Collective2 Collective2
Featured Strategy Iberia Capital Strategy Followed by live capital $29,300 Hypothetical

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Turning Points

By futurm

Futures · Started Nov 2006

hypothetical · Annual Return (Compounded)
21.5%
Max Drawdown
32.1%
Trades
437
Win Trades
51.9%
Profit Factor
1.20
Win Months
13.0%

About this strategy

Turning Points is time tested and based on a robust methodology. A major adjustment was made 8/5/10. Only one trigger is now used. The same trigger used exclusively during the first 7 months.

Market orders. Stop loss and profit points are given.

End Of Day trading, no exceptions.

$20,000 new minimum to trade this system with one contract.





































Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200628.2-0.128.1
200713.12.32.39.511.8-5.12.80.1-1.8-11.313.96.850.1
20080.9-6.52.118.9-3.39.015.55.7-1.2-2.6-0.1-2.538.1
20098.10.80.6-1.17.01.74.3-3.42.7-2.0-2.6-3.812.1
20101.6-3.6-1.3-0.6-2.82.9-9.35.0-1.73.13.82.0-1.8
2011-2.74.9-26.110.4-9.30.00.00.00.00.00.00.0-24.4
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
20140.00.00.00.00.0-2.20.00.0-0.00.00.00.0-2.2
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 began11/12/2006
Suggested Minimum Capital$6,005
Age242 months
What it tradesFutures
# Trades437
# Profitable227
% Profitable51.9%
Avg trade duration3.1 days
Max peak-to-valley drawdown32.1%
drawdown periodAug 05, 2009 - April 04, 2011
Annual return (compounded)4.8%
Avg win$248
Avg loss$225

Ratios

W:L ratio1.19
Sharpe Ratio0.19
Sortino Ratio0.30
Calmar Ratio0.15

CORRELATION STATISTICS

Correlation to SP5000.01
Return Percent SP500 (cumu) during strategy life453.1%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)134.6%

Return Statistics

Ann Return (w trading costs)21.5%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)4.8%

Slump

Current Slump as Pcnt Equity52.6%
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%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss43.8%
Chance of 20% account loss17.6%
Chance of 30% account loss16.7%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

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$225
Avg Win$248
# Winners227
Sum Trade PL (losers)$47,207
Sum Trade PL (winners)$56,362
Num Months Winners31
# Losers210
% Winners52.0%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table239

Frequency

Avg Position Time (mins)4435.03
Avg Position Time (hrs)73.92
Avg Trade Length3.10
Last Trade Ago5604

Regression

Alpha0.01
Beta0
Treynor Index2.46

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.02
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 trades54.27
MAE:PL (avg, all trades)-0.09
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats17.82
MAE:PL - Winning Trades - this strat Percentile of All Strats19.79
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.39
Avg(MAE) / Avg(PL) - Losing trades-1.01
Hold-and-Hope Ratio0.02

RATIO STATISTICS

a (intercept, estimate of alpha)0.35
VAR (95 Confidence Intrvl)0.07

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)607
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 357 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
S N1long1May 12, 2011May 17, 2011($1,350)
SB K1short1Mar 29, 2011Apr 8, 2011$1,492
W K1short1Mar 30, 2011Mar 31, 2011($1,514)
S K1short1Mar 28, 2011Mar 31, 2011($1,821)
W K1short1Mar 23, 2011Mar 25, 2011($1,658)
BP M1long0.246999994Mar 17, 2011Mar 21, 2011$206
EU M1short0.246999994Mar 16, 2011Mar 17, 2011($326)
DX M1long0.246999994Mar 16, 2011Mar 17, 2011($119)
SM K1long0.246999994Mar 14, 2011Mar 15, 2011($237)
CD M1short0.246999994Mar 10, 2011Mar 14, 2011$149
US M1long0.246999994Mar 9, 2011Mar 10, 2011$306
US H1long0.246999994Mar 9, 2011Mar 9, 2011($41)
BO K1short0.246999994Mar 7, 2011Mar 9, 2011$205
DX H1long0.246999994Mar 1, 2011Mar 2, 2011($105)
BP H1short0.246999994Feb 24, 2011Feb 25, 2011$163
BO H1short0.246999994Feb 13, 2011Feb 14, 2011$125
BO H1short0.246999994Feb 7, 2011Feb 9, 2011($126)
W H1short0.246999994Feb 6, 2011Feb 8, 2011($127)
EU H1short0.246999994Feb 3, 2011Feb 7, 2011$344
SF H1short0.246999994Feb 2, 2011Feb 3, 2011$356
AD H1long0.246999994Jan 31, 2011Feb 1, 2011$238
CD H1long0.246999994Jan 26, 2011Jan 28, 2011($167)
QSI H1short0.246999994Jan 16, 2011Jan 18, 2011($711)
SB H1short0.246999994Jan 14, 2011Jan 14, 2011$402
S H1short0.246999994Jan 6, 2011Jan 10, 2011($2)
SM H1short0.246999994Jan 3, 2011Jan 7, 2011$92
W H1short0.246999994Jan 4, 2011Jan 5, 2011($184)
AD H1short0.246999994Dec 15, 2010Dec 20, 2010($184)
CD H1short0.246999994Dec 16, 2010Dec 17, 2010$159
US H1long0.246999994Dec 6, 2010Dec 7, 2010($309)

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.