Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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Corn Trend

By CommoditiesTrader

Futures · Started Feb 2012

hypothetical · Annual Return (Compounded)
-5.4%
Max Drawdown
32.8%
Trades
83
Win Trades
37.3%
Profit Factor
1
Win Months
1.1%

About this strategy

It's a system for pacient traders, because almost 60% of trades are losers.

The system trades from 5:00 to 15:00 EST. We'll almost always have a position in the market, and always a reversal stop order. The system makes about 20 trades per month.

I suggest 10000$ equity per contract, to avoid having too much leverage.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2012-1.339.5-13.219.5-20.7-19.30.00.00.00.00.0-8.6
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
20260.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began2/29/2012
Suggested Minimum Capital$10,000
Age177 months
What it tradesFutures
# Trades83
# Profitable31
% Profitable37.3%
Avg trade duration1.5 days
Max peak-to-valley drawdown32.8%
drawdown periodJune 12, 2012 - June 20, 2014
Annual return (compounded)0.6%
Avg win$707
Avg loss$403

Ratios

W:L ratio1.05
Sharpe Ratio-0.16
Sortino Ratio-0.22
Calmar Ratio0.10

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life453.0%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-16.6%

Return Statistics

Ann Return (w trading costs)-5.4%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.6%

Slump

Current Slump as Pcnt Equity63.6%
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 loss22.5%
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%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$403
Avg Win$707
# Winners31
Sum Trade PL (losers)$20,943
Sum Trade PL (winners)$21,916
Num Months Winners2
# Losers52
% Winners37.3%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table175

Frequency

Avg Position Time (mins)2210.18
Avg Position Time (hrs)36.84
Avg Trade Length1.50
Last Trade Ago5170

Regression

Alpha-0.01
Beta-0.01
Treynor Index0.98

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0.04
MAE:Equity, average, losing trades0.04
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-25.54
MAE:PL (avg, all trades)-0.69
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats19.73
MAE:PL - Winning Trades - this strat Percentile of All Strats22.89
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.24
Avg(MAE) / Avg(PL) - Losing trades-1.13
Hold-and-Hope Ratio-0.04

RATIO STATISTICS

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

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)738
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 94 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
C Z2short1Jul 10, 2012Jul 11, 2012($508)
C Z2long1Jul 9, 2012Jul 10, 2012($221)
C Z2short1Jul 6, 2012Jul 9, 2012($1,446)
C Z2long1Jul 3, 2012Jul 6, 2012$1,092
C Z2short1Jul 3, 2012Jul 3, 2012($383)
C Z2long1Jul 2, 2012Jul 3, 2012$386
C Z2short1Jun 29, 2012Jul 2, 2012($1,163)
C Z2long1Jun 28, 2012Jun 29, 2012($752)
C Z2short1Jun 28, 2012Jun 28, 2012($646)
C Z2long1Jun 28, 2012Jun 28, 2012($358)
C Z2short1Jun 27, 2012Jun 28, 2012($477)
C Z2long1Jun 26, 2012Jun 27, 2012$1,030
C Z2short1Jun 26, 2012Jun 26, 2012($721)
C Z2long1Jun 25, 2012Jun 26, 2012$823
C Z2short1Jun 22, 2012Jun 25, 2012($1,227)
C Z2long1Jun 22, 2012Jun 22, 2012($14)
C Z2short1Jun 21, 2012Jun 22, 2012($83)
C Z2long1Jun 20, 2012Jun 21, 2012($333)
C Z2short1Jun 20, 2012Jun 20, 2012($258)
C N2long1Jun 18, 2012Jun 20, 2012$1,142
C N2short1Jun 15, 2012Jun 18, 2012$498
C N2long1Jun 13, 2012Jun 15, 2012$405
C N2short1Jun 13, 2012Jun 13, 2012($408)
C N2long1Jun 12, 2012Jun 13, 2012($408)
C N2long1Jun 12, 2012Jun 12, 2012($1,000)
C N2short1Jun 11, 2012Jun 12, 2012($96)
C N2long1Jun 5, 2012Jun 11, 2012$1,109
C N2short1Jun 5, 2012Jun 5, 2012($508)
C N2long1Jun 1, 2012Jun 5, 2012$67
C N2short1Jun 1, 2012Jun 1, 2012($371)

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.