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These are hypothetical performance results that have certain inherent limitations. Learn more

Halifax Index Trader USA
(98852250)

Created by: AndrewGibbs3 AndrewGibbs3
Started: 12/2015
Futures
Last trade: 2,501 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. Subscriptions to this system cost $99.00 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.

7.3%
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.

(44.5%)
Max Drawdown
153
Num Trades
78.4%
Win Trades
2.3 : 1
Profit Factor
14.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                                             +13.5%+13.5%
2016(12.8%)+15.0%+20.0%+2.7%+2.4%+0.8%+6.2%+1.5%+7.3%(1.9%)+1.1%(3.2%)+41.6%
2017+5.2%+3.4%+0.2%(0.2%)+2.9%(0.1%)  -    -    -    -    -    -  +11.8%
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.

System developer has asked us to delay this information by 12 hours.

Trading Record

This strategy has placed 25 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2694 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/16/17 18:23 @ESM7 E-MINI S&P 500 LONG 1 2393.75 5/23 3:38 2395.00 1.4%
Trade id #111629115
Max drawdown($2,462)
Time5/18/17 5:58
Quant open1
Worst price2344.50
Drawdown as % of equity-1.40%
$55
Includes Typical Broker Commissions trade costs of $8.00
5/18/17 4:16 @TFSM7 Emini Russell 2000 LONG 2 1354.10 5/23 3:31 1377.10 0.57%
Trade id #111659068
Max drawdown($1,000)
Time5/18/17 5:58
Quant open2
Worst price1344.10
Drawdown as % of equity-0.57%
$2,284
Includes Typical Broker Commissions trade costs of $16.00
5/16/17 20:05 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 1 5695.25 5/23 3:31 5706.25 1.64%
Trade id #111630236
Max drawdown($2,895)
Time5/18/17 5:58
Quant open1
Worst price5550.50
Drawdown as % of equity-1.64%
$212
Includes Typical Broker Commissions trade costs of $8.00
5/9/17 15:37 @ESM7 E-MINI S&P 500 LONG 1 2390.75 5/16 18:20 2394.75 0.33%
Trade id #111485333
Max drawdown($587)
Time5/11/17 10:25
Quant open1
Worst price2379.00
Drawdown as % of equity-0.33%
$192
Includes Typical Broker Commissions trade costs of $8.00
5/11/17 9:56 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 1 5645.50 5/16 18:20 5721.25 0.1%
Trade id #111543480
Max drawdown($185)
Time5/11/17 10:54
Quant open1
Worst price5636.25
Drawdown as % of equity-0.10%
$1,507
Includes Typical Broker Commissions trade costs of $8.00
5/9/17 15:33 @YMM7 MINI DOW LONG 1 20910 5/16 18:00 20926 0.42%
Trade id #111485149
Max drawdown($750)
Time5/11/17 10:04
Quant open1
Worst price20760
Drawdown as % of equity-0.42%
$72
Includes Typical Broker Commissions trade costs of $8.00
4/28/17 9:37 @TFSM7 Emini Russell 2000 LONG 2 1401.65 5/16 17:51 1393.20 1.44%
Trade id #111315621
Max drawdown($2,565)
Time5/11/17 10:32
Quant open2
Worst price1376.00
Drawdown as % of equity-1.44%
($861)
Includes Typical Broker Commissions trade costs of $16.00
4/28/17 9:34 @EMDM7 Mini Midcap 400 LONG 1 1743.90 5/10 0:23 1721.70 1.85%
Trade id #111315324
Max drawdown($3,300)
Time5/4/17 12:20
Quant open1
Worst price1710.90
Drawdown as % of equity-1.85%
($2,228)
Includes Typical Broker Commissions trade costs of $8.00
5/1/17 12:51 @YMM7 MINI DOW LONG 1 20838 5/9 1:50 20937 0.18%
Trade id #111346642
Max drawdown($315)
Time5/4/17 12:20
Quant open1
Worst price20775
Drawdown as % of equity-0.18%
$487
Includes Typical Broker Commissions trade costs of $8.00
4/28/17 11:16 @ESM7 E-MINI S&P 500 LONG 1 2380.25 5/9 1:47 2393.75 0.13%
Trade id #111319838
Max drawdown($237)
Time5/3/17 10:53
Quant open1
Worst price2375.50
Drawdown as % of equity-0.13%
$667
Includes Typical Broker Commissions trade costs of $8.00
4/28/17 11:44 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 1 5573.50 5/1 18:21 5630.00 0.02%
Trade id #111320538
Max drawdown($35)
Time4/28/17 14:20
Quant open1
Worst price5571.75
Drawdown as % of equity-0.02%
$1,122
Includes Typical Broker Commissions trade costs of $8.00
3/19/17 20:21 @YMM7 MINI DOW LONG 1 20835 4/25 18:28 20933 1.48%
Trade id #110320985
Max drawdown($2,620)
Time4/19/17 15:46
Quant open1
Worst price20311
Drawdown as % of equity-1.48%
$482
Includes Typical Broker Commissions trade costs of $8.00
3/31/17 1:14 @ESM7 E-MINI S&P 500 LONG 1 2359.50 4/21 1:15 2353.25 1.04%
Trade id #110570906
Max drawdown($1,837)
Time4/16/17 18:01
Quant open1
Worst price2322.75
Drawdown as % of equity-1.04%
($321)
Includes Typical Broker Commissions trade costs of $8.00
3/31/17 1:36 @EMDM7 Mini Midcap 400 LONG 1 1712.60 4/2 18:00 1719.10 0.04%
Trade id #110571205
Max drawdown($80)
Time3/31/17 2:28
Quant open1
Worst price1711.80
Drawdown as % of equity-0.04%
$642
Includes Typical Broker Commissions trade costs of $8.00
3/20/17 9:32 @EMDM7 Mini Midcap 400 LONG 1 1723.70 3/29 2:43 1705.30 3.09%
Trade id #110328778
Max drawdown($5,290)
Time3/27/17 9:40
Quant open1
Worst price1670.80
Drawdown as % of equity-3.09%
($1,848)
Includes Typical Broker Commissions trade costs of $8.00
3/17/17 9:42 @TFSM7 Emini Russell 2000 LONG 1 1380.70 3/28 20:00 1366.10 1.41%
Trade id #110301747
Max drawdown($2,445)
Time3/22/17 13:16
Quant open1
Worst price1331.80
Drawdown as % of equity-1.41%
($738)
Includes Typical Broker Commissions trade costs of $8.00
3/17/17 11:02 @ESM7 E-MINI S&P 500 LONG 1 2374.75 3/28 19:20 2353.50 1.67%
Trade id #110305652
Max drawdown($2,850)
Time3/27/17 2:43
Quant open1
Worst price2317.75
Drawdown as % of equity-1.67%
($1,071)
Includes Typical Broker Commissions trade costs of $8.00
3/19/17 20:22 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 1 5399.00 3/27 18:13 5385.50 0.97%
Trade id #110321013
Max drawdown($1,680)
Time3/21/17 22:31
Quant open1
Worst price5315.00
Drawdown as % of equity-0.97%
($278)
Includes Typical Broker Commissions trade costs of $8.00
3/12/17 19:42 @EMDM7 Mini Midcap 400 LONG 1 1705.90 3/16 2:39 1730.40 0.51%
Trade id #110185073
Max drawdown($920)
Time3/14/17 10:21
Quant open1
Worst price1696.70
Drawdown as % of equity-0.51%
$2,442
Includes Typical Broker Commissions trade costs of $8.00
3/12/17 19:43 @YMM7 MINI DOW LONG 1 20829 3/15 18:26 20899 0.24%
Trade id #110185139
Max drawdown($420)
Time3/14/17 10:46
Quant open1
Worst price20745
Drawdown as % of equity-0.24%
$342
Includes Typical Broker Commissions trade costs of $8.00
3/12/17 19:33 @NQM7 E-MINI NASDAQ 100 STK IDX LONG 1 5376.25 3/15 18:15 5419.25 0.14%
Trade id #110184919
Max drawdown($255)
Time3/14/17 10:46
Quant open1
Worst price5363.50
Drawdown as % of equity-0.14%
$852
Includes Typical Broker Commissions trade costs of $8.00
3/12/17 19:43 @ESM7 E-MINI S&P 500 LONG 1 2365.50 3/15 18:08 2380.25 0.3%
Trade id #110185110
Max drawdown($537)
Time3/14/17 10:46
Quant open1
Worst price2354.75
Drawdown as % of equity-0.30%
$730
Includes Typical Broker Commissions trade costs of $8.00
3/9/17 14:04 @YMH7 MINI DOW LONG 1 20815 3/12 19:43 20871 0.1%
Trade id #110142332
Max drawdown($170)
Time3/9/17 14:17
Quant open1
Worst price20781
Drawdown as % of equity-0.10%
$272
Includes Typical Broker Commissions trade costs of $8.00
3/9/17 14:04 @ESH7 E-MINI S&P 500 LONG 1 2358.25 3/12 19:43 2368.25 0.12%
Trade id #110142341
Max drawdown($212)
Time3/9/17 14:17
Quant open1
Worst price2354.00
Drawdown as % of equity-0.12%
$492
Includes Typical Broker Commissions trade costs of $8.00
2/23/17 10:45 @EMDH7 Mini Midcap 400 LONG 1 1731.10 3/12 19:42 1705.80 2%
Trade id #109786877
Max drawdown($3,540)
Time3/9/17 14:17
Quant open1
Worst price1695.70
Drawdown as % of equity-2.00%
($2,538)
Includes Typical Broker Commissions trade costs of $8.00
3/9/17 9:34 @NQH7 E-MINI NASDAQ 100 STK IDX LONG 1 5351.25 3/9 19:18 5373.50 0.18%
Trade id #110133677
Max drawdown($315)
Time3/9/17 14:17
Quant open1
Worst price5335.50
Drawdown as % of equity-0.18%
$437
Includes Typical Broker Commissions trade costs of $8.00
2/23/17 23:22 @NQH7 E-MINI NASDAQ 100 STK IDX LONG 1 5321.25 3/1 18:01 5387.50 0.26%
Trade id #109809650
Max drawdown($445)
Time2/24/17 8:53
Quant open1
Worst price5299.00
Drawdown as % of equity-0.26%
$1,317
Includes Typical Broker Commissions trade costs of $8.00
2/28/17 12:21 @ESH7 E-MINI S&P 500 LONG 1 2361.50 3/1 18:00 2393.50 0.11%
Trade id #109912064
Max drawdown($200)
Time2/28/17 12:27
Quant open1
Worst price2357.50
Drawdown as % of equity-0.11%
$1,592
Includes Typical Broker Commissions trade costs of $8.00
2/28/17 12:26 @YMH7 MINI DOW LONG 1 20773 2/28 20:12 20838 n/a $317
Includes Typical Broker Commissions trade costs of $8.00
2/23/17 9:45 @TFSH7 Emini Russell 2000 LONG 1 1399.60 2/27 20:00 1404.20 0.57%
Trade id #109783909
Max drawdown($990)
Time2/24/17 9:08
Quant open1
Worst price1379.80
Drawdown as % of equity-0.57%
$222
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    12/19/2015
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3018.93
  • Age
    101 months ago
  • What it trades
    Futures
  • # Trades
    153
  • # Profitable
    120
  • % Profitable
    78.40%
  • Avg trade duration
    7.0 days
  • Max peak-to-valley drawdown
    44.53%
  • drawdown period
    Dec 29, 2015 - Jan 20, 2016
  • Annual Return (Compounded)
    7.3%
  • Avg win
    $1,232
  • Avg loss
    $1,928
  • Model Account Values (Raw)
  • Cash
    $184,228
  • Margin Used
    $0
  • Buying Power
    $184,228
  • Ratios
  • W:L ratio
    2.32:1
  • Sharpe Ratio
    0.4
  • Sortino Ratio
    0.63
  • Calmar Ratio
    0.558
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -80.43%
  • Correlation to SP500
    0.16590
  • Return Percent SP500 (cumu) during strategy life
    161.70%
  • Return Statistics
  • Ann Return (w trading costs)
    7.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.90%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.85%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.073%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.7%
  • 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
    100.00%
  • 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
  • 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)
    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
    $1,928
  • Avg Win
    $1,232
  • Sum Trade PL (losers)
    $63,637.000
  • Age
  • Num Months filled monthly returns table
    100
  • Win / Loss
  • Sum Trade PL (winners)
    $147,867.000
  • # Winners
    120
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    33
  • % Winners
    78.4%
  • Frequency
  • Avg Position Time (mins)
    10095.70
  • Avg Position Time (hrs)
    168.26
  • Avg Trade Length
    7.0 days
  • Last Trade Ago
    2499
  • Regression
  • Alpha
    0.01
  • Beta
    0.12
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    83.98
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    82.59
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.79
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    2.950
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.722
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.215
  • Hold-and-Hope Ratio
    0.339
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21330
  • SD
    0.26048
  • Sharpe ratio (Glass type estimate)
    0.81888
  • Sharpe ratio (Hedges UMVUE)
    0.80011
  • df
    33.00000
  • t
    1.37839
  • p
    0.08868
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36800
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99381
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38018
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98039
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83592
  • Upside Potential Ratio
    2.68204
  • Upside part of mean
    0.31161
  • Downside part of mean
    -0.09831
  • Upside SD
    0.23695
  • Downside SD
    0.11618
  • N nonnegative terms
    12.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.29348
  • Mean of criterion
    0.21330
  • SD of predictor
    0.25727
  • SD of criterion
    0.26048
  • Covariance
    0.00409
  • r
    0.06101
  • b (slope, estimate of beta)
    0.06177
  • a (intercept, estimate of alpha)
    0.19517
  • Mean Square Error
    0.06971
  • DF error
    32.00000
  • t(b)
    0.34578
  • p(b)
    0.36588
  • t(a)
    1.18012
  • p(a)
    0.12333
  • Lowerbound of 95% confidence interval for beta
    -0.30212
  • Upperbound of 95% confidence interval for beta
    0.42566
  • Lowerbound of 95% confidence interval for alpha
    -0.14170
  • Upperbound of 95% confidence interval for alpha
    0.53205
  • Treynor index (mean / b)
    3.45304
  • Jensen alpha (a)
    0.19517
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18108
  • SD
    0.24526
  • Sharpe ratio (Glass type estimate)
    0.73831
  • Sharpe ratio (Hedges UMVUE)
    0.72138
  • df
    33.00000
  • t
    1.24276
  • p
    0.11136
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44496
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91071
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45594
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89871
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.40844
  • Upside Potential Ratio
    2.23129
  • Upside part of mean
    0.28687
  • Downside part of mean
    -0.10579
  • Upside SD
    0.21115
  • Downside SD
    0.12857
  • N nonnegative terms
    12.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.25829
  • Mean of criterion
    0.18108
  • SD of predictor
    0.25421
  • SD of criterion
    0.24526
  • Covariance
    0.00560
  • r
    0.08979
  • b (slope, estimate of beta)
    0.08663
  • a (intercept, estimate of alpha)
    0.15870
  • Mean Square Error
    0.06153
  • DF error
    32.00000
  • t(b)
    0.50998
  • p(b)
    0.30678
  • t(a)
    1.03215
  • p(a)
    0.15487
  • Lowerbound of 95% confidence interval for beta
    -0.25937
  • Upperbound of 95% confidence interval for beta
    0.43262
  • Lowerbound of 95% confidence interval for alpha
    -0.15449
  • Upperbound of 95% confidence interval for alpha
    0.47190
  • Treynor index (mean / b)
    2.09034
  • Jensen alpha (a)
    0.15870
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09640
  • Expected Shortfall on VaR
    0.12244
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02155
  • Expected Shortfall on VaR
    0.04872
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    34.00000
  • Minimum
    0.80875
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.01843
  • Maximum
    1.32696
  • Mean of quarter 1
    0.97474
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00298
  • Mean of quarter 4
    1.09856
  • Inter Quartile Range
    0.01843
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02941
  • Mean of outliers low
    0.80875
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    1.13231
  • 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)
    1.85474
  • VaR(95%) (regression method)
    0.01984
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00771
  • Quartile 1
    0.00853
  • Median
    0.01417
  • Quartile 3
    0.06246
  • Maximum
    0.19126
  • Mean of quarter 1
    0.00771
  • Mean of quarter 2
    0.00880
  • Mean of quarter 3
    0.01953
  • Mean of quarter 4
    0.19126
  • Inter Quartile Range
    0.05394
  • 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
    0.25000
  • Mean of outliers high
    0.19126
  • 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)
    0.28511
  • Compounded annual return (geometric extrapolation)
    0.23242
  • Calmar ratio (compounded annual return / max draw down)
    1.21526
  • Compounded annual return / average of 25% largest draw downs
    1.21526
  • Compounded annual return / Expected Shortfall lognormal
    1.89830
  • 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
    0.20128
  • SD
    0.21174
  • Sharpe ratio (Glass type estimate)
    0.95059
  • Sharpe ratio (Hedges UMVUE)
    0.94964
  • df
    749.00000
  • t
    1.60833
  • p
    0.05409
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20913
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10972
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20978
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10906
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.46217
  • Upside Potential Ratio
    5.16563
  • Upside part of mean
    0.71108
  • Downside part of mean
    -0.50980
  • Upside SD
    0.16118
  • Downside SD
    0.13765
  • N nonnegative terms
    181.00000
  • N negative terms
    569.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    750.00000
  • Mean of predictor
    0.33980
  • Mean of criterion
    0.20128
  • SD of predictor
    0.26603
  • SD of criterion
    0.21174
  • Covariance
    0.01016
  • r
    0.18039
  • b (slope, estimate of beta)
    0.14357
  • a (intercept, estimate of alpha)
    0.15200
  • Mean Square Error
    0.04343
  • DF error
    748.00000
  • t(b)
    5.01576
  • p(b)
    0.00000
  • t(a)
    1.23415
  • p(a)
    0.10877
  • Lowerbound of 95% confidence interval for beta
    0.08738
  • Upperbound of 95% confidence interval for beta
    0.19976
  • Lowerbound of 95% confidence interval for alpha
    -0.09007
  • Upperbound of 95% confidence interval for alpha
    0.39505
  • Treynor index (mean / b)
    1.40192
  • Jensen alpha (a)
    0.15249
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17894
  • SD
    0.21085
  • Sharpe ratio (Glass type estimate)
    0.84866
  • Sharpe ratio (Hedges UMVUE)
    0.84781
  • df
    749.00000
  • t
    1.43587
  • p
    0.07573
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31081
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00763
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31141
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00703
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25894
  • Upside Potential Ratio
    4.91483
  • Upside part of mean
    0.69857
  • Downside part of mean
    -0.51963
  • Upside SD
    0.15594
  • Downside SD
    0.14214
  • N nonnegative terms
    181.00000
  • N negative terms
    569.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    750.00000
  • Mean of predictor
    0.30343
  • Mean of criterion
    0.17894
  • SD of predictor
    0.27074
  • SD of criterion
    0.21085
  • Covariance
    0.01020
  • r
    0.17870
  • b (slope, estimate of beta)
    0.13917
  • a (intercept, estimate of alpha)
    0.13671
  • Mean Square Error
    0.04310
  • DF error
    748.00000
  • t(b)
    4.96731
  • p(b)
    0.00000
  • t(a)
    1.11156
  • p(a)
    0.13334
  • Lowerbound of 95% confidence interval for beta
    0.08417
  • Upperbound of 95% confidence interval for beta
    0.19417
  • Lowerbound of 95% confidence interval for alpha
    -0.10474
  • Upperbound of 95% confidence interval for alpha
    0.37816
  • Treynor index (mean / b)
    1.28579
  • Jensen alpha (a)
    0.13671
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02053
  • Expected Shortfall on VaR
    0.02584
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00568
  • Expected Shortfall on VaR
    0.01271
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    750.00000
  • Minimum
    0.89290
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.11839
  • Mean of quarter 1
    0.99256
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01093
  • Inter Quartile Range
    0.00000
  • Number outliers low
    118.00000
  • Percentage of outliers low
    0.15733
  • Mean of outliers low
    0.98814
  • Number of outliers high
    187.00000
  • Percentage of outliers high
    0.24933
  • Mean of outliers high
    1.01099
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.90486
  • VaR(95%) (moments method)
    0.00406
  • Expected Shortfall (moments method)
    0.05389
  • Extreme Value Index (regression method)
    0.54483
  • VaR(95%) (regression method)
    0.00639
  • Expected Shortfall (regression method)
    0.02194
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00433
  • Median
    0.00869
  • Quartile 3
    0.02299
  • Maximum
    0.41205
  • Mean of quarter 1
    0.00240
  • Mean of quarter 2
    0.00672
  • Mean of quarter 3
    0.01843
  • Mean of quarter 4
    0.11919
  • Inter Quartile Range
    0.01865
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.16000
  • Mean of outliers high
    0.16403
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.83459
  • VaR(95%) (moments method)
    0.11025
  • Expected Shortfall (moments method)
    0.71343
  • Extreme Value Index (regression method)
    1.71779
  • VaR(95%) (regression method)
    0.12105
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28220
  • Compounded annual return (geometric extrapolation)
    0.22979
  • Calmar ratio (compounded annual return / max draw down)
    0.55769
  • Compounded annual return / average of 25% largest draw downs
    1.92799
  • Compounded annual return / Expected Shortfall lognormal
    8.89458
  • 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
    0.83022
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.39800
  • 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
    0.74983
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40021
  • 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)
    -6820720000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02100
  • 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)
    95098399999999993925704525807616.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -517677000
  • Max Equity Drawdown (num days)
    22
  • 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

The Halifax Index Trader USA system trades the five main mini stock index futures contracts (the ES, EMD, NQ, TF and YM). Descriptive indicators for the stock index markets show that they tend to reverse from new lows and continue to new highs as their primary pattern. This system utilises two main setups, an oversold setup and a trend continuation setup with the system being long only. The system then looks to enter and exit the market using limit orders so no slippage. The benefits of this system are a very smooth closed trade equity curve, the high win rate and large average trade size, however at times the system will experience large individual trade losses across some or all markets causing quick, sharp drawdowns. As this system is prone to large trade losses risk needs to be managed through diversification. No stop loss is utilised. Only 1 contract should be traded on each of the five markets with the maximum intraday historical drawdown being $47,990 in the highly volatile market of 2008 (or 50% of the minimum recommended capital). We suggest investors only trade 1 contract (per market) per $100,000 USD. Backtested performance can be supplied upon request. Investors with smaller accounts should look for other variations of this system where we include a smaller sample of markets that require a smaller capital commitment.

Summary Statistics

Strategy began
2015-12-19
Suggested Minimum Capital
$100,000
# Trades
153
# Profitable
120
% Profitable
78.4%
Correlation S&P500
0.166
Sharpe Ratio
0.40
Sortino Ratio
0.63
Beta
0.12
Alpha
0.01

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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