Collective2 Collective2
Featured Strategy Iberia Capital Strategy +14.8% Cumul. Return since Apr 15, 2026 Hypothetical

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Flyin Pink Pig

By pink_pig

Futures · Started Jun 2006

hypothetical · Annual Return (Compounded)
0.0%
Max Drawdown
100.0%
Trades
758
Win Trades
57.5%
Profit Factor
1
Win Months
2.0%

About this strategy

Expectancy

At the heart of all trading is the simplest of all concepts

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200617.217.019.858.5-184.1-1705.436.64702.3
2007-75.0-93.8-1404.2-37.4-37.2-13.6-5.1-19.9-11.3-6.9-8.3-3.8-164.0
2008-6.9-3.1-5.4-1.4-14.20.00.00.00.00.00.00.0
20090.00.00.00.00.00.00.00.00.0-0.00.00.0
20100.00.00.00.00.0-0.0-0.0-0.00.00.00.00.0
20110.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.0
20140.0-0.8-1.0-1.1-2.5-0.2-2.6-3.0-4.7-1.1-1.0-2.8
2015-8.3-0.6-5.3-3.1-1.1-0.2-0.3-2.0-0.4-1.4-3.5-2.1
2016-0.2-0.7-2.2-1.7-2.4-0.7-0.4-0.9-0.5-1.20.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began6/27/2006
Suggested Minimum Capital$100,000
Age246 months
What it tradesFutures
# Trades758
# Profitable436
% Profitable57.5%
Avg trade duration4.5 days
Max peak-to-valley drawdown100.0%
drawdown periodJune 30, 2006 - March 13, 2015
Annual Return (Compounded)0.0%
Avg win$65,704
Avg loss$91,013

Ratios

W:L ratio0.98
Sharpe Ratio0.67
Sortino Ratio1.04
Calmar Ratio-0.90

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life516.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-5310.1%

Return Statistics

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

Slump

Current Slump as Pcnt Equity—
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.1%
Percent Trades Futures0.9%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)100.0%
Chance of 70% account loss (Monte Carlo)100.0%
Chance of 80% account loss (Monte Carlo)100.0%
Chance of 90% account loss (Monte Carlo)100.0%
Chance of 100% account loss (Monte Carlo)100.0%

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$91,013
Avg Win$65,704
# Winners436
Sum Trade PL (losers)$29,306,088
Sum Trade PL (winners)$28,646,788
Num Months Winners4
# Losers322
% Winners57.5%

Dividends

Dividends Received in Model Acct3000

Age

Num Months filled monthly returns table5

Frequency

Avg Position Time (mins)6443.62
Avg Position Time (hrs)107.39
Avg Trade Length4.50
Last Trade Ago6682

Regression

Alpha0
Beta-0.54
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.06
MAE:Equity, 95th Percentile Value for this strat0.21
MAE:Equity, average, losing trades0.10
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.04
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-30.49
MAE:PL (avg, all trades)-0.08
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats42
MAE:PL - Winning Trades - this strat Percentile of All Strats35.53
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.61
Avg(MAE) / Avg(PL) - Losing trades-1.35
Hold-and-Hope Ratio-0.03

RATIO STATISTICS

Mean1.35
SD4.02
Sharpe ratio (Glass type estimate)0.34
Sharpe ratio (Hedges UMVUE)0.33
df82
t0.88
p0.19
Lowerbound of 95% confidence interval for Sharpe Ratio-0.41
Upperbound of 95% confidence interval for Sharpe Ratio1.08
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.41
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.08
Sortino ratio1.97
Upside Potential Ratio3.16
Upside part of mean2.16
Downside part of mean-0.81
Upside SD3.96
Downside SD0.68
N nonnegative terms62
N negative terms21
N of observations83
Mean of predictor0.21
Mean of criterion1.35
SD of predictor0.27
SD of criterion4.02
Covariance-0.04
r-0.03
b (slope, estimate of beta)-0.52
a (intercept, estimate of alpha)1.46
Mean Square Error16.37
DF error81
t(b)-0.31
p(b)0.62
t(a)0.92
p(a)0.18
Lowerbound of 95% confidence interval for beta-3.84
Upperbound of 95% confidence interval for beta2.81
Lowerbound of 95% confidence interval for alpha-1.68
Upperbound of 95% confidence interval for alpha4.59
Treynor index (mean / b)-2.61
Jensen alpha (a)1.46
Mean-2.28
SD5.08
Sharpe ratio (Glass type estimate)-0.45
Sharpe ratio (Hedges UMVUE)-0.44
df82
t-1.18
p0.88
Lowerbound of 95% confidence interval for Sharpe Ratio-1.20
Upperbound of 95% confidence interval for Sharpe Ratio0.30
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.19
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.30
Sortino ratio-0.46
Upside Potential Ratio0.15
Upside part of mean0.74
Downside part of mean-3.02
Upside SD1.11
Downside SD4.97
N nonnegative terms62
N negative terms21
N of observations83
Mean of predictor0.17
Mean of criterion-2.28
SD of predictor0.27
SD of criterion5.08
Covariance0.04
r0.03
b (slope, estimate of beta)0.62
a (intercept, estimate of alpha)-2.39
Mean Square Error26.08
DF error81
t(b)0.29
p(b)0.38
t(a)-1.21
p(a)0.88
Lowerbound of 95% confidence interval for beta-3.55
Upperbound of 95% confidence interval for beta4.79
Lowerbound of 95% confidence interval for alpha-6.32
Upperbound of 95% confidence interval for alpha1.54
Treynor index (mean / b)-3.69
Jensen alpha (a)-2.39
VaR(95%)0.93
Expected Shortfall on VaR0.95
VaR(95%)0.09
Expected Shortfall on VaR0.23
Mean26.70
SD31.88
Sharpe ratio (Glass type estimate)0.84
Sharpe ratio (Hedges UMVUE)0.84
df1817
t2.21
p0.47
Lowerbound of 95% confidence interval for Sharpe Ratio0.09
Upperbound of 95% confidence interval for Sharpe Ratio1.58
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.09
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.58
Sortino ratio17.76
Upside Potential Ratio20.91
Upside part of mean31.44
Downside part of mean-4.74
Upside SD31.88
Downside SD1.50
N nonnegative terms1497
N negative terms321
N of observations1818
Mean of predictor0.27
Mean of criterion26.70
SD of predictor0.51
SD of criterion31.88
Covariance2.31
r0.14
b (slope, estimate of beta)8.96
a (intercept, estimate of alpha)24.24
Mean Square Error996.43
DF error1816
t(b)6.15
p(b)0.43
t(a)2.02
p(a)0.48
Lowerbound of 95% confidence interval for beta6.10
Upperbound of 95% confidence interval for beta11.82
Lowerbound of 95% confidence interval for alpha0.73
Upperbound of 95% confidence interval for alpha47.76
Treynor index (mean / b)2.98
Jensen alpha (a)24.24
Mean-2.27
SD6.24
Sharpe ratio (Glass type estimate)-0.36
Sharpe ratio (Hedges UMVUE)-0.36
df1817
t-0.96
p0.51
Lowerbound of 95% confidence interval for Sharpe Ratio-1.11
Upperbound of 95% confidence interval for Sharpe Ratio0.38
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.11
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.38
Sortino ratio-0.43
Upside Potential Ratio1.32
Upside part of mean6.94
Downside part of mean-9.21
Upside SD3.39
Downside SD5.24
N nonnegative terms1497
N negative terms321
N of observations1818
Mean of predictor0.15
Mean of criterion-2.27
SD of predictor0.51
SD of criterion6.24
Covariance0.59
r0.19
b (slope, estimate of beta)2.28
a (intercept, estimate of alpha)-2.60
Mean Square Error37.60
DF error1816
t(b)8.04
p(b)0.41
t(a)-1.12
p(a)0.51
Lowerbound of 95% confidence interval for beta1.72
Upperbound of 95% confidence interval for beta2.83
Lowerbound of 95% confidence interval for alpha-7.17
Upperbound of 95% confidence interval for alpha1.96
Treynor index (mean / b)-1.00
Jensen alpha (a)-2.60
VaR(95%)0.47
Expected Shortfall on VaR0.55
VaR(95%)0.02
Expected Shortfall on VaR0.05
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 predictor0.81
Mean of criterion0
SD of predictor0.55
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 predictor0.66
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)0.47
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 observations83
Minimum0
Quartile 11.00
Median1
Quartile 31
Maximum10.68
Mean of quarter 10.73
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.71
Inter Quartile Range0.00
Number outliers low20
Percentage of outliers low0.24
Mean of outliers low0.72
Number of outliers high10
Percentage of outliers high0.12
Mean of outliers high2.49
Extreme Value Index (moments method)-18.42
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)-0.31
VaR(95%) (regression method)0.32
Expected Shortfall (regression method)0.44
Number of observations1818
Minimum0.00
Quartile 11
Median1
Quartile 31
Maximum47.83
Mean of quarter 10.93
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.48
Inter Quartile Range0
Number outliers low321
Percentage of outliers low0.18
Mean of outliers low0.90
Number of outliers high279
Percentage of outliers high0.15
Mean of outliers high1.78
Extreme Value Index (moments method)0.93
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.13
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 observations2
Minimum0.98
Quartile 10.99
Median0.99
Quartile 31.00
Maximum1
Mean of quarter 10.98
Mean of quarter 20
Mean of quarter 30
Mean of quarter 41
Inter Quartile Range0.01
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 observations7
Minimum0.02
Quartile 10.16
Median0.69
Quartile 30.92
Maximum1
Mean of quarter 10.07
Mean of quarter 20.45
Mean of quarter 30.84
Mean of quarter 41.00
Inter Quartile Range0.76
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 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?-393871840
Max Equity Drawdown (num days)3178
Last 4 Months - Pcnt Negative0.2%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.14
Compounded annual return (geometric extrapolation)-0.90
Calmar ratio (compounded annual return / max draw down)-0.90
Compounded annual return / average of 25% largest draw downs-0.90
Compounded annual return / Expected Shortfall lognormal-0.94
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.14
Compounded annual return (geometric extrapolation)-0.90
Calmar ratio (compounded annual return / max draw down)-0.90
Compounded annual return / average of 25% largest draw downs-0.90
Compounded annual return / Expected Shortfall lognormal-1.64
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

SymbolSideQtyOpenedClosedP/L
VTSS long1000000Feb 5, 2007May 27, 2008($315,008)
MSFT long10000Feb 5, 2007Jan 28, 2008$29,995
PMCS long20000Feb 5, 2007Jan 28, 2008($37,605)
ZG Z7long250Oct 31, 2007Oct 31, 2007($9,500)
USD/CAD long10000Feb 14, 2007Sep 16, 2007($955,303)
USD/JPY long15000Jun 1, 2007Jul 2, 2007($632)
GBP/USD short5000Feb 19, 2007Jun 4, 2007($213,000)
ZG Z7long750Feb 8, 2007Mar 1, 2007($905,997)
USD/JPY long36000Feb 5, 2007Feb 27, 2007($5,741)
NZD/USD short3000Feb 5, 2007Feb 23, 2007($74,700)
GBP/JPY short2500Feb 5, 2007Feb 23, 2007($290)
EUR/USD short10000Feb 5, 2007Feb 23, 2007($234,000)
AUD/USD short6500Feb 19, 2007Feb 23, 2007($37,050)
AUD/USD long4000Feb 5, 2007Feb 19, 2007$42,000
MT H7short400Feb 14, 2007Feb 19, 2007($127,093)
QM J7short700Feb 7, 2007Feb 8, 2007$3,151
ZG H7short2000Feb 2, 2007Feb 4, 2007($116,000)
QM H7short5500Jan 30, 2007Jan 31, 2007($2,956,499)
EU H7short1000Jan 29, 2007Jan 30, 2007($133,000)
QM H7long1200Jan 29, 2007Jan 30, 2007$114,150
ER2 H7short5500Jan 23, 2007Jan 29, 2007($3,219,010)
EU H7long3000Jan 25, 2007Jan 25, 2007($1,824,000)
MT G7short1500Jan 23, 2007Jan 24, 2007($411,392)
EU H7short2000Jan 24, 2007Jan 24, 2007($516,000)
EU H7long2500Jan 22, 2007Jan 23, 2007$2,105,000
ER2 H7long1000Jan 23, 2007Jan 23, 2007$2,004
ER2 H7short2000Jan 22, 2007Jan 22, 2007($216,000)
ER2 H7short2500Jan 22, 2007Jan 22, 2007$605,000
EU H7long2000Jan 18, 2007Jan 19, 2007$1,534,000
JY H7short1200Jan 18, 2007Jan 18, 2007($219,600)

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.