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M8888

Futures · Futures · Started Mar 2024

hypothetical · Annual Return (Compounded)
57.1%
Max Drawdown
74.0%
Trades
223
Win Trades
80.7%
Profit Factor
1.50
Win Months
29.0%

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.

It is important to know when connecting my system “M8888” (FX futures CME) to autotrade:

1) 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).
2) 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.
3) 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.
4) In the period from November 2021 to October 2022, I had the ARK system here, until May 2022 there was a stable growth of customers, excellent results for six months, a profit of more than 250%, the number of paid subscribers is slightly more than 100, funds are 15 million USD. Then I started trading more conservatively (less risky) and the number of subscribers dropped by 9 times in 3 months!!! I started trading again but more aggressively and this eventually resulted in an error, there was a large drawdown when selling USD/JPY due to the high leverage I took, the idea was right to sell 145-147-150 take profit 135-133 -131, but very poor execution resulted in a loss. I'm the only one to blame for this and there's no excuse for it. Now I'm back. Take a break from trading. During this time, I have optimized my system, leaving only the best algorithms there, and optimizing risk management. I believe in my system. Archive of my systems here for this 2018-2022 system: https://collective2.com/details/117695605, https://collective2.com/details/121833418, https://collective2.com/details/139046671

Useful recommendations when copying my system “M8888” (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.


Michael
August 15, 2024*

Currencies

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2024-2.411.815.6-8.3126.648.027.0-27.222.9-68.538.7
202577.220.81.60.00.00.00.00.00.00.00.00.0117.5
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began3/25/2024
Suggested Minimum Capital$12,500
Age30 months
What it tradesFutures
# Trades223
# Profitable180
% Profitable80.7%
Avg trade duration1.8 days
Max peak-to-valley drawdown74.0%
drawdown periodDec 09, 2024 - Dec 26, 2024
Annual Return (Compounded)57.1%
Avg win$586
Avg loss$1,616

Ratios

W:L ratio1.52
Sharpe Ratio0.79
Sortino Ratio1.35
Calmar Ratio2.31

CORRELATION STATISTICS

Correlation to SP500-0.02
Return Percent SP500 (cumu) during strategy life46.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)154.4%

Return Statistics

Ann Return (w trading costs)57.1%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.6%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)73.3%

Slump

Current Slump as Pcnt Equity71.0%
Current Slump, time of slump as pcnt of strategy life0.7%

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 loss73.5%
Chance of 20% account loss55.5%
Chance of 30% account loss28.0%
Chance of 40% account loss18.0%
Chance of 50% account loss7.0%
Chance of 60% account loss (Monte Carlo)4.0%
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 Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)446
Popularity (7 days, Percentile 1000 scale)308

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$1,616
Avg Win$586
# Winners180
Sum Trade PL (losers)$69,483
Sum Trade PL (winners)$105,397
Num Months Winners10
# Losers43
% Winners80.7%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table30

Frequency

Avg Position Time (mins)2573.50
Avg Position Time (hrs)42.89
Avg Trade Length1.80
Last Trade Ago532

Leverage

Daily leverage (average)11.92
Daily leverage (max)40.85

Regression

Alpha0.21
Beta-0.10
Treynor Index-2.08

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.05
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 trades5.84
MAE:PL (avg, all trades)0.78
MAE:PL (avg, losing trades)
MAE:PL - Losing Trades - this strat Percentile of All Strats64.50
MAE:PL - Winning Trades - this strat Percentile of All Strats40.25
MAE:PL (avg, winning trades)
MAE:PL - worst single value for strategy
Avg(MAE) / Avg(PL) - Winning trades1.16
Avg(MAE) / Avg(PL) - Losing trades-1.14
Hold-and-Hope Ratio0.17

RATIO STATISTICS

Mean1.34
SD1.01
Sharpe ratio (Glass type estimate)1.32
Sharpe ratio (Hedges UMVUE)1.26
df17
t1.62
p0.27
Lowerbound of 95% confidence interval for Sharpe Ratio-0.36
Upperbound of 95% confidence interval for Sharpe Ratio2.96
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.39
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.92
Sortino ratio3.29
Upside Potential Ratio4.39
Upside part of mean1.78
Downside part of mean-0.45
Upside SD0.98
Downside SD0.41
N nonnegative terms8
N negative terms10
N of observations18
Mean of predictor0.22
Mean of criterion1.34
SD of predictor0.13
SD of criterion1.01
Covariance-0.02
r-0.14
b (slope, estimate of beta)-1.06
a (intercept, estimate of alpha)1.57
Mean Square Error1.07
DF error16
t(b)-0.56
p(b)0.57
t(a)1.67
p(a)0.31
Lowerbound of 95% confidence interval for beta-5.07
Upperbound of 95% confidence interval for beta2.94
Lowerbound of 95% confidence interval for alpha-0.42
Upperbound of 95% confidence interval for alpha3.57
Treynor index (mean / b)-1.26
Jensen alpha (a)1.57
Mean0.87
SD0.92
Sharpe ratio (Glass type estimate)0.95
Sharpe ratio (Hedges UMVUE)0.91
df17
t1.16
p0.33
Lowerbound of 95% confidence interval for Sharpe Ratio-0.70
Upperbound of 95% confidence interval for Sharpe Ratio2.57
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.72
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.53
Sortino ratio1.64
Upside Potential Ratio2.69
Upside part of mean1.44
Downside part of mean-0.56
Upside SD0.76
Downside SD0.53
N nonnegative terms8
N negative terms10
N of observations18
Mean of predictor0.21
Mean of criterion0.87
SD of predictor0.13
SD of criterion0.92
Covariance-0.01
r-0.10
b (slope, estimate of beta)-0.73
a (intercept, estimate of alpha)1.03
Mean Square Error0.89
DF error16
t(b)-0.42
p(b)0.55
t(a)1.20
p(a)0.36
Lowerbound of 95% confidence interval for beta-4.43
Upperbound of 95% confidence interval for beta2.98
Lowerbound of 95% confidence interval for alpha-0.78
Upperbound of 95% confidence interval for alpha2.84
Treynor index (mean / b)-1.20
Jensen alpha (a)1.03
VaR(95%)0.31
Expected Shortfall on VaR0.38
VaR(95%)0.09
Expected Shortfall on VaR0.20
Mean1.22
SD0.85
Sharpe ratio (Glass type estimate)1.43
Sharpe ratio (Hedges UMVUE)1.43
df395
t1.76
p0.04
Lowerbound of 95% confidence interval for Sharpe Ratio-0.17
Upperbound of 95% confidence interval for Sharpe Ratio3.03
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.17
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.02
Sortino ratio2.51
Upside Potential Ratio7.21
Upside part of mean3.50
Downside part of mean-2.28
Upside SD0.70
Downside SD0.49
N nonnegative terms138
N negative terms258
N of observations396
Mean of predictor0.24
Mean of criterion1.22
SD of predictor0.18
SD of criterion0.85
Covariance-0.00
r-0.01
b (slope, estimate of beta)-0.07
a (intercept, estimate of alpha)1.24
Mean Square Error0.73
DF error394
t(b)-0.30
p(b)0.62
t(a)1.77
p(a)0.04
Lowerbound of 95% confidence interval for beta-0.54
Upperbound of 95% confidence interval for beta0.40
Lowerbound of 95% confidence interval for alpha-0.13
Upperbound of 95% confidence interval for alpha2.61
Treynor index (mean / b)-17.32
Jensen alpha (a)1.24
Mean0.87
SD0.84
Sharpe ratio (Glass type estimate)1.04
Sharpe ratio (Hedges UMVUE)1.04
df395
t1.28
p0.10
Lowerbound of 95% confidence interval for Sharpe Ratio-0.56
Upperbound of 95% confidence interval for Sharpe Ratio2.63
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.56
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.63
Sortino ratio1.54
Upside Potential Ratio5.84
Upside part of mean3.29
Downside part of mean-2.43
Upside SD0.62
Downside SD0.56
N nonnegative terms138
N negative terms258
N of observations396
Mean of predictor0.23
Mean of criterion0.87
SD of predictor0.18
SD of criterion0.84
Covariance-0.00
r-0.01
b (slope, estimate of beta)-0.05
a (intercept, estimate of alpha)0.88
Mean Square Error0.70
DF error394
t(b)-0.20
p(b)0.58
t(a)1.29
p(a)0.10
Lowerbound of 95% confidence interval for beta-0.51
Upperbound of 95% confidence interval for beta0.42
Lowerbound of 95% confidence interval for alpha-0.46
Upperbound of 95% confidence interval for alpha2.22
Treynor index (mean / b)-18.12
Jensen alpha (a)0.88
VaR(95%)0.08
Expected Shortfall on VaR0.10
VaR(95%)0.02
Expected Shortfall on VaR0.05
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 predictor0.64
Mean of criterion-0.03
SD of predictor0.23
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 predictor0.62
Mean of criterion-0.03
SD of predictor0.22
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)-6764793071403008
p(a)1
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.08
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)-6.60221663458039e+31
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 observations18
Minimum0.54
Quartile 11
Median1
Quartile 31.20
Maximum1.74
Mean of quarter 10.87
Mean of quarter 21
Mean of quarter 31.05
Mean of quarter 41.50
Inter Quartile Range0.20
Number outliers low1
Percentage of outliers low0.06
Mean of outliers low0.54
Number of outliers high3
Percentage of outliers high0.17
Mean of outliers high1.65
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)2.76
VaR(95%) (regression method)0.22
Expected Shortfall (regression method)0
Number of observations396
Minimum0.60
Quartile 11.00
Median1
Quartile 31.01
Maximum1.56
Mean of quarter 10.97
Mean of quarter 21
Mean of quarter 31.00
Mean of quarter 41.05
Inter Quartile Range0.01
Number outliers low62
Percentage of outliers low0.16
Mean of outliers low0.95
Number of outliers high68
Percentage of outliers high0.17
Mean of outliers high1.07
Extreme Value Index (moments method)0.15
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)0.17
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.05
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
Minimum0.56
Quartile 10.56
Median0.56
Quartile 30.56
Maximum0.56
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 observations23
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.11
Maximum0.63
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.06
Mean of quarter 40.28
Inter Quartile Range0.11
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high3
Percentage of outliers high0.13
Mean of outliers high0.44
Extreme Value Index (moments method)0.35
VaR(95%) (moments method)0.30
Expected Shortfall (moments method)0.55
Extreme Value Index (regression method)1.26
VaR(95%) (regression method)0.33
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?-536414720
Max Equity Drawdown (num days)17
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.91
Compounded annual return (geometric extrapolation)1.47
Calmar ratio (compounded annual return / max draw down)2.62
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal3.90
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)1.90
Compounded annual return (geometric extrapolation)1.45
Calmar ratio (compounded annual return / max draw down)2.31
Compounded annual return / average of 25% largest draw downs5.11
Compounded annual return / Expected Shortfall lognormal14.80
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 991 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
JY H5long16Dec 10, 2024Mar 17, 2025($17,928)
JY Z4long11Dec 9, 2024Dec 12, 2024($6,988)
BP Z4long3Dec 9, 2024Dec 9, 2024$70
BP Z4short8Dec 6, 2024Dec 6, 2024$659
BP Z4short2Dec 5, 2024Dec 5, 2024$22
BP Z4short4Dec 5, 2024Dec 5, 2024$424
BP Z4long1Dec 5, 2024Dec 5, 2024$211
BP Z4long6Dec 4, 2024Dec 5, 2024$377
BP Z4long2Dec 4, 2024Dec 4, 2024$84
BP Z4long15Dec 4, 2024Dec 4, 2024$1,567
SF Z4long2Dec 4, 2024Dec 4, 2024$601
BP Z4long39Dec 2, 2024Dec 4, 2024$2,791
SF Z4long2Dec 3, 2024Dec 4, 2024$50
GBP/USD long10Dec 3, 2024Dec 3, 2024($1)
GBP/USD long10Dec 3, 2024Dec 3, 2024($1)
SF Z4long2Dec 3, 2024Dec 3, 2024$468
BP Z4long5Dec 2, 2024Dec 2, 2024$394
GBP/USD long10Dec 1, 2024Dec 1, 2024($1)
GBP/USD long10Dec 1, 2024Dec 1, 2024($1)
JY Z4short6Nov 29, 2024Dec 1, 2024$590
JY Z4short1Nov 29, 2024Nov 29, 2024$42
JY Z4short3Nov 29, 2024Nov 29, 2024$513
JY Z4short2Nov 29, 2024Nov 29, 2024$147
BP Z4short1Nov 29, 2024Nov 29, 2024$80
JY Z4short12Nov 28, 2024Nov 29, 2024$1,091
BP Z4short7Nov 28, 2024Nov 29, 2024$826
BP Z4long2Nov 28, 2024Nov 28, 2024$290
GBP/USD long10Nov 28, 2024Nov 28, 2024($1)
GBP/USD long10Nov 28, 2024Nov 28, 2024($1)
GBP/USD long10Nov 28, 2024Nov 28, 2024($1)

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.