Collective2 Collective2
Featured Strategy S2Prox0 +53.2% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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RB Global Macro Strategy
(105930658)

Created by: RB_Portfolio RB_Portfolio
Started: 10/2016
Futures, Forex
Last trade: 1,975 days ago
Trading style: Futures Macro / Fundamental

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $366.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
-
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(100.0%)
Max Drawdown
191
Num Trades
84.8%
Win Trades
0.7 : 1
Profit Factor
17.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               +20.2%+28.0%(4.3%)+47.2%
2017+17.4%+1.4%(28.7%)+10.2%(9.4%)+16.3%+11.4%(2.4%)+2.5%+8.8%(10.3%)(6.8%)(0.1%)
2018(18.1%)+15.6%(5.5%)+12.7%+15.7%+2.1%(3%)+2.7%+5.7%+17.2%(116.3%)(9.6%)(121.7%)
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 63 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2614 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/5/18 14:36 QBZF9 Brent Crude Nymex Last Day LONG 20 72.68 11/23 13:11 59.51 1795.07%
Trade id #120739289
Max drawdown($263,480)
Time11/23/18 13:11
Quant open13
Worst price59.27
Drawdown as % of equity1795.07%
 ($263,640)
Includes Typical Broker Commissions trade costs of $160.00
4/20/17 11:35 EUR/USD EUR/USD SHORT 60 1.07346 11/20/18 13:29 1.13634 23.97%
Trade id #111157628
Max drawdown($48,948)
Time10/22/18 3:28
Quant open-60
Worst price1.15504
Drawdown as % of equity-23.97%
 ($37,728)
11/9/18 9:37 @WH9 WHEAT LONG 10 515 3/4 11/12 13:27 526 1.11%
Trade id #120849140
Max drawdown($2,125)
Time11/9/18 14:15
Quant open10
Worst price511 2/4
Drawdown as % of equity-1.11%
 $5,045
Includes Typical Broker Commissions trade costs of $80.00
11/1/18 10:01 QPLF9 PLATINUM SHORT 25 861.0 11/9 16:37 856.4 12.37%
Trade id #120665933
Max drawdown($25,600)
Time11/7/18 6:20
Quant open-25
Worst price881.5
Drawdown as % of equity-12.37%
 $5,575
Includes Typical Broker Commissions trade costs of $200.00
11/5/18 10:46 @SF9 SOYBEANS SHORT 5 890 1/4 11/5 11:33 886 2/4 0.09%
Trade id #120730042
Max drawdown($187)
Time11/5/18 10:53
Quant open-5
Worst price891
Drawdown as % of equity-0.09%
 $898
Includes Typical Broker Commissions trade costs of $40.00
10/31/18 21:27 QBZF9 Brent Crude Nymex Last Day LONG 10 73.87 11/5 11:10 73.97 8.26%
Trade id #120655202
Max drawdown($16,970)
Time11/2/18 11:08
Quant open10
Worst price72.17
Drawdown as % of equity-8.26%
 $950
Includes Typical Broker Commissions trade costs of $80.00
11/1/18 10:00 QPLF9 PLATINUM LONG 5 858.2 11/1 10:00 858.5 n/a $35
Includes Typical Broker Commissions trade costs of $40.00
10/31/18 10:58 EBF9 Brent Crude Oil LONG 15 75.87 10/31 12:02 76.18 n/a $4,530
Includes Typical Broker Commissions trade costs of $120.00
10/29/18 14:10 USD/CHF USD/CHF LONG 15 1.00151 10/30 7:27 1.00195 0.06%
Trade id #120603415
Max drawdown($134)
Time10/29/18 14:34
Quant open15
Worst price1.00061
Drawdown as % of equity-0.06%
 $66
10/29/18 10:41 USD/CHF USD/CHF SHORT 15 1.00163 10/29 14:10 1.00148 0.04%
Trade id #120596143
Max drawdown($92)
Time10/29/18 12:46
Quant open-5
Worst price1.00244
Drawdown as % of equity-0.04%
 $22
10/29/18 10:05 @WZ8 WHEAT LONG 5 506 3/4 10/29 14:08 508 0.44%
Trade id #120595056
Max drawdown($1,000)
Time10/29/18 11:24
Quant open5
Worst price502 3/4
Drawdown as % of equity-0.44%
 $273
Includes Typical Broker Commissions trade costs of $40.00
10/29/18 10:15 EBZ8 Brent Crude Oil LONG 5 77.22 10/29 10:32 77.35 0.76%
Trade id #120595359
Max drawdown($1,750)
Time10/29/18 10:18
Quant open5
Worst price76.87
Drawdown as % of equity-0.76%
 $610
Includes Typical Broker Commissions trade costs of $40.00
10/24/18 6:33 @CH9 CORN LONG 5 381 10/28 20:23 383 1/4 0.95%
Trade id #120506067
Max drawdown($2,062)
Time10/25/18 13:11
Quant open5
Worst price372 3/4
Drawdown as % of equity-0.95%
 $523
Includes Typical Broker Commissions trade costs of $40.00
10/24/18 6:32 @WH9 WHEAT LONG 10 522 4/4 10/28 20:01 529 1/4 3.73%
Trade id #120506061
Max drawdown($8,062)
Time10/25/18 13:36
Quant open10
Worst price506 3/4
Drawdown as % of equity-3.73%
 $3,108
Includes Typical Broker Commissions trade costs of $80.00
10/25/18 15:11 EBF9 Brent Crude Oil LONG 5 76.87 10/26 11:48 77.50 2.52%
Trade id #120546237
Max drawdown($5,350)
Time10/26/18 5:47
Quant open5
Worst price75.80
Drawdown as % of equity-2.52%
 $3,110
Includes Typical Broker Commissions trade costs of $40.00
10/25/18 10:02 QPLF9 PLATINUM LONG 5 827.1 10/26 9:47 832.3 0.18%
Trade id #120537914
Max drawdown($380)
Time10/26/18 0:19
Quant open5
Worst price825.6
Drawdown as % of equity-0.18%
 $1,255
Includes Typical Broker Commissions trade costs of $40.00
10/24/18 6:34 QGCG9 Gold 100 oz LONG 10 1239.0 10/24 9:23 1239.1 1.27%
Trade id #120506088
Max drawdown($2,750)
Time10/24/18 8:07
Quant open5
Worst price1234.3
Drawdown as % of equity-1.27%
 ($30)
Includes Typical Broker Commissions trade costs of $80.00
10/24/18 6:44 @SF9 SOYBEANS LONG 5 868 1/4 10/24 9:23 868 1/4 0.09%
Trade id #120506168
Max drawdown($187)
Time10/24/18 8:06
Quant open5
Worst price867 2/4
Drawdown as % of equity-0.09%
 ($40)
Includes Typical Broker Commissions trade costs of $40.00
10/24/18 8:43 QPLF9 PLATINUM LONG 10 831.0 10/24 9:23 834.9 0.16%
Trade id #120507429
Max drawdown($350)
Time10/24/18 8:52
Quant open5
Worst price829.6
Drawdown as % of equity-0.16%
 $1,845
Includes Typical Broker Commissions trade costs of $80.00
10/23/18 12:49 QGCZ8 Gold 100 oz LONG 5 1233.3 10/23 13:12 1234.1 0.05%
Trade id #120492281
Max drawdown($100)
Time10/23/18 12:51
Quant open5
Worst price1233.1
Drawdown as % of equity-0.05%
 $360
Includes Typical Broker Commissions trade costs of $40.00
10/22/18 8:21 @WZ8 WHEAT LONG 10 511 3/4 10/23 13:12 510 2/4 1.55%
Trade id #120465069
Max drawdown($3,250)
Time10/23/18 11:01
Quant open10
Worst price505 1/4
Drawdown as % of equity-1.55%
 ($705)
Includes Typical Broker Commissions trade costs of $80.00
10/23/18 10:52 QPLF9 PLATINUM LONG 5 831.3 10/23 11:37 835.4 0.06%
Trade id #120488620
Max drawdown($125)
Time10/23/18 10:55
Quant open5
Worst price830.8
Drawdown as % of equity-0.06%
 $985
Includes Typical Broker Commissions trade costs of $40.00
10/23/18 10:52 QGCZ8 Gold 100 oz LONG 5 1235.8 10/23 11:34 1236.4 0.31%
Trade id #120488622
Max drawdown($650)
Time10/23/18 10:59
Quant open5
Worst price1234.5
Drawdown as % of equity-0.31%
 $260
Includes Typical Broker Commissions trade costs of $40.00
10/19/18 12:17 QPLF9 PLATINUM LONG 20 829.5 10/23 9:50 834.8 4.88%
Trade id #120443873
Max drawdown($9,500)
Time10/23/18 2:10
Quant open20
Worst price820.0
Drawdown as % of equity-4.88%
 $5,140
Includes Typical Broker Commissions trade costs of $160.00
10/15/18 8:42 QGCZ8 Gold 100 oz LONG 6 1232.8 10/23 3:00 1233.0 2.03%
Trade id #120348227
Max drawdown($3,870)
Time10/18/18 2:45
Quant open3
Worst price1221.7
Drawdown as % of equity-2.03%
 $102
Includes Typical Broker Commissions trade costs of $48.00
10/18/18 9:33 @WZ8 WHEAT LONG 8 514 2/4 10/19 9:58 516 2/4 0.76%
Trade id #120417365
Max drawdown($1,500)
Time10/19/18 4:41
Quant open8
Worst price510 3/4
Drawdown as % of equity-0.76%
 $736
Includes Typical Broker Commissions trade costs of $64.00
10/17/18 10:49 QPLF9 PLATINUM LONG 30 836.9 10/19 8:26 839.0 6.38%
Trade id #120402466
Max drawdown($11,950)
Time10/18/18 9:55
Quant open25
Worst price828.6
Drawdown as % of equity-6.38%
 $2,960
Includes Typical Broker Commissions trade costs of $240.00
10/18/18 12:17 EBF9 Brent Crude Oil LONG 10 79.07 10/18 12:34 79.26 1.5%
Trade id #120422283
Max drawdown($2,900)
Time10/18/18 12:22
Quant open10
Worst price78.78
Drawdown as % of equity-1.50%
 $1,820
Includes Typical Broker Commissions trade costs of $80.00
10/18/18 10:55 EBF9 Brent Crude Oil LONG 5 79.17 10/18 12:17 79.07 0.83%
Trade id #120420062
Max drawdown($1,600)
Time10/18/18 12:16
Quant open5
Worst price78.85
Drawdown as % of equity-0.83%
 ($540)
Includes Typical Broker Commissions trade costs of $40.00
10/17/18 11:18 EBF9 Brent Crude Oil LONG 15 79.71 10/17 15:25 79.76 0.43%
Trade id #120403317
Max drawdown($850)
Time10/17/18 11:40
Quant open5
Worst price79.19
Drawdown as % of equity-0.43%
 $580
Includes Typical Broker Commissions trade costs of $120.00
Next

Statistics

  • Strategy began
    10/3/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2750.78
  • Age
    92 months ago
  • What it trades
    Futures, Forex
  • # Trades
    191
  • # Profitable
    162
  • % Profitable
    84.80%
  • Avg trade duration
    19.4 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Nov 20, 2018 - Nov 23, 2018
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $1,638
  • Avg loss
    $13,135
  • Model Account Values (Raw)
  • Cash
    ($11,305)
  • Margin Used
    $0
  • Buying Power
    ($11,305)
  • Ratios
  • W:L ratio
    0.71:1
  • Sharpe Ratio
    -0.63
  • Sortino Ratio
    -0.66
  • Calmar Ratio
    -0.991
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -268.94%
  • Correlation to SP500
    0.08400
  • Return Percent SP500 (cumu) during strategy life
    129.84%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.58%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.72%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.06%
  • Percent Trades Forex
    0.34%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    74.00%
  • Chance of 20% account loss
    52.00%
  • Chance of 30% account loss
    29.50%
  • Chance of 40% account loss
    15.00%
  • Chance of 60% account loss (Monte Carlo)
    1.00%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    7.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $13,136
  • Avg Win
    $1,639
  • Sum Trade PL (losers)
    $380,936.000
  • Age
  • Num Months filled monthly returns table
    26
  • Win / Loss
  • Sum Trade PL (winners)
    $265,464.000
  • # Winners
    162
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    4176
  • Win / Loss
  • # Losers
    29
  • % Winners
    84.8%
  • Frequency
  • Avg Position Time (mins)
    27875.70
  • Avg Position Time (hrs)
    464.60
  • Avg Trade Length
    19.4 days
  • Last Trade Ago
    1970
  • Regression
  • Alpha
    0.00
  • Beta
    0.59
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    83.37
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    96.49
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.62
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    -8.422
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    2.058
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.471
  • Hold-and-Hope Ratio
    -0.118
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01960
  • SD
    0.80814
  • Sharpe ratio (Glass type estimate)
    -0.02425
  • Sharpe ratio (Hedges UMVUE)
    -0.02359
  • df
    28.00000
  • t
    -0.03770
  • p
    0.51490
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28487
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.23672
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28439
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23720
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02868
  • Upside Potential Ratio
    1.03602
  • Upside part of mean
    0.70794
  • Downside part of mean
    -0.72754
  • Upside SD
    0.40455
  • Downside SD
    0.68333
  • N nonnegative terms
    12.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.36058
  • Mean of criterion
    -0.01960
  • SD of predictor
    0.23964
  • SD of criterion
    0.80814
  • Covariance
    0.00598
  • r
    0.03085
  • b (slope, estimate of beta)
    0.10405
  • a (intercept, estimate of alpha)
    -0.05711
  • Mean Square Error
    0.67663
  • DF error
    27.00000
  • t(b)
    0.16040
  • p(b)
    0.43688
  • t(a)
    -0.09872
  • p(a)
    0.53896
  • Lowerbound of 95% confidence interval for beta
    -1.22693
  • Upperbound of 95% confidence interval for beta
    1.43502
  • Lowerbound of 95% confidence interval for alpha
    -1.24415
  • Upperbound of 95% confidence interval for alpha
    1.12993
  • Treynor index (mean / b)
    -0.18835
  • Jensen alpha (a)
    -0.05711
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -4.79261
  • SD
    7.93805
  • Sharpe ratio (Glass type estimate)
    -0.60375
  • Sharpe ratio (Hedges UMVUE)
    -0.58741
  • df
    28.00000
  • t
    -0.93857
  • p
    0.82201
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.86906
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.67208
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.85754
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68272
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.60561
  • Upside Potential Ratio
    0.08051
  • Upside part of mean
    0.63709
  • Downside part of mean
    -5.42971
  • Upside SD
    0.35736
  • Downside SD
    7.91367
  • N nonnegative terms
    12.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.32882
  • Mean of criterion
    -4.79261
  • SD of predictor
    0.22973
  • SD of criterion
    7.93805
  • Covariance
    0.26010
  • r
    0.14263
  • b (slope, estimate of beta)
    4.92852
  • a (intercept, estimate of alpha)
    -6.41321
  • Mean Square Error
    64.01710
  • DF error
    27.00000
  • t(b)
    0.74879
  • p(b)
    0.23023
  • t(a)
    -1.14863
  • p(a)
    0.86961
  • Lowerbound of 95% confidence interval for beta
    -8.57664
  • Upperbound of 95% confidence interval for beta
    18.43370
  • Lowerbound of 95% confidence interval for alpha
    -17.86930
  • Upperbound of 95% confidence interval for alpha
    5.04292
  • Treynor index (mean / b)
    -0.97242
  • Jensen alpha (a)
    -6.41321
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.98453
  • Expected Shortfall on VaR
    0.99234
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.15036
  • Expected Shortfall on VaR
    0.33294
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.00000
  • Quartile 1
    0.98081
  • Median
    1.00000
  • Quartile 3
    1.06461
  • Maximum
    1.38205
  • Mean of quarter 1
    0.78517
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.02533
  • Mean of quarter 4
    1.22307
  • Inter Quartile Range
    0.08381
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.10345
  • Mean of outliers low
    0.52233
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.13793
  • Mean of outliers high
    1.27874
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.95224
  • VaR(95%) (moments method)
    0.15052
  • Expected Shortfall (moments method)
    3.52201
  • Extreme Value Index (regression method)
    1.06424
  • VaR(95%) (regression method)
    0.28967
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.02962
  • Quartile 1
    0.05517
  • Median
    0.22334
  • Quartile 3
    0.34924
  • Maximum
    0.99999
  • Mean of quarter 1
    0.04239
  • Mean of quarter 2
    0.22334
  • Mean of quarter 3
    0.34924
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.29407
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.99999
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.41379
  • Compounded annual return (geometric extrapolation)
    -0.99147
  • Calmar ratio (compounded annual return / max draw down)
    -0.99148
  • Compounded annual return / average of 25% largest draw downs
    -0.99148
  • Compounded annual return / Expected Shortfall lognormal
    -0.99913
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.49866
  • SD
    0.88587
  • Sharpe ratio (Glass type estimate)
    -0.56290
  • Sharpe ratio (Hedges UMVUE)
    -0.56223
  • df
    635.00000
  • t
    -0.87701
  • p
    0.80959
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.82105
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.69565
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82058
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69612
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.62256
  • Upside Potential Ratio
    2.80175
  • Upside part of mean
    2.24413
  • Downside part of mean
    -2.74278
  • Upside SD
    0.37806
  • Downside SD
    0.80097
  • N nonnegative terms
    216.00000
  • N negative terms
    420.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    636.00000
  • Mean of predictor
    0.38441
  • Mean of criterion
    -0.49866
  • SD of predictor
    0.29894
  • SD of criterion
    0.88587
  • Covariance
    0.00866
  • r
    0.03269
  • b (slope, estimate of beta)
    0.09687
  • a (intercept, estimate of alpha)
    -0.53600
  • Mean Square Error
    0.78517
  • DF error
    634.00000
  • t(b)
    0.82355
  • p(b)
    0.20525
  • t(a)
    -0.93931
  • p(a)
    0.82603
  • Lowerbound of 95% confidence interval for beta
    -0.13411
  • Upperbound of 95% confidence interval for beta
    0.32786
  • Lowerbound of 95% confidence interval for alpha
    -1.65624
  • Upperbound of 95% confidence interval for alpha
    0.58445
  • Treynor index (mean / b)
    -5.14754
  • Jensen alpha (a)
    -0.53590
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -4.77139
  • SD
    7.00342
  • Sharpe ratio (Glass type estimate)
    -0.68129
  • Sharpe ratio (Hedges UMVUE)
    -0.68049
  • df
    635.00000
  • t
    -1.06148
  • p
    0.85556
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.93957
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.57748
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.93901
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57804
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.68213
  • Upside Potential Ratio
    0.31121
  • Upside part of mean
    2.17687
  • Downside part of mean
    -6.94826
  • Upside SD
    0.36035
  • Downside SD
    6.99484
  • N nonnegative terms
    216.00000
  • N negative terms
    420.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    636.00000
  • Mean of predictor
    0.33807
  • Mean of criterion
    -4.77139
  • SD of predictor
    0.30648
  • SD of criterion
    7.00342
  • Covariance
    0.04236
  • r
    0.01974
  • b (slope, estimate of beta)
    0.45097
  • a (intercept, estimate of alpha)
    -4.92385
  • Mean Square Error
    49.10610
  • DF error
    634.00000
  • t(b)
    0.49702
  • p(b)
    0.30967
  • t(a)
    -1.09221
  • p(a)
    0.86242
  • Lowerbound of 95% confidence interval for beta
    -1.33080
  • Upperbound of 95% confidence interval for beta
    2.23275
  • Lowerbound of 95% confidence interval for alpha
    -13.77650
  • Upperbound of 95% confidence interval for alpha
    3.92885
  • Treynor index (mean / b)
    -10.58020
  • Jensen alpha (a)
    -4.92385
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.51804
  • Expected Shortfall on VaR
    0.59291
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02784
  • Expected Shortfall on VaR
    0.06365
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    636.00000
  • Minimum
    0.00002
  • Quartile 1
    0.99316
  • Median
    1.00000
  • Quartile 3
    1.00640
  • Maximum
    1.19995
  • Mean of quarter 1
    0.95959
  • Mean of quarter 2
    0.99882
  • Mean of quarter 3
    1.00124
  • Mean of quarter 4
    1.03316
  • Inter Quartile Range
    0.01324
  • Number outliers low
    65.00000
  • Percentage of outliers low
    0.10220
  • Mean of outliers low
    0.92170
  • Number of outliers high
    62.00000
  • Percentage of outliers high
    0.09748
  • Mean of outliers high
    1.06271
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66112
  • VaR(95%) (moments method)
    0.03117
  • Expected Shortfall (moments method)
    0.10379
  • Extreme Value Index (regression method)
    0.49082
  • VaR(95%) (regression method)
    0.02941
  • Expected Shortfall (regression method)
    0.06927
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00117
  • Quartile 1
    0.01057
  • Median
    0.04339
  • Quartile 3
    0.09767
  • Maximum
    1.00000
  • Mean of quarter 1
    0.00564
  • Mean of quarter 2
    0.02172
  • Mean of quarter 3
    0.05690
  • Mean of quarter 4
    0.38446
  • Inter Quartile Range
    0.08710
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.71977
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.63684
  • VaR(95%) (moments method)
    0.41274
  • Expected Shortfall (moments method)
    1.23889
  • Extreme Value Index (regression method)
    2.14084
  • VaR(95%) (regression method)
    0.38695
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.41195
  • Compounded annual return (geometric extrapolation)
    -0.99129
  • Calmar ratio (compounded annual return / max draw down)
    -0.99130
  • Compounded annual return / average of 25% largest draw downs
    -2.57841
  • Compounded annual return / Expected Shortfall lognormal
    -1.67192
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.71777
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44479
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.61821
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44667
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6841450000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.51800
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    1958490000000000042465090858909696.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -552369000
  • Max Equity Drawdown (num days)
    3
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Trades Futures, Forex and Stocks, focusing based on global macro economic dynamics, calibrated with machine learning models.



Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-10-03
Suggested Minimum Capital
$25,000
# Trades
191
# Profitable
162
% Profitable
84.8%
Net Dividends
$4,175
Correlation S&P500
0.084
Sharpe Ratio
-0.63
Sortino Ratio
-0.66
Beta
0.59
Alpha
0.00

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

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.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.