Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW +44.9% Cumul. Return since Jul 10, 2026 Hypothetical

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VeePo ES Custom

By BrentKillinger

Futures · Started Nov 2011

hypothetical · Annual Return (Compounded)
-2.2%
Max Drawdown
84.3%
Trades
61
Win Trades
52.5%
Profit Factor
0.90
Win Months
17.3%

About this strategy

VeePo™ is a robust capital growth software system that encompasses predictive market techniques along with proprietary trade sizing controls to generate spectacular returns with exceptional consistency. While no system can guarantee low risk - especially while trading futures - and while unforeseen events can cause you to lose a substantial amount if not all of your money, this system goes to great lengths in an effort to to control risk to a level we feel exceeds that experienced when trading alternative algorithmic systems. VeePo™ techniques are far superior to traditional technical analysis systems which may only try to improve winning trade probabilities - VeePo™ actually predicts market direction with a remarkable and consistent success rate. Visit www.veeposoftware.com for more detailed information and charts.

WARNING: THIS SYSTEM CANNOT BE TRADED AT A MULTIPLE OF LESS THAN ONE (1) !!!

NOTE: The system trades listed on C2 do not reflect our real world subsystem trades since we are actually trading two ES subsystems that trade independent of each other - C2's trade tracking does not accommodate this - this is also why we have an "Extreme" trade that shows on our list entered on Sep 13, 2012 when if fact it was three trades consolidated into one.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20111.913.816.0
20123.15.4-1.11.93.85.50.44.8-4.3-6.2-0.52.915.9
201311.9-2.02.4-2.22.1-0.4-10.1-10.85.915.25.98.625.8
2014-6.02.61.14.24.63.90.6-11.24.9-6.5-8.612.6-0.4
2015-15.56.1-4.59.2-2.5-6.04.6-13.22.9-63.837.37.8-57.2
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 began11/22/2011
Suggested Minimum Capital$70,000
Age180 months
What it tradesFutures
# Trades61
# Profitable32
% Profitable52.5%
Avg trade duration21.9 days
Max peak-to-valley drawdown84.3%
drawdown periodJuly 22, 2014 - Nov 03, 2015
Annual Return (Compounded)-2.2%
Avg win$4,355
Avg loss$5,098

Ratios

W:L ratio0.94
Sharpe Ratio-0.08
Sortino Ratio-0.12
Calmar Ratio-0.03

CORRELATION STATISTICS

Correlation to SP500-0.02
Return Percent SP500 (cumu) during strategy life540.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-566.4%

Return Statistics

Ann Return (w trading costs)-2.2%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-0.9%

Slump

Current Slump as Pcnt Equity166.4%
Current Slump, time of slump as pcnt of strategy life0.8%

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 loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)100.0%
Chance of 70% account loss (Monte Carlo)100.0%
Chance of 80% account loss (Monte Carlo)100.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)—

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$5,098
Avg Win$4,355
# Winners32
Sum Trade PL (losers)$147,834
Sum Trade PL (winners)$139,371
Num Months Winners31
# Losers29
% Winners52.5%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table179

Frequency

Avg Position Time (mins)31470.25
Avg Position Time (hrs)524.50
Avg Trade Length21.90
Last Trade Ago3924

Regression

Alpha0
Beta-0.03
Treynor Index0.17

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.06
MAE:Equity, 95th Percentile Value for this strat0.14
MAE:Equity, average, losing trades0.10
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-34.97
MAE:PL (avg, all trades)-0.57
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats41.59
MAE:PL - Winning Trades - this strat Percentile of All Strats26.60
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.52
Avg(MAE) / Avg(PL) - Losing trades-1.51
Hold-and-Hope Ratio-0.03

RATIO STATISTICS

Mean0.00
SD0.29
Sharpe ratio (Glass type estimate)0.01
Sharpe ratio (Hedges UMVUE)0.01
df73
t0.03
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.78
Upperbound of 95% confidence interval for Sharpe Ratio0.80
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.78
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.80
Sortino ratio0.01
Upside Potential Ratio1.05
Upside part of mean0.25
Downside part of mean-0.24
Upside SD0.16
Downside SD0.24
N nonnegative terms28
N negative terms46
N of observations74
Mean of predictor0.30
Mean of criterion0.00
SD of predictor0.24
SD of criterion0.29
Covariance-0.01
r-0.11
b (slope, estimate of beta)-0.13
a (intercept, estimate of alpha)0.04
Mean Square Error0.08
DF error72
t(b)-0.94
p(b)0.82
t(a)0.35
p(a)0.36
Lowerbound of 95% confidence interval for beta-0.42
Upperbound of 95% confidence interval for beta0.15
Lowerbound of 95% confidence interval for alpha-0.20
Upperbound of 95% confidence interval for alpha0.29
Treynor index (mean / b)-0.02
Jensen alpha (a)0.04
Mean-0.05
SD0.35
Sharpe ratio (Glass type estimate)-0.14
Sharpe ratio (Hedges UMVUE)-0.14
df73
t-0.35
p0.64
Lowerbound of 95% confidence interval for Sharpe Ratio-0.93
Upperbound of 95% confidence interval for Sharpe Ratio0.65
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.93
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.65
Sortino ratio-0.16
Upside Potential Ratio0.75
Upside part of mean0.24
Downside part of mean-0.28
Upside SD0.15
Downside SD0.31
N nonnegative terms28
N negative terms46
N of observations74
Mean of predictor0.27
Mean of criterion-0.05
SD of predictor0.22
SD of criterion0.35
Covariance-0.01
r-0.11
b (slope, estimate of beta)-0.17
a (intercept, estimate of alpha)-0.00
Mean Square Error0.12
DF error72
t(b)-0.93
p(b)0.82
t(a)-0.02
p(a)0.51
Lowerbound of 95% confidence interval for beta-0.54
Upperbound of 95% confidence interval for beta0.20
Lowerbound of 95% confidence interval for alpha-0.30
Upperbound of 95% confidence interval for alpha0.29
Treynor index (mean / b)0.28
Jensen alpha (a)-0.00
VaR(95%)0.16
Expected Shortfall on VaR0.19
VaR(95%)0.05
Expected Shortfall on VaR0.12
Mean-0.01
SD0.27
Sharpe ratio (Glass type estimate)-0.05
Sharpe ratio (Hedges UMVUE)-0.05
df1620
t-0.12
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.83
Upperbound of 95% confidence interval for Sharpe Ratio0.74
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.83
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.74
Sortino ratio-0.07
Upside Potential Ratio4.31
Upside part of mean0.82
Downside part of mean-0.83
Upside SD0.19
Downside SD0.19
N nonnegative terms485
N negative terms1136
N of observations1621
Mean of predictor0.31
Mean of criterion-0.01
SD of predictor0.25
SD of criterion0.27
Covariance-0.00
r-0.02
b (slope, estimate of beta)-0.02
a (intercept, estimate of alpha)-0.01
Mean Square Error0.07
DF error1619
t(b)-0.88
p(b)0.51
t(a)-0.05
p(a)0.50
Lowerbound of 95% confidence interval for beta-0.08
Upperbound of 95% confidence interval for beta0.03
Lowerbound of 95% confidence interval for alpha-0.22
Upperbound of 95% confidence interval for alpha0.21
Treynor index (mean / b)0.53
Jensen alpha (a)-0.01
Mean-0.05
SD0.27
Sharpe ratio (Glass type estimate)-0.18
Sharpe ratio (Hedges UMVUE)-0.18
df1620
t-0.45
p0.51
Lowerbound of 95% confidence interval for Sharpe Ratio-0.97
Upperbound of 95% confidence interval for Sharpe Ratio0.61
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.97
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.61
Sortino ratio-0.24
Upside Potential Ratio4.00
Upside part of mean0.80
Downside part of mean-0.85
Upside SD0.18
Downside SD0.20
N nonnegative terms485
N negative terms1136
N of observations1621
Mean of predictor0.27
Mean of criterion-0.05
SD of predictor0.25
SD of criterion0.27
Covariance-0.00
r-0.02
b (slope, estimate of beta)-0.02
a (intercept, estimate of alpha)-0.04
Mean Square Error0.07
DF error1619
t(b)-0.83
p(b)0.51
t(a)-0.39
p(a)0.51
Lowerbound of 95% confidence interval for beta-0.07
Upperbound of 95% confidence interval for beta0.03
Lowerbound of 95% confidence interval for alpha-0.26
Upperbound of 95% confidence interval for alpha0.17
Treynor index (mean / b)2.21
Jensen alpha (a)-0.04
VaR(95%)0.03
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.02
Mean-0.03
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 ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor1.45
Mean of criterion-0.03
SD of predictor0.39
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
Mean-0.03
SD0
Sharpe ratio (Glass type estimate)-9.74841826823373e+15
Sharpe ratio (Hedges UMVUE)-9.69206937105203e+15
df130
t-6893172865105920
p1
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.08701574255084e+16
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-8513981316595712
Sortino ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor1.36
Mean of criterion-0.03
SD of predictor0.39
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)-0.03
Mean Square Error0
DF error129
t(b)0
p(b)0.50
t(a)-6713111193059328
p(a)1
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.03
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha-0.03
Treynor index (mean / b)6.06317837227898e+31
Jensen alpha (a)-0.03
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations74
Minimum0.49
Quartile 11.00
Median1
Quartile 31.03
Maximum1.24
Mean of quarter 10.93
Mean of quarter 21
Mean of quarter 31.01
Mean of quarter 41.08
Inter Quartile Range0.03
Number outliers low9
Percentage of outliers low0.12
Mean of outliers low0.87
Number of outliers high6
Percentage of outliers high0.08
Mean of outliers high1.14
Extreme Value Index (moments method)0.69
VaR(95%) (moments method)0.02
Expected Shortfall (moments method)0.08
Extreme Value Index (regression method)0.72
VaR(95%) (regression method)0.05
Expected Shortfall (regression method)0.24
Number of observations1621
Minimum0.82
Quartile 11.00
Median1
Quartile 31.00
Maximum1.17
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.00
Number outliers low260
Percentage of outliers low0.16
Mean of outliers low0.98
Number of outliers high262
Percentage of outliers high0.16
Mean of outliers high1.02
Extreme Value Index (moments method)0.70
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)0.41
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.02
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 observations5
Minimum0.01
Quartile 10.02
Median0.14
Quartile 30.15
Maximum0.65
Mean of quarter 10.01
Mean of quarter 20.14
Mean of quarter 30.15
Mean of quarter 40.65
Inter Quartile Range0.13
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.20
Mean of outliers high0.65
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 observations55
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.03
Maximum0.75
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.02
Mean of quarter 40.12
Inter Quartile Range0.03
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high4
Percentage of outliers high0.07
Mean of outliers high0.31
Extreme Value Index (moments method)0.90
VaR(95%) (moments method)0.12
Expected Shortfall (moments method)1.12
Extreme Value Index (regression method)1.56
VaR(95%) (regression method)0.08
Expected Shortfall (regression method)0
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?-418951936
Max Equity Drawdown (num days)469
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.02
Compounded annual return (geometric extrapolation)-0.02
Calmar ratio (compounded annual return / max draw down)-0.03
Compounded annual return / average of 25% largest draw downs-0.03
Compounded annual return / Expected Shortfall lognormal-0.11
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.02
Compounded annual return (geometric extrapolation)-0.02
Calmar ratio (compounded annual return / max draw down)-0.03
Compounded annual return / average of 25% largest draw downs-0.18
Compounded annual return / Expected Shortfall lognormal-0.61
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 102 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES Z5short8Sep 10, 2015Dec 18, 2015($32,664)
ES Z5long4Sep 9, 2015Sep 10, 2015($7,782)
ES U5short2Aug 26, 2015Aug 28, 2015($6,391)
ES U5long4Jun 11, 2015Aug 21, 2015($9,282)
ES M5long2May 27, 2015Jun 3, 2015$884
ES M5short4May 6, 2015May 27, 2015($5,257)
ES M5long4Mar 30, 2015May 5, 2015$7,218
ES H5long2Feb 4, 2015Feb 18, 2015$5,559
ES H5long2Feb 1, 2015Feb 2, 2015$672
ES H5long2Jan 26, 2015Jan 28, 2015($191)
ES H5short2Jan 15, 2015Jan 25, 2015($6,466)
ES H5short4Jan 8, 2015Jan 13, 2015$756
ES H5long5Dec 31, 2014Jan 6, 2015($11,015)
ES H5short1Dec 9, 2014Dec 16, 2014$3,792
ES Z4short4Oct 20, 2014Dec 15, 2014($16,245)
ES Z4short5Sep 15, 2014Oct 10, 2014$9,910
ES U4short4Aug 12, 2014Sep 15, 2014($10,120)
ES U4long3Jun 13, 2014Aug 6, 2014$4,064
ES M4long3May 6, 2014Jun 13, 2014$6,601
ES M4short1Apr 23, 2014May 5, 2014($258)
ES M4long1Apr 11, 2014Apr 23, 2014$2,817
ES M4short1Mar 21, 2014Apr 11, 2014$2,917
ES M4long1Mar 14, 2014Mar 21, 2014$1,667
ES H4long1Feb 24, 2014Mar 14, 2014($233)
ES H4short1Feb 14, 2014Feb 24, 2014($796)
ES H4long5Dec 5, 2013Feb 12, 2014$8,385
ES Z3long4Sep 13, 2013Dec 17, 2013$17,718
ES U3long4Jul 26, 2013Sep 13, 2013($3,557)
ES U3short4Jun 20, 2013Jul 19, 2013($11,337)
ES U3short2Jun 13, 2013Jun 18, 2013($399)

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.