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TF AUTO

Futures · Started Sep 2015

hypothetical · Annual Return (Compounded)
-9.3%
Max Drawdown
90.9%
Trades
22
Win Trades
86.4%
Profit Factor
0.60
Win Months
3.0%

About this strategy

TF Auto trades the Russell 2000 index futures symbol TF.

TF Auto is designed by a proprietary research and development firm engaged primarily in proprietary institutional grade research.

The TF programme employs proprietary genetic algorithms and machine learning that exploit inflection points in their respective markets.

It first determines a current market regime, and then proceeds to respond accordingly. As such, trade sequences can be intra-day, several days, or several weeks in duration.

Generally, there is a max of 3-4 contracts held at any one time for each unit of Starting Capital of the TF system, and on-balance less. A unit of start capital is determined in increments of 25k.

A more conservative hypothetical approach would be to trade 1 contract per Signal regardless if account is larger than the Starting Capital.

A member is grandfathered in at the cost of their original subscription regardless of price increase later.

TF Auto begins with a capped subscriber base. All the systems are traded live by members so the fills are monitored and as long as it is apparent all subscribers are experiencing efficient fills and liquidity they can remain open, but if there is any degradation detected, any system may be closed to new subscribers at any time and a wait list established.

This description is offered for informational purposes only. A decision to become a member should be centered on your own circumstances and a dispassionate evaluation of TF Auto performance. It is suggested that alternative assets (futures trading/private equity/venture capital) should represent no more than 15-20% of one's investable assets.

Thank you for your interest in TF Auto.





Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201520.14.06.715.353.6
2016-75.9-4.1-4.30.00.00.00.00.00.00.00.00.0-77.9
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
20190.00.00.00.00.00.00.00.00.00.00.00.0
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 began9/3/2015
Suggested Minimum Capital$25,000
Age134 months
What it tradesFutures
# Trades22
# Profitable19
% Profitable86.4%
Avg trade duration4.2 days
Max peak-to-valley drawdown90.9%
drawdown periodJan 01, 2016 - Jan 20, 2016
Annual Return (Compounded)-9.3%
Avg win$876
Avg loss$9,977

Ratios

W:L ratio0.56
Sharpe Ratio-0.41
Sortino Ratio-0.47
Calmar Ratio-0.34

CORRELATION STATISTICS

Correlation to SP5000.01
Return Percent SP500 (cumu) during strategy life293.1%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-358.9%

Return Statistics

Ann Return (w trading costs)-9.3%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-6.6%

Slump

Current Slump as Pcnt Equity351.9%
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)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
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$9,977
Avg Win$876
# Winners19
Sum Trade PL (losers)$29,932
Sum Trade PL (winners)$16,640
Num Months Winners4
# Losers3
% Winners86.4%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table133

Frequency

Avg Position Time (mins)6000.40
Avg Position Time (hrs)100.01
Avg Trade Length4.20
Last Trade Ago3874

Regression

Alpha-0.03
Beta0.02
Treynor Index-1.46

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.20
MAE:Equity, 95th Percentile Value for this strat0.19
MAE:Equity, average, losing trades0.93
MAE:Equity, losing trades only, 95th Percentile Value for this strat
MAE:Equity, average, winning trades0.08
MAE:Equity, win trades only, 95th Percentile Value for this strat
Avg(MAE) / Avg(PL) - All trades-5.09
MAE:PL (avg, all trades)2.50
MAE:PL (avg, losing trades)
MAE:PL - Losing Trades - this strat Percentile of All Strats15.05
MAE:PL - Winning Trades - this strat Percentile of All Strats76.70
MAE:PL (avg, winning trades)
MAE:PL - worst single value for strategy
Avg(MAE) / Avg(PL) - Winning trades2.27
Avg(MAE) / Avg(PL) - Losing trades-1.12
Hold-and-Hope Ratio-0.20

RATIO STATISTICS

Mean-0.15
SD0.44
Sharpe ratio (Glass type estimate)-0.34
Sharpe ratio (Hedges UMVUE)-0.34
df30
t-0.55
p0.71
Lowerbound of 95% confidence interval for Sharpe Ratio-1.56
Upperbound of 95% confidence interval for Sharpe Ratio0.88
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.56
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.89
Sortino ratio-0.37
Upside Potential Ratio0.37
Upside part of mean0.15
Downside part of mean-0.31
Upside SD0.14
Downside SD0.41
N nonnegative terms3
N negative terms28
N of observations31
Mean of predictor0.51
Mean of criterion-0.15
SD of predictor0.31
SD of criterion0.44
Covariance0.02
r0.17
b (slope, estimate of beta)0.25
a (intercept, estimate of alpha)-0.28
Mean Square Error0.20
DF error29
t(b)0.94
p(b)0.18
t(a)-0.91
p(a)0.81
Lowerbound of 95% confidence interval for beta-0.29
Upperbound of 95% confidence interval for beta0.78
Lowerbound of 95% confidence interval for alpha-0.91
Upperbound of 95% confidence interval for alpha0.35
Treynor index (mean / b)-0.62
Jensen alpha (a)-0.28
Mean-0.33
SD0.69
Sharpe ratio (Glass type estimate)-0.47
Sharpe ratio (Hedges UMVUE)-0.46
df30
t-0.76
p0.77
Lowerbound of 95% confidence interval for Sharpe Ratio-1.69
Upperbound of 95% confidence interval for Sharpe Ratio0.76
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.68
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.77
Sortino ratio-0.48
Upside Potential Ratio0.21
Upside part of mean0.14
Downside part of mean-0.47
Upside SD0.14
Downside SD0.67
N nonnegative terms3
N negative terms28
N of observations31
Mean of predictor0.46
Mean of criterion-0.33
SD of predictor0.28
SD of criterion0.69
Covariance0.04
r0.19
b (slope, estimate of beta)0.47
a (intercept, estimate of alpha)-0.54
Mean Square Error0.48
DF error29
t(b)1.07
p(b)0.15
t(a)-1.14
p(a)0.87
Lowerbound of 95% confidence interval for beta-0.43
Upperbound of 95% confidence interval for beta1.38
Lowerbound of 95% confidence interval for alpha-1.51
Upperbound of 95% confidence interval for alpha0.43
Treynor index (mean / b)-0.69
Jensen alpha (a)-0.54
VaR(95%)0.30
Expected Shortfall on VaR0.35
VaR(95%)0.08
Expected Shortfall on VaR0.18
Mean-0.25
SD0.35
Sharpe ratio (Glass type estimate)-0.73
Sharpe ratio (Hedges UMVUE)-0.73
df688
t-1.19
p0.88
Lowerbound of 95% confidence interval for Sharpe Ratio-1.94
Upperbound of 95% confidence interval for Sharpe Ratio0.47
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.94
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.48
Sortino ratio-0.83
Upside Potential Ratio1.66
Upside part of mean0.51
Downside part of mean-0.76
Upside SD0.16
Downside SD0.30
N nonnegative terms47
N negative terms642
N of observations689
Mean of predictor0.55
Mean of criterion-0.25
SD of predictor0.32
SD of criterion0.35
Covariance0.00
r0.01
b (slope, estimate of beta)0.02
a (intercept, estimate of alpha)-0.26
Mean Square Error0.12
DF error687
t(b)0.38
p(b)0.35
t(a)-1.22
p(a)0.89
Lowerbound of 95% confidence interval for beta-0.06
Upperbound of 95% confidence interval for beta0.10
Lowerbound of 95% confidence interval for alpha-0.68
Upperbound of 95% confidence interval for alpha0.16
Treynor index (mean / b)-16.39
Jensen alpha (a)-0.26
Mean-0.32
SD0.37
Sharpe ratio (Glass type estimate)-0.86
Sharpe ratio (Hedges UMVUE)-0.86
df688
t-1.39
p0.92
Lowerbound of 95% confidence interval for Sharpe Ratio-2.07
Upperbound of 95% confidence interval for Sharpe Ratio0.35
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.07
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.35
Sortino ratio-0.95
Upside Potential Ratio1.46
Upside part of mean0.49
Downside part of mean-0.81
Upside SD0.16
Downside SD0.34
N nonnegative terms47
N negative terms642
N of observations689
Mean of predictor0.49
Mean of criterion-0.32
SD of predictor0.33
SD of criterion0.37
Covariance0.00
r0.02
b (slope, estimate of beta)0.02
a (intercept, estimate of alpha)-0.33
Mean Square Error0.14
DF error687
t(b)0.40
p(b)0.34
t(a)-1.42
p(a)0.92
Lowerbound of 95% confidence interval for beta-0.07
Upperbound of 95% confidence interval for beta0.10
Lowerbound of 95% confidence interval for alpha-0.78
Upperbound of 95% confidence interval for alpha0.12
Treynor index (mean / b)-18.37
Jensen alpha (a)-0.33
VaR(95%)0.04
Expected Shortfall on VaR0.05
VaR(95%)0.01
Expected Shortfall on VaR0.02
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 predictor1.13
Mean of criterion-0.03
SD of predictor0.49
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 predictor1.01
Mean of criterion-0.03
SD of predictor0.49
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)-6811860007387136
p(a)1
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.04
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)7.01888645827976e+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 observations31
Minimum0.34
Quartile 11
Median1
Quartile 31
Maximum1.16
Mean of quarter 10.91
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.05
Inter Quartile Range0
Number outliers low2
Percentage of outliers low0.06
Mean of outliers low0.64
Number of outliers high3
Percentage of outliers high0.10
Mean of outliers high1.14
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)2.14
VaR(95%) (regression method)0.08
Expected Shortfall (regression method)0
Number of observations689
Minimum0.76
Quartile 11
Median1
Quartile 31
Maximum1.12
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.01
Inter Quartile Range0
Number outliers low45
Percentage of outliers low0.07
Mean of outliers low0.96
Number of outliers high47
Percentage of outliers high0.07
Mean of outliers high1.03
Extreme Value Index (moments method)-0.65
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)0.27
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.03
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
Minimum0.68
Quartile 10.68
Median0.68
Quartile 30.68
Maximum0.68
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 observations14
Minimum0.00
Quartile 10.01
Median0.03
Quartile 30.05
Maximum0.74
Mean of quarter 10.01
Mean of quarter 20.02
Mean of quarter 30.03
Mean of quarter 40.27
Inter Quartile Range0.04
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.14
Mean of outliers high0.47
Extreme Value Index (moments method)0.81
VaR(95%) (moments method)0.26
Expected Shortfall (moments method)1.55
Extreme Value Index (regression method)1.94
VaR(95%) (regression method)0.60
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?-386116800
Max Equity Drawdown (num days)19
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.21
Compounded annual return (geometric extrapolation)-0.26
Calmar ratio (compounded annual return / max draw down)-0.38
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal-0.73
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.20
Compounded annual return (geometric extrapolation)-0.25
Calmar ratio (compounded annual return / max draw down)-0.34
Compounded annual return / average of 25% largest draw downs-0.95
Compounded annual return / Expected Shortfall lognormal-5.33
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 14 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
TFS H6long1Jan 25, 2016Jan 26, 2016$1,252
TFS H6long3Jan 4, 2016Jan 21, 2016($27,374)
TFS M6short1Jan 20, 2016Jan 20, 2016($2,028)
TFS M6short1Jan 8, 2016Jan 11, 2016($570)
TFS H6short1Dec 29, 2015Dec 30, 2015$492
TFS H6short1Dec 29, 2015Dec 29, 2015$472
TFS H6long1Dec 18, 2015Dec 22, 2015$542
TFS H6long1Dec 11, 2015Dec 16, 2015$1,022
TFS H6long1Dec 9, 2015Dec 10, 2015$622
TFS Z5long1Dec 3, 2015Dec 4, 2015$652
TFS Z5short2Nov 25, 2015Dec 2, 2015$964
TFS Z5long3Nov 12, 2015Nov 18, 2015$956
TFS Z5long1Nov 9, 2015Nov 10, 2015$712
TFS Z5short3Nov 2, 2015Nov 9, 2015$1,606
TFS Z5short1Oct 28, 2015Oct 29, 2015$732
TFS Z5long1Oct 27, 2015Oct 27, 2015$662
TFS Z5short6Oct 2, 2015Oct 27, 2015$232
TFS Z5long2Sep 28, 2015Sep 30, 2015$2,064
TFS Z5long3Sep 22, 2015Sep 25, 2015$396
TFS Z5short2Sep 15, 2015Sep 22, 2015$1,444
TFS U5short1Sep 8, 2015Sep 9, 2015$782
TFS U5short1Sep 3, 2015Sep 3, 2015$772

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.