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These are hypothetical performance results that have certain inherent limitations. Learn more
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EXLENCE
(28309886)

Created by: ChrisFreeman ChrisFreeman
Started: 09/2007
Futures
Last trade: 4,963 days ago
Subscriptions not currently available.

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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.

15.7%
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.

(31.3%)
Max Drawdown
959
Num Trades
40.8%
Win Trades
1.5 : 1
Profit Factor
10.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007                                                          -  +11.1%(2.3%)+21.6%+32.0%
2008+31.5%+5.2%(4.1%)(0.5%)(4.3%)(0.5%)(3.2%)+8.5%(6.8%)+33.2%(12.5%)+4.7%+50.2%
2009(7.7%)+17.6%+1.2%(4.6%)+37.7%+18.2%+18.2%(5.9%)+12.0%+26.1%(20.5%)(0.1%)+112.9%
2010+30.7%(1.8%)(23.3%)+10.7%+71.0%+28.6%+15.6%(8.1%)+4.5%  -    -    -  +166.1%
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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.

Trading Record

This strategy has placed 112 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5247 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/22/10 2:17 @BPZ0 BRITISH POUND LONG 15 1.5675 9/24 16:59 1.5811 0.62%
Trade id #53134242
Max drawdown($7,687)
Time9/22/10 8:23
Quant open15
Worst price1.5593
Drawdown as % of equity-0.62%
 $12,630
Includes Typical Broker Commissions trade costs of $120.00
9/21/10 14:15 @EUZ0 EUROFX LONG 6 1.31800 9/24 16:59 1.34840 0.18%
Trade id #53114673
Max drawdown($2,100)
Time9/21/10 14:17
Quant open6
Worst price1.31520
Drawdown as % of equity-0.18%
 $22,752
Includes Typical Broker Commissions trade costs of $48.00
9/21/10 2:54 @TYZ0 US T-NOTE 10 YR LONG 24 124 39/64 9/24 16:59 125 14/64 0.66%
Trade id #53090076
Max drawdown($7,866)
Time9/21/10 14:16
Quant open24
Worst price124 18/64
Drawdown as % of equity-0.66%
 $14,448
Includes Typical Broker Commissions trade costs of $192.00
9/21/10 14:26 @SFZ0 SWISS FRANC LONG 11 1.0005 9/24 16:59 1.0165 0.13%
Trade id #53115996
Max drawdown($1,512)
Time9/21/10 14:28
Quant open11
Worst price0.9994
Drawdown as % of equity-0.13%
 $21,912
Includes Typical Broker Commissions trade costs of $88.00
9/21/10 2:54 @USZ0 US T-BOND LONG 16 130 29/32 9/24 16:58 131 23/32 0.55%
Trade id #53089987
Max drawdown($6,496)
Time9/21/10 14:16
Quant open16
Worst price130 16/32
Drawdown as % of equity-0.55%
 $12,880
Includes Typical Broker Commissions trade costs of $128.00
9/9/10 14:20 @ADZ0 AUSTRALIAN DOLLAR LONG 10 0.9129 9/24 16:58 0.9494 0.24%
Trade id #52780913
Max drawdown($2,600)
Time9/9/10 23:58
Quant open10
Worst price0.9103
Drawdown as % of equity-0.24%
 $36,420
Includes Typical Broker Commissions trade costs of $80.00
9/21/10 13:23 @EDU1 EURODOLLAR LONG 83 99.3750 9/24 16:58 99.3900 0.44%
Trade id #53112182
Max drawdown($5,187)
Time9/21/10 14:16
Quant open83
Worst price99.3500
Drawdown as % of equity-0.44%
 $2,448
Includes Typical Broker Commissions trade costs of $664.00
9/20/10 9:40 QHOV0 Heating Oil LONG 11 2.1111 9/23 5:33 2.0820 1.08%
Trade id #53055344
Max drawdown($13,444)
Time9/23/10 5:15
Quant open11
Worst price2.0830
Drawdown as % of equity-1.08%
 ($13,532)
Includes Typical Broker Commissions trade costs of $88.00
9/21/10 10:19 QHGZ0 Copper SHORT 10 347.55 9/22 8:44 354.25 1.34%
Trade id #53103344
Max drawdown($16,750)
Time9/22/10 8:26
Quant open-10
Worst price354.15
Drawdown as % of equity-1.34%
 ($16,830)
Includes Typical Broker Commissions trade costs of $80.00
9/14/10 22:17 @JYZ0 JAPANESE YEN SHORT 17 0.011841 9/21 14:06 0.011741 0.78%
Trade id #52919507
Max drawdown($9,137)
Time9/14/10 22:24
Quant open-17
Worst price0.011884
Drawdown as % of equity-0.78%
 $21,114
Includes Typical Broker Commissions trade costs of $136.00
9/20/10 11:07 @CDZ0 CANADIAN DOLLAR LONG 27 0.9711 9/21 8:21 0.9662 1.11%
Trade id #53060804
Max drawdown($13,230)
Time9/21/10 7:01
Quant open27
Worst price0.9667
Drawdown as % of equity-1.11%
 ($13,446)
Includes Typical Broker Commissions trade costs of $216.00
9/14/10 3:02 QGCZ0 Gold 100 oz LONG 12 1252.9 9/21 7:54 1275.5 0.06%
Trade id #52883153
Max drawdown($720)
Time9/14/10 3:08
Quant open12
Worst price1252.3
Drawdown as % of equity-0.06%
 $27,024
Includes Typical Broker Commissions trade costs of $96.00
9/2/10 9:12 QSIZ0 Silver 5000 oz LONG 4 19.620 9/20 12:12 20.740 0.21%
Trade id #52575155
Max drawdown($2,300)
Time9/3/10 8:37
Quant open4
Worst price19.505
Drawdown as % of equity-0.21%
 $22,368
Includes Typical Broker Commissions trade costs of $32.00
9/17/10 13:05 @BOZ0 SOYBEAN OIL LONG 44 42.33 9/20 10:37 42.94 0.39%
Trade id #53022103
Max drawdown($4,752)
Time9/17/10 13:17
Quant open44
Worst price42.15
Drawdown as % of equity-0.39%
 $15,752
Includes Typical Broker Commissions trade costs of $352.00
9/7/10 12:26 @SBV0 Sugar #11 LONG 20 21.44 9/20 9:36 24.94 0.35%
Trade id #52698485
Max drawdown($3,808)
Time9/8/10 9:41
Quant open20
Worst price21.27
Drawdown as % of equity-0.35%
 $78,240
Includes Typical Broker Commissions trade costs of $160.00
9/13/10 9:23 QNGV0 Natural Gas LONG 14 3.905 9/20 9:09 3.922 0.75%
Trade id #52851606
Max drawdown($8,680)
Time9/14/10 11:55
Quant open14
Worst price3.843
Drawdown as % of equity-0.75%
 $2,268
Includes Typical Broker Commissions trade costs of $112.00
9/10/10 13:42 @CDZ0 CANADIAN DOLLAR LONG 12 0.9634 9/17 10:00 0.9664 0.13%
Trade id #52820046
Max drawdown($1,440)
Time9/10/10 16:56
Quant open12
Worst price0.9622
Drawdown as % of equity-0.13%
 $3,504
Includes Typical Broker Commissions trade costs of $96.00
9/7/10 12:48 QHOV0 Heating Oil LONG 9 2.0692 9/16 12:24 2.0948 0.52%
Trade id #52698916
Max drawdown($5,707)
Time9/8/10 5:17
Quant open9
Worst price2.0541
Drawdown as % of equity-0.52%
 $9,605
Includes Typical Broker Commissions trade costs of $72.00
9/14/10 5:16 QHGZ0 Copper SHORT 11 344.45 9/16 7:29 350.10 1.34%
Trade id #52886284
Max drawdown($15,537)
Time9/14/10 11:16
Quant open-11
Worst price349.75
Drawdown as % of equity-1.34%
 ($15,625)
Includes Typical Broker Commissions trade costs of $88.00
9/14/10 11:49 @ESZ0 E-MINI S&P 500 LONG 26 1121.50 9/14 18:23 1112.00 1.06%
Trade id #52900172
Max drawdown($12,350)
Time9/14/10 18:22
Quant open26
Worst price1112.75
Drawdown as % of equity-1.06%
 ($12,558)
Includes Typical Broker Commissions trade costs of $208.00
9/13/10 10:08 QCLV0 CRUDE OIL LONG 8 78.00 9/14 12:55 76.45 1.08%
Trade id #52854673
Max drawdown($12,400)
Time9/14/10 5:51
Quant open8
Worst price76.50
Drawdown as % of equity-1.08%
 ($12,464)
Includes Typical Broker Commissions trade costs of $64.00
9/10/10 10:34 @SMZ0 SOYBEAN MEAL SHORT 25 297.4 9/14 12:01 297.2 0.53%
Trade id #52812848
Max drawdown($5,750)
Time9/10/10 10:47
Quant open-25
Worst price299.7
Drawdown as % of equity-0.53%
 $300
Includes Typical Broker Commissions trade costs of $200.00
9/14/10 10:31 @SX0 SOYBEANS SHORT 23 1026 2/4 9/14 12:00 1039 2/4 1.29%
Trade id #52896109
Max drawdown($14,950)
Time9/14/10 11:53
Quant open-23
Worst price1038 3/4
Drawdown as % of equity-1.29%
 ($15,134)
Includes Typical Broker Commissions trade costs of $184.00
9/13/10 11:59 @BPZ0 BRITISH POUND LONG 22 1.5453 9/14 2:03 1.5361 1.1%
Trade id #52860145
Max drawdown($12,650)
Time9/13/10 20:03
Quant open22
Worst price1.5364
Drawdown as % of equity-1.10%
 ($12,826)
Includes Typical Broker Commissions trade costs of $176.00
9/7/10 11:21 @KCZ0 COFFEE LONG 8 187.05 9/13 11:56 189.10 0.11%
Trade id #52696008
Max drawdown($1,200)
Time9/7/10 11:38
Quant open8
Worst price186.65
Drawdown as % of equity-0.11%
 $6,086
Includes Typical Broker Commissions trade costs of $64.00
9/9/10 11:29 @TYZ0 US T-NOTE 10 YR SHORT 15 123 49/64 9/13 8:52 123 28/64 0.35%
Trade id #52774017
Max drawdown($3,744)
Time9/9/10 13:02
Quant open-15
Worst price124 1/64
Drawdown as % of equity-0.35%
 $4,800
Includes Typical Broker Commissions trade costs of $120.00
9/8/10 8:24 @EDU1 EURODOLLAR SHORT 103 99.2750 9/13 8:46 99.2150 0.6%
Trade id #52722554
Max drawdown($6,437)
Time9/9/10 4:45
Quant open-103
Worst price99.3000
Drawdown as % of equity-0.60%
 $14,628
Includes Typical Broker Commissions trade costs of $824.00
9/8/10 12:38 @CDU0 CANADIAN DOLLAR LONG 12 0.9665 9/10 13:42 0.9653 0.49%
Trade id #52735540
Max drawdown($5,400)
Time9/9/10 0:45
Quant open12
Worst price0.9620
Drawdown as % of equity-0.49%
 ($1,536)
Includes Typical Broker Commissions trade costs of $96.00
9/9/10 14:21 @JYZ0 JAPANESE YEN LONG 11 0.011936 9/9 20:08 0.011909 0.35%
Trade id #52780958
Max drawdown($3,713)
Time9/9/10 20:07
Quant open11
Worst price0.011912
Drawdown as % of equity-0.35%
 ($3,801)
Includes Typical Broker Commissions trade costs of $88.00
9/7/10 23:47 @JYU0 JAPANESE YEN LONG 11 0.011988 9/9 14:21 0.011922 1.12%
Trade id #52712081
Max drawdown($12,375)
Time9/8/10 10:00
Quant open11
Worst price0.011898
Drawdown as % of equity-1.12%
 ($9,163)
Includes Typical Broker Commissions trade costs of $88.00
Next

Statistics

  • Strategy began
    9/23/2007
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6054.16
  • Age
    202 months ago
  • What it trades
    Futures
  • # Trades
    959
  • # Profitable
    391
  • % Profitable
    40.80%
  • Avg trade duration
    5.3 days
  • Max peak-to-valley drawdown
    31.27%
  • drawdown period
    Feb 21, 2010 - April 01, 2010
  • Annual Return (Compounded)
    15.7%
  • Avg win
    $9,181
  • Avg loss
    $4,315
  • Model Account Values (Raw)
  • Cash
    $1,238,740
  • Margin Used
    $0
  • Buying Power
    $1,238,740
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    0.66
  • Sortino Ratio
    1.16
  • Calmar Ratio
    0
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    797.34%
  • Correlation to SP500
    -0.07440
  • Return Percent SP500 (cumu) during strategy life
    234.93%
  • Return Statistics
  • Ann Return (w trading costs)
    15.7%
  • Slump
  • Current Slump as Pcnt Equity
    5.40%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.83%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.157%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    331
  • 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
    $4,315
  • Avg Win
    $9,181
  • Sum Trade PL (losers)
    $2,451,160.000
  • Age
  • Num Months filled monthly returns table
    200
  • Win / Loss
  • Sum Trade PL (winners)
    $3,589,890.000
  • # Winners
    391
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    568
  • % Winners
    40.8%
  • Frequency
  • Avg Position Time (mins)
    7636.47
  • Avg Position Time (hrs)
    127.27
  • Avg Trade Length
    5.3 days
  • Last Trade Ago
    4957
  • Regression
  • Alpha
    0.04
  • Beta
    -0.07
  • Treynor Index
    -0.58
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    34.13
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    18.73
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.36
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.611
  • 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
    0.216
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.069
  • Hold-and-Hope Ratio
    0.277
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28080
  • SD
    0.56834
  • Sharpe ratio (Glass type estimate)
    0.49406
  • Sharpe ratio (Hedges UMVUE)
    0.49023
  • df
    97.00000
  • t
    1.41189
  • p
    0.08059
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19655
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18217
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19908
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17953
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79983
  • Upside Potential Ratio
    1.46807
  • Upside part of mean
    0.51539
  • Downside part of mean
    -0.23459
  • Upside SD
    0.45060
  • Downside SD
    0.35107
  • N nonnegative terms
    89.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    98.00000
  • Mean of predictor
    0.16035
  • Mean of criterion
    0.28080
  • SD of predictor
    0.25003
  • SD of criterion
    0.56834
  • Covariance
    -0.04662
  • r
    -0.32808
  • b (slope, estimate of beta)
    -0.74574
  • a (intercept, estimate of alpha)
    0.40037
  • Mean Square Error
    0.29125
  • DF error
    96.00000
  • t(b)
    -3.40283
  • p(b)
    0.99951
  • t(a)
    2.08431
  • p(a)
    0.01989
  • Lowerbound of 95% confidence interval for beta
    -1.18076
  • Upperbound of 95% confidence interval for beta
    -0.31072
  • Lowerbound of 95% confidence interval for alpha
    0.01908
  • Upperbound of 95% confidence interval for alpha
    0.78166
  • Treynor index (mean / b)
    -0.37653
  • Jensen alpha (a)
    0.40037
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.96725
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    97.00000
  • t
    0.00000
  • p
    0.50000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68585
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.68585
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68584
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68584
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00000
  • Upside Potential Ratio
    0.49385
  • Upside part of mean
    0.44135
  • Downside part of mean
    -0.44135
  • Upside SD
    0.35683
  • Downside SD
    0.89370
  • N nonnegative terms
    89.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    98.00000
  • Mean of predictor
    0.12910
  • Mean of criterion
    0.00000
  • SD of predictor
    0.24731
  • SD of criterion
    0.96725
  • Covariance
    -0.06421
  • r
    -0.26840
  • b (slope, estimate of beta)
    -1.04974
  • a (intercept, estimate of alpha)
    0.13553
  • Mean Square Error
    0.87723
  • DF error
    96.00000
  • t(b)
    -2.72996
  • p(b)
    0.99623
  • t(a)
    0.40885
  • p(a)
    0.34178
  • Lowerbound of 95% confidence interval for beta
    -1.81302
  • Upperbound of 95% confidence interval for beta
    -0.28646
  • Lowerbound of 95% confidence interval for alpha
    -0.52246
  • Upperbound of 95% confidence interval for alpha
    0.79351
  • Treynor index (mean / b)
    -0.00000
  • Jensen alpha (a)
    0.13553
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.36826
  • Expected Shortfall on VaR
    0.43495
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00717
  • Expected Shortfall on VaR
    0.03335
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    98.00000
  • Minimum
    0.08090
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00731
  • Maximum
    1.87957
  • Mean of quarter 1
    0.92337
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00005
  • Mean of quarter 4
    1.16831
  • Inter Quartile Range
    0.00731
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.09184
  • Mean of outliers low
    0.78713
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.22449
  • Mean of outliers high
    1.18938
  • 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)
    0.01285
  • VaR(95%) (regression method)
    0.08157
  • Expected Shortfall (regression method)
    0.19960
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.91910
  • Quartile 1
    0.91910
  • Median
    0.91910
  • Quartile 3
    0.91910
  • Maximum
    0.91910
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • 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
  • 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
    0.63807
  • SD
    1.04033
  • Sharpe ratio (Glass type estimate)
    0.61333
  • Sharpe ratio (Hedges UMVUE)
    0.61312
  • df
    2144.00000
  • t
    1.75493
  • p
    0.03971
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07196
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29851
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07212
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29836
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02404
  • Upside Potential Ratio
    3.90803
  • Upside part of mean
    2.43504
  • Downside part of mean
    -1.79698
  • Upside SD
    0.83372
  • Downside SD
    0.62309
  • N nonnegative terms
    1791.00000
  • N negative terms
    354.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2145.00000
  • Mean of predictor
    0.26019
  • Mean of criterion
    0.63807
  • SD of predictor
    0.46836
  • SD of criterion
    1.04033
  • Covariance
    -0.17341
  • r
    -0.35590
  • b (slope, estimate of beta)
    -0.79052
  • a (intercept, estimate of alpha)
    0.84400
  • Mean Square Error
    0.94564
  • DF error
    2143.00000
  • t(b)
    -17.62980
  • p(b)
    1.00000
  • t(a)
    2.48120
  • p(a)
    0.00659
  • Lowerbound of 95% confidence interval for beta
    -0.87846
  • Upperbound of 95% confidence interval for beta
    -0.70259
  • Lowerbound of 95% confidence interval for alpha
    0.17688
  • Upperbound of 95% confidence interval for alpha
    1.51064
  • Treynor index (mean / b)
    -0.80715
  • Jensen alpha (a)
    0.84376
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00000
  • SD
    1.28107
  • Sharpe ratio (Glass type estimate)
    -0.00000
  • Sharpe ratio (Hedges UMVUE)
    -0.00000
  • df
    2144.00000
  • t
    -0.00000
  • p
    0.50000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68499
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.68499
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68499
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68499
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    1.99760
  • Upside part of mean
    2.17313
  • Downside part of mean
    -2.17313
  • Upside SD
    0.67596
  • Downside SD
    1.08787
  • N nonnegative terms
    1791.00000
  • N negative terms
    354.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2145.00000
  • Mean of predictor
    0.15047
  • Mean of criterion
    -0.00000
  • SD of predictor
    0.46941
  • SD of criterion
    1.28107
  • Covariance
    -0.19337
  • r
    -0.32156
  • b (slope, estimate of beta)
    -0.87758
  • a (intercept, estimate of alpha)
    0.13205
  • Mean Square Error
    1.47213
  • DF error
    2143.00000
  • t(b)
    -15.72090
  • p(b)
    1.00000
  • t(a)
    0.31135
  • p(a)
    0.37778
  • Lowerbound of 95% confidence interval for beta
    -0.98706
  • Upperbound of 95% confidence interval for beta
    -0.76811
  • Lowerbound of 95% confidence interval for alpha
    -0.69969
  • Upperbound of 95% confidence interval for alpha
    0.96379
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.13205
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12206
  • Expected Shortfall on VaR
    0.15026
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00572
  • Expected Shortfall on VaR
    0.01794
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2145.00000
  • Minimum
    0.08073
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.74211
  • Mean of quarter 1
    0.97260
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.03719
  • Inter Quartile Range
    0.00000
  • Number outliers low
    354.00000
  • Percentage of outliers low
    0.16503
  • Mean of outliers low
    0.95844
  • Number of outliers high
    399.00000
  • Percentage of outliers high
    0.18601
  • Mean of outliers high
    1.04996
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71045
  • VaR(95%) (moments method)
    0.00497
  • Expected Shortfall (moments method)
    0.02362
  • Extreme Value Index (regression method)
    0.49407
  • VaR(95%) (regression method)
    0.01739
  • Expected Shortfall (regression method)
    0.05518
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.16495
  • Quartile 1
    0.35371
  • Median
    0.54246
  • Quartile 3
    0.73121
  • Maximum
    0.91997
  • Mean of quarter 1
    0.16495
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.91997
  • Inter Quartile Range
    0.37750
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • 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
  • 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
    0.00000
  • 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
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.13582
  • Mean of criterion
    0.00000
  • SD of predictor
    0.55184
  • 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
    0.00000
  • 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
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.97622
  • Mean of criterion
    0.00000
  • SD of predictor
    0.57009
  • 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
  • VAR (95 Confidence Intrvl)
    0.12200
  • 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
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -348392000
  • Max Equity Drawdown (num days)
    39
  • 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

EXLENCE trades a basket of 27 U.S. futures markets (in currencies, stock indices, energies, metals, financials, grains, softs and meats).

Important Information About This System:

-- The EXLENCE system can have multi-month drawdown (or sideways) periods which may begin or end at any time.
-- The EXLENCE system can have trades with significant open profits that subsequently lose back all of the open profits and possibly turn into losing trades.
-- The EXLENCE system does not scale well for smaller accounts due to the contract sizes and the number of contracts traded.

Summary Statistics

Strategy began
2007-09-23
Suggested Minimum Capital
$100,000
# Trades
959
# Profitable
391
% Profitable
40.8%
Correlation S&P500
-0.074
Sharpe Ratio
0.66
Sortino Ratio
1.16
Beta
-0.07
Alpha
0.04

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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.