Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW Followed by live capital $119,000 Hypothetical

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Zen-Kerma Trader

By JeremySato

Futures · Started Feb 2007

hypothetical · Annual Return (Compounded)
-6.0%
Max Drawdown
35.7%
Trades
52
Win Trades
82.7%
Profit Factor
0.60
Win Months
0.4%

About this strategy

Go out of business.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20071.6-29.00.00.00.00.00.00.00.00.00.0-27.8
20080.00.00.00.00.00.00.00.00.00.00.00.00.0
20090.00.00.00.00.00.00.00.00.0-0.00.00.0-0.0
20100.00.00.00.00.00.0-0.00.00.00.00.00.00.0
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
20190.00.00.00.00.00.00.00.00.00.00.00.0
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 began2/15/2007
Suggested Minimum Capital$100,000
Age238 months
What it tradesFutures
# Trades52
# Profitable43
% Profitable82.7%
Avg trade duration7.8 minutes
Max peak-to-valley drawdown35.7%
drawdown periodMarch 20, 2007 - Sept 20, 2009
Annual return (compounded)-1.1%
Avg win$613
Avg loss$5,134

Ratios

W:L ratio0.57
Sharpe Ratio-0.39
Sortino Ratio-0.40
Calmar Ratio0

CORRELATION STATISTICS

Correlation to SP500-0.02
Return Percent SP500 (cumu) during strategy life424.3%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-35.7%

Return Statistics

Ann Return (w trading costs)-6.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-1.1%

Slump

Current Slump as Pcnt Equity63.1%
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$5,134
Avg Win$613
# Winners43
Sum Trade PL (losers)$46,210
Sum Trade PL (winners)$26,380
Num Months Winners3
# Losers9
% Winners82.7%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table236

Frequency

Avg Position Time (mins)7.75
Avg Position Time (hrs)0.13
Avg Trade Length0
Last Trade Ago7110

Regression

Alpha-0.01
Beta-0.01
Treynor Index1.31

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0.46
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 trades-5.12
MAE:PL (avg, all trades)1.19
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats75.20
MAE:PL - Winning Trades - this strat Percentile of All Strats61.04
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades2.47
Avg(MAE) / Avg(PL) - Losing trades-1.31
Hold-and-Hope Ratio-0.20

RATIO STATISTICS

a (intercept, estimate of alpha)-0.01
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)915
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 41 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ER2 M7short73Mar 21, 2007Mar 21, 2007($45,104)
ER2 M7short5Mar 20, 2007Mar 20, 2007$760
ER2 M7long5Mar 20, 2007Mar 20, 2007$260
ER2 M7short5Mar 19, 2007Mar 19, 2007$210
ER2 M7short5Mar 19, 2007Mar 19, 2007$60
ER2 M7short10Mar 19, 2007Mar 19, 2007$320
ER2 M7short5Mar 19, 2007Mar 19, 2007$160
ER2 M7short15Mar 19, 2007Mar 19, 2007($620)
ER2 M7short15Mar 16, 2007Mar 16, 2007$480
ER2 M7short15Mar 15, 2007Mar 15, 2007$830
ER2 M7short5Mar 15, 2007Mar 15, 2007$60
ER2 M7short10Mar 15, 2007Mar 15, 2007$20
ER2 M7short5Mar 14, 2007Mar 14, 2007$310
ER2 M7short5Mar 14, 2007Mar 14, 2007$260
ER2 M7short5Mar 14, 2007Mar 14, 2007$260
ER2 M7long5Mar 13, 2007Mar 13, 2007$510
ER2 M7short30Mar 12, 2007Mar 12, 2007$510
ER2 M7long10Mar 12, 2007Mar 12, 2007$820
ER2 H7long5Mar 12, 2007Mar 12, 2007($140)
ER2 H7short40Mar 9, 2007Mar 9, 2007$2,480
ER2 H7short5Mar 8, 2007Mar 8, 2007$110
ER2 H7long10Mar 7, 2007Mar 7, 2007$520
ER2 H7short5Mar 6, 2007Mar 6, 2007$560
ER2 H7short5Mar 6, 2007Mar 6, 2007$460
ER2 H7short60Mar 5, 2007Mar 5, 2007$1,220
ER2 H7short10Mar 5, 2007Mar 5, 2007$170
ER2 H7short5Mar 5, 2007Mar 5, 2007($40)
ER2 H7short5Mar 5, 2007Mar 5, 2007($340)
ER2 H7short10Mar 5, 2007Mar 5, 2007$920
ER2 H7short5Mar 2, 2007Mar 2, 2007$810

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.