Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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RBgold Supra

By RuleBasedTradingEn

Futures · Started Mar 2014

hypothetical · Annual Return (Compounded)
-55.0%
Max Drawdown
51.9%
Trades
205
Win Trades
43.4%
Profit Factor
0.90
Win Months
1.3%

About this strategy

10 contract 100oz gold. Algo developed with a large out of sample segment. Fully automated on tradestation.
Robust strategy that is easily scaled

2 year hypothetical equity curve:

http://www.screencast.com/users/Rulebasedtrading/folders/Jing/media/16a84888-586a-4d2b-b785-3cd9865cc32c


Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201423.316.4-6.0-39.6-1.9-14.20.00.00.00.0-31.4
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
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began3/11/2014
Suggested Minimum Capital$200,000
Age152 months
What it tradesFutures
# Trades205
# Profitable89
% Profitable43.4%
Avg trade duration10.6 hours
Max peak-to-valley drawdown51.9%
drawdown periodMay 29, 2014 - Aug 14, 2014
Cumul. Return-31.3%
Avg win$4,472
Avg loss$3,687

Ratios

W:L ratio0.93
Sharpe Ratio-0.37
Sortino Ratio-0.48
Calmar Ratio-0.13

CORRELATION STATISTICS

Correlation to SP5000.00
Return Percent SP500 (cumu) during strategy life306.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-38.4%

Return Statistics

Ann Return (w trading costs)-55.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-1.3%

Slump

Current Slump as Pcnt Equity119.6%
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 loss100.0%
Chance of 20% account loss80.5%
Chance of 30% account loss44.5%
Chance of 40% account loss9.0%
Chance of 50% account loss1.5%
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)929
Popularity (Last 6 weeks)994

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$3,687
Avg Win$4,472
# Winners89
Sum Trade PL (losers)$427,730
Sum Trade PL (winners)$397,990
Num Months Winners3
# Losers116
% Winners43.4%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table151

Frequency

Avg Position Time (mins)634.45
Avg Position Time (hrs)10.57
Avg Trade Length0.40
Last Trade Ago4405

Regression

Alpha-0.01
Beta0
Treynor Index-4.04

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.04
MAE:Equity, average, losing trades0.03
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-20.32
MAE:PL (avg, all trades)2.72
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats49.29
MAE:PL - Winning Trades - this strat Percentile of All Strats98.12
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.49
Avg(MAE) / Avg(PL) - Losing trades-1.46
Hold-and-Hope Ratio-0.05

RATIO STATISTICS

Mean0.24
SD0.90
Sharpe ratio (Glass type estimate)0.26
Sharpe ratio (Hedges UMVUE)0.21
df4
t0.17
p0.44
Lowerbound of 95% confidence interval for Sharpe Ratio-2.79
Upperbound of 95% confidence interval for Sharpe Ratio3.29
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.83
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.25
Sortino ratio0.41
Upside Potential Ratio2.24
Upside part of mean1.31
Downside part of mean-1.07
Upside SD0.56
Downside SD0.59
N nonnegative terms3
N negative terms2
N of observations5
Mean of predictor0.07
Mean of criterion0.24
SD of predictor0.08
SD of criterion0.90
Covariance-0.04
r-0.51
b (slope, estimate of beta)-5.49
a (intercept, estimate of alpha)0.60
Mean Square Error0.80
DF error3
t(b)-1.03
p(b)0.81
t(a)0.42
p(a)0.35
Lowerbound of 95% confidence interval for beta-22.45
Upperbound of 95% confidence interval for beta11.47
Lowerbound of 95% confidence interval for alpha-3.96
Upperbound of 95% confidence interval for alpha5.15
Treynor index (mean / b)-0.04
Jensen alpha (a)0.60
Mean-0.12
SD0.98
Sharpe ratio (Glass type estimate)-0.13
Sharpe ratio (Hedges UMVUE)-0.10
df4
t-0.08
p0.53
Lowerbound of 95% confidence interval for Sharpe Ratio-3.16
Upperbound of 95% confidence interval for Sharpe Ratio2.92
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.14
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.94
Sortino ratio-0.17
Upside Potential Ratio1.62
Upside part of mean1.18
Downside part of mean-1.30
Upside SD0.49
Downside SD0.73
N nonnegative terms3
N negative terms2
N of observations5
Mean of predictor0.06
Mean of criterion-0.12
SD of predictor0.08
SD of criterion0.98
Covariance-0.04
r-0.51
b (slope, estimate of beta)-6.00
a (intercept, estimate of alpha)0.25
Mean Square Error0.94
DF error3
t(b)-1.04
p(b)0.81
t(a)0.16
p(a)0.44
Lowerbound of 95% confidence interval for beta-24.40
Upperbound of 95% confidence interval for beta12.39
Lowerbound of 95% confidence interval for alpha-4.68
Upperbound of 95% confidence interval for alpha5.18
Treynor index (mean / b)0.02
Jensen alpha (a)0.25
VaR(95%)0.38
Expected Shortfall on VaR0.45
VaR(95%)0.18
Expected Shortfall on VaR0.35
Mean-0.23
SD0.46
Sharpe ratio (Glass type estimate)-0.50
Sharpe ratio (Hedges UMVUE)-0.50
df167
t-0.35
p0.52
Lowerbound of 95% confidence interval for Sharpe Ratio-3.31
Upperbound of 95% confidence interval for Sharpe Ratio2.30
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.31
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.30
Sortino ratio-0.67
Upside Potential Ratio8.00
Upside part of mean2.76
Downside part of mean-2.99
Upside SD0.31
Downside SD0.35
N nonnegative terms76
N negative terms92
N of observations168
Mean of predictor0.13
Mean of criterion-0.23
SD of predictor0.09
SD of criterion0.46
Covariance0.00
r0.04
b (slope, estimate of beta)0.20
a (intercept, estimate of alpha)-0.08
Mean Square Error0.21
DF error166
t(b)0.53
p(b)0.48
t(a)-0.39
p(a)0.52
Lowerbound of 95% confidence interval for beta-0.56
Upperbound of 95% confidence interval for beta0.96
Lowerbound of 95% confidence interval for alpha-1.57
Upperbound of 95% confidence interval for alpha1.05
Treynor index (mean / b)-1.14
Jensen alpha (a)-0.26
Mean-0.34
SD0.47
Sharpe ratio (Glass type estimate)-0.73
Sharpe ratio (Hedges UMVUE)-0.73
df167
t-0.51
p0.53
Lowerbound of 95% confidence interval for Sharpe Ratio-3.53
Upperbound of 95% confidence interval for Sharpe Ratio2.08
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.53
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.08
Sortino ratio-0.96
Upside Potential Ratio7.62
Upside part of mean2.71
Downside part of mean-3.05
Upside SD0.30
Downside SD0.36
N nonnegative terms76
N negative terms92
N of observations168
Mean of predictor0.13
Mean of criterion-0.34
SD of predictor0.09
SD of criterion0.47
Covariance0.00
r0.04
b (slope, estimate of beta)0.21
a (intercept, estimate of alpha)-0.37
Mean Square Error0.22
DF error166
t(b)0.53
p(b)0.48
t(a)-0.55
p(a)0.52
Lowerbound of 95% confidence interval for beta-0.56
Upperbound of 95% confidence interval for beta0.97
Lowerbound of 95% confidence interval for alpha-1.69
Upperbound of 95% confidence interval for alpha0.96
Treynor index (mean / b)-1.65
Jensen alpha (a)-0.37
VaR(95%)0.04
Expected Shortfall on VaR0.05
VaR(95%)0.02
Expected Shortfall on VaR0.04
VAR (95 Confidence Intrvl)0.02

ORDER STATISTICS

Number of observations5
Minimum0.63
Quartile 10.92
Median1.08
Quartile 31.15
Maximum1.32
Mean of quarter 10.78
Mean of quarter 21.08
Mean of quarter 31.15
Mean of quarter 41.32
Inter Quartile Range0.22
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 observations168
Minimum0.89
Quartile 10.99
Median1
Quartile 31.01
Maximum1.08
Mean of quarter 10.97
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.03
Inter Quartile Range0.02
Number outliers low9
Percentage of outliers low0.05
Mean of outliers low0.94
Number of outliers high8
Percentage of outliers high0.05
Mean of outliers high1.05
Extreme Value Index (moments method)-0.07
VaR(95%) (moments method)0.03
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)0.09
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.05

DRAW DOWN STATISTICS

Number of observations1
Minimum0.42
Quartile 10.42
Median0.42
Quartile 30.42
Maximum0.42
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
Number of observations7
Minimum0.01
Quartile 10.02
Median0.03
Quartile 30.03
Maximum0.50
Mean of quarter 10.01
Mean of quarter 20.03
Mean of quarter 30.03
Mean of quarter 40.27
Inter Quartile Range0.02
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.14
Mean of outliers high0.50
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
Max Equity Drawdown (num days)77
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.11
Compounded annual return (geometric extrapolation)-0.11
Calmar ratio (compounded annual return / max draw down)-0.26
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal-0.24
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.30
Compounded annual return (geometric extrapolation)-0.28
Calmar ratio (compounded annual return / max draw down)-0.56
Compounded annual return / average of 25% largest draw downs-1.04
Compounded annual return / Expected Shortfall lognormal-5.47

Trading record

Placed 228 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
QGC Z4short10Aug 21, 2014Aug 25, 2014$1,020
QGC Z4short20Aug 21, 2014Aug 21, 2014$5,040
QGC Z4long20Aug 21, 2014Aug 21, 2014($2,760)
QGC Z4long20Aug 21, 2014Aug 21, 2014$3,240
QGC Z4short10Aug 20, 2014Aug 20, 2014$3,120
QGC Z4long10Aug 19, 2014Aug 19, 2014($4,080)
QGC Z4short10Aug 15, 2014Aug 15, 2014$11,720
QGC Z4long10Aug 13, 2014Aug 14, 2014($1,980)
QGC Z4long10Aug 13, 2014Aug 13, 2014($480)
QGC Z4long10Aug 12, 2014Aug 12, 2014($2,980)
QGC Z4long10Aug 11, 2014Aug 11, 2014($1,080)
QGC Z4short10Aug 10, 2014Aug 11, 2014($2,580)
QGC Z4long10Aug 8, 2014Aug 10, 2014($7,480)
QGC Z4long10Aug 7, 2014Aug 7, 2014($380)
QGC Z4long10Aug 7, 2014Aug 7, 2014$1,020
QGC Z4short10Aug 7, 2014Aug 7, 2014($5,780)
QGC Z4long10Aug 6, 2014Aug 6, 2014$20
QGC Z4long10Aug 6, 2014Aug 6, 2014$15,320
QGC Z4long10Aug 5, 2014Aug 5, 2014($5,080)
QGC Z4short10Aug 5, 2014Aug 5, 2014($7,180)
QGC Z4long10Aug 5, 2014Aug 5, 2014($8,180)
QGC Z4short20Aug 4, 2014Aug 5, 2014($7,660)
QGC Z4long10Aug 4, 2014Aug 4, 2014($6,780)
QGC Z4short10Aug 4, 2014Aug 4, 2014($1,880)
QGC Z4short10Aug 3, 2014Aug 3, 2014($880)
QGC Z4long10Aug 1, 2014Aug 3, 2014$8,720
QGC Z4short10Aug 1, 2014Aug 1, 2014($2,680)
QGC Z4short40Jul 31, 2014Jul 31, 2014$8,780
QGC Z4long10Jul 31, 2014Jul 31, 2014($8,580)
QGC Z4short10Jul 31, 2014Jul 31, 2014($3,580)

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.