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C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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esfutures intraday

By esfutures

Futures · Started Aug 2016

hypothetical · Annual Return (Compounded)
22.2%
Max Drawdown
64.6%
Trades
260
Win Trades
48.8%
Profit Factor
1.20
Win Months
8.3%

About this strategy

Detail historical and real results you can find on our website:

http://www.es-futures.com/es_futures.html

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20161.947.06.39.7-3.867.8
2017-16.26.91.0-25.65.9-27.7-22.734.825.712.0-2.20.0-26.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
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 began8/29/2016
Suggested Minimum Capital$15,000
Age122 months
What it tradesFutures
# Trades260
# Profitable127
% Profitable48.8%
Avg trade duration8.9 hours
Max peak-to-valley drawdown64.6%
drawdown periodDec 14, 2016 - July 11, 2017
Annual Return (Compounded)22.2%
Avg win$444
Avg loss$349

Ratios

W:L ratio1.22
Sharpe Ratio0.09
Sortino Ratio0.13
Calmar Ratio0.53

CORRELATION STATISTICS

Correlation to SP500-0.02
Return Percent SP500 (cumu) during strategy life251.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)9.1%

Return Statistics

Ann Return (w trading costs)22.2%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.2%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)5.2%

Slump

Current Slump as Pcnt Equity50.7%
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 loss60.5%
Chance of 20% account loss33.5%
Chance of 30% account loss12.0%
Chance of 40% account loss2.5%
Chance of 50% account loss0.5%
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 Automated33.7%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)705
Popularity (7 days, Percentile 1000 scale)296

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$349
Avg Win$444
# Winners127
Sum Trade PL (losers)$46,364
Sum Trade PL (winners)$56,387
Num Months Winners10
# Losers133
% Winners48.8%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table122

Frequency

Avg Position Time (mins)534.28
Avg Position Time (hrs)8.90
Avg Trade Length0.40
Last Trade Ago3223

Regression

Alpha0.01
Beta-0.02
Treynor Index-0.27

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.04
MAE:Equity, average, losing trades0.03
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 trades18.47
MAE:PL (avg, all trades)-0.47
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats38.36
MAE:PL - Winning Trades - this strat Percentile of All Strats34.12
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.52
Avg(MAE) / Avg(PL) - Losing trades-1.38
Hold-and-Hope Ratio0.05

RATIO STATISTICS

Mean0.65
SD0.72
Sharpe ratio (Glass type estimate)0.90
Sharpe ratio (Hedges UMVUE)0.85
df12
t0.94
p0.37
Lowerbound of 95% confidence interval for Sharpe Ratio-1.03
Upperbound of 95% confidence interval for Sharpe Ratio2.80
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.07
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.76
Sortino ratio1.96
Upside Potential Ratio3.88
Upside part of mean1.29
Downside part of mean-0.64
Upside SD0.64
Downside SD0.33
N nonnegative terms8
N negative terms5
N of observations13
Mean of predictor0.12
Mean of criterion0.65
SD of predictor0.07
SD of criterion0.72
Covariance-0.00
r-0.08
b (slope, estimate of beta)-0.90
a (intercept, estimate of alpha)0.76
Mean Square Error0.57
DF error11
t(b)-0.28
p(b)0.61
t(a)0.93
p(a)0.19
Lowerbound of 95% confidence interval for beta-7.94
Upperbound of 95% confidence interval for beta6.15
Lowerbound of 95% confidence interval for alpha-1.05
Upperbound of 95% confidence interval for alpha2.58
Treynor index (mean / b)-0.73
Jensen alpha (a)0.76
Mean0.43
SD0.66
Sharpe ratio (Glass type estimate)0.65
Sharpe ratio (Hedges UMVUE)0.60
df12
t0.67
p0.40
Lowerbound of 95% confidence interval for Sharpe Ratio-1.27
Upperbound of 95% confidence interval for Sharpe Ratio2.53
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.29
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.50
Sortino ratio1.16
Upside Potential Ratio3.06
Upside part of mean1.13
Downside part of mean-0.70
Upside SD0.53
Downside SD0.37
N nonnegative terms8
N negative terms5
N of observations13
Mean of predictor0.12
Mean of criterion0.43
SD of predictor0.07
SD of criterion0.66
Covariance-0.00
r-0.05
b (slope, estimate of beta)-0.49
a (intercept, estimate of alpha)0.49
Mean Square Error0.48
DF error11
t(b)-0.16
p(b)0.56
t(a)0.64
p(a)0.27
Lowerbound of 95% confidence interval for beta-7.06
Upperbound of 95% confidence interval for beta6.09
Lowerbound of 95% confidence interval for alpha-1.18
Upperbound of 95% confidence interval for alpha2.15
Treynor index (mean / b)-0.88
Jensen alpha (a)0.49
VaR(95%)0.24
Expected Shortfall on VaR0.30
VaR(95%)0.11
Expected Shortfall on VaR0.20
Mean0.50
SD0.41
Sharpe ratio (Glass type estimate)1.22
Sharpe ratio (Hedges UMVUE)1.22
df300
t1.31
p0.10
Lowerbound of 95% confidence interval for Sharpe Ratio-0.61
Upperbound of 95% confidence interval for Sharpe Ratio3.05
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.61
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.05
Sortino ratio2.07
Upside Potential Ratio9.85
Upside part of mean2.39
Downside part of mean-1.89
Upside SD0.33
Downside SD0.24
N nonnegative terms152
N negative terms149
N of observations301
Mean of predictor0.12
Mean of criterion0.50
SD of predictor0.08
SD of criterion0.41
Covariance-0.01
r-0.16
b (slope, estimate of beta)-0.82
a (intercept, estimate of alpha)0.26
Mean Square Error0.16
DF error299
t(b)-2.84
p(b)1.00
t(a)1.58
p(a)0.06
Lowerbound of 95% confidence interval for beta-1.38
Upperbound of 95% confidence interval for beta-0.25
Lowerbound of 95% confidence interval for alpha-0.15
Upperbound of 95% confidence interval for alpha1.35
Treynor index (mean / b)-0.61
Jensen alpha (a)0.60
Mean0.42
SD0.40
Sharpe ratio (Glass type estimate)1.04
Sharpe ratio (Hedges UMVUE)1.04
df300
t1.11
p0.13
Lowerbound of 95% confidence interval for Sharpe Ratio-0.79
Upperbound of 95% confidence interval for Sharpe Ratio2.87
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.79
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.87
Sortino ratio1.69
Upside Potential Ratio9.43
Upside part of mean2.34
Downside part of mean-1.92
Upside SD0.32
Downside SD0.25
N nonnegative terms152
N negative terms149
N of observations301
Mean of predictor0.12
Mean of criterion0.42
SD of predictor0.08
SD of criterion0.40
Covariance-0.01
r-0.16
b (slope, estimate of beta)-0.77
a (intercept, estimate of alpha)0.51
Mean Square Error0.16
DF error299
t(b)-2.73
p(b)1.00
t(a)1.37
p(a)0.09
Lowerbound of 95% confidence interval for beta-1.33
Upperbound of 95% confidence interval for beta-0.21
Lowerbound of 95% confidence interval for alpha-0.23
Upperbound of 95% confidence interval for alpha1.25
Treynor index (mean / b)-0.54
Jensen alpha (a)0.51
VaR(95%)0.04
Expected Shortfall on VaR0.05
VaR(95%)0.02
Expected Shortfall on VaR0.03
Mean0.33
SD0.39
Sharpe ratio (Glass type estimate)0.85
Sharpe ratio (Hedges UMVUE)0.84
df130
t0.60
p0.47
Lowerbound of 95% confidence interval for Sharpe Ratio-1.93
Upperbound of 95% confidence interval for Sharpe Ratio3.62
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.93
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.62
Sortino ratio1.20
Upside Potential Ratio8.56
Upside part of mean2.38
Downside part of mean-2.05
Upside SD0.28
Downside SD0.28
N nonnegative terms72
N negative terms59
N of observations131
Mean of predictor0.13
Mean of criterion0.33
SD of predictor0.07
SD of criterion0.39
Covariance0.00
r0.06
b (slope, estimate of beta)0.34
a (intercept, estimate of alpha)0.29
Mean Square Error0.15
DF error129
t(b)0.73
p(b)0.46
t(a)0.52
p(a)0.47
Lowerbound of 95% confidence interval for beta-0.59
Upperbound of 95% confidence interval for beta1.28
Lowerbound of 95% confidence interval for alpha-0.82
Upperbound of 95% confidence interval for alpha1.40
Treynor index (mean / b)0.97
Jensen alpha (a)0.29
Mean0.26
SD0.39
Sharpe ratio (Glass type estimate)0.65
Sharpe ratio (Hedges UMVUE)0.65
df130
t0.46
p0.48
Lowerbound of 95% confidence interval for Sharpe Ratio-2.12
Upperbound of 95% confidence interval for Sharpe Ratio3.42
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.13
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.42
Sortino ratio0.90
Upside Potential Ratio8.21
Upside part of mean2.34
Downside part of mean-2.09
Upside SD0.27
Downside SD0.29
N nonnegative terms72
N negative terms59
N of observations131
Mean of predictor0.13
Mean of criterion0.26
SD of predictor0.07
SD of criterion0.39
Covariance0.00
r0.06
b (slope, estimate of beta)0.35
a (intercept, estimate of alpha)0.21
Mean Square Error0.16
DF error129
t(b)0.73
p(b)0.46
t(a)0.38
p(a)0.48
Lowerbound of 95% confidence interval for beta-0.59
VAR (95 Confidence Intrvl)0.03
Upperbound of 95% confidence interval for beta1.28
Lowerbound of 95% confidence interval for alpha-0.90
Upperbound of 95% confidence interval for alpha1.32
Treynor index (mean / b)0.74
Jensen alpha (a)0.21
VaR(95%)0.04
Expected Shortfall on VaR0.05
VaR(95%)0.02
Expected Shortfall on VaR0.03

ORDER STATISTICS

Number of observations13
Minimum0.78
Quartile 10.89
Median1.07
Quartile 31.11
Maximum1.52
Mean of quarter 10.84
Mean of quarter 21.03
Mean of quarter 31.10
Mean of quarter 41.34
Inter Quartile Range0.23
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.08
Mean of outliers high1.52
Extreme Value Index (moments method)-0.08
VaR(95%) (moments method)0.19
Expected Shortfall (moments method)0.23
Extreme Value Index (regression method)1.83
VaR(95%) (regression method)0.16
Expected Shortfall (regression method)0
Number of observations301
Minimum0.92
Quartile 10.99
Median1.00
Quartile 31.01
Maximum1.16
Mean of quarter 10.97
Mean of quarter 21.00
Mean of quarter 31.01
Mean of quarter 41.03
Inter Quartile Range0.02
Number outliers low10
Percentage of outliers low0.03
Mean of outliers low0.95
Number of outliers high16
Percentage of outliers high0.05
Mean of outliers high1.07
Extreme Value Index (moments method)0.12
VaR(95%) (moments method)0.02
Expected Shortfall (moments method)0.04
Extreme Value Index (regression method)0.05
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.04
Number of observations131
Minimum0.92
Quartile 10.99
Median1.00
Quartile 31.01
Maximum1.09
Mean of quarter 10.97
Mean of quarter 21.00
Mean of quarter 31.01
Mean of quarter 41.03
Inter Quartile Range0.02
Number outliers low6
Percentage of outliers low0.05
Mean of outliers low0.94
Number of outliers high5
Percentage of outliers high0.04
Mean of outliers high1.06
Extreme Value Index (moments method)0.03
VaR(95%) (moments method)0.02
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)-0.01
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.04

DRAW DOWN STATISTICS

Number of observations1
Minimum0.42
Quartile 10.42
Median0.42
Quartile 30.42
Maximum0.42
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 observations9
Minimum0.01
Quartile 10.03
Median0.06
Quartile 30.08
Maximum0.48
Mean of quarter 10.02
Mean of quarter 20.05
Mean of quarter 30.07
Mean of quarter 40.28
Inter Quartile Range0.05
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.11
Mean of outliers high0.48
Extreme Value Index (moments method)0.87
VaR(95%) (moments method)0.31
Expected Shortfall (moments method)2.31
Extreme Value Index (regression method)8.35
VaR(95%) (regression method)15.50
Expected Shortfall (regression method)0
Number of observations3
Minimum0.06
Quartile 10.11
Median0.15
Quartile 30.27
Maximum0.39
Mean of quarter 10.06
Mean of quarter 20.15
Mean of quarter 30
Mean of quarter 40.39
Inter Quartile Range0.16
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)209
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.59
Compounded annual return (geometric extrapolation)0.58
Calmar ratio (compounded annual return / max draw down)1.37
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal1.93
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.58
Compounded annual return (geometric extrapolation)0.56
Calmar ratio (compounded annual return / max draw down)1.17
Compounded annual return / average of 25% largest draw downs1.99
Compounded annual return / Expected Shortfall lognormal11.61
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.30
Compounded annual return (geometric extrapolation)0.33
Calmar ratio (compounded annual return / max draw down)0.85
Compounded annual return / average of 25% largest draw downs0.85
Compounded annual return / Expected Shortfall lognormal6.84

Trading record

SymbolSideQtyOpenedClosedP/L
ES Z7long2Nov 6, 2017Nov 6, 2017$284
ES Z7long2Nov 3, 2017Nov 3, 2017$9
ES Z7short2Nov 3, 2017Nov 3, 2017($716)
ES Z7long2Oct 27, 2017Oct 27, 2017$184
ES Z7long2Oct 26, 2017Oct 26, 2017$259
ES Z7short2Oct 25, 2017Oct 25, 2017($741)
ES Z7long2Oct 25, 2017Oct 25, 2017($891)
ES Z7long2Oct 20, 2017Oct 20, 2017$659
ES Z7long2Oct 19, 2017Oct 19, 2017$1,284
ES Z7long2Oct 18, 2017Oct 18, 2017$9
ES Z7long2Oct 17, 2017Oct 17, 2017$209
ES Z7long2Oct 16, 2017Oct 16, 2017$59
ES Z7long2Oct 13, 2017Oct 13, 2017$9
ES Z7long2Oct 12, 2017Oct 12, 2017($91)
ES Z7long2Oct 11, 2017Oct 11, 2017$334
ES Z7long2Oct 10, 2017Oct 10, 2017$259
ES Z7long2Oct 6, 2017Oct 6, 2017$9
ES Z7long2Oct 4, 2017Oct 4, 2017$59
ES Z7long2Oct 3, 2017Oct 3, 2017$559
ES Z7long2Sep 29, 2017Sep 29, 2017$359
ES Z7long2Sep 28, 2017Sep 28, 2017$334
ES Z7long2Sep 27, 2017Sep 27, 2017$409
ES Z7long2Sep 26, 2017Sep 26, 2017($341)
ES Z7long2Sep 25, 2017Sep 25, 2017($116)
ES Z7long2Sep 22, 2017Sep 22, 2017$334
ES Z7long2Sep 21, 2017Sep 21, 2017$384
ES Z7long2Sep 19, 2017Sep 19, 2017$259
ES Z7long2Sep 18, 2017Sep 18, 2017($166)
ES Z7long2Sep 15, 2017Sep 15, 2017$384
ES Z7long2Sep 14, 2017Sep 14, 2017$9

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.