Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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Rock 'n' Roll

By EB_Trade_Strategies

Stocks · Started Aug 2015

hypothetical · Annual Return (Compounded)
-47.6%
Max Drawdown
—
Trades
61
Win Trades
55.7%
Profit Factor
1
Win Months
2.3%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201543.84.0-36.3-24.1-38.2-55.4
201666.00.00.00.00.00.00.00.00.00.00.00.066.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
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 began8/11/2015
Suggested Minimum Capital$10,000
Age135 months
What it tradesStocks
# Trades61
# Profitable34
% Profitable55.7%
Avg trade duration2.4 days
Max peak-to-valley drawdown—
drawdown period—
Cumul. Return-24.2%
Avg win$709
Avg loss$930

Ratios

W:L ratio0.96
Sharpe Ratio-0.09
Sortino Ratio-0.15
Calmar Ratio-0.08

CORRELATION STATISTICS

Correlation to SP500-0.04
Return Percent SP500 (cumu) during strategy life267.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-16.5%

Return Statistics

Ann Return (w trading costs)-47.6%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.2%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-1.0%

Slump

Current Slump as Pcnt Equity156.5%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss97.5%
Chance of 20% account loss89.5%
Chance of 30% account loss69.0%
Chance of 40% account loss39.0%
Chance of 50% account loss19.5%
Chance of 60% account loss (Monte Carlo)2.5%
Chance of 70% account loss (Monte Carlo)1.0%
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)856
Popularity (7 days, Percentile 1000 scale)635

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$930
Avg Win$709
# Winners34
Sum Trade PL (losers)$25,112
Sum Trade PL (winners)$24,097
Num Months Winners4
# Losers27
% Winners55.7%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table133

Frequency

Avg Position Time (mins)3501.55
Avg Position Time (hrs)58.36
Avg Trade Length2.40
Last Trade Ago3885

Regression

Alpha0
Beta-0.06
Treynor Index0.12

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.06
MAE:Equity, 95th Percentile Value for this strat0.22
MAE:Equity, average, losing trades0.11
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 trades-36.96
MAE:PL (avg, all trades)-0.11
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats24.62
MAE:PL - Winning Trades - this strat Percentile of All Strats25.40
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.24
Avg(MAE) / Avg(PL) - Losing trades-1.26
Hold-and-Hope Ratio-0.03

RATIO STATISTICS

Mean0.23
SD1.53
Sharpe ratio (Glass type estimate)0.15
Sharpe ratio (Hedges UMVUE)0.12
df4
t0.10
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio-2.90
Upperbound of 95% confidence interval for Sharpe Ratio3.18
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.92
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.16
Sortino ratio0.35
Upside Potential Ratio2.89
Upside part of mean1.87
Downside part of mean-1.64
Upside SD1.20
Downside SD0.65
N nonnegative terms1
N negative terms4
N of observations5
Mean of predictor-0.16
Mean of criterion0.23
SD of predictor0.19
SD of criterion1.53
Covariance-0.22
r-0.74
b (slope, estimate of beta)-5.83
a (intercept, estimate of alpha)-0.72
Mean Square Error1.42
DF error3
t(b)-1.89
p(b)0.92
t(a)-0.38
p(a)0.63
Lowerbound of 95% confidence interval for beta-15.64
Upperbound of 95% confidence interval for beta3.99
Lowerbound of 95% confidence interval for alpha-6.80
Upperbound of 95% confidence interval for alpha5.36
Treynor index (mean / b)-0.04
Jensen alpha (a)-0.72
Mean-0.52
SD1.30
Sharpe ratio (Glass type estimate)-0.40
Sharpe ratio (Hedges UMVUE)-0.32
df4
t-0.26
p0.60
Lowerbound of 95% confidence interval for Sharpe Ratio-3.42
Upperbound of 95% confidence interval for Sharpe Ratio2.67
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.36
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.73
Sortino ratio-0.68
Upside Potential Ratio1.82
Upside part of mean1.38
Downside part of mean-1.90
Upside SD0.89
Downside SD0.76
N nonnegative terms1
N negative terms4
N of observations5
Mean of predictor-0.18
Mean of criterion-0.52
SD of predictor0.20
SD of criterion1.30
Covariance-0.20
r-0.80
b (slope, estimate of beta)-5.27
a (intercept, estimate of alpha)-1.46
Mean Square Error0.82
DF error3
t(b)-2.29
p(b)0.95
t(a)-1.00
p(a)0.80
Lowerbound of 95% confidence interval for beta-12.61
Upperbound of 95% confidence interval for beta2.06
Lowerbound of 95% confidence interval for alpha-6.10
Upperbound of 95% confidence interval for alpha3.19
Treynor index (mean / b)0.10
Jensen alpha (a)-1.46
VaR(95%)0.48
Expected Shortfall on VaR0.55
VaR(95%)0.37
Expected Shortfall on VaR0.48
Mean0.22
SD0.98
Sharpe ratio (Glass type estimate)0.22
Sharpe ratio (Hedges UMVUE)0.22
df146
t0.15
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-2.77
Upperbound of 95% confidence interval for Sharpe Ratio3.22
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.78
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.22
Sortino ratio0.35
Upside Potential Ratio8.82
Upside part of mean5.56
Downside part of mean-5.34
Upside SD0.75
Downside SD0.63
N nonnegative terms57
N negative terms90
N of observations147
Mean of predictor-0.18
Mean of criterion0.22
SD of predictor0.20
SD of criterion0.98
Covariance-0.03
r-0.18
b (slope, estimate of beta)-0.91
a (intercept, estimate of alpha)0.06
Mean Square Error0.94
DF error145
t(b)-2.22
p(b)0.61
t(a)0.04
p(a)0.50
Lowerbound of 95% confidence interval for beta-1.72
Upperbound of 95% confidence interval for beta-0.10
Lowerbound of 95% confidence interval for alpha-2.88
Upperbound of 95% confidence interval for alpha3.00
Treynor index (mean / b)-0.24
Jensen alpha (a)0.06
Mean-0.25
SD0.97
Sharpe ratio (Glass type estimate)-0.26
Sharpe ratio (Hedges UMVUE)-0.26
df146
t-0.17
p0.51
Lowerbound of 95% confidence interval for Sharpe Ratio-3.26
Upperbound of 95% confidence interval for Sharpe Ratio2.74
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.26
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.74
Sortino ratio-0.38
Upside Potential Ratio7.97
Upside part of mean5.30
Downside part of mean-5.55
Upside SD0.70
Downside SD0.67
N nonnegative terms57
N negative terms90
N of observations147
Mean of predictor-0.20
Mean of criterion-0.25
SD of predictor0.20
SD of criterion0.97
Covariance-0.03
r-0.18
b (slope, estimate of beta)-0.88
a (intercept, estimate of alpha)-0.42
Mean Square Error0.92
DF error145
t(b)-2.18
p(b)0.61
t(a)-0.29
p(a)0.52
Lowerbound of 95% confidence interval for beta-1.68
Upperbound of 95% confidence interval for beta-0.08
Lowerbound of 95% confidence interval for alpha-3.32
Upperbound of 95% confidence interval for alpha2.47
Treynor index (mean / b)0.28
Jensen alpha (a)-0.42
VaR(95%)0.08
Expected Shortfall on VaR0.10
VaR(95%)0.04
Expected Shortfall on VaR0.08
VAR (95 Confidence Intrvl)0.05

ORDER STATISTICS

Number of observations5
Minimum0.70
Quartile 10.72
Median0.92
Quartile 30.97
Maximum1.78
Mean of quarter 10.71
Mean of quarter 20.92
Mean of quarter 30.97
Mean of quarter 41.78
Inter Quartile Range0.25
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.20
Mean of outliers high1.78
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 observations147
Minimum0.84
Quartile 10.98
Median1
Quartile 31.01
Maximum1.23
Mean of quarter 10.94
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.06
Inter Quartile Range0.03
Number outliers low13
Percentage of outliers low0.09
Mean of outliers low0.90
Number of outliers high12
Percentage of outliers high0.08
Mean of outliers high1.12
Extreme Value Index (moments method)-0.14
VaR(95%) (moments method)0.05
Expected Shortfall (moments method)0.06
Extreme Value Index (regression method)-0.09
VaR(95%) (regression method)0.06
Expected Shortfall (regression method)0.09

DRAW DOWN STATISTICS

Number of observations1
Minimum0.54
Quartile 10.54
Median0.54
Quartile 30.54
Maximum0.54
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 observations4
Minimum0.02
Quartile 10.06
Median0.10
Quartile 30.27
Maximum0.70
Mean of quarter 10.02
Mean of quarter 20.07
Mean of quarter 30.12
Mean of quarter 40.70
Inter Quartile Range0.21
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.25
Mean of outliers high0.70
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)103
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.46
Compounded annual return (geometric extrapolation)-0.40
Calmar ratio (compounded annual return / max draw down)-0.73
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal-0.72
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.23
Compounded annual return (geometric extrapolation)-0.21
Calmar ratio (compounded annual return / max draw down)-0.31
Compounded annual return / average of 25% largest draw downs-0.31
Compounded annual return / Expected Shortfall lognormal-2.08

Trading record

Placed 63 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
RUSS long300Dec 28, 2015Jan 11, 2016$2,709
RUSS short450Dec 23, 2015Dec 28, 2015($1,980)
YANG long180Dec 18, 2015Dec 23, 2015($1,534)
RUSS long400Dec 17, 2015Dec 18, 2015$1,280
RUSS short370Dec 15, 2015Dec 17, 2015$840
YANG short160Dec 4, 2015Dec 7, 2015($669)
YANG long160Nov 30, 2015Dec 2, 2015($163)
YANG short160Nov 27, 2015Nov 30, 2015$95
YANG long170Nov 18, 2015Nov 23, 2015($469)
INDL long143Nov 17, 2015Nov 18, 2015($158)
YANG short85Nov 16, 2015Nov 18, 2015$32
INDL short143Nov 16, 2015Nov 17, 2015$133
YANG short170Nov 13, 2015Nov 13, 2015($139)
INDL long125Nov 9, 2015Nov 12, 2015($179)
YANG short80Nov 9, 2015Nov 12, 2015($32)
INDL long125Nov 5, 2015Nov 6, 2015($40)
YANG long220Nov 3, 2015Nov 6, 2015($813)
YANG short220Nov 2, 2015Nov 3, 2015$97
YANG long220Oct 30, 2015Nov 2, 2015($291)
YANG short220Oct 15, 2015Oct 30, 2015($1,390)
YANG long220Oct 12, 2015Oct 15, 2015($1,286)
INDL long158Oct 12, 2015Oct 14, 2015($234)
YANG short150Oct 6, 2015Oct 9, 2015$2,082
YANG long350Sep 30, 2015Oct 5, 2015($4,104)
INDL long200Oct 1, 2015Oct 2, 2015($404)
RUSS long750Sep 23, 2015Sep 30, 2015($2,405)
YANG long100Sep 21, 2015Sep 22, 2015$466
INDL short175Sep 21, 2015Sep 22, 2015$574
SPXL long450Sep 17, 2015Sep 18, 2015($2,222)
PIN short500Sep 16, 2015Sep 17, 2015$45

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.