Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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WhyNot

By MarioRossi

Futures · Started Jan 2006

hypothetical · Annual Return (Compounded)
-1.8%
Max Drawdown
50.4%
Trades
124
Win Trades
71.0%
Profit Factor
1.10
Win Months
7.3%

About this strategy

Feel free to ask me any additional informations you need.


If you are interested in autotrading WhyNot, please contact me!


Calculation of the drawdown/risk and "APD Ratio" (LOL :-D ) here on c2 is absolutely ridiculous, no sense :-)
A risk until 8% is surely normal.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20063.312.319.326.77.76.63.03.1-16.8-15.112.2-11.250.6
2007-4.2-35.08.50.00.00.00.00.00.00.00.00.0-32.5
20080.00.00.00.0-13.90.00.00.00.00.00.00.0-13.9
20090.00.00.00.00.00.00.00.00.0-0.00.00.0-0.0
20100.00.00.00.00.00.00.00.0-0.00.00.00.00.0
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
20140.0-0.20.0-0.00.1-0.00.00.10.10.00.00.10.2
20150.20.00.1-0.0-0.0-0.00.0-0.0-0.00.00.1-0.00.2
2016-0.00.0-0.10.00.00.0-0.00.0-0.00.10.00.00.0
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
20260.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began1/24/2006
Suggested Minimum Capital$100,000
Age251 months
What it tradesFutures
# Trades124
# Profitable88
% Profitable71.0%
Avg trade duration1.4 days
Max peak-to-valley drawdown50.4%
drawdown periodJuly 13, 2006 - March 22, 2007
Annual return (compounded)0.9%
Avg win$4,971
Avg loss$11,572

Ratios

W:L ratio1.05
Sharpe Ratio-0.13
Sortino Ratio-0.18
Calmar Ratio-0.12

CORRELATION STATISTICS

Correlation to SP5000.01
Return Percent SP500 (cumu) during strategy life501.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-15.4%

Return Statistics

Ann Return (w trading costs)-1.8%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.9%

Slump

Current Slump as Pcnt Equity155.4%
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$11,571
Avg Win$4,971
# Winners88
Sum Trade PL (losers)$416,573
Sum Trade PL (winners)$437,445
Num Months Winners31
# Losers36
% Winners71.0%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table248

Frequency

Avg Position Time (mins)1995.88
Avg Position Time (hrs)33.26
Avg Trade Length1.40
Last Trade Ago7108

Regression

Alpha-0.01
Beta0.01
Treynor Index-0.53

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.04
MAE:Equity, 95th Percentile Value for this strat0.08
MAE:Equity, average, losing trades0.07
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades9.18
MAE:PL (avg, all trades)0.35
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats3.10
MAE:PL - Winning Trades - this strat Percentile of All Strats22.15
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.70
Avg(MAE) / Avg(PL) - Losing trades-1.01
Hold-and-Hope Ratio0.11

RATIO STATISTICS

a (intercept, estimate of alpha)0.09
VAR (95 Confidence Intrvl)0.05

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)252
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 22 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
XG M7long20Mar 22, 2007Mar 22, 2007$10,764
XG M7short20Mar 22, 2007Mar 22, 2007($8,899)
US M7long15Mar 21, 2007Mar 21, 2007$8,790
ES M7short30Mar 20, 2007Mar 20, 2007($7,740)
ES M7short30Mar 19, 2007Mar 19, 2007($7,740)
ES M7long30Mar 16, 2007Mar 16, 2007$2,760
ES M7long30Mar 13, 2007Mar 13, 2007$1,635
ES M7short30Mar 13, 2007Mar 13, 2007$2,760
US H7short15Feb 26, 2007Feb 27, 2007($7,620)
ES H7long28Feb 26, 2007Feb 26, 2007($7,224)
XG H7long20Feb 26, 2007Feb 26, 2007($4,257)
US H7long14Feb 22, 2007Feb 23, 2007$5,138
ES H7long28Feb 22, 2007Feb 22, 2007($7,224)
ES H7short32Feb 21, 2007Feb 22, 2007($8,256)
ES H7short32Feb 20, 2007Feb 20, 2007($8,256)
US H7long15Feb 12, 2007Feb 14, 2007$5,505
ES H7long30Feb 12, 2007Feb 13, 2007$5,010
US H7long16Feb 8, 2007Feb 9, 2007($8,128)
ES H7long16Feb 9, 2007Feb 9, 2007$1,872
US H7short17Feb 5, 2007Feb 6, 2007($8,109)
US H7long18Feb 1, 2007Feb 1, 2007($9,144)
US H7short18Jan 29, 2007Jan 31, 2007($8,586)
US H7short18Jan 25, 2007Jan 25, 2007$6,030
US H7short18Jan 24, 2007Jan 24, 2007$972
US H7long36Jan 22, 2007Jan 23, 2007($8,172)
US H7short17Jan 19, 2007Jan 19, 2007$935
US H7short17Jan 16, 2007Jan 18, 2007$5,712
US H7short17Jan 11, 2007Jan 11, 2007$5,695

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.