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

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tester4

By WilliamThreewits

Futures · Started Jul 2009

hypothetical · Annual Return (Compounded)
-16.5%
Max Drawdown
39.4%
Trades
374
Win Trades
35.8%
Profit Factor
0.90
Win Months
1.0%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2009-7.910.9-8.4-17.3-27.919.0-33.7
2010-3.90.00.00.0-11.4-0.00.0-0.0-0.00.00.0-0.0-14.9
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 began7/6/2009
Suggested Minimum Capital$30,000
Age209 months
What it tradesFutures
# Trades374
# Profitable134
% Profitable35.8%
Avg trade duration1.9 hours
Max peak-to-valley drawdown39.4%
drawdown periodSept 04, 2009 - Nov 24, 2009
Annual return (compounded)-1.3%
Avg win$721
Avg loss$427

Ratios

W:L ratio0.94
Sharpe Ratio-0.33
Sortino Ratio-0.47
Calmar Ratio-0.11

CORRELATION STATISTICS

Correlation to SP500-0.00
Return Percent SP500 (cumu) during strategy life749.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-109.5%

Return Statistics

Ann Return (w trading costs)-16.5%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-1.3%

Slump

Current Slump as Pcnt Equity91.5%
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 loss100.0%
Chance of 20% account loss88.2%
Chance of 30% account loss61.1%
Chance of 40% account loss22.2%
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$427
Avg Win$721
# Winners134
Sum Trade PL (losers)$102,541
Sum Trade PL (winners)$96,607
Num Months Winners4
# Losers240
% Winners35.8%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table207

Frequency

Avg Position Time (mins)112.07
Avg Position Time (hrs)1.87
Avg Trade Length0.10
Last Trade Ago6097

Regression

Alpha-0.01
Beta0
Treynor Index7.77

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.02
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 trades-6.53
MAE:PL (avg, all trades)-2.11
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats55.31
MAE:PL - Winning Trades - this strat Percentile of All Strats26.06
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.33
Avg(MAE) / Avg(PL) - Losing trades-1.30
Hold-and-Hope Ratio-0.15

RATIO STATISTICS

a (intercept, estimate of alpha)-0.03
VAR (95 Confidence Intrvl)0.04

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)81
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 512 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
QCL G0short1Jan 5, 2010Jan 5, 2010($488)
QCL G0short1Dec 31, 2009Dec 31, 2009($558)
QCL G0long1Dec 30, 2009Dec 30, 2009($478)
QNG G0short1Dec 30, 2009Dec 30, 2009$272
QCL G0long1Dec 30, 2009Dec 30, 2009($778)
QNG G0short1Dec 30, 2009Dec 30, 2009($828)
QCL G0short1Dec 29, 2009Dec 29, 2009$42
QCL G0long1Dec 29, 2009Dec 29, 2009($788)
QNG G0long1Dec 29, 2009Dec 29, 2009($828)
QCL G0long1Dec 28, 2009Dec 28, 2009$62
QNG G0long1Dec 28, 2009Dec 28, 2009($18)
QCL G0long1Dec 24, 2009Dec 27, 2009$132
QNG G0long1Dec 24, 2009Dec 24, 2009($1,018)
QCL G0short1Dec 24, 2009Dec 24, 2009($528)
QCL G0long1Dec 23, 2009Dec 23, 2009$1,652
QNG F0long1Dec 23, 2009Dec 23, 2009$492
QCL G0long1Dec 22, 2009Dec 22, 2009$472
QNG F0long1Dec 22, 2009Dec 22, 2009($308)
QCL G0short1Dec 22, 2009Dec 22, 2009($518)
QCL G0short1Dec 22, 2009Dec 22, 2009($478)
QNG F0short1Dec 22, 2009Dec 22, 2009($8)
QNG F0short1Dec 21, 2009Dec 21, 2009$642
QCL G0short1Dec 21, 2009Dec 21, 2009($28)
QCL G0short1Dec 21, 2009Dec 21, 2009($378)
QNG F0short1Dec 18, 2009Dec 18, 2009$202
QCL G0short1Dec 18, 2009Dec 18, 2009($428)
QNG F0long1Dec 18, 2009Dec 18, 2009($188)
QNG F0long1Dec 17, 2009Dec 17, 2009$2
QNG F0short1Dec 16, 2009Dec 16, 2009($748)
QCL G0long1Dec 16, 2009Dec 16, 2009$1,232

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.