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

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$25k Alpha Portfolio

By AaronCapps4

Futures · Started May 2009

hypothetical · Annual Return (Compounded)
-6.9%
Max Drawdown
31.3%
Trades
73
Win Trades
46.6%
Profit Factor
0.90
Win Months
1.9%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20093.70.92.9-5.3-21.0-2.2-2.80.0-23.4
20100.00.00.00.01.40.00.0-0.00.0-0.00.00.01.4
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
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
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 began5/6/2009
Suggested Minimum Capital$25,000
Age211 months
What it tradesFutures
# Trades73
# Profitable34
% Profitable46.6%
Avg trade duration3.6 hours
Max peak-to-valley drawdown31.3%
drawdown periodJuly 23, 2009 - Oct 28, 2009
Annual return (compounded)-0.6%
Avg win$550
Avg loss$541

Ratios

W:L ratio0.89
Sharpe Ratio-0.41
Sortino Ratio-0.51
Calmar Ratio0.01

CORRELATION STATISTICS

Correlation to SP5000.03
Return Percent SP500 (cumu) during strategy life730.6%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-95.5%

Return Statistics

Ann Return (w trading costs)-6.9%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-0.6%

Slump

Current Slump as Pcnt Equity41.7%
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 loss90.2%
Chance of 20% account loss61.9%
Chance of 30% account loss20.9%
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$541
Avg Win$550
# Winners34
Sum Trade PL (losers)$21,108
Sum Trade PL (winners)$18,707
Num Months Winners5
# Losers39
% Winners46.6%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table209

Frequency

Avg Position Time (mins)217.18
Avg Position Time (hrs)3.62
Avg Trade Length0.20
Last Trade Ago6153

Regression

Alpha-0.01
Beta0.01
Treynor Index-0.80

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.04
MAE:Equity, average, losing trades0.03
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 trades-11.63
MAE:PL (avg, all trades)-0.48
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats12.91
MAE:PL - Winning Trades - this strat Percentile of All Strats12.27
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.25
Avg(MAE) / Avg(PL) - Losing trades-1.10
Hold-and-Hope Ratio-0.09

RATIO STATISTICS

a (intercept, estimate of alpha)0.00
VAR (95 Confidence Intrvl)0.02

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)97
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 55 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES Z9long1Nov 2, 2009Nov 2, 2009($546)
ES Z9short2Oct 30, 2009Oct 30, 2009$2,397
ES Z9long1Oct 29, 2009Oct 29, 2009$630
ES Z9short1Oct 28, 2009Oct 28, 2009$680
ES Z9short2Oct 26, 2009Oct 26, 2009$209
ES Z9long6Oct 26, 2009Oct 26, 2009($4,361)
ES Z9short5Oct 23, 2009Oct 23, 2009$585
ES Z9long4Oct 22, 2009Oct 22, 2009$531
ES Z9long2Oct 21, 2009Oct 21, 2009($854)
ES Z9short2Oct 20, 2009Oct 20, 2009($466)
ES Z9long2Oct 19, 2009Oct 19, 2009$59
ES Z9short2Oct 16, 2009Oct 16, 2009($316)
ES Z9long1Oct 14, 2009Oct 14, 2009$167
ES Z9short1Oct 13, 2009Oct 13, 2009($133)
ES Z9long1Oct 12, 2009Oct 12, 2009($221)
ES Z9long1Oct 8, 2009Oct 8, 2009($33)
ES Z9short1Oct 6, 2009Oct 6, 2009($171)
ES Z9long2Oct 6, 2009Oct 6, 2009($666)
ES Z9long1Oct 5, 2009Oct 5, 2009$355
ES Z9long1Oct 5, 2009Oct 5, 2009($196)
ES Z9short2Oct 1, 2009Oct 1, 2009$1,834
ES Z9long3Sep 30, 2009Sep 30, 2009($1,124)
ES Z9short6Sep 30, 2009Sep 30, 2009($2,148)
ES Z9short2Sep 29, 2009Sep 29, 2009($491)
ES Z9short2Sep 21, 2009Sep 21, 2009($379)
ES Z9long1Sep 16, 2009Sep 16, 2009$367
ES Z9long1Sep 15, 2009Sep 15, 2009($71)
ES U9short1Sep 4, 2009Sep 4, 2009($233)
ES U9short2Sep 1, 2009Sep 1, 2009$172
ES U9long4Sep 1, 2009Sep 1, 2009($825)

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.