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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

CTS Treasury Trader
(13406459)

Created by: FanusS FanusS
Started: 03/2005
Futures
Last trade: 5,913 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.

2.1%
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.

(22.7%)
Max Drawdown
156
Num Trades
47.4%
Win Trades
1.7 : 1
Profit Factor
12.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2005                -  +11.5%+9.2%+1.1%(7.7%)+2.3%(6.7%)+1.5%(1.7%)+0.5%+8.8%
2006(1.8%)+0.2%+1.0%+1.0%+1.8%(0.5%)(0.5%)+2.1%+1.0%(2.2%)+1.9%(3%)+0.7%
2007(0.6%)(1.9%)(2.1%)(2.7%)  -  (0.2%)+2.1%+2.7%(0.9%)+2.3%+3.5%+2.3%+4.5%
2008+5.7%(0.9%)+2.1%(4.6%)(1.3%)(1.8%)+0.1%+1.6%+0.7%(1.3%)+17.6%+13.4%+33.2%
2009+7.4%+0.7%(0.6%)+1.0%+1.5%(1.7%)+0.9%(0.8%)(0.4%)(2.4%)+0.2%(0.6%)+5.0%
2010(1.7%)(1.2%)(0.3%)+0.7%  -    -    -    -    -    -    -    -  (2.5%)
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
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      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 74 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/1/10 8:20 @USM0 US T-BOND SHORT 1 115 23/32 4/5 10:35 114 20/32 0.41%
Trade id #48091476
Max drawdown($656)
Time4/2/10 8:31
Quant open-1
Worst price116 12/32
Drawdown as % of equity-0.41%
 $1,086
Includes Typical Broker Commissions trade costs of $8.00
3/12/10 11:05 @TYM0 US T-NOTE 10 YR LONG 1 116 52/64 3/25 12:07 115 50/64 0.65%
Trade id #47509743
Max drawdown($1,031)
Time3/25/10 12:03
Quant open1
Worst price115 51/64
Drawdown as % of equity-0.65%
 ($1,039)
Includes Typical Broker Commissions trade costs of $8.00
3/11/10 9:01 @USM0 US T-BOND LONG 1 116 10/32 3/24 8:20 116 31/32 0.29%
Trade id #47485644
Max drawdown($468)
Time3/12/10 8:31
Quant open1
Worst price115 27/32
Drawdown as % of equity-0.29%
 $649
Includes Typical Broker Commissions trade costs of $8.00
2/17/10 13:04 @USH0 US T-BOND SHORT 1 117 6/32 2/23 13:07 117 29/32 0.45%
Trade id #47094307
Max drawdown($718)
Time2/23/10 13:06
Quant open-1
Worst price117 23/32
Drawdown as % of equity-0.45%
 ($726)
Includes Typical Broker Commissions trade costs of $8.00
2/10/10 10:00 @TYH0 US T-NOTE 10 YR LONG 1 118 12/64 2/17 13:15 117 54/64 0.43%
Trade id #46971110
Max drawdown($688)
Time2/11/10 13:02
Quant open1
Worst price117 32/64
Drawdown as % of equity-0.43%
 ($352)
Includes Typical Broker Commissions trade costs of $8.00
2/4/10 8:30 @USH0 US T-BOND LONG 1 117 29/32 2/17 13:03 117 6/32 0.74%
Trade id #46846062
Max drawdown($1,187)
Time2/11/10 13:02
Quant open1
Worst price116 23/32
Drawdown as % of equity-0.74%
 ($726)
Includes Typical Broker Commissions trade costs of $8.00
1/19/10 8:21 @USH0 US T-BOND SHORT 1 117 3/32 1/20 8:31 117 28/32 0.48%
Trade id #46468670
Max drawdown($781)
Time1/20/10 2:29
Quant open-1
Worst price117 26/32
Drawdown as % of equity-0.48%
 ($789)
Includes Typical Broker Commissions trade costs of $8.00
1/11/10 9:51 @TYH0 US T-NOTE 10 YR SHORT 1 116 10/64 1/14 13:07 116 58/64 0.46%
Trade id #46317835
Max drawdown($750)
Time1/14/10 13:02
Quant open-1
Worst price116 57/64
Drawdown as % of equity-0.46%
 ($758)
Includes Typical Broker Commissions trade costs of $8.00
1/13/10 13:21 @USH0 US T-BOND SHORT 1 116 1/32 1/14 13:02 116 26/32 0.5%
Trade id #46386424
Max drawdown($812)
Time1/14/10 13:02
Quant open-1
Worst price116 27/32
Drawdown as % of equity-0.50%
 ($789)
Includes Typical Broker Commissions trade costs of $8.00
12/31/09 8:20 @TYH0 US T-NOTE 10 YR SHORT 1 115 43/64 1/7/10 8:20 115 45/64 0.37%
Trade id #46137262
Max drawdown($593)
Time1/5/10 15:22
Quant open-1
Worst price116 17/64
Drawdown as % of equity-0.37%
 ($39)
Includes Typical Broker Commissions trade costs of $8.00
12/31/09 8:20 @USH0 US T-BOND SHORT 1 115 22/32 1/7/10 8:20 115 1/32 0.29%
Trade id #46137279
Max drawdown($468)
Time1/5/10 14:18
Quant open-1
Worst price116 5/32
Drawdown as % of equity-0.29%
 $649
Includes Typical Broker Commissions trade costs of $8.00
12/3/09 8:20 @TYH0 US T-NOTE 10 YR LONG 1 118 47/64 12/4 8:30 118 1/64 0.44%
Trade id #45565797
Max drawdown($718)
Time12/3/09 8:33
Quant open1
Worst price118 29/64
Drawdown as % of equity-0.44%
 ($726)
Includes Typical Broker Commissions trade costs of $8.00
12/2/09 10:46 @USH0 US T-BOND LONG 1 121 13/32 12/3 9:19 120 7/32 0.72%
Trade id #45537877
Max drawdown($1,187)
Time12/3/09 8:33
Quant open1
Worst price120 9/32
Drawdown as % of equity-0.72%
 ($1,195)
Includes Typical Broker Commissions trade costs of $8.00
11/12/09 8:20 @USZ9 US T-BOND SHORT 1 118 20/32 11/16 8:20 119 30/32 0.85%
Trade id #44897543
Max drawdown($1,406)
Time11/16/09 7:27
Quant open-1
Worst price120 1/32
Drawdown as % of equity-0.85%
 ($1,321)
Includes Typical Broker Commissions trade costs of $8.00
10/16/09 8:20 @TYZ9 US T-NOTE 10 YR LONG 1 117 54/64 11/12 8:26 118 42/64 0.59%
Trade id #43869558
Max drawdown($969)
Time10/26/09 10:28
Quant open1
Worst price116 56/64
Drawdown as % of equity-0.59%
 $804
Includes Typical Broker Commissions trade costs of $8.00
11/3/09 10:48 @USZ9 US T-BOND SHORT 1 119 22/32 11/5 8:43 118 0.02%
Trade id #44468588
Max drawdown($30)
Time11/3/09 10:50
Quant open-1
Worst price119 23/32
Drawdown as % of equity-0.02%
 $1,680
Includes Typical Broker Commissions trade costs of $8.00
10/29/09 8:33 @USZ9 US T-BOND SHORT 1 119 8/32 10/30 14:59 120 6/32 0.57%
Trade id #44304200
Max drawdown($938)
Time10/30/09 12:50
Quant open-1
Worst price120 5/32
Drawdown as % of equity-0.57%
 ($946)
Includes Typical Broker Commissions trade costs of $8.00
10/9/09 8:53 @USZ9 US T-BOND LONG 1 121 22/32 10/26 10:27 117 27/32 2.32%
Trade id #43674775
Max drawdown($3,844)
Time10/26/09 10:24
Quant open1
Worst price117 28/32
Drawdown as % of equity-2.32%
 ($3,852)
Includes Typical Broker Commissions trade costs of $8.00
9/15/09 8:20 @TYZ9 US T-NOTE 10 YR LONG 1 117 17/64 9/23 14:13 116 43/64 0.4%
Trade id #43053940
Max drawdown($672)
Time9/22/09 3:58
Quant open1
Worst price116 38/64
Drawdown as % of equity-0.40%
 ($602)
Includes Typical Broker Commissions trade costs of $8.00
8/12/09 13:04 @USU9 US T-BOND SHORT 1 116 22/32 8/13 13:24 118 1/32 0.79%
Trade id #42407587
Max drawdown($1,343)
Time8/13/09 9:53
Quant open-1
Worst price117 25/32
Drawdown as % of equity-0.79%
 ($1,351)
Includes Typical Broker Commissions trade costs of $8.00
7/2/09 8:20 @USU9 US T-BOND LONG 1 118 9/32 7/9 8:54 119 28/32 0.06%
Trade id #41439833
Max drawdown($93)
Time7/7/09 8:31
Quant open1
Worst price118 6/32
Drawdown as % of equity-0.06%
 $1,586
Includes Typical Broker Commissions trade costs of $8.00
6/23/09 10:00 @TYU9 US T-NOTE 10 YR SHORT 1 115 12/64 6/26 9:01 116 32/64 0.77%
Trade id #41234558
Max drawdown($1,312)
Time6/26/09 9:00
Quant open-1
Worst price116 29/64
Drawdown as % of equity-0.77%
 ($1,320)
Includes Typical Broker Commissions trade costs of $8.00
6/23/09 8:20 @USU9 US T-BOND SHORT 1 115 29/32 6/24 8:21 117 2/32 0.86%
Trade id #41230477
Max drawdown($1,469)
Time6/23/09 15:21
Quant open-1
Worst price117 12/32
Drawdown as % of equity-0.86%
 ($1,149)
Includes Typical Broker Commissions trade costs of $8.00
6/16/09 8:20 @USU9 US T-BOND SHORT 1 114 26/32 6/17 11:26 116 25/32 1.15%
Trade id #41063415
Max drawdown($1,984)
Time6/17/09 11:16
Quant open-1
Worst price116 23/32
Drawdown as % of equity-1.15%
 ($1,992)
Includes Typical Broker Commissions trade costs of $8.00
6/15/09 8:20 @TYU9 US T-NOTE 10 YR SHORT 1 114 36/64 6/17 9:42 115 31/64 0.53%
Trade id #41013082
Max drawdown($922)
Time6/17/09 9:06
Quant open-1
Worst price115 28/64
Drawdown as % of equity-0.53%
 ($930)
Includes Typical Broker Commissions trade costs of $8.00
5/27/09 8:21 @USU9 US T-BOND SHORT 1 117 1/32 6/15 8:20 114 18/32 0.47%
Trade id #40653721
Max drawdown($812)
Time5/29/09 15:03
Quant open-1
Worst price117 26/32
Drawdown as % of equity-0.47%
 $2,461
Includes Typical Broker Commissions trade costs of $8.00
5/21/09 8:20 @USM9 US T-BOND SHORT 1 122 30/32 5/27 8:20 118 14/32 0.23%
Trade id #40562079
Max drawdown($390)
Time5/21/09 9:16
Quant open-1
Worst price123 10/32
Drawdown as % of equity-0.23%
 $4,461
Includes Typical Broker Commissions trade costs of $8.00
5/12/09 10:13 @USM9 US T-BOND SHORT 1 121 24/32 5/18 8:21 123 16/32 1.17%
Trade id #40355824
Max drawdown($1,968)
Time5/15/09 3:36
Quant open-1
Worst price123 23/32
Drawdown as % of equity-1.17%
 ($1,758)
Includes Typical Broker Commissions trade costs of $8.00
4/9/09 8:20 @USM9 US T-BOND SHORT 1 126 23/32 4/24 8:20 124 17/32 0.92%
Trade id #39796584
Max drawdown($1,531)
Time4/15/09 9:36
Quant open-1
Worst price128 8/32
Drawdown as % of equity-0.92%
 $2,180
Includes Typical Broker Commissions trade costs of $8.00
4/7/09 10:48 @USM9 US T-BOND LONG 1 127 6/32 4/9 8:20 126 23/32 0.42%
Trade id #39753291
Max drawdown($703)
Time4/7/09 14:53
Quant open1
Worst price126 15/32
Drawdown as % of equity-0.42%
 ($477)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    3/9/2005
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    7765.33
  • Age
    259 months ago
  • What it trades
    Futures
  • # Trades
    156
  • # Profitable
    74
  • % Profitable
    47.40%
  • Avg trade duration
    10.9 days
  • Max peak-to-valley drawdown
    22.66%
  • drawdown period
    June 03, 2005 - June 26, 2007
  • Annual Return (Compounded)
    2.1%
  • Avg win
    $1,932
  • Avg loss
    $1,004
  • Model Account Values (Raw)
  • Cash
    $160,568
  • Margin Used
    $0
  • Buying Power
    $160,568
  • Ratios
  • W:L ratio
    1.74:1
  • Sharpe Ratio
    0.03
  • Sortino Ratio
    0.05
  • Calmar Ratio
    0.29
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -459.65%
  • Correlation to SP500
    -0.07700
  • Return Percent SP500 (cumu) during strategy life
    515.69%
  • Return Statistics
  • Ann Return (w trading costs)
    2.1%
  • Slump
  • Current Slump as Pcnt Equity
    10.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.80%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.021%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • 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)
    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
    $1,005
  • Avg Win
    $1,932
  • Sum Trade PL (losers)
    $82,404.000
  • Age
  • Num Months filled monthly returns table
    256
  • Win / Loss
  • Sum Trade PL (winners)
    $142,972.000
  • # Winners
    74
  • Num Months Winners
    34
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    82
  • % Winners
    47.4%
  • Frequency
  • Avg Position Time (mins)
    15642.70
  • Avg Position Time (hrs)
    260.71
  • Avg Trade Length
    10.9 days
  • Last Trade Ago
    5913
  • Regression
  • Alpha
    0.00
  • Beta
    -0.02
  • Treynor Index
    -0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    23.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    32.84
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.69
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.417
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.272
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.246
  • Hold-and-Hope Ratio
    0.414
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06096
  • SD
    0.13029
  • Sharpe ratio (Glass type estimate)
    0.46792
  • Sharpe ratio (Hedges UMVUE)
    0.46430
  • df
    97.00000
  • t
    1.33721
  • p
    0.09214
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22225
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.15574
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22465
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15325
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32988
  • Upside Potential Ratio
    2.74479
  • Upside part of mean
    0.12582
  • Downside part of mean
    -0.06486
  • Upside SD
    0.12251
  • Downside SD
    0.04584
  • N nonnegative terms
    70.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    98.00000
  • Mean of predictor
    0.16789
  • Mean of criterion
    0.06096
  • SD of predictor
    0.29758
  • SD of criterion
    0.13029
  • Covariance
    0.00189
  • r
    0.04872
  • b (slope, estimate of beta)
    0.02133
  • a (intercept, estimate of alpha)
    0.05738
  • Mean Square Error
    0.01711
  • DF error
    96.00000
  • t(b)
    0.47791
  • p(b)
    0.31690
  • t(a)
    1.23718
  • p(a)
    0.10952
  • Lowerbound of 95% confidence interval for beta
    -0.06726
  • Upperbound of 95% confidence interval for beta
    0.10992
  • Lowerbound of 95% confidence interval for alpha
    -0.03468
  • Upperbound of 95% confidence interval for alpha
    0.14945
  • Treynor index (mean / b)
    2.85817
  • Jensen alpha (a)
    0.05738
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05325
  • SD
    0.12076
  • Sharpe ratio (Glass type estimate)
    0.44098
  • Sharpe ratio (Hedges UMVUE)
    0.43756
  • df
    97.00000
  • t
    1.26022
  • p
    0.10531
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24877
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.12852
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25104
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12617
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13593
  • Upside Potential Ratio
    2.54257
  • Upside part of mean
    0.11920
  • Downside part of mean
    -0.06594
  • Upside SD
    0.11168
  • Downside SD
    0.04688
  • N nonnegative terms
    70.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    98.00000
  • Mean of predictor
    0.12315
  • Mean of criterion
    0.05325
  • SD of predictor
    0.29927
  • SD of criterion
    0.12076
  • Covariance
    0.00111
  • r
    0.03062
  • b (slope, estimate of beta)
    0.01236
  • a (intercept, estimate of alpha)
    0.05173
  • Mean Square Error
    0.01472
  • DF error
    96.00000
  • t(b)
    0.30018
  • p(b)
    0.38234
  • t(a)
    1.20985
  • p(a)
    0.11465
  • Lowerbound of 95% confidence interval for beta
    -0.06935
  • Upperbound of 95% confidence interval for beta
    0.09407
  • Lowerbound of 95% confidence interval for alpha
    -0.03314
  • Upperbound of 95% confidence interval for alpha
    0.13660
  • Treynor index (mean / b)
    4.30958
  • Jensen alpha (a)
    0.05173
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05153
  • Expected Shortfall on VaR
    0.06516
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00817
  • Expected Shortfall on VaR
    0.01903
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    98.00000
  • Minimum
    0.93449
  • Quartile 1
    0.99721
  • Median
    1.00000
  • Quartile 3
    1.00506
  • Maximum
    1.27332
  • Mean of quarter 1
    0.97881
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00061
  • Mean of quarter 4
    1.04051
  • Inter Quartile Range
    0.00786
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.17347
  • Mean of outliers low
    0.97293
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.15306
  • Mean of outliers high
    1.05981
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.31219
  • VaR(95%) (moments method)
    0.01276
  • Expected Shortfall (moments method)
    0.01349
  • Extreme Value Index (regression method)
    -0.00825
  • VaR(95%) (regression method)
    0.01780
  • Expected Shortfall (regression method)
    0.02637
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01492
  • Quartile 1
    0.03690
  • Median
    0.06192
  • Quartile 3
    0.10442
  • Maximum
    0.17886
  • Mean of quarter 1
    0.01492
  • Mean of quarter 2
    0.04423
  • Mean of quarter 3
    0.07961
  • Mean of quarter 4
    0.17886
  • Inter Quartile Range
    0.06752
  • 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)
    0.06671
  • Compounded annual return (geometric extrapolation)
    0.05470
  • Calmar ratio (compounded annual return / max draw down)
    0.30580
  • Compounded annual return / average of 25% largest draw downs
    0.30580
  • Compounded annual return / Expected Shortfall lognormal
    0.83935
  • 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
    0.07661
  • SD
    0.21666
  • Sharpe ratio (Glass type estimate)
    0.35359
  • Sharpe ratio (Hedges UMVUE)
    0.35346
  • df
    2139.00000
  • t
    1.01054
  • p
    0.15618
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33232
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.03943
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33241
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.03934
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52459
  • Upside Potential Ratio
    4.08640
  • Upside part of mean
    0.59677
  • Downside part of mean
    -0.52016
  • Upside SD
    0.16005
  • Downside SD
    0.14604
  • N nonnegative terms
    1687.00000
  • N negative terms
    453.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2140.00000
  • Mean of predictor
    0.28281
  • Mean of criterion
    0.07661
  • SD of predictor
    0.56817
  • SD of criterion
    0.21666
  • Covariance
    -0.01538
  • r
    -0.12490
  • b (slope, estimate of beta)
    -0.04763
  • a (intercept, estimate of alpha)
    0.09000
  • Mean Square Error
    0.04623
  • DF error
    2138.00000
  • t(b)
    -5.82097
  • p(b)
    1.00000
  • t(a)
    1.19676
  • p(a)
    0.11577
  • Lowerbound of 95% confidence interval for beta
    -0.06368
  • Upperbound of 95% confidence interval for beta
    -0.03158
  • Lowerbound of 95% confidence interval for alpha
    -0.05753
  • Upperbound of 95% confidence interval for alpha
    0.23769
  • Treynor index (mean / b)
    -1.60841
  • Jensen alpha (a)
    0.09008
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05324
  • SD
    0.21615
  • Sharpe ratio (Glass type estimate)
    0.24633
  • Sharpe ratio (Hedges UMVUE)
    0.24624
  • df
    2139.00000
  • t
    0.70399
  • p
    0.24076
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43950
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.93216
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43959
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93207
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34906
  • Upside Potential Ratio
    3.83319
  • Upside part of mean
    0.58470
  • Downside part of mean
    -0.53145
  • Upside SD
    0.15311
  • Downside SD
    0.15254
  • N nonnegative terms
    1687.00000
  • N negative terms
    453.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2140.00000
  • Mean of predictor
    0.12313
  • Mean of criterion
    0.05324
  • SD of predictor
    0.56500
  • SD of criterion
    0.21615
  • Covariance
    -0.01487
  • r
    -0.12177
  • b (slope, estimate of beta)
    -0.04659
  • a (intercept, estimate of alpha)
    0.05898
  • Mean Square Error
    0.04605
  • DF error
    2138.00000
  • t(b)
    -5.67260
  • p(b)
    1.00000
  • t(a)
    0.78542
  • p(a)
    0.21615
  • Lowerbound of 95% confidence interval for beta
    -0.06269
  • Upperbound of 95% confidence interval for beta
    -0.03048
  • Lowerbound of 95% confidence interval for alpha
    -0.08828
  • Upperbound of 95% confidence interval for alpha
    0.20624
  • Treynor index (mean / b)
    -1.14294
  • Jensen alpha (a)
    0.05898
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02153
  • Expected Shortfall on VaR
    0.02696
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00216
  • Expected Shortfall on VaR
    0.00610
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2140.00000
  • Minimum
    0.83820
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.21437
  • Mean of quarter 1
    0.99206
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00911
  • Inter Quartile Range
    0.00000
  • Number outliers low
    453.00000
  • Percentage of outliers low
    0.21168
  • Mean of outliers low
    0.99062
  • Number of outliers high
    499.00000
  • Percentage of outliers high
    0.23318
  • Mean of outliers high
    1.00977
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82271
  • VaR(95%) (moments method)
    0.00473
  • Expected Shortfall (moments method)
    0.03225
  • Extreme Value Index (regression method)
    0.52895
  • VaR(95%) (regression method)
    0.00639
  • Expected Shortfall (regression method)
    0.01916
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00438
  • Quartile 1
    0.01271
  • Median
    0.01818
  • Quartile 3
    0.03074
  • Maximum
    0.18867
  • Mean of quarter 1
    0.00733
  • Mean of quarter 2
    0.01556
  • Mean of quarter 3
    0.02169
  • Mean of quarter 4
    0.10975
  • Inter Quartile Range
    0.01803
  • 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
    0.17391
  • Mean of outliers high
    0.14734
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.41165
  • VaR(95%) (moments method)
    0.09345
  • Expected Shortfall (moments method)
    0.11490
  • Extreme Value Index (regression method)
    -0.60351
  • VaR(95%) (regression method)
    0.13313
  • Expected Shortfall (regression method)
    0.15625
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06670
  • Compounded annual return (geometric extrapolation)
    0.05469
  • Calmar ratio (compounded annual return / max draw down)
    0.28985
  • Compounded annual return / average of 25% largest draw downs
    0.49830
  • Compounded annual return / Expected Shortfall lognormal
    2.02846
  • 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
    1.02940
  • Mean of criterion
    0.00000
  • SD of predictor
    0.58572
  • 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
    0.84683
  • Mean of criterion
    0.00000
  • SD of predictor
    0.61388
  • 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)
    0.02200
  • 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?
    -381567000
  • Max Equity Drawdown (num days)
    753
  • 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

Trading the US 30 Year Treasury Bonds Futures and 10 Year Notes. This is a medium term trading systems, holding trades from about 5 to 20 days. Generally there is at least one trade a month, but there can be no trades in certain months. Since the system come with a profitability guarantee, there are not charge for months like that. Please see our website for the month to month results.

The system trade only during the day session and signals are generated in the evenings for the next day. This is not a daytrading system. Trades can be either made on the open outcry contracts (US, TY), or the electronically traded contracts (ZB, ZN) as long as the trades are only valid during the day session. Many online brokers allow orders to be triggered at a certain time, which allow one, even on the electronically traded contracts to park the order until the day session open.

Entries and exits are both made with stop, or limit orders. All orders are placed the evening before and is valid for the whole next day, which in general should allow similar fills in real accounts than on C2.

Please review the historical trades and notice that we trade a realistic number of contracts and do not trades dozens of contracts, or 10000s of stocks for only a few ticks of profits. Our system is longer term, which make slippage much less of a problem and real trades will be very close to what you see on here.

Futher information and backtested results since 1983 can be seen at: http://www.creativetradingsystems.com

Trade this strategy at Tradier

Summary Statistics

Strategy began
2005-03-09
Suggested Minimum Capital
$100,000
# Trades
156
# Profitable
74
% Profitable
47.4%
Correlation S&P500
-0.077
Sharpe Ratio
0.03
Sortino Ratio
0.05
Beta
-0.02
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.