W4T Futures Runner
(134947325)
Subscription terms. Subscriptions to this system cost $125.00 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.
Momentum
Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and shortsells a security that has been in a downward trend. While similar to Trendfollowing, tends to be more forwardlooking (predicting oncoming trend), while Momentum is more backwardlooking (observing alreadyestablished price direction).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 Cumulative Rate of Return is calculated
= (Ending_equity  Starting_equity) / Starting_equity
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2021  (0.4%)  +0.2%  +7.9%  (0.1%)  +7.7%  +2.6%  (3.3%)  +14.9% 
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.
Started  $45,000  
Buy Power  $54,560  
Cash  $55,211  
Equity  ($60)  
Cumulative $  $9,970  
Total System Equity  $54,970  
Margined  $590  
Open P/L  ($240) 
Trading Record
Statistics

Strategy began3/31/2021

Suggested Minimum Cap$50,000

Strategy Age (days)178.64

Age179 days ago

What it tradesFutures

# Trades1241

# Profitable723

% Profitable58.30%

Avg trade duration3.2 hours

Max peaktovalley drawdown4.97%

drawdown periodMay 13, 2021  May 18, 2021

Cumul. Return14.9%

Avg win$48.91

Avg loss$48.68
 Model Account Values (Raw)

Cash$55,211

Margin Used$590

Buying Power$54,560
 Ratios

W:L ratio1.40:1

Sharpe Ratio2.3

Sortino Ratio3.74

Calmar Ratio13.367
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)2.73%

Correlation to SP5000.06110

Return Percent SP500 (cumu) during strategy life12.15%
 Verified

C2Star1
 Return Statistics

Ann Return (w trading costs)32.1%
 Slump

Current Slump as Pcnt Equity4.40%
 Instruments

Percent Trades Futures1.00%
 Slump

Current Slump, time of slump as pcnt of strategy life0.11%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.149%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocksn/a

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)50.1%
 Risk of Ruin (MonteCarlo)

Chance of 10% account lossn/a

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/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 Automated99.48%
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)957

Popularity (Last 6 weeks)967
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score909

Popularity (7 days, Percentile 1000 scale)944
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$49

Avg Win$49

Sum Trade PL (losers)$25,395.000
 AUM

AUM (AutoTrader num accounts)1
 Age

Num Months filled monthly returns table7
 Win / Loss

Sum Trade PL (winners)$35,365.000

# Winners723

Num Months Winners3
 Dividends

Dividends Received in Model Acct0
 AUM

AUM (AutoTrader live capital)52660
 Win / Loss

# Losers518

% Winners58.3%
 Frequency

Avg Position Time (mins)189.63

Avg Position Time (hrs)3.16

Avg Trade Length0.1 days

Last Trade Ago2
 Leverage

Daily leverage (average)1.77

Daily leverage (max)10.26
 Regression

Alpha0.07

Beta0.06

Treynor Index1.34
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.38

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades61.111

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.459

Avg(MAE) / Avg(PL)  Losing trades1.204

HoldandHope Ratio0.018
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.54524

SD0.13920

Sharpe ratio (Glass type estimate)3.91691

Sharpe ratio (Hedges UMVUE)3.12524

df4.00000

t2.52836

p0.03239

Lowerbound of 95% confidence interval for Sharpe Ratio0.21451

Upperbound of 95% confidence interval for Sharpe Ratio7.80092

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60430

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.85479
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean0.54524

Downside part of mean0.00000

Upside SD0.20069

Downside SD0.00000

N nonnegative terms5.00000

N negative terms0.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.28862

Mean of criterion0.54524

SD of predictor0.06063

SD of criterion0.13920

Covariance0.00800

r0.94738

b (slope, estimate of beta)2.17500

a (intercept, estimate of alpha)1.17300

Mean Square Error0.00265

DF error3.00000

t(b)5.12604

p(b)0.99281

t(a)8.02757

p(a)0.00202

Lowerbound of 95% confidence interval for beta3.52533

Upperbound of 95% confidence interval for beta0.82468

Lowerbound of 95% confidence interval for alpha0.70797

Upperbound of 95% confidence interval for alpha1.63802

Treynor index (mean / b)0.25069

Jensen alpha (a)1.17300
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.52500

SD0.13211

Sharpe ratio (Glass type estimate)3.97410

Sharpe ratio (Hedges UMVUE)3.17088

df4.00000

t2.56527

p0.03114

Lowerbound of 95% confidence interval for Sharpe Ratio0.18216

Upperbound of 95% confidence interval for Sharpe Ratio7.88307

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.57712

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.91887
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean0.52500

Downside part of mean0.00000

Upside SD0.19217

Downside SD0.00000

N nonnegative terms5.00000

N negative terms0.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.28316

Mean of criterion0.52500

SD of predictor0.05892

SD of criterion0.13211

Covariance0.00741

r0.95228

b (slope, estimate of beta)2.13520

a (intercept, estimate of alpha)1.12960

Mean Square Error0.00217

DF error3.00000

t(b)5.40406

p(b)0.99379

t(a)8.48598

p(a)0.00172

Lowerbound of 95% confidence interval for beta3.39261

Upperbound of 95% confidence interval for beta0.87778

Lowerbound of 95% confidence interval for alpha0.70597

Upperbound of 95% confidence interval for alpha1.55323

Treynor index (mean / b)0.24588

Jensen alpha (a)1.12960
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01880

Expected Shortfall on VaR0.03421
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00000

Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates

Number of observations5.00000

Minimum1.00238

Quartile 11.02418

Median1.03743

Quartile 31.07021

Maximum1.10462

Mean of quarter 11.01328

Mean of quarter 21.03743

Mean of quarter 31.07021

Mean of quarter 41.10462

Inter Quartile Range0.04603

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations0.00000

Minimum0.00000

Quartile 10.00000

Median0.00000

Quartile 30.00000

Maximum0.00000

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.62178

Compounded annual return (geometric extrapolation)0.73830

Calmar ratio (compounded annual return / max draw down)0.00000

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal21.57890

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.39760

SD0.10372

Sharpe ratio (Glass type estimate)3.83350

Sharpe ratio (Hedges UMVUE)3.81063

df126.00000

t2.66899

p0.38434

Lowerbound of 95% confidence interval for Sharpe Ratio0.97154

Upperbound of 95% confidence interval for Sharpe Ratio6.68068

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.95647

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.66479
 Statistics related to Sortino ratio

Sortino ratio7.05009

Upside Potential Ratio14.43350

Upside part of mean0.81400

Downside part of mean0.41640

Upside SD0.08997

Downside SD0.05640

N nonnegative terms72.00000

N negative terms55.00000
 Statistics related to linear regression on benchmark

N of observations127.00000

Mean of predictor0.21449

Mean of criterion0.39760

SD of predictor0.10798

SD of criterion0.10372

Covariance0.00006

r0.00507

b (slope, estimate of beta)0.00487

a (intercept, estimate of alpha)0.39700

Mean Square Error0.01084

DF error125.00000

t(b)0.05663

p(b)0.49678

t(a)2.63153

p(a)0.35543

Lowerbound of 95% confidence interval for beta0.16516

Upperbound of 95% confidence interval for beta0.17489

Lowerbound of 95% confidence interval for alpha0.09831

Upperbound of 95% confidence interval for alpha0.69480

Treynor index (mean / b)81.72240

Jensen alpha (a)0.39656
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.39195

SD0.10344

Sharpe ratio (Glass type estimate)3.78925

Sharpe ratio (Hedges UMVUE)3.76665

df126.00000

t2.63818

p0.38560

Lowerbound of 95% confidence interval for Sharpe Ratio0.92833

Upperbound of 95% confidence interval for Sharpe Ratio6.63566

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.91338

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.61992
 Statistics related to Sortino ratio

Sortino ratio6.91138

Upside Potential Ratio14.28140

Upside part of mean0.80990

Downside part of mean0.41796

Upside SD0.08936

Downside SD0.05671

N nonnegative terms72.00000

N negative terms55.00000
 Statistics related to linear regression on benchmark

N of observations127.00000

Mean of predictor0.20860

Mean of criterion0.39195

SD of predictor0.10800

SD of criterion0.10344

Covariance0.00005

r0.00464

b (slope, estimate of beta)0.00444

a (intercept, estimate of alpha)0.39102

Mean Square Error0.01078

DF error125.00000

t(b)0.05187

p(b)0.49705

t(a)2.60289

p(a)0.35690

Lowerbound of 95% confidence interval for beta0.16510

Upperbound of 95% confidence interval for beta0.17398

Lowerbound of 95% confidence interval for alpha0.09371

Upperbound of 95% confidence interval for alpha0.68833

Treynor index (mean / b)88.20880

Jensen alpha (a)0.39102
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00897

Expected Shortfall on VaR0.01161
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00331

Expected Shortfall on VaR0.00683
 ORDER STATISTICS
 Quartiles of return rates

Number of observations127.00000

Minimum0.98126

Quartile 10.99858

Median1.00083

Quartile 31.00495

Maximum1.02202

Mean of quarter 10.99447

Mean of quarter 20.99957

Mean of quarter 31.00270

Mean of quarter 41.00978

Inter Quartile Range0.00637

Number outliers low4.00000

Percentage of outliers low0.03150

Mean of outliers low0.98603

Number of outliers high7.00000

Percentage of outliers high0.05512

Mean of outliers high1.01744
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.10383

VaR(95%) (moments method)0.00413

Expected Shortfall (moments method)0.00556

Extreme Value Index (regression method)0.15553

VaR(95%) (regression method)0.00566

Expected Shortfall (regression method)0.00766
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations16.00000

Minimum0.00004

Quartile 10.00182

Median0.00350

Quartile 30.01470

Maximum0.03903

Mean of quarter 10.00093

Mean of quarter 20.00256

Mean of quarter 30.00934

Mean of quarter 40.02947

Inter Quartile Range0.01288

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.12500

Mean of outliers high0.03780
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)9.30715

VaR(95%) (moments method)0.02889

Expected Shortfall (moments method)0.02889

Extreme Value Index (regression method)2.42955

VaR(95%) (regression method)0.04774

Expected Shortfall (regression method)0.04828
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.46563

Compounded annual return (geometric extrapolation)0.52174

Calmar ratio (compounded annual return / max draw down)13.36660

Compounded annual return / average of 25% largest draw downs17.70460

Compounded annual return / Expected Shortfall lognormal44.92080
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess log return rates
 Statistics related to linear regression on benchmark

VAR (95 Confidence Intrvl)0.00900
 DRAW DOWN STATISTICS
 Risk estimates based on draw downs (based on Extreme Value T
 assuming Pareto losses only (using partial moments from Sortino statistics)

Last 4 Months  Pcnt Negative0.50%

Strat Max DD how much worse than SP500 max DD during strat life?314187000

Max Equity Drawdown (num days)5
Strategy Description
It is based on the concept of creating a portfolio of diverse automated trading bots for maximum diversification.
At the moment, running 6 bots for MNQ and 3 bots for MES.
Each bot operates with 1 lot, so the maximum lot for MNQ is 6, MES  3, total 9.
But the features of the C2 calculation can display a larger number. This is due to the fact that while more trades are open in one direction, all additional ones are added to this. You can see this in “Show More Details” for each position.
All bots use stop losses.
I rescale strategy to $50,000 after each $5000 profit.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.
Not available
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Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
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To make this strategy private, you need to first withdraw from C2Star program.
Strategy is no longer visible
This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
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You can restore public visibility at any time.
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.