Collective2 Collective2
Featured Strategy Iberia Capital Strategy +15.0% Cumul. Return since Apr 15, 2026 Hypothetical

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"One Trade a Day" in the Dow

By RayPlummer

Futures · Started Sep 2006

hypothetical · Annual Return (Compounded)
-5.9%
Max Drawdown
33.6%
Trades
204
Win Trades
63.2%
Profit Factor
1.10
Win Months
3.3%

About this strategy













How the Signals are created:

This is a system which is built around three distinct and highly complex forecasting models.

The first model is called the (PFM) "Price Forecasting Model" which predicts pockets of strength and weakness within certain hourly time blocks. This model researches and computes thousands of data points consisting of several months of historical data. (This model shares similarities to that of a hurricane forecasting model, its job is to determine the direction and speed of the price action. It looks for specific time periods that are most predictable, which is when the momentum is the strongest.)

Once these significant "time blocks" are identified the second model called the (TM) "Trading Model" then crunches several hundred price factors to identify the most optimal price target and stop loss levels based on the (PFM

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2006-2.48.21.15.312.5
2007-22.39.020.11.98.4-14.4-11.233.5-3.90.1-18.2-20.0-28.3
2008-14.80.00.00.00.00.00.00.00.00.00.00.0-14.8
20090.00.00.00.00.00.00.00.00.00.00.00.00.0
20100.00.00.00.00.00.00.00.00.00.00.00.00.0
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
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
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
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
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
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began9/15/2006
Suggested Minimum Capital$100,000
Age243 months
What it tradesFutures
# Trades204
# Profitable129
% Profitable63.2%
Avg trade duration1.8 hours
Max peak-to-valley drawdown33.6%
drawdown periodNov 14, 2007 - June 20, 2014
Annual return (compounded)1.5%
Avg win$2,942
Avg loss$4,579

Ratios

W:L ratio1.11
Sharpe Ratio-0.28
Sortino Ratio-0.35
Calmar Ratio-0.07

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life478.7%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)5.4%

Return Statistics

Ann Return (w trading costs)-5.9%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.5%

Slump

Current Slump as Pcnt Equity110.8%
Current Slump, time of slump as pcnt of strategy life0.9%

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$4,579
Avg Win$2,942
# Winners129
Sum Trade PL (losers)$343,390
Sum Trade PL (winners)$379,500
Num Months Winners9
# Losers75
% Winners63.2%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table241

Frequency

Avg Position Time (mins)108.55
Avg Position Time (hrs)1.81
Avg Trade Length0.10
Last Trade Ago6804

Regression

Alpha-0.01
Beta0
Treynor Index2.40

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0.08
MAE:Equity, average, losing trades0.05
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 trades45.39
MAE:PL (avg, all trades)0
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats20.08
MAE:PL - Winning Trades - this strat Percentile of All Strats20.19
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.60
Avg(MAE) / Avg(PL) - Losing trades-1.12
Hold-and-Hope Ratio0.02

RATIO STATISTICS

a (intercept, estimate of alpha)-0.03
VAR (95 Confidence Intrvl)0.05

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)2410
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 229 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
YM H8short14Jan 28, 2008Jan 28, 2008($6,972)
YM H8short33Jan 18, 2008Jan 18, 2008$3,201
YM H8short14Jan 14, 2008Jan 14, 2008($6,972)
YM H8short15Jan 10, 2008Jan 10, 2008($7,470)
YM H8short15Jan 7, 2008Jan 7, 2008$3,555
YM H8short20Jan 4, 2008Jan 4, 2008$3,440
YM H8short20Dec 26, 2007Dec 26, 2007($4,660)
YM H8short30Dec 21, 2007Dec 21, 2007($8,040)
YM Z7short15Dec 17, 2007Dec 17, 2007$3,555
YM Z7short31Dec 14, 2007Dec 14, 2007($8,308)
YM Z7short22Dec 10, 2007Dec 10, 2007($396)
YM Z7short36Dec 7, 2007Dec 7, 2007$3,672
YM Z7short18Dec 6, 2007Dec 6, 2007($8,424)
YM Z7long37Dec 4, 2007Dec 4, 2007$3,774
YM Z7short19Nov 29, 2007Nov 29, 2007($8,512)
YM Z7short43Nov 28, 2007Nov 28, 2007($9,374)
YM Z7long27Nov 27, 2007Nov 27, 2007($9,396)
YM Z7short25Nov 21, 2007Nov 21, 2007$4,550
YM Z7long34Nov 20, 2007Nov 20, 2007($9,792)
YM Z7short29Nov 15, 2007Nov 15, 2007($10,382)
YM Z7short20Nov 14, 2007Nov 14, 2007$4,740
YM Z7long28Nov 13, 2007Nov 13, 2007$4,536
YM Z7short21Nov 8, 2007Nov 8, 2007$4,452
YM Z7long32Nov 7, 2007Nov 7, 2007$4,384
YM Z7long26Nov 6, 2007Nov 6, 2007$4,212
YM Z7long24Oct 31, 2007Oct 31, 2007($9,552)
YM Z7long25Oct 30, 2007Oct 30, 2007$4,425
YM Z7short29Oct 26, 2007Oct 26, 2007($9,802)
YM Z7short47Oct 24, 2007Oct 24, 2007$4,324
YM Z7long27Oct 23, 2007Oct 23, 2007$4,374

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.