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These are hypothetical performance results that have certain inherent limitations. Learn more

Gold Survivor Energy Portfolio
(22651544)

Created by: MicheleGiardina MicheleGiardina
Started: 09/2006
Futures
Last trade: 2,727 days ago

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

6.8%
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.

(14.5%)
Max Drawdown
1973
Num Trades
44.3%
Win Trades
1.2 : 1
Profit Factor
24.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006                                                        +0.4%+10.3%(4.6%)+4.9%+10.9%
2007(2.9%)+4.8%+2.8%+1.8%+6.6%+11.8%+1.6%+8.5%+6.0%+6.0%+5.2%+5.2%+74.2%
2008+0.9%+3.7%+1.0%+4.5%(1%)+6.3%(2.2%)+0.1%+4.0%+0.2%+1.9%(1.3%)+19.3%
2009(4.2%)+0.2%(3.2%)(0.5%)(1.5%)(2.5%)+4.5%(1.7%)+0.8%+3.1%+4.5%(0.8%)(1.6%)
2010+0.5%(0.1%)  -  (4.3%)(3.6%)+1.9%+3.0%(0.6%)(0.8%)(1.8%)+0.8%+2.3%(2.8%)
2011(0.6%)+0.1%+0.3%(0.2%)  -    -    -    -    -    -    -    -  (0.4%)
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -                    0.0

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.

System developer has asked us to delay this information by 7 hours.

Trading Record

This strategy has placed 1,346 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/7/11 12:31 QNGK1 Natural Gas SHORT 1 4.060 4/7 14:29 4.060 0.06%
Trade id #59551396
Max drawdown($140)
Time4/7/11 12:52
Quant open-1
Worst price4.074
Drawdown as % of equity-0.06%
($8)
Includes Typical Broker Commissions trade costs of $8.00
4/7/11 12:30 QCLK1 CRUDE OIL SHORT 1 109.32 4/7 12:49 109.64 0.13%
Trade id #59551353
Max drawdown($320)
Time4/7/11 12:49
Quant open0
Worst price109.64
Drawdown as % of equity-0.13%
($328)
Includes Typical Broker Commissions trade costs of $8.00
3/30/11 12:03 QCLK1 CRUDE OIL SHORT 1 104.76 3/30 14:29 104.26 0.16%
Trade id #59255719
Max drawdown($390)
Time3/30/11 12:16
Quant open-1
Worst price105.15
Drawdown as % of equity-0.16%
$492
Includes Typical Broker Commissions trade costs of $8.00
3/28/11 10:23 QRBJ1 RBOB Gasoline LONG 1 3.0327 3/28 14:29 3.0276 0.12%
Trade id #59169229
Max drawdown($294)
Time3/28/11 14:25
Quant open1
Worst price3.0257
Drawdown as % of equity-0.12%
($222)
Includes Typical Broker Commissions trade costs of $8.00
3/28/11 10:23 QHOJ1 Heating Oil LONG 1 3.0524 3/28 14:29 3.0240 0.48%
Trade id #59169274
Max drawdown($1,201)
Time3/28/11 14:29
Quant open1
Worst price3.0238
Drawdown as % of equity-0.48%
($1,201)
Includes Typical Broker Commissions trade costs of $8.00
3/28/11 10:53 QCLK1 CRUDE OIL LONG 1 104.66 3/28 14:29 103.98 0.29%
Trade id #59170913
Max drawdown($730)
Time3/28/11 14:22
Quant open1
Worst price103.93
Drawdown as % of equity-0.29%
($688)
Includes Typical Broker Commissions trade costs of $8.00
3/17/11 13:18 QCLJ1 CRUDE OIL LONG 1 101.26 3/17 14:21 101.71 0.11%
Trade id #58883191
Max drawdown($260)
Time3/17/11 14:11
Quant open1
Worst price101.00
Drawdown as % of equity-0.11%
$442
Includes Typical Broker Commissions trade costs of $8.00
3/17/11 10:53 QRBJ1 RBOB Gasoline LONG 1 2.9211 3/17 14:17 2.9587 0.09%
Trade id #58875916
Max drawdown($214)
Time3/17/11 11:30
Quant open1
Worst price2.9160
Drawdown as % of equity-0.09%
$1,571
Includes Typical Broker Commissions trade costs of $8.00
3/17/11 10:30 QNGJ1 Natural Gas LONG 1 4.012 3/17 13:35 4.130 n/a $1,172
Includes Typical Broker Commissions trade costs of $8.00
3/15/11 12:23 QCLJ1 CRUDE OIL LONG 1 99.03 3/15 13:59 98.17 0.35%
Trade id #58774430
Max drawdown($860)
Time3/15/11 13:59
Quant open0
Worst price98.17
Drawdown as % of equity-0.35%
($868)
Includes Typical Broker Commissions trade costs of $8.00
3/15/11 9:41 QRBJ1 RBOB Gasoline SHORT 1 2.8042 3/15 11:48 2.8302 0.44%
Trade id #58762401
Max drawdown($1,092)
Time3/15/11 11:48
Quant open0
Worst price2.8302
Drawdown as % of equity-0.44%
($1,100)
Includes Typical Broker Commissions trade costs of $8.00
3/15/11 9:41 QCLJ1 CRUDE OIL SHORT 1 97.47 3/15 11:28 98.36 0.36%
Trade id #58762374
Max drawdown($890)
Time3/15/11 11:28
Quant open0
Worst price98.36
Drawdown as % of equity-0.36%
($898)
Includes Typical Broker Commissions trade costs of $8.00
3/14/11 10:48 QHOJ1 Heating Oil SHORT 1 3.0391 3/14 14:06 3.0637 0.45%
Trade id #58700231
Max drawdown($1,142)
Time3/14/11 14:06
Quant open-1
Worst price3.0663
Drawdown as % of equity-0.45%
($1,041)
Includes Typical Broker Commissions trade costs of $8.00
3/14/11 10:24 QRBJ1 RBOB Gasoline LONG 1 2.9690 3/14 13:30 2.9453 0.61%
Trade id #58698617
Max drawdown($1,541)
Time3/14/11 12:28
Quant open1
Worst price2.9323
Drawdown as % of equity-0.61%
($1,003)
Includes Typical Broker Commissions trade costs of $8.00
3/14/11 10:24 QHOJ1 Heating Oil LONG 1 3.0645 3/14 10:48 3.0381 0.48%
Trade id #58698601
Max drawdown($1,201)
Time3/14/11 10:41
Quant open1
Worst price3.0359
Drawdown as % of equity-0.48%
($1,117)
Includes Typical Broker Commissions trade costs of $8.00
3/9/11 11:37 QCLJ1 CRUDE OIL SHORT 1 104.48 3/9 14:29 104.38 n/a $92
Includes Typical Broker Commissions trade costs of $8.00
3/8/11 10:13 QCLJ1 CRUDE OIL LONG 1 104.56 3/8 14:29 105.00 0.29%
Trade id #58503668
Max drawdown($730)
Time3/8/11 12:00
Quant open1
Worst price103.83
Drawdown as % of equity-0.29%
$432
Includes Typical Broker Commissions trade costs of $8.00
3/7/11 11:12 QNGJ1 Natural Gas LONG 1 3.841 3/7 14:04 3.908 0%
Trade id #58464009
Max drawdown($10)
Time3/7/11 11:14
Quant open1
Worst price3.840
Drawdown as % of equity-0.00%
$662
Includes Typical Broker Commissions trade costs of $8.00
3/7/11 11:12 QRBJ1 RBOB Gasoline SHORT 1 3.0435 3/7 14:04 3.0307 0.11%
Trade id #58464050
Max drawdown($281)
Time3/7/11 12:45
Quant open-1
Worst price3.0502
Drawdown as % of equity-0.11%
$530
Includes Typical Broker Commissions trade costs of $8.00
3/7/11 11:13 QHOJ1 Heating Oil SHORT 1 3.0992 3/7 14:03 3.0756 0.16%
Trade id #58464087
Max drawdown($394)
Time3/7/11 11:26
Quant open-1
Worst price3.1086
Drawdown as % of equity-0.16%
$983
Includes Typical Broker Commissions trade costs of $8.00
3/4/11 14:27 QHOJ1 Heating Oil LONG 1 3.0877 3/4 14:29 3.0878 n/a ($4)
Includes Typical Broker Commissions trade costs of $8.00
3/4/11 14:09 QCLJ1 CRUDE OIL LONG 1 104.43 3/4 14:29 104.44 0.12%
Trade id #58420741
Max drawdown($300)
Time3/4/11 14:28
Quant open1
Worst price104.13
Drawdown as % of equity-0.12%
$2
Includes Typical Broker Commissions trade costs of $8.00
3/4/11 10:33 QNGJ1 Natural Gas LONG 1 3.805 3/4 14:29 3.808 0.08%
Trade id #58412605
Max drawdown($210)
Time3/4/11 11:24
Quant open1
Worst price3.784
Drawdown as % of equity-0.08%
$22
Includes Typical Broker Commissions trade costs of $8.00
3/4/11 10:45 QRBJ1 RBOB Gasoline SHORT 1 3.0317 3/4 12:16 3.0527 0.35%
Trade id #58413118
Max drawdown($882)
Time3/4/11 12:16
Quant open0
Worst price3.0527
Drawdown as % of equity-0.35%
($890)
Includes Typical Broker Commissions trade costs of $8.00
3/3/11 10:57 QNGJ1 Natural Gas LONG 1 3.861 3/3 11:24 3.816 0.18%
Trade id #58375560
Max drawdown($450)
Time3/3/11 11:24
Quant open0
Worst price3.816
Drawdown as % of equity-0.18%
($458)
Includes Typical Broker Commissions trade costs of $8.00
3/2/11 10:54 QCLJ1 CRUDE OIL SHORT 1 100.13 3/2 11:05 100.57 0.18%
Trade id #58333780
Max drawdown($440)
Time3/2/11 11:05
Quant open0
Worst price100.57
Drawdown as % of equity-0.18%
($448)
Includes Typical Broker Commissions trade costs of $8.00
3/1/11 9:45 QHOJ1 Heating Oil LONG 1 2.9906 3/1 14:29 3.0236 0.26%
Trade id #58259658
Max drawdown($655)
Time3/1/11 11:03
Quant open1
Worst price2.9750
Drawdown as % of equity-0.26%
$1,378
Includes Typical Broker Commissions trade costs of $8.00
3/1/11 10:09 QCLJ1 CRUDE OIL LONG 1 98.27 3/1 14:29 99.66 0.07%
Trade id #58261588
Max drawdown($180)
Time3/1/11 10:12
Quant open1
Worst price98.09
Drawdown as % of equity-0.07%
$1,382
Includes Typical Broker Commissions trade costs of $8.00
3/1/11 10:09 QRBJ1 RBOB Gasoline LONG 1 2.9393 3/1 14:22 2.9765 0.11%
Trade id #58261848
Max drawdown($260)
Time3/1/11 10:29
Quant open1
Worst price2.9331
Drawdown as % of equity-0.11%
$1,554
Includes Typical Broker Commissions trade costs of $8.00
2/22/11 10:34 QNGH1 Natural Gas LONG 1 3.873 2/22 11:45 3.842 0.14%
Trade id #58034554
Max drawdown($350)
Time2/22/11 11:43
Quant open1
Worst price3.838
Drawdown as % of equity-0.14%
($318)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    9/16/2006
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4387.48
  • Age
    146 months ago
  • What it trades
    Futures
  • # Trades
    1973
  • # Profitable
    874
  • % Profitable
    44.30%
  • Avg trade duration
    2.2 hours
  • Max peak-to-valley drawdown
    14.53%
  • drawdown period
    Nov 13, 2008 - June 29, 2009
  • Annual Return (Compounded)
    6.8%
  • Avg win
    $909.97
  • Avg loss
    $589.30
  • Model Account Values (Raw)
  • Cash
    $247,675
  • Margin Used
    $0
  • Buying Power
    $247,675
  • Ratios
  • W:L ratio
    1.23:1
  • Sharpe Ratio
    0.432
  • Sortino Ratio
    0.69
  • Calmar Ratio
    0.386
  • Return Statistics
  • Ann Return (w trading costs)
    6.8%
  • Ann Return (Compnd, No Fees)
    7.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $591
  • Avg Win
    $910
  • # Winners
    874
  • # Losers
    1095
  • % Winners
    44.4%
  • Frequency
  • Avg Position Time (mins)
    130.33
  • Avg Position Time (hrs)
    2.17
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    2723
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10244
  • SD
    0.11234
  • Sharpe ratio (Glass type estimate)
    0.91193
  • Sharpe ratio (Hedges UMVUE)
    0.90346
  • df
    81.00000
  • t
    2.38385
  • p
    0.00974
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14645
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67200
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14089
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66604
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31076
  • Upside Potential Ratio
    3.91585
  • Upside part of mean
    0.17360
  • Downside part of mean
    -0.07116
  • Upside SD
    0.10665
  • Downside SD
    0.04433
  • N nonnegative terms
    31.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.10087
  • Mean of criterion
    0.10244
  • SD of predictor
    0.23641
  • SD of criterion
    0.11234
  • Covariance
    -0.00398
  • r
    -0.14978
  • b (slope, estimate of beta)
    -0.07117
  • a (intercept, estimate of alpha)
    0.10962
  • Mean Square Error
    0.01249
  • DF error
    80.00000
  • t(b)
    -1.35496
  • p(b)
    0.91038
  • t(a)
    2.54456
  • p(a)
    0.00643
  • Lowerbound of 95% confidence interval for beta
    -0.17570
  • Upperbound of 95% confidence interval for beta
    0.03336
  • Lowerbound of 95% confidence interval for alpha
    0.02389
  • Upperbound of 95% confidence interval for alpha
    0.19536
  • Treynor index (mean / b)
    -1.43939
  • Jensen alpha (a)
    0.10962
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09584
  • SD
    0.10891
  • Sharpe ratio (Glass type estimate)
    0.88000
  • Sharpe ratio (Hedges UMVUE)
    0.87183
  • df
    81.00000
  • t
    2.30037
  • p
    0.01200
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11550
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63926
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11013
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63353
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.12547
  • Upside Potential Ratio
    3.72223
  • Upside part of mean
    0.16783
  • Downside part of mean
    -0.07200
  • Upside SD
    0.10222
  • Downside SD
    0.04509
  • N nonnegative terms
    31.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.07135
  • Mean of criterion
    0.09584
  • SD of predictor
    0.24625
  • SD of criterion
    0.10891
  • Covariance
    -0.00414
  • r
    -0.15447
  • b (slope, estimate of beta)
    -0.06831
  • a (intercept, estimate of alpha)
    0.10071
  • Mean Square Error
    0.01172
  • DF error
    80.00000
  • t(b)
    -1.39839
  • p(b)
    0.91707
  • t(a)
    2.42302
  • p(a)
    0.00883
  • Lowerbound of 95% confidence interval for beta
    -0.16553
  • Upperbound of 95% confidence interval for beta
    0.02890
  • Lowerbound of 95% confidence interval for alpha
    0.01800
  • Upperbound of 95% confidence interval for alpha
    0.18343
  • Treynor index (mean / b)
    -1.40289
  • Jensen alpha (a)
    0.10071
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04278
  • Expected Shortfall on VaR
    0.05521
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01558
  • Expected Shortfall on VaR
    0.03039
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    82.00000
  • Minimum
    0.95082
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.02029
  • Maximum
    1.12259
  • Mean of quarter 1
    0.98239
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00576
  • Mean of quarter 4
    1.05455
  • Inter Quartile Range
    0.02029
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.06098
  • Mean of outliers low
    0.96045
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.12195
  • Mean of outliers high
    1.08007
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -21.72820
  • VaR(95%) (moments method)
    0.00010
  • Expected Shortfall (moments method)
    0.00010
  • Extreme Value Index (regression method)
    -0.45537
  • VaR(95%) (regression method)
    0.01693
  • Expected Shortfall (regression method)
    0.02222
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.01293
  • Quartile 1
    0.01655
  • Median
    0.02181
  • Quartile 3
    0.05368
  • Maximum
    0.10556
  • Mean of quarter 1
    0.01447
  • Mean of quarter 2
    0.01744
  • Mean of quarter 3
    0.03660
  • Mean of quarter 4
    0.08854
  • Inter Quartile Range
    0.03714
  • 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)
    0.19454
  • Compounded annual return (geometric extrapolation)
    0.13173
  • Calmar ratio (compounded annual return / max draw down)
    1.24790
  • Compounded annual return / average of 25% largest draw downs
    1.48777
  • Compounded annual return / Expected Shortfall lognormal
    2.38585
  • 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
    0.17042
  • SD
    0.39400
  • Sharpe ratio (Glass type estimate)
    0.43254
  • Sharpe ratio (Hedges UMVUE)
    0.43236
  • df
    1800.00000
  • t
    1.13406
  • p
    0.48664
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31518
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18020
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31532
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18005
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68972
  • Upside Potential Ratio
    3.99777
  • Upside part of mean
    0.98780
  • Downside part of mean
    -0.81738
  • Upside SD
    0.30693
  • Downside SD
    0.24709
  • N nonnegative terms
    494.00000
  • N negative terms
    1307.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1801.00000
  • Mean of predictor
    0.23584
  • Mean of criterion
    0.17042
  • SD of predictor
    0.56524
  • SD of criterion
    0.39400
  • Covariance
    -0.03625
  • r
    -0.16276
  • b (slope, estimate of beta)
    -0.11345
  • a (intercept, estimate of alpha)
    0.19700
  • Mean Square Error
    0.15121
  • DF error
    1799.00000
  • t(b)
    -6.99676
  • p(b)
    0.60316
  • t(a)
    1.32903
  • p(a)
    0.48007
  • Lowerbound of 95% confidence interval for beta
    -0.14525
  • Upperbound of 95% confidence interval for beta
    -0.08165
  • Lowerbound of 95% confidence interval for alpha
    -0.09380
  • Upperbound of 95% confidence interval for alpha
    0.48816
  • Treynor index (mean / b)
    -1.50214
  • Jensen alpha (a)
    0.19718
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09510
  • SD
    0.38746
  • Sharpe ratio (Glass type estimate)
    0.24545
  • Sharpe ratio (Hedges UMVUE)
    0.24535
  • df
    1800.00000
  • t
    0.64354
  • p
    0.49242
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50216
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.99303
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50225
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99295
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34621
  • Upside Potential Ratio
    3.44913
  • Upside part of mean
    0.94748
  • Downside part of mean
    -0.85237
  • Upside SD
    0.27316
  • Downside SD
    0.27470
  • N nonnegative terms
    494.00000
  • N negative terms
    1307.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1801.00000
  • Mean of predictor
    0.07950
  • Mean of criterion
    0.09510
  • SD of predictor
    0.55871
  • SD of criterion
    0.38746
  • Covariance
    -0.03633
  • r
    -0.16782
  • b (slope, estimate of beta)
    -0.11638
  • a (intercept, estimate of alpha)
    0.10436
  • Mean Square Error
    0.14598
  • DF error
    1799.00000
  • t(b)
    -7.22053
  • p(b)
    0.60633
  • t(a)
    0.71608
  • p(a)
    0.48925
  • Lowerbound of 95% confidence interval for beta
    -0.14800
  • Upperbound of 95% confidence interval for beta
    -0.08477
  • Lowerbound of 95% confidence interval for alpha
    -0.18147
  • Upperbound of 95% confidence interval for alpha
    0.39018
  • Treynor index (mean / b)
    -0.81716
  • Jensen alpha (a)
    0.10436
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03826
  • Expected Shortfall on VaR
    0.04779
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00883
  • Expected Shortfall on VaR
    0.02004
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1801.00000
  • Minimum
    0.66060
  • Quartile 1
    0.99970
  • Median
    1.00000
  • Quartile 3
    1.00074
  • Maximum
    1.50201
  • Mean of quarter 1
    0.98786
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00004
  • Mean of quarter 4
    1.01517
  • Inter Quartile Range
    0.00104
  • Number outliers low
    344.00000
  • Percentage of outliers low
    0.19101
  • Mean of outliers low
    0.98440
  • Number of outliers high
    366.00000
  • Percentage of outliers high
    0.20322
  • Mean of outliers high
    1.01828
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.88405
  • VaR(95%) (moments method)
    0.00649
  • Expected Shortfall (moments method)
    0.06426
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    26.00000
  • Minimum
    0.00216
  • Quartile 1
    0.01343
  • Median
    0.05215
  • Quartile 3
    0.12065
  • Maximum
    0.33940
  • Mean of quarter 1
    0.00792
  • Mean of quarter 2
    0.02843
  • Mean of quarter 3
    0.08595
  • Mean of quarter 4
    0.19268
  • Inter Quartile Range
    0.10721
  • 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
    0.03846
  • Mean of outliers high
    0.33940
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14336
  • VaR(95%) (moments method)
    0.21593
  • Expected Shortfall (moments method)
    0.29678
  • Extreme Value Index (regression method)
    0.54656
  • VaR(95%) (regression method)
    0.23315
  • Expected Shortfall (regression method)
    0.46139
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19338
  • Compounded annual return (geometric extrapolation)
    0.13090
  • Calmar ratio (compounded annual return / max draw down)
    0.38567
  • Compounded annual return / average of 25% largest draw downs
    0.67934
  • Compounded annual return / Expected Shortfall lognormal
    2.73877
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.71182
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.20779
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.68924
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.20888
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6727200000000000.00000
  • p(a)
    1.00000
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    24710400000000001642477098369024.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • 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 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

----------------------------------
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

------------------------------------------
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.

---------------------------------------------
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.

-----------------------------------------------
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

Summary Statistics

Strategy began
2006-09-16
Suggested Minimum Capital
$70,000
# Trades
1973
# Profitable
874
% Profitable
44.3%
Correlation S&P500
-0.019
Sharpe Ratio
0.432

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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.