Collective2 Collective2
For your consideration ares Followed by live capital $9.96 million Hypothetical

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Gold Survivor Energy Portfolio

By MicheleGiardina

Futures · Started Sep 2006

hypothetical · Annual Return (Compounded)
3.8%
Max Drawdown
15.2%
Trades
1969
Win Trades
44.4%
Profit Factor
1.20
Win Months
14.1%

About this strategy

----------------------------------
HISTORICAL RESULTS
----------------------------------
Download historical results here:
http://www.coincollector.it/Survivor-Energy-Portfolio_484186.html
http://www.en.coincollector.ea23.com/Survivor-Energy-Portfolio_1754346.html

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ADDITIONAL INFORMATION
------------------------------------------
Subscribe our Blog "Trading Weeks" here:
http://tradingweeks.blogspot.com

See other our C2 trading systems here:
http://coincollector-blog-uk.blogspot.com

-----------
FEEDS
-----------
To read our Blog Trading Week subscribe the following feed:
http://feeds.feedburner.com/TradingWeek

To see other our C2 trading systems subscribe the following feed:
http://feeds.feedburner.com/TradingSystemsCollection

--------------------------------
SYSTEM FEATURES
--------------------------------
Survivor Energy Portfolio works on the Crude Oil (CL), Natural Gas (NG), Gasoline (RB) and Heating Oil (HO) markets. It closes all positions at the end of day. The system work with fixed non-optimized parameters and only with Stop orders. In order to ensure proper execution of order, only a limited number of subscriptions is allowed.

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GOLD SURVIVOR FEATURES
---------------------------------------------
Survivor is a very good system, both intraday and overnight, which can work on a highly diversified futures and stocks portfolio. The Survivor core elements are the volatility breakout, the file pattern that validates it and the little number of parameters (3) which regulate its working.
The highly selective and combined two variables action makes Survivor one of the more robust and versatile systems in its category.
In fact Survivor can operate with profit on many markets and on many time frames. It can also operate both intraday and overnight. It works on fixed non-optimizied parameters on all the markets, these parameters are never changed and this is an essential condition to guarantee constant and robust results.

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OUR OTHER SYSTEMS ON C2
----------------------------------------------
See other our C2 trading systems here:
http://coincollector-blog-uk.blogspot.com

Gold Survivor DayTrader: www.collective2.com/go/survivordaytrader
Gold Survivor Intraday Portfolio: www.collective2.com/go/survivorintradayportfolio
Gold Survivor Eurex Brk: www.collective2.com/go/eurexbrk
Gold Survivor Eurex Mini Portfolio: www.collective2.com/go/survivoreurexminiportfolio
Gold Survivor Intraday Dax: www.collective2.com/go/survivordaxintraday
Gold Survivor Intraday Euro Fx: www.collective2.com/go/survivorintraeurofx
Gold Survivor Intraday Mini S&P: www.collective2.com/go/survivores
Sniper Commodity: www.collective2.com/go/snipercommodity
Super Commodity: www.collective2.com/go/supercommodity
Super Mixer: www.collective2.com/go/supermixer
Super Mixer Light: www.collective2.com/go/supermixerlight
Super Forex: www.collective2.com/go/superforex
Super Forex Light: www.collective2.com/go/superforexlight
Super Stocks: www.collective2.com/go/superstocks

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20060.410.2-4.74.810.4
2007-3.04.72.71.76.611.81.58.55.96.05.25.173.0
20080.83.60.94.5-1.06.3-2.30.14.00.11.9-1.418.6
2009-4.30.1-3.4-0.6-1.6-2.64.6-1.80.83.14.5-0.8-2.4
20100.4-0.1-0.1-4.5-3.71.93.0-0.6-0.9-1.90.72.4-3.7
2011-0.70.00.2-0.20.00.00.00.00.00.00.00.0-0.6
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.0-0.00.00.00.0-0.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
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
20190.00.00.00.00.00.00.00.00.00.00.00.0
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
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began9/16/2006
Suggested Minimum Capital$100,000
Age244 months
What it tradesFutures
# Trades1969
# Profitable874
% Profitable44.4%
Avg trade duration2.2 hours
Max peak-to-valley drawdown15.2%
drawdown periodNov 13, 2008 - June 29, 2009
Annual Return (Compounded)3.8%
Avg win$910
Avg loss$591

Ratios

W:L ratio1.23
Sharpe Ratio0.30
Sortino Ratio0.55
Calmar Ratio0.36

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life488.0%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-373.6%

Return Statistics

Ann Return (w trading costs)3.8%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)4.6%

Slump

Current Slump as Pcnt Equity9.9%
Current Slump, time of slump as pcnt of strategy life0.9%

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 loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
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%
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$591
Avg Win$910
# Winners874
Sum Trade PL (losers)$647,636
Sum Trade PL (winners)$795,311
Num Months Winners35
# Losers1095
% Winners44.4%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table242

Frequency

Avg Position Time (mins)130.33
Avg Position Time (hrs)2.17
Avg Trade Length0.10
Last Trade Ago5658

Regression

Alpha0.01
Beta0
Treynor Index-1.51

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades13.48
MAE:PL (avg, all trades)0.11
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats18.12
MAE:PL - Winning Trades - this strat Percentile of All Strats52.13
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.35
Avg(MAE) / Avg(PL) - Losing trades-1.13
Hold-and-Hope Ratio0.07

RATIO STATISTICS

Mean0.12
SD0.11
Sharpe ratio (Glass type estimate)1.12
Sharpe ratio (Hedges UMVUE)1.11
df86
t3.03
p0.00
Lowerbound of 95% confidence interval for Sharpe Ratio0.37
Upperbound of 95% confidence interval for Sharpe Ratio1.87
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.37
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.86
Sortino ratio3.09
Upside Potential Ratio4.38
Upside part of mean0.17
Downside part of mean-0.05
Upside SD0.11
Downside SD0.04
N nonnegative terms68
N negative terms19
N of observations87
Mean of predictor0.19
Mean of criterion0.12
SD of predictor0.26
SD of criterion0.11
Covariance-0.00
r-0.15
b (slope, estimate of beta)-0.06
a (intercept, estimate of alpha)0.13
Mean Square Error0.01
DF error85
t(b)-1.41
p(b)0.92
t(a)3.27
p(a)0.00
Lowerbound of 95% confidence interval for beta-0.15
Upperbound of 95% confidence interval for beta0.03
Lowerbound of 95% confidence interval for alpha0.05
Upperbound of 95% confidence interval for alpha0.22
Treynor index (mean / b)-1.94
Jensen alpha (a)0.13
Mean0.12
SD0.11
Sharpe ratio (Glass type estimate)1.10
Sharpe ratio (Hedges UMVUE)1.09
df86
t2.96
p0.00
Lowerbound of 95% confidence interval for Sharpe Ratio0.35
Upperbound of 95% confidence interval for Sharpe Ratio1.84
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.34
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.84
Sortino ratio2.88
Upside Potential Ratio4.16
Upside part of mean0.17
Downside part of mean-0.05
Upside SD0.10
Downside SD0.04
N nonnegative terms68
N negative terms19
N of observations87
Mean of predictor0.15
Mean of criterion0.12
SD of predictor0.27
SD of criterion0.11
Covariance-0.00
r-0.16
b (slope, estimate of beta)-0.06
a (intercept, estimate of alpha)0.13
Mean Square Error0.01
DF error85
t(b)-1.46
p(b)0.93
t(a)3.18
p(a)0.00
Lowerbound of 95% confidence interval for beta-0.15
Upperbound of 95% confidence interval for beta0.02
Lowerbound of 95% confidence interval for alpha0.05
Upperbound of 95% confidence interval for alpha0.20
Treynor index (mean / b)-1.88
Jensen alpha (a)0.13
VaR(95%)0.04
Expected Shortfall on VaR0.05
VaR(95%)0.01
Expected Shortfall on VaR0.01
Mean0.19
SD0.38
Sharpe ratio (Glass type estimate)0.49
Sharpe ratio (Hedges UMVUE)0.49
df1909
t1.32
p0.48
Lowerbound of 95% confidence interval for Sharpe Ratio-0.24
Upperbound of 95% confidence interval for Sharpe Ratio1.21
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.24
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.21
Sortino ratio0.78
Upside Potential Ratio3.92
Upside part of mean0.94
Downside part of mean-0.75
Upside SD0.30
Downside SD0.24
N nonnegative terms1437
N negative terms473
N of observations1910
Mean of predictor0.30
Mean of criterion0.19
SD of predictor0.57
SD of criterion0.38
Covariance-0.03
r-0.16
b (slope, estimate of beta)-0.11
a (intercept, estimate of alpha)0.22
Mean Square Error0.14
DF error1908
t(b)-6.98
p(b)0.58
t(a)1.56
p(a)0.48
Lowerbound of 95% confidence interval for beta-0.14
Upperbound of 95% confidence interval for beta-0.08
Lowerbound of 95% confidence interval for alpha-0.06
Upperbound of 95% confidence interval for alpha0.49
Treynor index (mean / b)-1.76
Jensen alpha (a)0.22
Mean0.12
SD0.38
Sharpe ratio (Glass type estimate)0.31
Sharpe ratio (Hedges UMVUE)0.31
df1909
t0.83
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.42
Upperbound of 95% confidence interval for Sharpe Ratio1.03
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.42
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.03
Sortino ratio0.44
Upside Potential Ratio3.38
Upside part of mean0.90
Downside part of mean-0.78
Upside SD0.27
Downside SD0.27
N nonnegative terms1437
N negative terms473
N of observations1910
Mean of predictor0.14
Mean of criterion0.12
SD of predictor0.56
SD of criterion0.38
Covariance-0.03
r-0.16
b (slope, estimate of beta)-0.11
a (intercept, estimate of alpha)0.13
Mean Square Error0.14
DF error1908
t(b)-7.17
p(b)0.58
t(a)0.96
p(a)0.49
Lowerbound of 95% confidence interval for beta-0.14
Upperbound of 95% confidence interval for beta-0.08
Lowerbound of 95% confidence interval for alpha-0.14
Upperbound of 95% confidence interval for alpha0.40
Treynor index (mean / b)-1.07
Jensen alpha (a)0.13
VaR(95%)0.04
Expected Shortfall on VaR0.05
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean0
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 ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.98
Mean of criterion0
SD of predictor0.54
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
Mean0
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 ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.82
Mean of criterion0
SD of predictor0.57
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
VAR (95 Confidence Intrvl)0.04
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
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations87
Minimum0.95
Quartile 11
Median1
Quartile 31.02
Maximum1.12
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31.00
Mean of quarter 41.05
Inter Quartile Range0.02
Number outliers low7
Percentage of outliers low0.08
Mean of outliers low0.96
Number of outliers high11
Percentage of outliers high0.13
Mean of outliers high1.08
Extreme Value Index (moments method)-21.73
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)-0.46
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.02
Number of observations1910
Minimum0.66
Quartile 11
Median1
Quartile 31.00
Maximum1.50
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.00
Number outliers low440
Percentage of outliers low0.23
Mean of outliers low0.99
Number of outliers high449
Percentage of outliers high0.24
Mean of outliers high1.02
Extreme Value Index (moments method)0.88
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.06
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
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 observations8
Minimum0.01
Quartile 10.02
Median0.02
Quartile 30.05
Maximum0.11
Mean of quarter 10.01
Mean of quarter 20.02
Mean of quarter 30.04
Mean of quarter 40.09
Inter Quartile Range0.04
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 observations26
Minimum0.00
Quartile 10.01
Median0.05
Quartile 30.12
Maximum0.34
Mean of quarter 10.01
Mean of quarter 20.03
Mean of quarter 30.09
Mean of quarter 40.19
Inter Quartile Range0.11
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.04
Mean of outliers high0.34
Extreme Value Index (moments method)0.14
VaR(95%) (moments method)0.22
Expected Shortfall (moments method)0.30
Extreme Value Index (regression method)0.55
VaR(95%) (regression method)0.23
Expected Shortfall (regression method)0.46
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?-399291616
Max Equity Drawdown (num days)228
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.18
Compounded annual return (geometric extrapolation)0.12
Calmar ratio (compounded annual return / max draw down)1.17
Compounded annual return / average of 25% largest draw downs1.40
Compounded annual return / Expected Shortfall lognormal2.38
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.18
Compounded annual return (geometric extrapolation)0.12
Calmar ratio (compounded annual return / max draw down)0.36
Compounded annual return / average of 25% largest draw downs0.64
Compounded annual return / Expected Shortfall lognormal2.65
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 1345 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
QNG K1short1Apr 7, 2011Apr 7, 2011($8)
QCL K1short1Apr 7, 2011Apr 7, 2011($328)
QCL K1short1Mar 30, 2011Mar 30, 2011$492
QRB J1long1Mar 28, 2011Mar 28, 2011($222)
QHO J1long1Mar 28, 2011Mar 28, 2011($1,201)
QCL K1long1Mar 28, 2011Mar 28, 2011($688)
QCL J1long1Mar 17, 2011Mar 17, 2011$442
QRB J1long1Mar 17, 2011Mar 17, 2011$1,571
QNG J1long1Mar 17, 2011Mar 17, 2011$1,172
QCL J1long1Mar 15, 2011Mar 15, 2011($868)
QRB J1short1Mar 15, 2011Mar 15, 2011($1,100)
QCL J1short1Mar 15, 2011Mar 15, 2011($898)
QHO J1short1Mar 14, 2011Mar 14, 2011($1,041)
QRB J1long1Mar 14, 2011Mar 14, 2011($1,003)
QHO J1long1Mar 14, 2011Mar 14, 2011($1,117)
QCL J1short1Mar 9, 2011Mar 9, 2011$92
QCL J1long1Mar 8, 2011Mar 8, 2011$432
QNG J1long1Mar 7, 2011Mar 7, 2011$662
QRB J1short1Mar 7, 2011Mar 7, 2011$530
QHO J1short1Mar 7, 2011Mar 7, 2011$983
QHO J1long1Mar 4, 2011Mar 4, 2011($4)
QCL J1long1Mar 4, 2011Mar 4, 2011$2
QNG J1long1Mar 4, 2011Mar 4, 2011$22
QRB J1short1Mar 4, 2011Mar 4, 2011($890)
QNG J1long1Mar 3, 2011Mar 3, 2011($458)
QCL J1short1Mar 2, 2011Mar 2, 2011($448)
QHO J1long1Mar 1, 2011Mar 1, 2011$1,378
QCL J1long1Mar 1, 2011Mar 1, 2011$1,382
QRB J1long1Mar 1, 2011Mar 1, 2011$1,554
QNG H1long1Feb 22, 2011Feb 22, 2011($318)

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.