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

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TradingTrends1

By A-M-S

Futures · Started Apr 2013

hypothetical · Annual Return (Compounded)
1.0%
Max Drawdown
40.7%
Trades
56
Win Trades
67.9%
Profit Factor
1.30
Win Months
5.6%

About this strategy

Trades are normally held from a couple of days to a few weeks.
Orders are usually communicated well in advance using buy/sell limits and/or stop limits.
Trades on a shorter term timeframe (a couple of hours to a few days) will occur when market volatility allows it.

This system trades 1 to 2 futures per $15.000 in equity.
Positions may be built up over a period of time if appropriate.

Discretionary trading system.

Optimal for both swing traders and short term traders.
20 years of experience in all kinds of trading have shown that this “smart money BASIS” allows for consistent good returns over time.
The additional short term trades can provide extra return to the portfolio.

What is traded?
FUTURES only! Mainly E-mini S&P, sometimes mini GOLD, Nikkei, …

(in the first 2 months on C2 we also traded Forex in this system, but from 7/3/13 the system will ONLY trade FUTURES)

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20130.024.520.51.712.5-4.7-0.2-9.610.362.9
20146.4-10.2-6.823.6-8.00.03.7-8.416.1-37.30.00.0-29.9
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
20190.00.00.00.00.00.00.00.00.00.00.00.0
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 began4/29/2013
Suggested Minimum Capital$15,000
Age163 months
What it tradesFutures
# Trades56
# Profitable38
% Profitable67.9%
Avg trade duration4.5 days
Max peak-to-valley drawdown40.7%
drawdown periodApril 28, 2014 - Oct 31, 2014
Annual Return (Compounded)1.0%
Avg win$732
Avg loss$1,236

Ratios

W:L ratio1.25
Sharpe Ratio-0.02
Sortino Ratio-0.03
Calmar Ratio0.27

CORRELATION STATISTICS

Correlation to SP500-0.06
Return Percent SP500 (cumu) during strategy life377.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-370.1%

Return Statistics

Ann Return (w trading costs)1.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)2.4%

Slump

Current Slump as Pcnt Equity66.4%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex0.1%
Percent Trades Futures0.9%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss59.5%
Chance of 20% account loss28.0%
Chance of 30% account loss10.5%
Chance of 40% account loss1.5%
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%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)331
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$1,236
Avg Win$732
# Winners38
Sum Trade PL (losers)$22,241
Sum Trade PL (winners)$27,833
Num Months Winners9
# Losers18
% Winners67.9%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table162

Frequency

Avg Position Time (mins)6417.85
Avg Position Time (hrs)106.96
Avg Trade Length4.50
Last Trade Ago4329

Regression

Alpha0
Beta-0.04
Treynor Index0.02

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.05
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.08
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.03
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades9.97
MAE:PL (avg, all trades)0.68
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats67.03
MAE:PL - Winning Trades - this strat Percentile of All Strats64.19
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.01
Avg(MAE) / Avg(PL) - Losing trades-1.23
Hold-and-Hope Ratio0.10

RATIO STATISTICS

Mean0.12
SD0.34
Sharpe ratio (Glass type estimate)0.35
Sharpe ratio (Hedges UMVUE)0.34
df41
t0.65
p0.26
Lowerbound of 95% confidence interval for Sharpe Ratio-0.70
Upperbound of 95% confidence interval for Sharpe Ratio1.40
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.71
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.39
Sortino ratio0.60
Upside Potential Ratio1.82
Upside part of mean0.36
Downside part of mean-0.24
Upside SD0.27
Downside SD0.20
N nonnegative terms9
N negative terms33
N of observations42
Mean of predictor0.41
Mean of criterion0.12
SD of predictor0.26
SD of criterion0.34
Covariance-0.02
r-0.24
b (slope, estimate of beta)-0.32
a (intercept, estimate of alpha)0.25
Mean Square Error0.11
DF error40
t(b)-1.56
p(b)0.94
t(a)1.26
p(a)0.11
Lowerbound of 95% confidence interval for beta-0.73
Upperbound of 95% confidence interval for beta0.09
Lowerbound of 95% confidence interval for alpha-0.15
Upperbound of 95% confidence interval for alpha0.65
Treynor index (mean / b)-0.37
Jensen alpha (a)0.25
Mean0.06
SD0.34
Sharpe ratio (Glass type estimate)0.18
Sharpe ratio (Hedges UMVUE)0.18
df41
t0.34
p0.37
Lowerbound of 95% confidence interval for Sharpe Ratio-0.87
Upperbound of 95% confidence interval for Sharpe Ratio1.23
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.87
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.23
Sortino ratio0.27
Upside Potential Ratio1.42
Upside part of mean0.33
Downside part of mean-0.27
Upside SD0.24
Downside SD0.23
N nonnegative terms9
N negative terms33
N of observations42
Mean of predictor0.37
Mean of criterion0.06
SD of predictor0.24
SD of criterion0.34
Covariance-0.02
r-0.24
b (slope, estimate of beta)-0.34
a (intercept, estimate of alpha)0.19
Mean Square Error0.11
DF error40
t(b)-1.56
p(b)0.94
t(a)0.96
p(a)0.17
Lowerbound of 95% confidence interval for beta-0.77
Upperbound of 95% confidence interval for beta0.10
Lowerbound of 95% confidence interval for alpha-0.21
Upperbound of 95% confidence interval for alpha0.58
Treynor index (mean / b)-0.19
Jensen alpha (a)0.19
VaR(95%)0.14
Expected Shortfall on VaR0.18
VaR(95%)0.06
Expected Shortfall on VaR0.13
Mean0.08
SD0.21
Sharpe ratio (Glass type estimate)0.40
Sharpe ratio (Hedges UMVUE)0.40
df935
t0.75
p0.23
Lowerbound of 95% confidence interval for Sharpe Ratio-0.64
Upperbound of 95% confidence interval for Sharpe Ratio1.43
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.64
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.43
Sortino ratio0.61
Upside Potential Ratio4.31
Upside part of mean0.58
Downside part of mean-0.50
Upside SD0.16
Downside SD0.14
N nonnegative terms110
N negative terms826
N of observations936
Mean of predictor0.47
Mean of criterion0.08
SD of predictor0.33
SD of criterion0.21
Covariance-0.00
r-0.06
b (slope, estimate of beta)-0.04
a (intercept, estimate of alpha)0.10
Mean Square Error0.04
DF error934
t(b)-1.89
p(b)0.97
t(a)0.91
p(a)0.18
Lowerbound of 95% confidence interval for beta-0.08
Upperbound of 95% confidence interval for beta0.00
Lowerbound of 95% confidence interval for alpha-0.12
Upperbound of 95% confidence interval for alpha0.32
Treynor index (mean / b)-2.14
Jensen alpha (a)0.10
Mean0.06
SD0.21
Sharpe ratio (Glass type estimate)0.29
Sharpe ratio (Hedges UMVUE)0.29
df935
t0.55
p0.29
Lowerbound of 95% confidence interval for Sharpe Ratio-0.75
Upperbound of 95% confidence interval for Sharpe Ratio1.33
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.75
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.33
Sortino ratio0.43
Upside Potential Ratio4.02
Upside part of mean0.57
Downside part of mean-0.51
Upside SD0.15
Downside SD0.14
N nonnegative terms110
N negative terms826
N of observations936
Mean of predictor0.41
Mean of criterion0.06
SD of predictor0.35
SD of criterion0.21
Covariance-0.00
r-0.06
b (slope, estimate of beta)-0.04
a (intercept, estimate of alpha)0.08
Mean Square Error0.04
DF error934
t(b)-1.80
p(b)0.96
t(a)0.68
p(a)0.25
Lowerbound of 95% confidence interval for beta-0.07
Upperbound of 95% confidence interval for beta0.00
Lowerbound of 95% confidence interval for alpha-0.14
Upperbound of 95% confidence interval for alpha0.29
Treynor index (mean / b)-1.71
Jensen alpha (a)0.08
VaR(95%)0.02
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.01
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 predictor1.20
Mean of criterion-0.03
SD of predictor0.52
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 predictor1.06
Mean of criterion-0.03
SD of predictor0.52
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)-6812252996894720
p(a)1
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 alpha-0.03
Upperbound of 95% confidence interval for alpha-0.03
Treynor index (mean / b)-9.00247985384524e+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 observations42
Minimum0.68
Quartile 11
Median1
Quartile 31
Maximum1.32
Mean of quarter 10.93
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.12
Inter Quartile Range0
Number outliers low9
Percentage of outliers low0.21
Mean of outliers low0.91
Number of outliers high9
Percentage of outliers high0.21
Mean of outliers high1.14
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0.15
VaR(95%) (regression method)0.09
Expected Shortfall (regression method)0.17
Number of observations936
Minimum0.83
Quartile 11
Median1
Quartile 31
Maximum1.13
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.01
Inter Quartile Range0
Number outliers low126
Percentage of outliers low0.13
Mean of outliers low0.99
Number of outliers high111
Percentage of outliers high0.12
Mean of outliers high1.02
Extreme Value Index (moments method)0.04
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)0.01
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
Minimum0.05
Quartile 10.09
Median0.11
Quartile 30.18
Maximum0.32
Mean of quarter 10.07
Mean of quarter 20.11
Mean of quarter 30.18
Mean of quarter 40.32
Inter Quartile Range0.09
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 observations15
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.08
Maximum0.34
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.03
Mean of quarter 40.21
Inter Quartile Range0.08
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.13
Mean of outliers high0.28
Extreme Value Index (moments method)-0.25
VaR(95%) (moments method)0.23
Expected Shortfall (moments method)0.28
Extreme Value Index (regression method)0.56
VaR(95%) (regression method)0.30
Expected Shortfall (regression method)0.67
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?-392410240
Max Equity Drawdown (num days)186
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.11
Compounded annual return (geometric extrapolation)0.09
Calmar ratio (compounded annual return / max draw down)0.30
Compounded annual return / average of 25% largest draw downs0.30
Compounded annual return / Expected Shortfall lognormal0.53
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.10
Compounded annual return (geometric extrapolation)0.09
Calmar ratio (compounded annual return / max draw down)0.27
Compounded annual return / average of 25% largest draw downs0.45
Compounded annual return / Expected Shortfall lognormal3.57
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 66 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES Z4short4Oct 21, 2014Oct 31, 2014($10,707)
ES Z4long3Oct 14, 2014Oct 16, 2014$314
ES Z4long2Oct 13, 2014Oct 14, 2014$34
ES Z4short1Oct 10, 2014Oct 10, 2014$67
ES Z4short1Oct 9, 2014Oct 9, 2014($183)
ES Z4long2Oct 1, 2014Oct 3, 2014$159
ES Z4long1Oct 1, 2014Oct 1, 2014$142
ES Z4short1Sep 29, 2014Oct 1, 2014$255
ES Z4short3Aug 25, 2014Sep 25, 2014$2,014
ES U4short2Aug 14, 2014Sep 12, 2014($1,341)
ES Z4short1Aug 20, 2014Aug 20, 2014($258)
ES U4short1Aug 11, 2014Aug 12, 2014$617
ES U4short1Aug 7, 2014Aug 7, 2014$455
ES U4short1Aug 6, 2014Aug 7, 2014$430
ES U4short2Jul 10, 2014Jul 31, 2014$1,197
ES U4short1May 20, 2014May 22, 2014($1,121)
ES M4short1Apr 28, 2014May 22, 2014($1,408)
ES M4short1Apr 21, 2014Apr 22, 2014($508)
ES U4short2Apr 9, 2014Apr 11, 2014$3,147
ES M4short2Mar 17, 2014Apr 10, 2014$2,072
ES H4short1Mar 7, 2014Mar 11, 2014($208)
ES H4short2Feb 4, 2014Feb 10, 2014($2,504)
ES H4short1Jan 28, 2014Jan 29, 2014$392
ES H4long1Jan 27, 2014Jan 27, 2014$505
ES H4long1Jan 26, 2014Jan 27, 2014$592
ES H4long1Jan 15, 2014Jan 15, 2014$55
ES H4short1Jan 13, 2014Jan 13, 2014$880
ES H4long1Dec 30, 2013Jan 8, 2014($283)
ES H4long1Dec 23, 2013Dec 26, 2013$492
ES H4long1Dec 19, 2013Dec 19, 2013$130

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.