Collective2 Collective2

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BT2

By joe_blow2

Futures · Started Jul 2008

hypothetical · Annual Return (Compounded)
-20.3%
Max Drawdown
54.0%
Trades
121
Win Trades
64.5%
Profit Factor
1
Win Months
2.8%

About this strategy

The BT2 is a technically-based ES emini day trading system. Daily profit objective is +2 points. Methodology is completely objective.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200810.3-13.250.3-83.60.00.0-76.3
20090.00.00.00.00.00.00.00.00.0-0.40.00.0-0.4
20100.00.00.00.00.00.4-0.40.40.00.10.0-0.10.4
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
20140.00.00.00.00.00.00.00.00.30.00.00.00.3
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
20190.00.00.00.00.00.00.00.00.00.00.0
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 began7/18/2008
Suggested Minimum Capital$10,000
Age221 months
What it tradesFutures
# Trades121
# Profitable78
% Profitable64.5%
Avg trade duration15.2 minutes
Max peak-to-valley drawdown54.0%
drawdown periodOct 14, 2008 - Oct 23, 2008
Annual return (compounded)1.2%
Avg win$690
Avg loss$1,194

Ratios

W:L ratio1.05
Sharpe Ratio-0.21
Sortino Ratio-0.22
Calmar Ratio0.07

CORRELATION STATISTICS

Correlation to SP5000.04
Return Percent SP500 (cumu) during strategy life505.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-10.3%

Return Statistics

Ann Return (w trading costs)-20.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.2%

Slump

Current Slump as Pcnt Equity670.2%
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%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss37.5%
Chance of 20% account loss32.5%
Chance of 30% account loss17.5%
Chance of 40% account loss10.0%
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$1,194
Avg Win$690
# Winners78
Sum Trade PL (losers)$51,354
Sum Trade PL (winners)$53,803
Num Months Winners6
# Losers43
% Winners64.5%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table219

Frequency

Avg Position Time (mins)15.18
Avg Position Time (hrs)0.25
Avg Trade Length0
Last Trade Ago6527

Regression

Alpha-0.02
Beta0.05
Treynor Index-0.31

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.25
MAE:Equity, 95th Percentile Value for this strat0.37
MAE:Equity, average, losing trades0.11
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.35
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-87.63
MAE:PL (avg, all trades)4.11
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats29.49
MAE:PL - Winning Trades - this strat Percentile of All Strats93.53
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades5.29
Avg(MAE) / Avg(PL) - Losing trades-1.19
Hold-and-Hope Ratio-0.01

RATIO STATISTICS

a (intercept, estimate of alpha)0.82
VAR (95 Confidence Intrvl)0.12

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)9
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 198 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES Z8short5Oct 24, 2008Oct 24, 2008$498
ES Z8long7Oct 23, 2008Oct 23, 2008$1,221
ES Z8short7Oct 23, 2008Oct 23, 2008($5,704)
ES Z8short7Oct 23, 2008Oct 23, 2008$1,310
ES Z8short7Oct 23, 2008Oct 23, 2008$995
ES Z8long5Oct 23, 2008Oct 23, 2008$928
ES Z8short7Oct 23, 2008Oct 23, 2008($5,738)
ES Z8long6Oct 22, 2008Oct 22, 2008$271
ES Z8long6Oct 21, 2008Oct 21, 2008$627
ES Z8long5Oct 20, 2008Oct 20, 2008$946
ES Z8long5Oct 17, 2008Oct 17, 2008$746
ES Z8long5Oct 16, 2008Oct 16, 2008$398
ES Z8short5Oct 16, 2008Oct 16, 2008$523
ES Z8short5Oct 15, 2008Oct 15, 2008$3,960
ES Z8long8Oct 15, 2008Oct 15, 2008($5,302)
ES Z8short9Oct 15, 2008Oct 15, 2008($6,140)
ES Z8long8Oct 15, 2008Oct 15, 2008($3,064)
ES Z8short8Oct 15, 2008Oct 15, 2008$1,672
ES Z8long8Oct 15, 2008Oct 15, 2008($2,552)
ES Z8short8Oct 14, 2008Oct 14, 2008$468
ES Z8short8Oct 13, 2008Oct 13, 2008$436
ES Z8long7Oct 10, 2008Oct 10, 2008$913
ES Z8short7Oct 9, 2008Oct 9, 2008$737
ES Z8short7Oct 8, 2008Oct 8, 2008$1,052
ES Z8short7Oct 8, 2008Oct 8, 2008($1,583)
ES Z8short7Oct 7, 2008Oct 7, 2008$1,638
ES Z8short6Oct 2, 2008Oct 2, 2008$327
ES Z8long6Oct 2, 2008Oct 2, 2008($321)
ES Z8short6Oct 1, 2008Oct 1, 2008$522
ES Z8long6Sep 30, 2008Sep 30, 2008($18)

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.