Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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QP Future 15k

By WHLau

Futures · Started Sep 2012

hypothetical · Annual Return (Compounded)
45.0%
Max Drawdown
34.8%
Trades
34
Win Trades
70.6%
Profit Factor
1.40
Win Months
3.0%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201224.818.018.9-10.357.1
20139.0-8.7-22.90.70.00.00.00.00.00.00.00.0-22.8
20140.00.00.00.00.00.00.00.0-0.00.00.00.0-0.0
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
20190.00.00.00.00.00.00.00.00.00.00.0
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 began9/17/2012
Suggested Minimum Capital$15,000
Age170 months
What it tradesFutures
# Trades34
# Profitable24
% Profitable70.6%
Avg trade duration8.5 days
Max peak-to-valley drawdown34.8%
drawdown periodFeb 21, 2013 - March 18, 2013
Annual return (compounded)2.0%
Avg win$756
Avg loss$1,342

Ratios

W:L ratio1.35
Sharpe Ratio-0.03
Sortino Ratio-0.04
Calmar Ratio0.27

CORRELATION STATISTICS

Correlation to SP5000.02
Return Percent SP500 (cumu) during strategy life420.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)14.5%

Return Statistics

Ann Return (w trading costs)45.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)2.0%

Slump

Current Slump as Pcnt Equity55.5%
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 loss66.5%
Chance of 20% account loss26.0%
Chance of 30% account loss8.0%
Chance of 40% account loss0.5%
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)—

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$1,342
Avg Win$756
# Winners24
Sum Trade PL (losers)$13,420
Sum Trade PL (winners)$18,143
Num Months Winners5
# Losers10
% Winners70.6%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table169

Frequency

Avg Position Time (mins)12210.55
Avg Position Time (hrs)203.51
Avg Trade Length8.50
Last Trade Ago4918

Regression

Alpha0
Beta0.01
Treynor Index-0.06

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.04
MAE:Equity, 95th Percentile Value for this strat0.27
MAE:Equity, average, losing trades0.09
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 trades6.58
MAE:PL (avg, all trades)4.83
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats25.32
MAE:PL - Winning Trades - this strat Percentile of All Strats90.97
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.70
Avg(MAE) / Avg(PL) - Losing trades-1.37
Hold-and-Hope Ratio0.15

RATIO STATISTICS

a (intercept, estimate of alpha)0.07
VAR (95 Confidence Intrvl)0.02

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)25
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 61 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
CD H3long1Feb 19, 2013Mar 19, 2013($848)
EU H3long1Feb 25, 2013Mar 18, 2013($4,483)
AD H3short1Feb 19, 2013Mar 18, 2013($308)
YM H3short1Feb 11, 2013Mar 15, 2013($2,887)
ES H3short1Feb 11, 2013Feb 21, 2013$456
YM H3short2Feb 1, 2013Feb 7, 2013$887
ES H3long1Feb 1, 2013Feb 7, 2013$12
AD H3long1Feb 1, 2013Feb 1, 2013$172
CD H3long2Jan 9, 2013Feb 1, 2013($2,123)
YM H3short1Jan 31, 2013Feb 1, 2013$42
AD H3short3Jan 8, 2013Jan 31, 2013$1,684
YM H3short1Jan 16, 2013Jan 17, 2013($167)
ES H3short2Jan 7, 2013Jan 8, 2013$136
ES H3long1Jan 7, 2013Jan 7, 2013($21)
CD H3long2Dec 17, 2012Jan 2, 2013$607
AD H3long1Dec 19, 2012Jan 2, 2013$6
EU H3short4Dec 17, 2012Jan 2, 2013($1,950)
CD Z2long2Dec 12, 2012Dec 13, 2012$256
ES Z2short1Dec 12, 2012Dec 13, 2012$267
CD Z2long1Dec 10, 2012Dec 11, 2012$82
EU Z2long1Dec 10, 2012Dec 11, 2012$380
CD Z2long2Dec 4, 2012Dec 6, 2012($160)
EU Z2short1Dec 4, 2012Dec 6, 2012$878
ES Z2short1Dec 4, 2012Dec 6, 2012$310
EU Z2short1Dec 3, 2012Dec 4, 2012($593)
AD Z2short1Nov 27, 2012Nov 27, 2012$189
CD Z2long1Nov 19, 2012Nov 23, 2012$632
EU Z2long1Nov 14, 2012Nov 16, 2012$92
AD Z2short1Nov 14, 2012Nov 16, 2012$1,112
AD Z2long1Nov 6, 2012Nov 7, 2012$302

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.