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

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Maximus Decimus

By BearEarns

Futures · Started Mar 2015

hypothetical · Annual Return (Compounded)
0.0%
Max Drawdown
100.0%
Trades
584
Win Trades
45.9%
Profit Factor
1
Win Months
3.6%

About this strategy

Trades mostly e-mini S&P Futures, occasionally gold, oil and treasuries. In certain situations will trade mini Dow futures, e-mini Nasdaq 100 Futures, and Russell 2000 e-mini Futures. Trades on bigger timeframes with trades seeking longer hold periods.

Depending on reward/risk the system gives, position sizing is determined. Positions are held overnight and are meant to ride for trends.

Recommended Amount to Trade : At least 25k. The system tries to keep contracts limited to 25k, but at times may slightly exceed or for drawdown purposes need excess funds. Stops are kept tight and instituted typically at end of day, time of execution of position, or slightly after execution of trade.

Max contracts held at any one point in time are as follows
5 ES (S&P E-mini) Contracts (7 including intraday)
3 NQ (Nasdaq E-mini) Contracts
3 YM (Mini Dow) Contracts
3 QGC (gold) Contracts
3 QCL (oil) Contracts
3 US (30 year bond) Contracts
3 TY (10 year bond) Contracts
2 DX (US Dollar) Contracts

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201518.89.3198.425.3-2.747.6-39.3-2.0-95.8-350.1-143.3
2016-0.7-65.9-175.8-0.00.0-0.00.0-0.0-0.0-0.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.0-0.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began3/16/2015
Suggested Minimum Capital$11,555
Age140 months
What it tradesFutures
# Trades584
# Profitable268
% Profitable45.9%
Avg trade duration15.3 hours
Max peak-to-valley drawdown100.0%
drawdown periodFeb 24, 2016 - March 17, 2016
Annual Return (Compounded)0.0%
Avg win$1,634
Avg loss$1,352

Ratios

W:L ratio1.03
Sharpe Ratio-1.33
Sortino Ratio-1.41
Calmar Ratio0.13

CORRELATION STATISTICS

Correlation to SP500-0.09
Return Percent SP500 (cumu) during strategy life267.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-305.6%

Return Statistics

Ann Return (w trading costs)0.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)5.9%

Slump

Current Slump as Pcnt Equity—
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 loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)100.0%
Chance of 70% account loss (Monte Carlo)100.0%
Chance of 80% account loss (Monte Carlo)100.0%
Chance of 90% account loss (Monte Carlo)100.0%
Chance of 100% account loss (Monte Carlo)100.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)481
Popularity (Last 6 weeks)704
Popularity (7 days, Percentile 1000 scale)562

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$1,352
Avg Win$1,634
# Winners268
Sum Trade PL (losers)$427,333
Sum Trade PL (winners)$438,034
Num Months Winners5
# Losers316
% Winners45.9%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table10

Frequency

Avg Position Time (mins)920.75
Avg Position Time (hrs)15.35
Avg Trade Length0.60
Last Trade Ago3824

Regression

Alpha0
Beta-1.12
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0.36
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 trades-434.20
MAE:PL (avg, all trades)-0.45
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats31.94
MAE:PL - Winning Trades - this strat Percentile of All Strats34.05
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.37
Avg(MAE) / Avg(PL) - Losing trades-1.15
Hold-and-Hope Ratio-0.00

RATIO STATISTICS

Mean0.83
SD1.07
Sharpe ratio (Glass type estimate)0.77
Sharpe ratio (Hedges UMVUE)0.74
df22
t1.07
p0.15
Lowerbound of 95% confidence interval for Sharpe Ratio-0.67
Upperbound of 95% confidence interval for Sharpe Ratio2.20
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.69
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.18
Sortino ratio1.63
Upside Potential Ratio3.04
Upside part of mean1.54
Downside part of mean-0.71
Upside SD0.95
Downside SD0.51
N nonnegative terms7
N negative terms16
N of observations23
Mean of predictor0.04
Mean of criterion0.83
SD of predictor0.12
SD of criterion1.07
Covariance-0.03
r-0.21
b (slope, estimate of beta)-1.86
a (intercept, estimate of alpha)0.91
Mean Square Error1.15
DF error21
t(b)-0.99
p(b)0.63
t(a)1.17
p(a)0.34
Lowerbound of 95% confidence interval for beta-5.76
Upperbound of 95% confidence interval for beta2.05
Lowerbound of 95% confidence interval for alpha-0.71
Upperbound of 95% confidence interval for alpha2.53
Treynor index (mean / b)-0.44
Jensen alpha (a)0.91
Mean0.33
SD0.99
Sharpe ratio (Glass type estimate)0.33
Sharpe ratio (Hedges UMVUE)0.32
df22
t0.46
p0.32
Lowerbound of 95% confidence interval for Sharpe Ratio-1.09
Upperbound of 95% confidence interval for Sharpe Ratio1.75
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.10
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.74
Sortino ratio0.51
Upside Potential Ratio1.89
Upside part of mean1.22
Downside part of mean-0.89
Upside SD0.73
Downside SD0.65
N nonnegative terms7
N negative terms16
N of observations23
Mean of predictor0.04
Mean of criterion0.33
SD of predictor0.12
SD of criterion0.99
Covariance-0.03
r-0.22
b (slope, estimate of beta)-1.74
a (intercept, estimate of alpha)0.40
Mean Square Error0.98
DF error21
t(b)-1.02
p(b)0.64
t(a)0.55
p(a)0.42
Lowerbound of 95% confidence interval for beta-5.29
Upperbound of 95% confidence interval for beta1.82
Lowerbound of 95% confidence interval for alpha-1.10
Upperbound of 95% confidence interval for alpha1.89
Treynor index (mean / b)-0.19
Jensen alpha (a)0.40
VaR(95%)0.36
Expected Shortfall on VaR0.43
VaR(95%)0.17
Expected Shortfall on VaR0.34
Mean0.48
SD0.55
Sharpe ratio (Glass type estimate)0.86
Sharpe ratio (Hedges UMVUE)0.86
df672
t1.20
p0.11
Lowerbound of 95% confidence interval for Sharpe Ratio-0.54
Upperbound of 95% confidence interval for Sharpe Ratio2.26
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.54
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.26
Sortino ratio1.34
Upside Potential Ratio6.86
Upside part of mean2.44
Downside part of mean-1.97
Upside SD0.42
Downside SD0.36
N nonnegative terms179
N negative terms494
N of observations673
Mean of predictor0.04
Mean of criterion0.48
SD of predictor0.14
SD of criterion0.55
Covariance-0.00
r-0.06
b (slope, estimate of beta)-0.22
a (intercept, estimate of alpha)0.14
Mean Square Error0.31
DF error671
t(b)-1.45
p(b)0.93
t(a)1.23
p(a)0.11
Lowerbound of 95% confidence interval for beta-0.53
Upperbound of 95% confidence interval for beta0.08
Lowerbound of 95% confidence interval for alpha-0.29
Upperbound of 95% confidence interval for alpha1.26
Treynor index (mean / b)-2.12
Jensen alpha (a)0.49
Mean0.33
SD0.55
Sharpe ratio (Glass type estimate)0.59
Sharpe ratio (Hedges UMVUE)0.59
df672
t0.83
p0.20
Lowerbound of 95% confidence interval for Sharpe Ratio-0.81
Upperbound of 95% confidence interval for Sharpe Ratio1.99
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.81
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.99
Sortino ratio0.87
Upside Potential Ratio6.29
Upside part of mean2.36
Downside part of mean-2.04
Upside SD0.40
Downside SD0.38
N nonnegative terms179
N negative terms494
N of observations673
Mean of predictor0.03
Mean of criterion0.33
SD of predictor0.14
SD of criterion0.55
Covariance-0.00
r-0.06
b (slope, estimate of beta)-0.25
a (intercept, estimate of alpha)0.33
Mean Square Error0.30
DF error671
t(b)-1.62
p(b)0.95
t(a)0.85
p(a)0.20
Lowerbound of 95% confidence interval for beta-0.55
Upperbound of 95% confidence interval for beta0.05
Lowerbound of 95% confidence interval for alpha-0.44
Upperbound of 95% confidence interval for alpha1.10
Treynor index (mean / b)-1.31
Jensen alpha (a)0.33
VaR(95%)0.05
Expected Shortfall on VaR0.06
VaR(95%)0.02
Expected Shortfall on VaR0.04
Mean-0.01
SD0.00
Sharpe ratio (Glass type estimate)-14.43
Sharpe ratio (Hedges UMVUE)-14.37
df171
t-10.20
p0.87
Lowerbound of 95% confidence interval for Sharpe Ratio-17.58
Upperbound of 95% confidence interval for Sharpe Ratio-11.25
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-17.53
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-11.20
Sortino ratio-12.31
Upside Potential Ratio2.21
Upside part of mean0.00
Downside part of mean-0.01
Upside SD0.00
Downside SD0.00
N nonnegative terms16
N negative terms156
N of observations172
Mean of predictor0.08
Mean of criterion-0.01
SD of predictor0.09
SD of criterion0.00
Covariance0
r0.03
b (slope, estimate of beta)0.00
a (intercept, estimate of alpha)-0.01
Mean Square Error0
DF error170
t(b)0.39
p(b)0.49
t(a)-10.18
p(a)0.81
Lowerbound of 95% confidence interval for beta-0.00
Upperbound of 95% confidence interval for beta0.00
Lowerbound of 95% confidence interval for alpha-0.01
Upperbound of 95% confidence interval for alpha-0.01
Treynor index (mean / b)-43.46
Jensen alpha (a)-0.01
Mean-0.01
SD0.00
Sharpe ratio (Glass type estimate)-14.43
Sharpe ratio (Hedges UMVUE)-14.37
df171
t-10.20
p0.87
Lowerbound of 95% confidence interval for Sharpe Ratio-17.58
Upperbound of 95% confidence interval for Sharpe Ratio-11.25
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-17.53
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-11.20
Sortino ratio-12.31
Upside Potential Ratio2.21
Upside part of mean0.00
Downside part of mean-0.01
Upside SD0.00
Downside SD0.00
N nonnegative terms16
N negative terms156
N of observations172
Mean of predictor0.08
Mean of criterion-0.01
SD of predictor0.09
SD of criterion0.00
Covariance0
r0.03
b (slope, estimate of beta)0.00
a (intercept, estimate of alpha)-0.01
Mean Square Error0
DF error170
t(b)0.39
p(b)0.49
t(a)-10.18
p(a)0.81
Lowerbound of 95% confidence interval for beta-0.00
VAR (95 Confidence Intrvl)0.03
Upperbound of 95% confidence interval for beta0.00
Lowerbound of 95% confidence interval for alpha-0.01
Upperbound of 95% confidence interval for alpha-0.01
Treynor index (mean / b)-43.13
Jensen alpha (a)-0.01
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0.00
Expected Shortfall on VaR0.00

ORDER STATISTICS

Number of observations23
Minimum0.54
Quartile 11.00
Median1
Quartile 31.15
Maximum1.82
Mean of quarter 10.77
Mean of quarter 21.00
Mean of quarter 31.03
Mean of quarter 41.47
Inter Quartile Range0.15
Number outliers low3
Percentage of outliers low0.13
Mean of outliers low0.61
Number of outliers high3
Percentage of outliers high0.13
Mean of outliers high1.71
Extreme Value Index (moments method)-27.71
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-0.98
VaR(95%) (regression method)0.39
Expected Shortfall (regression method)0.44
Number of observations673
Minimum0.83
Quartile 11
Median1
Quartile 31.00
Maximum1.23
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31.00
Mean of quarter 41.03
Inter Quartile Range0.00
Number outliers low120
Percentage of outliers low0.18
Mean of outliers low0.97
Number of outliers high156
Percentage of outliers high0.23
Mean of outliers high1.03
Extreme Value Index (moments method)-5.89
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)-0.03
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.04
Number of observations172
Minimum1.00
Quartile 11
Median1
Quartile 31
Maximum1.00
Mean of quarter 11.00
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.00
Inter Quartile Range0
Number outliers low15
Percentage of outliers low0.09
Mean of outliers low1.00
Number of outliers high16
Percentage of outliers high0.09
Mean of outliers high1.00
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
Minimum0.79
Quartile 10.79
Median0.79
Quartile 30.79
Maximum0.79
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 observations16
Minimum0.00
Quartile 10.01
Median0.03
Quartile 30.14
Maximum0.81
Mean of quarter 10.01
Mean of quarter 20.02
Mean of quarter 30.09
Mean of quarter 40.35
Inter Quartile Range0.13
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.06
Mean of outliers high0.81
Extreme Value Index (moments method)0.62
VaR(95%) (moments method)0.40
Expected Shortfall (moments method)1.09
Extreme Value Index (regression method)2.59
VaR(95%) (regression method)0.55
Expected Shortfall (regression method)0
Number of observations15
Minimum0.00
Quartile 10.00
Median0.00
Quartile 30.00
Maximum0.00
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.00
Mean of quarter 40.00
Inter Quartile Range0
Number outliers low1
Percentage of outliers low0.07
Mean of outliers low0.00
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)22
Last 4 Months - Pcnt Negative1.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.48
Compounded annual return (geometric extrapolation)0.41
Calmar ratio (compounded annual return / max draw down)0.51
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0.95
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.47
Compounded annual return (geometric extrapolation)0.40
Calmar ratio (compounded annual return / max draw down)0.49
Compounded annual return / average of 25% largest draw downs1.12
Compounded annual return / Expected Shortfall lognormal6.83
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.00
Compounded annual return (geometric extrapolation)0.00
Calmar ratio (compounded annual return / max draw down)1.00
Compounded annual return / average of 25% largest draw downs1.00
Compounded annual return / Expected Shortfall lognormal0.86

Trading record

Placed 2889 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES M6short2Mar 16, 2016Mar 17, 2016($766)
ES M6short5Mar 16, 2016Mar 16, 2016($790)
ES H6short4Mar 11, 2016Mar 11, 2016($1,082)
ES M6short10Mar 11, 2016Mar 11, 2016($2,455)
ES M6short8Mar 11, 2016Mar 11, 2016($1,864)
ES H6short20Mar 11, 2016Mar 11, 2016($1,160)
ES H6short4Mar 10, 2016Mar 11, 2016($2,182)
ES H6short8Mar 10, 2016Mar 10, 2016($3,014)
ES H6short3Mar 10, 2016Mar 10, 2016$464
ES H6short1Mar 8, 2016Mar 8, 2016$430
ES H6short1Mar 8, 2016Mar 8, 2016$117
ES H6short12Mar 2, 2016Mar 3, 2016($2,184)
ES H6short10Mar 1, 2016Mar 1, 2016($1,268)
ES H6short5Mar 1, 2016Mar 1, 2016($1,478)
ES H6short8Mar 1, 2016Mar 1, 2016($1,952)
ES H6long5Mar 1, 2016Mar 1, 2016$5,135
ES H6long5Feb 29, 2016Feb 29, 2016($1,478)
ES H6short15Feb 24, 2016Feb 24, 2016($6,808)
ES H6short5Feb 18, 2016Feb 24, 2016$5,148
ES Z5long5Dec 14, 2015Dec 14, 2015($1,665)
ES Z5long3Dec 11, 2015Dec 13, 2015$351
ES Z5long7Dec 3, 2015Dec 3, 2015($4,831)
ES Z5long5Dec 3, 2015Dec 3, 2015($503)
ES Z5short9Dec 1, 2015Dec 1, 2015($147)
ES Z5short7Nov 20, 2015Nov 26, 2015($1,619)
ES Z5short7Nov 19, 2015Nov 20, 2015($3,481)
ES Z5long5Nov 19, 2015Nov 19, 2015($290)
ES Z5short3Nov 18, 2015Nov 19, 2015$876
ES Z5short12Nov 18, 2015Nov 18, 2015($1,571)
ES Z5short7Nov 18, 2015Nov 18, 2015($2,244)

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.