Mean of outliers high1.09
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 observations703
Minimum0.96
Quartile 11
Median1
Quartile 31
Maximum1.14
Mean of quarter 11.00
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.00
Inter Quartile Range0
Number outliers low21
Percentage of outliers low0.03
Mean of outliers low0.99
Number of outliers high107
Percentage of outliers high0.15
Mean of outliers high1.01
Extreme Value Index (moments method)1.55
VaR(95%) (moments method)-0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0.22
VaR(95%) (regression method)-0.00
Expected Shortfall (regression method)0
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 observations1
Minimum0.06
Quartile 10.06
Median0.06
Quartile 30.06
Maximum0.06
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 observations12
Minimum0.00
Quartile 10.00
Median0.00
Quartile 30.00
Maximum0.09
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.00
Mean of quarter 40.04
Inter Quartile Range0.00
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.17
Mean of outliers high0.05
Extreme Value Index (moments method)-0.85
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)1.76
VaR(95%) (regression method)0.09
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?-383600992
Max Equity Drawdown (num days)3
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.21
Compounded annual return (geometric extrapolation)0.18
Calmar ratio (compounded annual return / max draw down)3.27
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal2.74
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.21
Compounded annual return (geometric extrapolation)0.18
Calmar ratio (compounded annual return / max draw down)1.98
Compounded annual return / average of 25% largest draw downs5.04
Compounded annual return / Expected Shortfall lognormal13.04
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 112 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES U7long1Aug 25, 2017Aug 25, 2017$242
ES U7long1Aug 23, 2017Aug 23, 2017$55
ES U7long1Aug 21, 2017Aug 21, 2017$192
ES U7long1Aug 18, 2017Aug 18, 2017$130
ES U7long1Aug 17, 2017Aug 17, 2017$155
ES U7long1Aug 2, 2017Aug 2, 2017$242
ES U7long1Jul 21, 2017Jul 21, 2017$217
ES U7long1Jul 18, 2017Jul 18, 2017$242
ES U7long1Jul 11, 2017Jul 11, 2017$155
ES U7long1Jun 29, 2017Jun 29, 2017($8)
ES U7long2Jun 29, 2017Jun 29, 2017$97
ES U7long1Jun 26, 2017Jun 26, 2017$92
ES U7long1Jun 16, 2017Jun 16, 2017($46)
ES M7long1Jun 6, 2017Jun 6, 2017$230
ES M7long1May 31, 2017May 31, 2017$155
ES M7long1May 17, 2017May 17, 2017($46)
ES M7long1May 17, 2017May 17, 2017$117
ES M7long2May 11, 2017May 11, 2017$197
ES M7long1May 3, 2017May 3, 2017$205
ES M7long1Apr 21, 2017Apr 21, 2017$217
ES M7long1Apr 12, 2017Apr 12, 2017$180
ES M7long1Apr 11, 2017Apr 11, 2017$142
ES M7long1Apr 11, 2017Apr 11, 2017$242
ES M7long1Apr 10, 2017Apr 10, 2017$117
ES M7long1Apr 4, 2017Apr 4, 2017$217
ES M7long2Apr 3, 2017Apr 3, 2017$184
ES M7long1Mar 16, 2017Mar 16, 2017$130
ES M7long1Mar 14, 2017Mar 14, 2017($8)
ES H7long1Feb 23, 2017Feb 23, 2017$130
ES H7long1Feb 16, 2017Feb 16, 2017$205

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.