Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW Followed by live capital $116,000 Hypothetical

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Bender's S&P Emini crossover

By CraigBender2

Futures · Started Dec 2005

hypothetical · Annual Return (Compounded)
-5.8%
Max Drawdown
44.4%
Trades
146
Win Trades
87.0%
Profit Factor
1.10
Win Months
1.6%

About this strategy

Same as the overview, but some trades are made just after 1830 EST. Trades will be quick, anywhere from 5 minutes to a couple of hours so a quick response is necessary. I like to lock in profits with a partial close and let the rest ride for a bit more. It is very consistent as you can see by my win percentage.

I will keep the max contracts open to 50 so that someone can trade the same amounts as I do with a 25K account assuming $500 margins. If you have 25,000 or 12,500 then you can scale your acount accordingly. 50 or less will be open at one time. Fewer mulitple leg trades will be done, with most being only 2 legs. Also I always trade in multiples of 5, so that is a trading factor that can be used.

Max draw down will be 8-10% with the goal of 5-8%. Only one time every two weeks you may see this happen with the goal being once a month at most. Average gains are 30% before any larger size draw down.

Feel free to ask me any other questions you may have. Ive been trading this system for approximately 11 months, but I do not have the back data on digits. I apologize for this inconvenience.

In the past I have let trades ride too long. 15K will be the approx max drawdown assuming 50 contracts, so with 25 contracts 5K, and so on. Im looking to make the curve less bumpy.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200517.317.3
200626.9-11.21.89.3-55.50.00.00.00.00.00.00.0-44.3
20070.00.00.00.00.00.00.00.00.00.00.00.00.0
20080.00.00.00.0-1.40.00.00.00.00.00.00.0-1.4
20090.00.00.00.00.00.00.00.00.0-0.00.00.0-0.0
20100.00.00.00.00.00.00.00.00.00.00.0-0.00.0
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
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
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
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
20260.00.00.00.00.00.00.0

Statistics

Overview

Strategy began12/15/2005
Suggested Minimum Capital$100,000
Age252 months
What it tradesFutures
# Trades146
# Profitable127
% Profitable87.0%
Avg trade duration3.4 hours
Max peak-to-valley drawdown44.4%
drawdown periodApril 17, 2006 - Sept 20, 2009
Annual return (compounded)1.0%
Avg win$1,880
Avg loss$11,359

Ratios

W:L ratio1.11
Sharpe Ratio-0.18
Sortino Ratio-0.20
Calmar Ratio-0.00

CORRELATION STATISTICS

Correlation to SP5000.00
Return Percent SP500 (cumu) during strategy life499.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-9.9%

Return Statistics

Ann Return (w trading costs)-5.8%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.0%

Slump

Current Slump as Pcnt Equity176.3%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$11,359
Avg Win$1,880
# Winners127
Sum Trade PL (losers)$215,815
Sum Trade PL (winners)$238,718
Num Months Winners6
# Losers19
% Winners87.0%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table249

Frequency

Avg Position Time (mins)206.05
Avg Position Time (hrs)3.43
Avg Trade Length0.10
Last Trade Ago7416

Regression

Alpha-0.01
Beta0
Treynor Index-11.14

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.52
MAE:Equity, average, losing trades0.10
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades23.75
MAE:PL (avg, all trades)0.81
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats54.56
MAE:PL - Winning Trades - this strat Percentile of All Strats36.07
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.95
Avg(MAE) / Avg(PL) - Losing trades-1.28
Hold-and-Hope Ratio0.04

RATIO STATISTICS

a (intercept, estimate of alpha)0.02
VAR (95 Confidence Intrvl)0.03

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)1252
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 257 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES M6long80May 17, 2006May 17, 2006($5,765)
ES M6long100May 11, 2006May 12, 2006($69,550)
ES M6long50May 11, 2006May 11, 2006($8,775)
ES M6short30May 10, 2006May 10, 2006$2,010
ES M6short40May 10, 2006May 10, 2006$3,680
ES M6long15May 9, 2006May 10, 2006$505
ES M6long40May 8, 2006May 9, 2006$4,055
ES M6short50May 8, 2006May 8, 2006$600
ES M6short30May 7, 2006May 8, 2006$510
ES M6short40May 5, 2006May 5, 2006($16,070)
ES M6short30May 4, 2006May 4, 2006$3,323
ES M6long40May 3, 2006May 4, 2006$2,680
ES M6long30May 3, 2006May 3, 2006($4,365)
ES M6short40May 2, 2006May 3, 2006$2,680
ES M6long50May 1, 2006May 2, 2006$4,600
ES M6short25May 1, 2006May 1, 2006$1,988
ES M6short20Apr 28, 2006Apr 28, 2006$1,340
ES M6short20Apr 27, 2006Apr 27, 2006$3,590
ES M6long60Apr 26, 2006Apr 27, 2006$18,770
ES M6short30Apr 26, 2006Apr 26, 2006$4,260
ES M6long30Apr 25, 2006Apr 26, 2006$2,385
ES M6long50Apr 25, 2006Apr 25, 2006$725
ES M6short30Apr 24, 2006Apr 25, 2006$1,260
ES M6long50Apr 23, 2006Apr 24, 2006$2,600
ES M6long10Apr 19, 2006Apr 19, 2006$420
ES M6short140Apr 18, 2006Apr 19, 2006($63,683)
ES M6short30Apr 17, 2006Apr 17, 2006$2,010
ES M6long15Apr 16, 2006Apr 17, 2006$443
ES M6short15Apr 13, 2006Apr 13, 2006$1,130
ES M6long30Apr 13, 2006Apr 13, 2006$2,760

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.