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CAMBRIDGE FUTURES
(131319171)

Started: 09/2020
Futures
Last trade: 6 days ago
Trading style: Futures Financials / Indexes

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $200.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
94.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(28.6%)
Max Drawdown
76
Num Trades
81.6%
Win Trades
4.4 : 1
Profit Factor
82.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        +13.2%+0.6%+23.5%+1.9%+43.3%
2021(15.3%)+7.6%+21.1%(0.7%)+9.9%+11.2%+1.7%+5.5%+5.3%+9.7%(4.6%)+4.2%+65.3%
2022+1.5%                                                                  +1.5%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 125 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/4/22 11:57 LFH2 FTSE 100 INDEX SHORT 1 7450.5 1/5 15:33 7414.8 0.82%
Trade id #138813717
Max drawdown($291)
Time1/5/22 10:18
Quant open1
Worst price7472.0
Drawdown as % of equity-0.82%
$478
Includes Typical Broker Commissions trade costs of $6.00
12/14/21 12:28 LFZ1 FTSE 100 INDEX LONG 1 7215.7 12/16 1:53 7255.8 1.93%
Trade id #138578425
Max drawdown($670)
Time12/15/21 0:00
Quant open1
Worst price7165.5
Drawdown as % of equity-1.93%
$525
Includes Typical Broker Commissions trade costs of $6.00
12/1/21 15:28 LFZ1 FTSE 100 INDEX LONG 1 7067.9 12/2 2:10 7116.8 1.24%
Trade id #138419941
Max drawdown($397)
Time12/1/21 15:59
Quant open1
Worst price7038.0
Drawdown as % of equity-1.24%
$644
Includes Typical Broker Commissions trade costs of $6.00
11/30/21 3:15 LFZ1 FTSE 100 INDEX LONG 1 7026.0 12/1 7:20 7160.9 1.84%
Trade id #138388492
Max drawdown($560)
Time11/30/21 4:33
Quant open1
Worst price6984.0
Drawdown as % of equity-1.84%
$1,791
Includes Typical Broker Commissions trade costs of $6.00
11/12/21 8:19 LFZ1 FTSE 100 INDEX LONG 1 7345.4 11/26 2:10 7121.8 9.54%
Trade id #138172141
Max drawdown($3,161)
Time11/26/21 2:08
Quant open1
Worst price7108.5
Drawdown as % of equity-9.54%
($2,980)
Includes Typical Broker Commissions trade costs of $6.00
10/14/21 15:13 @M2KZ1 MICRO E-MINI RUSSELL 2000 SHORT 1 2270.02 11/5 5:43 2405.61 2.09%
Trade id #137814834
Max drawdown($774)
Time11/4/21 0:00
Quant open1
Worst price2424.90
Drawdown as % of equity-2.09%
($679)
Includes Typical Broker Commissions trade costs of $0.94
11/3/21 8:12 LFZ1 FTSE 100 INDEX LONG 1 7223.2 11/4 9:04 7263.6 0.32%
Trade id #138055512
Max drawdown($117)
Time11/3/21 11:28
Quant open1
Worst price7214.5
Drawdown as % of equity-0.32%
$541
Includes Typical Broker Commissions trade costs of $6.00
11/3/21 8:09 LFZ1 FTSE 100 INDEX LONG 1 7222.4 11/3 8:09 7221.3 0.04%
Trade id #138055476
Max drawdown($15)
Time11/3/21 8:09
Quant open1
Worst price7221.3
Drawdown as % of equity-0.04%
($21)
Includes Typical Broker Commissions trade costs of $6.00
11/2/21 5:28 LFZ1 FTSE 100 INDEX LONG 1 7232.8 11/2 11:39 7257.0 0.49%
Trade id #138038858
Max drawdown($181)
Time11/2/21 8:00
Quant open1
Worst price7219.5
Drawdown as % of equity-0.49%
$323
Includes Typical Broker Commissions trade costs of $6.00
10/28/21 4:08 LFZ1 FTSE 100 INDEX LONG 1 7199.6 10/29 14:08 7223.0 1.16%
Trade id #137986293
Max drawdown($432)
Time10/29/21 3:06
Quant open1
Worst price7168.0
Drawdown as % of equity-1.16%
$315
Includes Typical Broker Commissions trade costs of $6.00
10/21/21 7:21 LFZ1 FTSE 100 INDEX LONG 1 7164.6 10/22 8:21 7205.4 0.04%
Trade id #137898896
Max drawdown($15)
Time10/21/21 7:27
Quant open1
Worst price7163.5
Drawdown as % of equity-0.04%
$557
Includes Typical Broker Commissions trade costs of $6.00
10/20/21 9:40 LFZ1 FTSE 100 INDEX LONG 1 7185.6 10/20 11:00 7201.7 0.24%
Trade id #137885375
Max drawdown($84)
Time10/20/21 10:00
Quant open1
Worst price7179.5
Drawdown as % of equity-0.24%
$216
Includes Typical Broker Commissions trade costs of $6.00
10/20/21 4:26 LFZ1 FTSE 100 INDEX LONG 1 7181.3 10/20 7:06 7200.8 0.22%
Trade id #137882080
Max drawdown($80)
Time10/20/21 4:41
Quant open1
Worst price7175.5
Drawdown as % of equity-0.22%
$262
Includes Typical Broker Commissions trade costs of $6.00
10/6/21 2:38 LFZ1 FTSE 100 INDEX LONG 1 7001.0 10/7 2:32 7053.4 3.36%
Trade id #137683678
Max drawdown($1,154)
Time10/6/21 6:57
Quant open1
Worst price6916.0
Drawdown as % of equity-3.36%
$707
Includes Typical Broker Commissions trade costs of $6.00
10/4/21 11:21 LFZ1 FTSE 100 INDEX LONG 1 6995.6 10/5 15:32 7047.9 0.75%
Trade id #137648096
Max drawdown($259)
Time10/4/21 11:32
Quant open1
Worst price6976.5
Drawdown as % of equity-0.75%
$708
Includes Typical Broker Commissions trade costs of $6.00
10/1/21 2:50 LFZ1 FTSE 100 INDEX LONG 1 6983.4 10/1 15:25 7041.1 1%
Trade id #137611725
Max drawdown($337)
Time10/1/21 3:05
Quant open1
Worst price6958.5
Drawdown as % of equity-1.00%
$776
Includes Typical Broker Commissions trade costs of $6.00
9/27/21 13:50 @M2KZ1 MICRO E-MINI RUSSELL 2000 SHORT 1 2280.05 10/1 2:54 2173.51 0.16%
Trade id #137547821
Max drawdown($53)
Time9/27/21 14:29
Quant open1
Worst price2290.80
Drawdown as % of equity-0.16%
$532
Includes Typical Broker Commissions trade costs of $0.94
9/28/21 5:36 LFZ1 FTSE 100 INDEX LONG 1 6999.4 9/29 4:05 7054.6 0.98%
Trade id #137555818
Max drawdown($322)
Time9/28/21 13:05
Quant open1
Worst price6975.5
Drawdown as % of equity-0.98%
$739
Includes Typical Broker Commissions trade costs of $6.00
9/17/21 11:53 LFZ1 FTSE 100 INDEX LONG 1 6927.9 9/21 2:37 6924.8 5.82%
Trade id #137418766
Max drawdown($1,863)
Time9/20/21 0:00
Quant open1
Worst price6791.5
Drawdown as % of equity-5.82%
($48)
Includes Typical Broker Commissions trade costs of $6.00
9/8/21 4:45 LFU1 FTSE 100 INDEX LONG 1 7070.8 9/16 14:14 7058.3 3.36%
Trade id #137283211
Max drawdown($1,100)
Time9/9/21 0:00
Quant open1
Worst price6991.0
Drawdown as % of equity-3.36%
($179)
Includes Typical Broker Commissions trade costs of $6.00
8/31/21 4:00 @M2KU1 MICRO E-MINI RUSSELL 2000 SHORT 1 2272.74 9/15 4:56 2214.59 0.61%
Trade id #137186459
Max drawdown($197)
Time9/3/21 0:00
Quant open1
Worst price2312.30
Drawdown as % of equity-0.61%
$290
Includes Typical Broker Commissions trade costs of $0.94
8/31/21 3:58 LFU1 FTSE 100 INDEX LONG 1 7126.9 9/1 7:17 7165.3 2.21%
Trade id #137186402
Max drawdown($701)
Time8/31/21 9:56
Quant open1
Worst price7076.0
Drawdown as % of equity-2.21%
$523
Includes Typical Broker Commissions trade costs of $6.00
8/16/21 6:18 LFU1 FTSE 100 INDEX LONG 1 7091.8 8/25 10:54 7118.6 5.22%
Trade id #136974755
Max drawdown($1,668)
Time8/19/21 0:00
Quant open1
Worst price6970.5
Drawdown as % of equity-5.22%
$362
Includes Typical Broker Commissions trade costs of $6.00
8/9/21 5:54 LFU1 FTSE 100 INDEX LONG 1 7040.5 8/9 15:42 7066.9 0.66%
Trade id #136877271
Max drawdown($207)
Time8/9/21 7:04
Quant open1
Worst price7025.5
Drawdown as % of equity-0.66%
$359
Includes Typical Broker Commissions trade costs of $6.00
7/14/21 2:27 LFU1 FTSE 100 INDEX LONG 1 7040.2 8/3 14:33 7048.4 14.34%
Trade id #136480838
Max drawdown($4,242)
Time7/19/21 0:00
Quant open1
Worst price6735.5
Drawdown as % of equity-14.34%
$108
Includes Typical Broker Commissions trade costs of $6.00
7/8/21 3:59 LFU1 FTSE 100 INDEX LONG 1 7006.6 7/9 14:55 7044.8 4.38%
Trade id #136372723
Max drawdown($1,322)
Time7/8/21 10:23
Quant open1
Worst price6911.5
Drawdown as % of equity-4.38%
$524
Includes Typical Broker Commissions trade costs of $6.00
7/6/21 10:40 LFU1 FTSE 100 INDEX LONG 1 7032.6 7/7 13:35 7074.2 1.29%
Trade id #136343163
Max drawdown($394)
Time7/6/21 11:04
Quant open1
Worst price7004.0
Drawdown as % of equity-1.29%
$568
Includes Typical Broker Commissions trade costs of $6.00
6/28/21 11:30 LFU1 FTSE 100 INDEX LONG 1 7002.5 7/1 10:37 7042.3 2.9%
Trade id #136233306
Max drawdown($881)
Time6/30/21 0:00
Quant open1
Worst price6938.5
Drawdown as % of equity-2.90%
$543
Includes Typical Broker Commissions trade costs of $6.00
6/21/21 2:36 LFU1 FTSE 100 INDEX LONG 1 6910.8 6/23 9:23 7051.7 1.93%
Trade id #136134462
Max drawdown($541)
Time6/21/21 3:10
Quant open1
Worst price6872.0
Drawdown as % of equity-1.93%
$1,966
Includes Typical Broker Commissions trade costs of $6.00
6/22/21 12:52 @MNQU1 MICRO E-MINI NASDAQ 100 SHORT 1 14229.69 6/23 9:23 14264.48 0.57%
Trade id #136163159
Max drawdown($167)
Time6/23/21 1:57
Quant open1
Worst price14313.50
Drawdown as % of equity-0.57%
($71)
Includes Typical Broker Commissions trade costs of $0.94

Statistics

  • Strategy began
    9/23/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    480.08
  • Age
    16 months ago
  • What it trades
    Futures
  • # Trades
    76
  • # Profitable
    62
  • % Profitable
    81.60%
  • Avg trade duration
    3.6 days
  • Max peak-to-valley drawdown
    28.59%
  • drawdown period
    Jan 11, 2021 - Jan 29, 2021
  • Annual Return (Compounded)
    94.4%
  • Avg win
    $532.71
  • Avg loss
    $535.71
  • Model Account Values (Raw)
  • Cash
    $40,456
  • Margin Used
    $250
  • Buying Power
    $40,278
  • Ratios
  • W:L ratio
    4.40:1
  • Sharpe Ratio
    1.76
  • Sortino Ratio
    2.59
  • Calmar Ratio
    5.149
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    97.26%
  • Correlation to SP500
    0.31260
  • Return Percent SP500 (cumu) during strategy life
    44.05%
  • Return Statistics
  • Ann Return (w trading costs)
    94.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.944%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    112.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.00%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    508
  • Popularity (Last 6 weeks)
    933
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    171
  • Popularity (7 days, Percentile 1000 scale)
    888
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $536
  • Avg Win
    $533
  • Sum Trade PL (losers)
    $7,500.000
  • AUM
  • AUM (AutoTrader num accounts)
    16
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $33,028.000
  • # Winners
    62
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    798478
  • Win / Loss
  • # Losers
    14
  • % Winners
    81.6%
  • Frequency
  • Avg Position Time (mins)
    5167.53
  • Avg Position Time (hrs)
    86.13
  • Avg Trade Length
    3.6 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    3.62
  • Daily leverage (max)
    9.14
  • Regression
  • Alpha
    0.14
  • Beta
    0.77
  • Treynor Index
    0.26
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    11.86
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    2.591
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    1.238
  • Avg(MAE) / Avg(PL) - Losing trades
    -3.142
  • Hold-and-Hope Ratio
    0.389
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.83826
  • SD
    0.36433
  • Sharpe ratio (Glass type estimate)
    2.30086
  • Sharpe ratio (Hedges UMVUE)
    2.17497
  • df
    14.00000
  • t
    2.57243
  • p
    0.21673
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21353
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24568
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.10426
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.06475
  • Upside Potential Ratio
    9.43358
  • Upside part of mean
    0.98054
  • Downside part of mean
    -0.14228
  • Upside SD
    0.41429
  • Downside SD
    0.10394
  • N nonnegative terms
    11.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.29412
  • Mean of criterion
    0.83826
  • SD of predictor
    0.09187
  • SD of criterion
    0.36433
  • Covariance
    0.01337
  • r
    0.39938
  • b (slope, estimate of beta)
    1.58382
  • a (intercept, estimate of alpha)
    0.37244
  • Mean Square Error
    0.12014
  • DF error
    13.00000
  • t(b)
    1.57071
  • p(b)
    0.25267
  • t(a)
    0.86808
  • p(a)
    0.35236
  • Lowerbound of 95% confidence interval for beta
    -0.59459
  • Upperbound of 95% confidence interval for beta
    3.76222
  • Lowerbound of 95% confidence interval for alpha
    -0.55444
  • Upperbound of 95% confidence interval for alpha
    1.29931
  • Treynor index (mean / b)
    0.52927
  • Jensen alpha (a)
    0.37244
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75620
  • SD
    0.33249
  • Sharpe ratio (Glass type estimate)
    2.27437
  • Sharpe ratio (Hedges UMVUE)
    2.14994
  • df
    14.00000
  • t
    2.54282
  • p
    0.21896
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30002
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18311
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22450
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07537
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.98744
  • Upside Potential Ratio
    8.35167
  • Upside part of mean
    0.90384
  • Downside part of mean
    -0.14764
  • Upside SD
    0.37299
  • Downside SD
    0.10822
  • N nonnegative terms
    11.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.28613
  • Mean of criterion
    0.75620
  • SD of predictor
    0.09016
  • SD of criterion
    0.33249
  • Covariance
    0.01126
  • r
    0.37572
  • b (slope, estimate of beta)
    1.38552
  • a (intercept, estimate of alpha)
    0.35976
  • Mean Square Error
    0.10225
  • DF error
    13.00000
  • t(b)
    1.46176
  • p(b)
    0.26656
  • t(a)
    0.91276
  • p(a)
    0.34535
  • Lowerbound of 95% confidence interval for beta
    -0.66217
  • Upperbound of 95% confidence interval for beta
    3.43320
  • Lowerbound of 95% confidence interval for alpha
    -0.49174
  • Upperbound of 95% confidence interval for alpha
    1.21125
  • Treynor index (mean / b)
    0.54579
  • Jensen alpha (a)
    0.35976
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09050
  • Expected Shortfall on VaR
    0.12571
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01686
  • Expected Shortfall on VaR
    0.04032
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.91070
  • Quartile 1
    1.00829
  • Median
    1.07099
  • Quartile 3
    1.12770
  • Maximum
    1.33060
  • Mean of quarter 1
    0.95787
  • Mean of quarter 2
    1.04035
  • Mean of quarter 3
    1.10350
  • Mean of quarter 4
    1.19485
  • Inter Quartile Range
    0.11941
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    1.33060
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.80830
  • VaR(95%) (regression method)
    0.07857
  • Expected Shortfall (regression method)
    0.09194
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06745
  • Quartile 1
    0.07590
  • Median
    0.08436
  • Quartile 3
    0.09282
  • Maximum
    0.10128
  • Mean of quarter 1
    0.06745
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10128
  • Inter Quartile Range
    0.01691
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.33184
  • Compounded annual return (geometric extrapolation)
    1.19044
  • Calmar ratio (compounded annual return / max draw down)
    11.75460
  • Compounded annual return / average of 25% largest draw downs
    11.75460
  • Compounded annual return / Expected Shortfall lognormal
    9.47005
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.79257
  • SD
    0.33078
  • Sharpe ratio (Glass type estimate)
    2.39605
  • Sharpe ratio (Hedges UMVUE)
    2.39074
  • df
    339.00000
  • t
    2.72950
  • p
    0.00334
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.66437
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.12426
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.66084
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.12064
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.67041
  • Upside Potential Ratio
    9.20840
  • Upside part of mean
    1.98841
  • Downside part of mean
    -1.19584
  • Upside SD
    0.25468
  • Downside SD
    0.21593
  • N nonnegative terms
    173.00000
  • N negative terms
    167.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    340.00000
  • Mean of predictor
    0.26319
  • Mean of criterion
    0.79257
  • SD of predictor
    0.13925
  • SD of criterion
    0.33078
  • Covariance
    0.01433
  • r
    0.31112
  • b (slope, estimate of beta)
    0.73907
  • a (intercept, estimate of alpha)
    0.59800
  • Mean Square Error
    0.09912
  • DF error
    338.00000
  • t(b)
    6.01865
  • p(b)
    0.00000
  • t(a)
    2.14933
  • p(a)
    0.01616
  • Lowerbound of 95% confidence interval for beta
    0.49753
  • Upperbound of 95% confidence interval for beta
    0.98061
  • Lowerbound of 95% confidence interval for alpha
    0.05073
  • Upperbound of 95% confidence interval for alpha
    1.14537
  • Treynor index (mean / b)
    1.07239
  • Jensen alpha (a)
    0.59805
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73686
  • SD
    0.33089
  • Sharpe ratio (Glass type estimate)
    2.22689
  • Sharpe ratio (Hedges UMVUE)
    2.22196
  • df
    339.00000
  • t
    2.53681
  • p
    0.00582
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49664
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95397
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49333
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.95059
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.29959
  • Upside Potential Ratio
    8.76307
  • Upside part of mean
    1.95695
  • Downside part of mean
    -1.22009
  • Upside SD
    0.24773
  • Downside SD
    0.22332
  • N nonnegative terms
    173.00000
  • N negative terms
    167.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    340.00000
  • Mean of predictor
    0.25336
  • Mean of criterion
    0.73686
  • SD of predictor
    0.13935
  • SD of criterion
    0.33089
  • Covariance
    0.01466
  • r
    0.31794
  • b (slope, estimate of beta)
    0.75497
  • a (intercept, estimate of alpha)
    0.54558
  • Mean Square Error
    0.09871
  • DF error
    338.00000
  • t(b)
    6.16522
  • p(b)
    0.00000
  • t(a)
    1.96576
  • p(a)
    0.02507
  • Lowerbound of 95% confidence interval for beta
    0.51410
  • Upperbound of 95% confidence interval for beta
    0.99584
  • Lowerbound of 95% confidence interval for alpha
    -0.00035
  • Upperbound of 95% confidence interval for alpha
    1.09150
  • Treynor index (mean / b)
    0.97601
  • Jensen alpha (a)
    0.54558
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03034
  • Expected Shortfall on VaR
    0.03856
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01009
  • Expected Shortfall on VaR
    0.02239
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    340.00000
  • Minimum
    0.88754
  • Quartile 1
    0.99848
  • Median
    1.00021
  • Quartile 3
    1.01017
  • Maximum
    1.11093
  • Mean of quarter 1
    0.98207
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00518
  • Mean of quarter 4
    1.02539
  • Inter Quartile Range
    0.01169
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.07353
  • Mean of outliers low
    0.95911
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.06176
  • Mean of outliers high
    1.04745
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52265
  • VaR(95%) (moments method)
    0.00938
  • Expected Shortfall (moments method)
    0.02444
  • Extreme Value Index (regression method)
    0.39477
  • VaR(95%) (regression method)
    0.01409
  • Expected Shortfall (regression method)
    0.03143
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00437
  • Median
    0.01314
  • Quartile 3
    0.04688
  • Maximum
    0.22304
  • Mean of quarter 1
    0.00131
  • Mean of quarter 2
    0.00746
  • Mean of quarter 3
    0.02667
  • Mean of quarter 4
    0.10686
  • Inter Quartile Range
    0.04251
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.15945
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.81718
  • VaR(95%) (moments method)
    0.10951
  • Expected Shortfall (moments method)
    0.12032
  • Extreme Value Index (regression method)
    -0.14160
  • VaR(95%) (regression method)
    0.14671
  • Expected Shortfall (regression method)
    0.19309
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.30831
  • Compounded annual return (geometric extrapolation)
    1.14848
  • Calmar ratio (compounded annual return / max draw down)
    5.14914
  • Compounded annual return / average of 25% largest draw downs
    10.74770
  • Compounded annual return / Expected Shortfall lognormal
    29.78240
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43171
  • SD
    0.19392
  • Sharpe ratio (Glass type estimate)
    2.22624
  • Sharpe ratio (Hedges UMVUE)
    2.21338
  • df
    130.00000
  • t
    1.57419
  • p
    0.43162
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56286
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.00699
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57146
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.99821
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.06007
  • Upside Potential Ratio
    7.84348
  • Upside part of mean
    1.10654
  • Downside part of mean
    -0.67483
  • Upside SD
    0.13463
  • Downside SD
    0.14108
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11491
  • Mean of criterion
    0.43171
  • SD of predictor
    0.13068
  • SD of criterion
    0.19392
  • Covariance
    0.00649
  • r
    0.25606
  • b (slope, estimate of beta)
    0.37999
  • a (intercept, estimate of alpha)
    0.38804
  • Mean Square Error
    0.03541
  • DF error
    129.00000
  • t(b)
    3.00865
  • p(b)
    0.33878
  • t(a)
    1.45598
  • p(a)
    0.41927
  • Lowerbound of 95% confidence interval for beta
    0.13010
  • Upperbound of 95% confidence interval for beta
    0.62987
  • Lowerbound of 95% confidence interval for alpha
    -0.13927
  • Upperbound of 95% confidence interval for alpha
    0.91536
  • Treynor index (mean / b)
    1.13611
  • Jensen alpha (a)
    0.38804
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41249
  • SD
    0.19537
  • Sharpe ratio (Glass type estimate)
    2.11134
  • Sharpe ratio (Hedges UMVUE)
    2.09913
  • df
    130.00000
  • t
    1.49294
  • p
    0.43508
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67633
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.89100
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68439
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.88266
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.85872
  • Upside Potential Ratio
    7.60620
  • Upside part of mean
    1.09750
  • Downside part of mean
    -0.68502
  • Upside SD
    0.13307
  • Downside SD
    0.14429
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10639
  • Mean of criterion
    0.41249
  • SD of predictor
    0.13079
  • SD of criterion
    0.19537
  • Covariance
    0.00666
  • r
    0.26069
  • b (slope, estimate of beta)
    0.38941
  • a (intercept, estimate of alpha)
    0.37106
  • Mean Square Error
    0.03585
  • DF error
    129.00000
  • t(b)
    3.06692
  • p(b)
    0.33594
  • t(a)
    1.38397
  • p(a)
    0.42318
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    0.13819
  • Upperbound of 95% confidence interval for beta
    0.64062
  • Lowerbound of 95% confidence interval for alpha
    -0.15940
  • Upperbound of 95% confidence interval for alpha
    0.90152
  • Treynor index (mean / b)
    1.05926
  • Jensen alpha (a)
    0.37106
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01811
  • Expected Shortfall on VaR
    0.02304
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00575
  • Expected Shortfall on VaR
    0.01307
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93735
  • Quartile 1
    0.99998
  • Median
    1.00000
  • Quartile 3
    1.00633
  • Maximum
    1.04289
  • Mean of quarter 1
    0.98999
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00280
  • Mean of quarter 4
    1.01426
  • Inter Quartile Range
    0.00635
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.97402
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.02499
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53514
  • VaR(95%) (moments method)
    0.00418
  • Expected Shortfall (moments method)
    0.01175
  • Extreme Value Index (regression method)
    0.71855
  • VaR(95%) (regression method)
    0.00861
  • Expected Shortfall (regression method)
    0.04013
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00137
  • Median
    0.00555
  • Quartile 3
    0.03213
  • Maximum
    0.07460
  • Mean of quarter 1
    0.00075
  • Mean of quarter 2
    0.00365
  • Mean of quarter 3
    0.01479
  • Mean of quarter 4
    0.05414
  • Inter Quartile Range
    0.03076
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.02982
  • VaR(95%) (moments method)
    0.06018
  • Expected Shortfall (moments method)
    0.07705
  • Extreme Value Index (regression method)
    -0.23741
  • VaR(95%) (regression method)
    0.04315
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.04660
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -317382000
  • Max Equity Drawdown (num days)
    18
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49264
  • Compounded annual return (geometric extrapolation)
    0.55332
  • Calmar ratio (compounded annual return / max draw down)
    7.41695
  • Compounded annual return / average of 25% largest draw downs
    10.22090
  • Compounded annual return / Expected Shortfall lognormal
    24.01290

Strategy Description

Trader Name: Cambridge Futures
Location: Cambridgeshire, UK
Experience In Markets: 20 years
Job Title: Derivatives Trader
Preferred Markets: European Indices
Sharpe Ratio: 1.14


Description from the strategy designer:

I have been trading for many years now and I've learnt many things, but the most important of all of these, is don't overcomplicate it. By this I mean the fastest and most successful strategy focuses predominantly on one or two products.

I trade for a living so I am always watching and waiting for an opportunity. When the FTSE, DAX or CAC dips too low, or too high, I will take advantage. If it moves unjustifiably overnight because of the Asian trading day, I will capitalise.

I won't trade too much as that is a quick way to lose money. I will trade when I believe I'm right. This leads to a high percentage win ratio, and a high percentage of winning months. I will stop out if the climate changes and I have no problem with doing that to protect capital.

My aim is to call the direction correctly a majority of the time when a move is the effect of a cause not relevant to the local economic or political climate.

Summary Statistics

Strategy began
2020-09-23
Suggested Minimum Capital
$35,000
# Trades
76
# Profitable
62
% Profitable
81.6%
Correlation S&P500
0.313
Sharpe Ratio
1.76
Sortino Ratio
2.59
Beta
0.77
Alpha
0.14
Leverage
3.62 Average
9.14 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

The Portfolio Platform calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

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.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.

0