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ARK 2

Futures · Started Jan 2022

hypothetical · Annual Return (Compounded)
76.7%
Max Drawdown
75.6%
Trades
245
Win Trades
88.2%
Profit Factor
5.10
Win Months
17.6%

About this strategy

Hello,

1) Trading experience since 2006. Experience in managing a fund of 20 million USD. The plan and goal for the future is to open a hedge fund.
2) My public verified trading results | 2011 + 12.11% | 2012 + 105.51% | 2013 + 272.49% | 2014 + 182.49% | 2015 + 121.17% | 2016 + 65.57% | 2017 + 18.24% | 2018 + 88.6% | 2019 +16.5%.
3) Manual trading is based on the use of advanced mathematical algorithms that generate accurate entry and exit signals, as well as on the analysis of intraday currency futures of the Chicago Mercantile Exchange (CME Group).
4) Trading is carried out both on a trend and on a reversal, on FX futures CME - British Pound Futures, Euro FX Futures, Australian Dollar Futures, Japanese Yen Futures, Swiss Franc Futures, Canadian Dollar Futures.
5) Each trade is protected by stop loss.
6) Not a martingale.
7) Sims + Subscribers = 217*
8) AUM Subscribers C2 on my systems = 7,101,000 USD*

It is important to know when connecting my system “ARK 2” (FX futures CME) to autotrade:

1) Attention! If your trading account is more than 100,000 USD, then it will be more profitable for you to subscribe to my ARK 2 system, where trading in currency futures on the CME exchange and less commission. I considered that with my turnover per year, the savings on commission is 3-4% per annum than when trading on the forex market.
2) There are no restrictions on the connection of autotrader. Any broker from the list - Interactive Brokers, Tradovate, StoneX, Trade Pro, GarWood, AMP Clearing, AGM Markets, Ninja Trader, CTS Platform (any broker), CQG Platform (any broker), Rithmic Platform (any broker), ETNA Trader (any broker).
3) Attention! I recommend that subscribers in the settings set the maximum risk parameters per month no more than 10-15-20%. Be sure to do this.
4) Attention! To be honest with you, this is not my first profile here. I had great periods here, when the number of paid subscribers was about 100 and the amount under management was about 7 million USD (this is the period from February 2018 to July 2019). For 2018, a profit of 88% was shown, but then 95% of customers left due to a profit of 16% per year!!! From experience I can say that low drawdowns and moderate profit (10-25% per year) are of little interest here, and when you start showing such a result 80-90 percent of clients leave. Strategies with large profits, which lead to large drawdowns in the future, are very popular. This is a pattern and a vicious circle. The more profit the more drawdown awaits you in the future. Therefore, I began to use my system with aggressive risks, which led to a series of failures. Therefore, when subscribing to the system, be sure to set the risk limit acceptable for you in your profile.

Useful recommendations when copying my system “ARK 2” (FX futures CME):

1) Do not idealize the results of my trading. Stable every month for a long period of time, at least over a period of several years, you are unlikely to receive a plus every month, this is not a bank deposit. There will be periods of subsidence, since everything in this world is cyclical and the results in trading are no exception, after growth always follows a decline or for some time there is a stagnation in growth and this should be perceived normally.
2) Diversify your savings - do not put all your eggs in one basket.
3) Constantly and continuously monitor the results, it is desirable to do this several times a week, so you will be calmer.
4) Understand that profitability is not linear, it is not a bank deposit, that income received in the past cannot serve as a guarantee of receiving such income in the future.
5) Do not worry and don’t share your feelings with me about where the market will go or what you think is wrong at the moment (I don’t have a psychological session service), because there is a stop loss for every deal , there is a risk limit. Excessive anxiety only ruins the result.
6) There are periods, several trading sessions, several trading weeks when there is no trading activity, this is normal. Permanent presence in the market and constant trading in no way affects the better profit, does not make it anymore, sometimes just a few trading sessions make the result for a whole month. You need to be able to wait, work out only clear signals and then the result will be much better.
7) There is a possibility that you may lose some or all of your investments and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with foreign exchange trading and seek advice from an independent financial advisor if you have any doubts.

September 12, 2022*
Michael

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2022-6.923.717.44.3-0.38.79.2-9.65.4-26.2-36.51347.5979.2
2023-0.08.919.40.00.00.00.00.00.00.00.00.030.1
20240.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.0

Statistics

Overview

Strategy began1/21/2022
Suggested Minimum Capital$75,000
Age56 months
What it tradesFutures
# Trades245
# Profitable216
% Profitable88.2%
Avg trade duration7.1 days
Max peak-to-valley drawdown75.6%
drawdown periodSept 21, 2022 - Dec 14, 2022
Annual Return (Compounded)76.7%
Avg win$5,768
Avg loss$8,441

Ratios

W:L ratio5.09
Sharpe Ratio0.44
Sortino Ratio6
Calmar Ratio8.83

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life73.6%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)1228.2%

Return Statistics

Ann Return (w trading costs)76.7%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.8%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)77.6%

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%
Short Options - Percent Covered100.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss83.0%
Chance of 20% account loss72.5%
Chance of 30% account loss60.0%
Chance of 40% account loss34.0%
Chance of 50% account loss25.5%
Chance of 60% account loss (Monte Carlo)12.0%
Chance of 70% account loss (Monte Carlo)3.5%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)444
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$8,441
Avg Win$5,768
# Winners216
Sum Trade PL (losers)$244,775
Sum Trade PL (winners)$1,245,930
Num Months Winners10
# Losers29
% Winners88.2%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table54

Frequency

Avg Position Time (mins)10281.93
Avg Position Time (hrs)171.37
Avg Trade Length7.10
Last Trade Ago1252

Leverage

Daily leverage (average)9.01
Daily leverage (max)39.80

Regression

Alpha0.56
Beta-0.12
Treynor Index-4.71

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0.07
MAE:Equity, average, losing trades0.14
MAE:Equity, losing trades only, 95th Percentile Value for this strat
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat
Avg(MAE) / Avg(PL) - All trades4.66
MAE:PL (avg, all trades)6.17
MAE:PL (avg, losing trades)
MAE:PL (avg, winning trades)
MAE:PL - worst single value for strategy
Avg(MAE) / Avg(PL) - Winning trades1.20
Avg(MAE) / Avg(PL) - Losing trades-1.59
Hold-and-Hope Ratio0.89

RATIO STATISTICS

Mean8.09
SD9.03
Sharpe ratio (Glass type estimate)0.90
Sharpe ratio (Hedges UMVUE)0.85
df15
t1.03
p0.34
Lowerbound of 95% confidence interval for Sharpe Ratio-0.85
Upperbound of 95% confidence interval for Sharpe Ratio2.61
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.87
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.57
Sortino ratio23.42
Upside Potential Ratio24.61
Upside part of mean8.50
Downside part of mean-0.41
Upside SD9.04
Downside SD0.35
N nonnegative terms9
N negative terms7
N of observations16
Mean of predictor0.22
Mean of criterion8.09
SD of predictor0.31
SD of criterion9.03
Covariance-0.58
r-0.21
b (slope, estimate of beta)-6.18
a (intercept, estimate of alpha)9.47
Mean Square Error83.51
DF error14
t(b)-0.81
p(b)0.61
t(a)1.17
p(a)0.35
Lowerbound of 95% confidence interval for beta-22.64
Upperbound of 95% confidence interval for beta10.28
Lowerbound of 95% confidence interval for alpha-7.89
Upperbound of 95% confidence interval for alpha26.84
Treynor index (mean / b)-1.31
Jensen alpha (a)9.47
Mean1.97
SD2.16
Sharpe ratio (Glass type estimate)0.91
Sharpe ratio (Hedges UMVUE)0.86
df15
t1.05
p0.34
Lowerbound of 95% confidence interval for Sharpe Ratio-0.83
Upperbound of 95% confidence interval for Sharpe Ratio2.62
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.86
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.59
Sortino ratio4.61
Upside Potential Ratio5.76
Upside part of mean2.46
Downside part of mean-0.49
Upside SD2.13
Downside SD0.43
N nonnegative terms9
N negative terms7
N of observations16
Mean of predictor0.18
Mean of criterion1.97
SD of predictor0.29
SD of criterion2.16
Covariance-0.15
r-0.23
b (slope, estimate of beta)-1.73
a (intercept, estimate of alpha)2.28
Mean Square Error4.74
DF error14
t(b)-0.90
p(b)0.62
t(a)1.19
p(a)0.35
Lowerbound of 95% confidence interval for beta-5.85
Upperbound of 95% confidence interval for beta2.39
Lowerbound of 95% confidence interval for alpha-1.83
Upperbound of 95% confidence interval for alpha6.39
Treynor index (mean / b)-1.14
Jensen alpha (a)2.28
VaR(95%)0.58
Expected Shortfall on VaR0.67
VaR(95%)0.07
Expected Shortfall on VaR0.16
Mean9.80
SD11.29
Sharpe ratio (Glass type estimate)0.87
Sharpe ratio (Hedges UMVUE)0.87
df359
t1.02
p0.15
Lowerbound of 95% confidence interval for Sharpe Ratio-0.81
Upperbound of 95% confidence interval for Sharpe Ratio2.54
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.81
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.54
Sortino ratio21.91
Upside Potential Ratio27.81
Upside part of mean12.44
Downside part of mean-2.64
Upside SD11.28
Downside SD0.45
N nonnegative terms150
N negative terms210
N of observations360
Mean of predictor0.30
Mean of criterion9.80
SD of predictor0.30
SD of criterion11.29
Covariance-0.02
r-0.00
b (slope, estimate of beta)-0.18
a (intercept, estimate of alpha)9.85
Mean Square Error127.88
DF error358
t(b)-0.09
p(b)0.54
t(a)1.02
p(a)0.15
Lowerbound of 95% confidence interval for beta-4.12
Upperbound of 95% confidence interval for beta3.75
Lowerbound of 95% confidence interval for alpha-9.15
Upperbound of 95% confidence interval for alpha28.86
Treynor index (mean / b)-53.65
Jensen alpha (a)9.85
Mean1.91
SD2.35
Sharpe ratio (Glass type estimate)0.81
Sharpe ratio (Hedges UMVUE)0.81
df359
t0.95
p0.17
Lowerbound of 95% confidence interval for Sharpe Ratio-0.86
Upperbound of 95% confidence interval for Sharpe Ratio2.48
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.86
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.48
Sortino ratio4.03
Upside Potential Ratio9.83
Upside part of mean4.65
Downside part of mean-2.74
Upside SD2.30
Downside SD0.47
N nonnegative terms150
N negative terms210
N of observations360
Mean of predictor0.25
Mean of criterion1.91
SD of predictor0.30
SD of criterion2.35
Covariance-0.01
r-0.01
b (slope, estimate of beta)-0.07
a (intercept, estimate of alpha)1.93
Mean Square Error5.55
DF error358
t(b)-0.16
p(b)0.56
t(a)0.96
p(a)0.17
Lowerbound of 95% confidence interval for beta-0.89
Upperbound of 95% confidence interval for beta0.76
Lowerbound of 95% confidence interval for alpha-2.03
Upperbound of 95% confidence interval for alpha5.88
Treynor index (mean / b)-28.15
Jensen alpha (a)1.93
VaR(95%)0.21
Expected Shortfall on VaR0.25
VaR(95%)0.03
Expected Shortfall on VaR0.05
Mean27.10
SD18.69
Sharpe ratio (Glass type estimate)1.45
Sharpe ratio (Hedges UMVUE)1.44
df130
t1.03
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio-1.33
Upperbound of 95% confidence interval for Sharpe Ratio4.22
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.34
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.22
Sortino ratio99.88
Upside Potential Ratio104.03
Upside part of mean28.23
Downside part of mean-1.13
Upside SD18.70
Downside SD0.27
N nonnegative terms17
N negative terms114
N of observations131
Mean of predictor1.02
Mean of criterion27.10
SD of predictor0.36
SD of criterion18.69
Covariance-0.12
r-0.02
b (slope, estimate of beta)-0.88
a (intercept, estimate of alpha)28.00
Mean Square Error352.10
DF error129
t(b)-0.20
p(b)0.51
t(a)1.04
p(a)0.44
Lowerbound of 95% confidence interval for beta-9.82
Upperbound of 95% confidence interval for beta8.05
Lowerbound of 95% confidence interval for alpha-25.28
Upperbound of 95% confidence interval for alpha81.28
Treynor index (mean / b)-30.63
Jensen alpha (a)28.00
Mean5.85
SD3.78
Sharpe ratio (Glass type estimate)1.55
Sharpe ratio (Hedges UMVUE)1.54
df130
t1.09
p0.45
Lowerbound of 95% confidence interval for Sharpe Ratio-1.23
Upperbound of 95% confidence interval for Sharpe Ratio4.32
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.24
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.32
Sortino ratio20.74
Upside Potential Ratio24.86
Upside part of mean7.02
Downside part of mean-1.16
Upside SD3.77
Downside SD0.28
N nonnegative terms17
N negative terms114
N of observations131
Mean of predictor0.95
Mean of criterion5.85
SD of predictor0.36
SD of criterion3.78
Covariance-0.03
r-0.02
b (slope, estimate of beta)-0.23
a (intercept, estimate of alpha)6.07
Mean Square Error14.41
DF error129
t(b)-0.25
p(b)0.51
t(a)1.12
p(a)0.44
Lowerbound of 95% confidence interval for beta-2.06
VAR (95 Confidence Intrvl)0.21
Upperbound of 95% confidence interval for beta1.60
Lowerbound of 95% confidence interval for alpha-4.69
Upperbound of 95% confidence interval for alpha16.84
Treynor index (mean / b)-25.35
Jensen alpha (a)6.07
VaR(95%)0.30
Expected Shortfall on VaR0.37
VaR(95%)0.01
Expected Shortfall on VaR0.03

ORDER STATISTICS

Number of observations16
Minimum0.62
Quartile 11.00
Median1.06
Quartile 31.11
Maximum11.44
Mean of quarter 10.87
Mean of quarter 21.01
Mean of quarter 31.09
Mean of quarter 43.74
Inter Quartile Range0.11
Number outliers low1
Percentage of outliers low0.06
Mean of outliers low0.62
Number of outliers high1
Percentage of outliers high0.06
Mean of outliers high11.44
Extreme Value Index (moments method)1.25
VaR(95%) (moments method)0.12
Expected Shortfall (moments method)0
Extreme Value Index (regression method)3.18
VaR(95%) (regression method)0.25
Expected Shortfall (regression method)0
Number of observations360
Minimum0.82
Quartile 11.00
Median1
Quartile 31.01
Maximum14.22
Mean of quarter 10.96
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.19
Inter Quartile Range0.01
Number outliers low46
Percentage of outliers low0.13
Mean of outliers low0.93
Number of outliers high42
Percentage of outliers high0.12
Mean of outliers high1.38
Extreme Value Index (moments method)0.70
VaR(95%) (moments method)0.03
Expected Shortfall (moments method)0.10
Extreme Value Index (regression method)0.06
VaR(95%) (regression method)0.04
Expected Shortfall (regression method)0.06
Number of observations131
Minimum0.90
Quartile 11
Median1
Quartile 31
Maximum14.22
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.43
Inter Quartile Range0
Number outliers low14
Percentage of outliers low0.11
Mean of outliers low0.96
Number of outliers high17
Percentage of outliers high0.13
Mean of outliers high1.83
Extreme Value Index (moments method)0.27
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)-0.29
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.05

DRAW DOWN STATISTICS

Number of observations3
Minimum0.02
Quartile 10.02
Median0.02
Quartile 30.23
Maximum0.45
Mean of quarter 10.02
Mean of quarter 20.02
Mean of quarter 30
Mean of quarter 40.45
Inter Quartile Range0.22
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 10.01
Median0.03
Quartile 30.05
Maximum0.67
Mean of quarter 10.01
Mean of quarter 20.02
Mean of quarter 30.04
Mean of quarter 40.24
Inter Quartile Range0.04
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high4
Percentage of outliers high0.20
Mean of outliers high0.29
Extreme Value Index (moments method)-0.09
VaR(95%) (moments method)0.18
Expected Shortfall (moments method)0.25
Extreme Value Index (regression method)0.66
VaR(95%) (regression method)0.32
Expected Shortfall (regression method)1.09
Number of observations5
Minimum0.01
Quartile 10.04
Median0.04
Quartile 30.19
Maximum0.23
Mean of quarter 10.03
Mean of quarter 20.04
Mean of quarter 30.19
Mean of quarter 40.23
Inter Quartile Range0.15
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?-375430272
Max Equity Drawdown (num days)84
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)10.00
Compounded annual return (geometric extrapolation)6.37
Calmar ratio (compounded annual return / max draw down)14.13
Compounded annual return / average of 25% largest draw downs14.13
Compounded annual return / Expected Shortfall lognormal9.55
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)9.71
Compounded annual return (geometric extrapolation)5.94
Calmar ratio (compounded annual return / max draw down)8.83
Compounded annual return / average of 25% largest draw downs24.37
Compounded annual return / Expected Shortfall lognormal23.54
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)35.85
Compounded annual return (geometric extrapolation)357.24
Calmar ratio (compounded annual return / max draw down)1565.03
Compounded annual return / average of 25% largest draw downs1565.03
Compounded annual return / Expected Shortfall lognormal975.45

Trading record

Placed 1318 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
CD M3long60Mar 27, 2023Apr 5, 2023$8,195
JY M3long105Mar 27, 2023Mar 28, 2023$62,055
CD M3long150Mar 24, 2023Mar 27, 2023$46,225
BP M3long65Mar 24, 2023Mar 26, 2023$7,480
JY M3long110Mar 23, 2023Mar 24, 2023$17,380
CD M3long40Mar 23, 2023Mar 23, 2023$6,180
JY M3long10Mar 22, 2023Mar 22, 2023$4,795
JY M3long45Mar 22, 2023Mar 22, 2023$22,298
JY M3long85Mar 22, 2023Mar 22, 2023$34,510
BP M3long85Mar 21, 2023Mar 22, 2023$9,445
BP M3long10Mar 20, 2023Mar 20, 2023$2,201
BP M3long231Mar 13, 2023Mar 20, 2023$38,521
EU M3short40Mar 17, 2023Mar 17, 2023$6,180
EU M3short40Mar 9, 2023Mar 13, 2023($44,714)
BP M3short80Mar 9, 2023Mar 13, 2023($122,390)
BP M3short10Mar 7, 2023Mar 7, 2023$3,201
BP H3short85Mar 2, 2023Mar 7, 2023$29,445
EU H3short35Mar 2, 2023Mar 7, 2023$10,189
EU H3short20Mar 2, 2023Mar 2, 2023$4,465
BP H3short20Mar 2, 2023Mar 2, 2023$1,903
BP H3short369Feb 16, 2023Mar 2, 2023$83,354
BP H3short30Feb 15, 2023Feb 15, 2023$12,510
JY Z2short8Nov 10, 2022Nov 15, 2022($18,402)
JY Z2short5Nov 10, 2022Nov 10, 2022$923
JY Z2long31Nov 9, 2022Nov 10, 2022$6,518
BP Z2short2Nov 10, 2022Nov 10, 2022$215
BP Z2short3Nov 10, 2022Nov 10, 2022$435
BP Z2short3Nov 10, 2022Nov 10, 2022$507
BP Z2short4Nov 10, 2022Nov 10, 2022$456
BP Z2short3Nov 9, 2022Nov 10, 2022$385

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.