Collective2 Collective2
Featured Strategy Iberia Capital Strategy +14.8% Cumul. Return since Apr 15, 2026 Hypothetical

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Bond Portfolio E9

By HiroHayashi

Futures · Started Aug 2009

hypothetical · Annual Return (Compounded)
2.3%
Max Drawdown
19.5%
Trades
41
Win Trades
56.1%
Profit Factor
3
Win Months
12.2%

About this strategy

**** We have stopped accepting new subscriptions ****



Portfolio investing in USD- and Euro-denominated short-term interest rate (bond) futures. Some of its features are:

*** Aiming at low-risk steady performance;
*** Adaptive approach;
*** Diversified: a combination of long- and short-term holding subsystems; And,
*** Investing in USD- and Euro-denominated short-term interest rate (bond) futures, TU (CBOT), ED (CME), SCHATZ (Eurex) and Euribor (LIFFE, London) (ii).

*Recommended Capital Size: USD 100,000
The System has 9 subsystems, which invest in 4 futures, Euribor, SCHATZ, ED and TU.


Notes: (i) Collective2 Codes
T-Note 2 Year TU - @TU
Eurodollar ED - @ED
Euribor - IE
SCHATZ - EZ

(ii) Euribor was not handled on the Collective2 platform till July 6, 2010. The performance from Euribor trades was not included in the overall performance till then. Also, please trade Euribor on the LIFFE but not on the Eurex, where its volume is very thin. And,

(iii) Bond Portfolio E9 does not trade frequently. It sometimes keeps its positions without any new trades for many weeks.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20090.31.52.09.2-3.39.7
20109.26.8-1.02.89.22.75.24.7-2.60.6-3.10.139.3
2011-4.5-3.6-1.50.3-2.0-3.26.97.70.00.00.00.0-0.7
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
20140.00.50.00.1-0.20.0-0.2-0.3-0.5-0.0-0.2-0.3-1.0
2015-0.9-0.1-0.40.20.00.2-0.20.20.0-0.3-0.30.3-1.2
20160.0-0.00.5-0.1-0.1-0.10.1-0.00.1-0.30.00.0-0.0
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 began8/5/2009
Suggested Minimum Capital$100,000
Age208 months
What it tradesFutures
# Trades41
# Profitable23
% Profitable56.1%
Avg trade duration35.6 days
Max peak-to-valley drawdown19.5%
drawdown periodAug 24, 2010 - July 04, 2011
Annual Return (Compounded)2.3%
Avg win$3,839
Avg loss$1,627

Ratios

W:L ratio3.01
Sharpe Ratio0.09
Sortino Ratio0.15
Calmar Ratio0.17

CORRELATION STATISTICS

Correlation to SP500-0.13
Return Percent SP500 (cumu) during strategy life661.7%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-610.7%

Return Statistics

Ann Return (w trading costs)2.3%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)2.7%

Slump

Current Slump as Pcnt Equity9.1%
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 loss100.0%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
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%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$1,627
Avg Win$3,839
# Winners23
Sum Trade PL (losers)$29,289
Sum Trade PL (winners)$88,299
Num Months Winners30
# Losers18
% Winners56.1%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table206

Frequency

Avg Position Time (mins)51272.57
Avg Position Time (hrs)854.54
Avg Trade Length35.60
Last Trade Ago5504

Regression

Alpha0
Beta-0.03
Treynor Index-0.04

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.01
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 trades0.98
MAE:PL (avg, all trades)-0.33
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats23
MAE:PL - Winning Trades - this strat Percentile of All Strats17.79
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.27
Avg(MAE) / Avg(PL) - Losing trades-1.17
Hold-and-Hope Ratio1.02

RATIO STATISTICS

Mean0.05
SD0.14
Sharpe ratio (Glass type estimate)0.35
Sharpe ratio (Hedges UMVUE)0.34
df63
t0.80
p0.21
Lowerbound of 95% confidence interval for Sharpe Ratio-0.50
Upperbound of 95% confidence interval for Sharpe Ratio1.20
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.51
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.19
Sortino ratio0.49
Upside Potential Ratio1.31
Upside part of mean0.13
Downside part of mean-0.08
Upside SD0.10
Downside SD0.10
N nonnegative terms46
N negative terms18
N of observations64
Mean of predictor0.36
Mean of criterion0.05
SD of predictor0.21
SD of criterion0.14
Covariance-0.00
r-0.12
b (slope, estimate of beta)-0.08
a (intercept, estimate of alpha)0.08
Mean Square Error0.02
DF error62
t(b)-0.96
p(b)0.83
t(a)1.15
p(a)0.13
Lowerbound of 95% confidence interval for beta-0.25
Upperbound of 95% confidence interval for beta0.09
Lowerbound of 95% confidence interval for alpha-0.06
Upperbound of 95% confidence interval for alpha0.21
Treynor index (mean / b)-0.59
Jensen alpha (a)0.08
Mean0.04
SD0.15
Sharpe ratio (Glass type estimate)0.26
Sharpe ratio (Hedges UMVUE)0.26
df63
t0.61
p0.27
Lowerbound of 95% confidence interval for Sharpe Ratio-0.59
Upperbound of 95% confidence interval for Sharpe Ratio1.11
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.59
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.11
Sortino ratio0.34
Upside Potential Ratio1.14
Upside part of mean0.13
Downside part of mean-0.09
Upside SD0.09
Downside SD0.11
N nonnegative terms46
N negative terms18
N of observations64
Mean of predictor0.34
Mean of criterion0.04
SD of predictor0.20
SD of criterion0.15
Covariance-0.00
r-0.09
b (slope, estimate of beta)-0.07
a (intercept, estimate of alpha)0.06
Mean Square Error0.02
DF error62
t(b)-0.74
p(b)0.77
t(a)0.87
p(a)0.20
Lowerbound of 95% confidence interval for beta-0.25
Upperbound of 95% confidence interval for beta0.12
Lowerbound of 95% confidence interval for alpha-0.08
Upperbound of 95% confidence interval for alpha0.20
Treynor index (mean / b)-0.57
Jensen alpha (a)0.06
VaR(95%)0.06
Expected Shortfall on VaR0.08
VaR(95%)0.01
Expected Shortfall on VaR0.03
Mean0.05
SD0.16
Sharpe ratio (Glass type estimate)0.32
Sharpe ratio (Hedges UMVUE)0.32
df1416
t0.74
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.52
Upperbound of 95% confidence interval for Sharpe Ratio1.16
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.52
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.16
Sortino ratio0.41
Upside Potential Ratio3.39
Upside part of mean0.43
Downside part of mean-0.37
Upside SD0.10
Downside SD0.13
N nonnegative terms1036
N negative terms381
N of observations1417
Mean of predictor0.41
Mean of criterion0.05
SD of predictor0.33
SD of criterion0.16
Covariance0.00
r0.04
b (slope, estimate of beta)0.02
a (intercept, estimate of alpha)0.04
Mean Square Error0.03
DF error1415
t(b)1.50
p(b)0.47
t(a)0.63
p(a)0.49
Lowerbound of 95% confidence interval for beta-0.01
Upperbound of 95% confidence interval for beta0.05
Lowerbound of 95% confidence interval for alpha-0.09
Upperbound of 95% confidence interval for alpha0.18
Treynor index (mean / b)2.62
Jensen alpha (a)0.04
Mean0.04
SD0.17
Sharpe ratio (Glass type estimate)0.23
Sharpe ratio (Hedges UMVUE)0.23
df1416
t0.52
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.62
Upperbound of 95% confidence interval for Sharpe Ratio1.07
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.62
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.07
Sortino ratio0.28
Upside Potential Ratio3.08
Upside part of mean0.42
Downside part of mean-0.38
Upside SD0.10
Downside SD0.14
N nonnegative terms1036
N negative terms381
N of observations1417
Mean of predictor0.35
Mean of criterion0.04
SD of predictor0.34
SD of criterion0.17
Covariance0.00
r0.05
b (slope, estimate of beta)0.03
a (intercept, estimate of alpha)0.03
Mean Square Error0.03
DF error1415
t(b)1.98
p(b)0.47
t(a)0.40
p(a)0.49
Lowerbound of 95% confidence interval for beta0.00
Upperbound of 95% confidence interval for beta0.05
Lowerbound of 95% confidence interval for alpha-0.11
Upperbound of 95% confidence interval for alpha0.17
Treynor index (mean / b)1.44
Jensen alpha (a)0.03
VaR(95%)0.02
Expected Shortfall on VaR0.02
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.01
Mean of criterion0
SD of predictor0.32
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.96
Mean of criterion0
SD of predictor0.32
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.02
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations64
Minimum0.78
Quartile 11.00
Median1
Quartile 31.00
Maximum1.15
Mean of quarter 10.97
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.04
Inter Quartile Range0.00
Number outliers low13
Percentage of outliers low0.20
Mean of outliers low0.97
Number of outliers high15
Percentage of outliers high0.23
Mean of outliers high1.05
Extreme Value Index (moments method)0.61
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)0.85
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.16
Number of observations1417
Minimum0.78
Quartile 11.00
Median1
Quartile 31.00
Maximum1.12
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.01
Inter Quartile Range0.00
Number outliers low303
Percentage of outliers low0.21
Mean of outliers low0.99
Number of outliers high314
Percentage of outliers high0.22
Mean of outliers high1.01
Extreme Value Index (moments method)0.83
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)0.53
VaR(95%) (regression method)0.00
Expected Shortfall (regression method)0.01
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations2
Minimum0.14
Quartile 10.16
Median0.18
Quartile 30.20
Maximum0.22
Mean of quarter 10.14
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.22
Inter Quartile Range0.04
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations17
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.05
Maximum0.23
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.02
Mean of quarter 40.13
Inter Quartile Range0.05
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.12
Mean of outliers high0.19
Extreme Value Index (moments method)0.02
VaR(95%) (moments method)0.11
Expected Shortfall (moments method)0.16
Extreme Value Index (regression method)0.50
VaR(95%) (regression method)0.16
Expected Shortfall (regression method)0.36
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-426344416
Max Equity Drawdown (num days)314
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.04
Compounded annual return (geometric extrapolation)0.04
Calmar ratio (compounded annual return / max draw down)0.18
Compounded annual return / average of 25% largest draw downs0.18
Compounded annual return / Expected Shortfall lognormal0.49
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.04
Compounded annual return (geometric extrapolation)0.04
Calmar ratio (compounded annual return / max draw down)0.17
Compounded annual return / average of 25% largest draw downs0.29
Compounded annual return / Expected Shortfall lognormal1.84
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 140 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
EZ U1long6May 30, 2011Aug 23, 2011$8,757
ED U1long7Jun 1, 2011Aug 22, 2011($1,419)
TU U1long4Jun 1, 2011Aug 22, 2011$4,074
IE U1long3Jun 26, 2011Aug 22, 2011$1,462
IE U1long2May 29, 2011Jun 21, 2011($234)
ED M1long9Mar 1, 2011Jun 1, 2011$1,466
EZ M1short8Mar 3, 2011May 30, 2011($2,412)
IE M1short2Mar 28, 2011May 26, 2011($357)
IE M1short2Mar 8, 2011Mar 22, 2011($411)
IE M1long1Feb 23, 2011Mar 7, 2011($349)
EZ H1short3Jan 20, 2011Mar 3, 2011$1,218
ED H1long9Dec 1, 2010Mar 1, 2011$3,912
TU M1short2Feb 23, 2011Feb 24, 2011($420)
IE H1long1Feb 10, 2011Feb 24, 2011($22)
TU H1short2Feb 11, 2011Feb 23, 2011($888)
TU H1long6Nov 26, 2010Feb 11, 2011($4,596)
IE H1long7Nov 24, 2010Feb 1, 2011($1,372)
EZ H1long10Nov 29, 2010Jan 20, 2011($6,189)
EZ Z0long9Sep 3, 2010Dec 3, 2010($3,325)
ED Z0long15Sep 1, 2010Dec 1, 2010$393
TU Z0long10Aug 27, 2010Nov 26, 2010$1,746
IE Z0short2Oct 21, 2010Nov 23, 2010($575)
IE Z0long9Aug 23, 2010Oct 21, 2010($3,592)
EZ U0long12Jun 4, 2010Sep 3, 2010$1,593
ED U0long13Jun 11, 2010Sep 1, 2010$6,894
TU U0long8May 26, 2010Aug 27, 2010$10,672
EBE U0long11Jul 7, 2010Aug 23, 2010$261
ED U0short3May 30, 2010Jun 9, 2010($424)
EZ M0long7Mar 4, 2010Jun 4, 2010$10,783
ED M0short3May 7, 2010May 30, 2010($237)

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.