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Marlin
(125206069)

Created by: sean_modd sean_modd
Started: 09/2019
Futures
Last trade: 5 days ago
Trading style: Futures Trend-following Commodities

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 $125.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
95.9%
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.

(21.8%)
Max Drawdown
266
Num Trades
40.2%
Win Trades
1.5 : 1
Profit Factor
53.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                        +7.5%+11.3%(3.8%)(1.9%)+12.9%
2020+8.8%+25.9%+34.3%+16.3%+2.0%(6.3%)(2.1%)(5.8%)(3.9%)                  +81.2%

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 96 hours.

Trading Record

This strategy has placed 404 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/18/20 15:09 @MESZ0 MICRO E-MINI S&P 500 LONG 5 3309.50 9/18 16:29 3315.57 0.12%
Trade id #131249297
Max drawdown($125)
Time9/18/20 15:21
Quant open5
Worst price3304.50
Drawdown as % of equity-0.12%
$147
Includes Typical Broker Commissions trade costs of $4.70
9/16/20 9:40 @WZ0 WHEAT SHORT 1 542 9/17 14:01 556 0.7%
Trade id #131198707
Max drawdown($737)
Time9/17/20 14:01
Quant open1
Worst price556 3/4
Drawdown as % of equity-0.70%
($708)
Includes Typical Broker Commissions trade costs of $8.00
9/14/20 6:39 @UBZ0 ULTRA US TREASURY BOND LONG 1 223.10020 9/16 6:51 223.06200 0.9%
Trade id #131155541
Max drawdown($975)
Time9/15/20 0:00
Quant open1
Worst price222.12500
Drawdown as % of equity-0.90%
($46)
Includes Typical Broker Commissions trade costs of $8.00
9/11/20 7:37 @CTZ0 COTTON - #2 SHORT 1 6506 9/14 9:45 6620 0.54%
Trade id #131127325
Max drawdown($576)
Time9/14/20 9:45
Quant open1
Worst price6621
Drawdown as % of equity-0.54%
($580)
Includes Typical Broker Commissions trade costs of $8.00
9/9/20 13:35 @MESU0 MICRO E-MINI S&P 500 SHORT 5 3420.00 9/10 6:23 3393.08 0.09%
Trade id #131091252
Max drawdown($100)
Time9/9/20 15:31
Quant open5
Worst price3424.00
Drawdown as % of equity-0.09%
$668
Includes Typical Broker Commissions trade costs of $4.70
9/9/20 14:24 QSIZ0 Silver 5000 oz SHORT 1 27.105 9/10 6:14 27.340 1.57%
Trade id #131092126
Max drawdown($1,700)
Time9/9/20 21:27
Quant open1
Worst price27.445
Drawdown as % of equity-1.57%
($1,183)
Includes Typical Broker Commissions trade costs of $8.00
8/25/20 9:37 @SBV0 Sugar #11 SHORT 3 12.64 9/10 3:30 12.02 0.61%
Trade id #130775268
Max drawdown($660)
Time8/28/20 0:00
Quant open3
Worst price12.84
Drawdown as % of equity-0.61%
$2,070
Includes Typical Broker Commissions trade costs of $24.00
8/26/20 9:54 @LEV0 LIVE CATTLE SHORT 2 107.737 9/9 13:08 105.095 n/a $2,098
Includes Typical Broker Commissions trade costs of $16.00
9/1/20 16:31 @RTYU0 Russell 2000 CME SHORT 1 1580.00 9/3 8:42 1590.80 0.74%
Trade id #130929286
Max drawdown($785)
Time9/2/20 0:00
Quant open1
Worst price1595.70
Drawdown as % of equity-0.74%
($548)
Includes Typical Broker Commissions trade costs of $8.00
8/28/20 5:03 QSIZ0 Silver 5000 oz SHORT 1 27.800 8/30 18:43 28.310 2.65%
Trade id #130835000
Max drawdown($2,900)
Time8/30/20 18:43
Quant open1
Worst price28.380
Drawdown as % of equity-2.65%
($2,558)
Includes Typical Broker Commissions trade costs of $8.00
8/21/20 7:43 @WZ0 WHEAT LONG 1 531 3/4 8/28 6:25 551 1/4 0.35%
Trade id #130726155
Max drawdown($400)
Time8/21/20 9:50
Quant open1
Worst price523 3/4
Drawdown as % of equity-0.35%
$967
Includes Typical Broker Commissions trade costs of $8.00
8/26/20 9:43 QSIZ0 Silver 5000 oz SHORT 1 27.140 8/27 9:16 28.113 4.48%
Trade id #130794609
Max drawdown($4,925)
Time8/27/20 9:16
Quant open1
Worst price28.125
Drawdown as % of equity-4.48%
($4,875)
Includes Typical Broker Commissions trade costs of $8.00
8/20/20 15:06 QMGCZ0 E-Micro Gold SHORT 2 1962.0 8/26 10:29 1946.2 0.09%
Trade id #130715556
Max drawdown($103)
Time8/24/20 0:00
Quant open1
Worst price1970.3
Drawdown as % of equity-0.09%
$314
Includes Typical Broker Commissions trade costs of $1.40
8/25/20 10:44 @KCZ0 COFFEE SHORT 1 122.00 8/26 4:16 125.00 1.2%
Trade id #130778075
Max drawdown($1,350)
Time8/26/20 0:00
Quant open1
Worst price125.60
Drawdown as % of equity-1.20%
($1,133)
Includes Typical Broker Commissions trade costs of $8.00
8/20/20 12:02 @ADU0 AUSTRALIAN DOLLAR SHORT 1 0.7179 8/25 6:19 0.7175 0.34%
Trade id #130711703
Max drawdown($380)
Time8/20/20 20:05
Quant open1
Worst price0.7217
Drawdown as % of equity-0.34%
$33
Includes Typical Broker Commissions trade costs of $8.00
8/21/20 7:08 @CCZ0 COCOA SHORT 2 2400 8/24 8:51 2458 1.03%
Trade id #130725722
Max drawdown($1,155)
Time8/24/20 6:37
Quant open2
Worst price2458
Drawdown as % of equity-1.03%
($1,162)
Includes Typical Broker Commissions trade costs of $16.00
8/21/20 15:01 @MYMU0 MICRO E-MINI DOW SHORT 2 27900 8/24 7:20 28147 0.22%
Trade id #130735979
Max drawdown($249)
Time8/24/20 7:20
Quant open2
Worst price28149
Drawdown as % of equity-0.22%
($249)
Includes Typical Broker Commissions trade costs of $1.88
8/21/20 7:59 QGCZ0 Gold 100 oz LONG 1 1922.2 8/21 8:00 1917.9 0.37%
Trade id #130726342
Max drawdown($428)
Time8/21/20 8:00
Quant open1
Worst price1917.9
Drawdown as % of equity-0.37%
($436)
Includes Typical Broker Commissions trade costs of $8.00
8/20/20 10:30 QGCZ0 Gold 100 oz SHORT 1 1946.1 8/21 4:33 1935.0 1.53%
Trade id #130708537
Max drawdown($1,704)
Time8/20/20 15:37
Quant open1
Worst price1963.1
Drawdown as % of equity-1.53%
$1,098
Includes Typical Broker Commissions trade costs of $8.00
8/19/20 13:17 QMGCZ0 E-Micro Gold SHORT 2 1970.0 8/20 8:46 1947.8 0.21%
Trade id #130692195
Max drawdown($240)
Time8/19/20 14:02
Quant open2
Worst price1982.0
Drawdown as % of equity-0.21%
$443
Includes Typical Broker Commissions trade costs of $1.40
8/5/20 12:51 @QMU0 MINY CRUDE OIL LONG 1 42.500 8/18 6:14 42.775 0.64%
Trade id #130472994
Max drawdown($725)
Time8/7/20 0:00
Quant open1
Worst price41.050
Drawdown as % of equity-0.64%
$130
Includes Typical Broker Commissions trade costs of $8.00
8/17/20 7:36 QHGU0 Copper SHORT 1 289.00 8/18 6:13 291.86 0.69%
Trade id #130645755
Max drawdown($775)
Time8/18/20 5:50
Quant open1
Worst price292.10
Drawdown as % of equity-0.69%
($722)
Includes Typical Broker Commissions trade costs of $8.00
8/14/20 10:58 @ADU0 AUSTRALIAN DOLLAR SHORT 1 0.7172 8/17 10:46 0.7216 0.5%
Trade id #130624053
Max drawdown($560)
Time8/17/20 10:35
Quant open1
Worst price0.7228
Drawdown as % of equity-0.50%
($448)
Includes Typical Broker Commissions trade costs of $8.00
8/17/20 8:19 QGCZ0 Gold 100 oz SHORT 1 1970.0 8/17 10:02 1985.0 1.41%
Trade id #130646177
Max drawdown($1,590)
Time8/17/20 10:02
Quant open1
Worst price1985.9
Drawdown as % of equity-1.41%
($1,508)
Includes Typical Broker Commissions trade costs of $8.00
8/13/20 6:18 @TNU0 ULTRA 10 YR US TREASURY NOTE SHORT 1 157.578125 8/14 11:40 157.203125 0.06%
Trade id #130597676
Max drawdown($62)
Time8/13/20 6:59
Quant open1
Worst price157.641000
Drawdown as % of equity-0.06%
$367
Includes Typical Broker Commissions trade costs of $8.00
8/2/20 20:00 QHGU0 Copper SHORT 2 286.00 8/13 20:46 280.15 1.94%
Trade id #130407007
Max drawdown($2,175)
Time8/5/20 0:00
Quant open1
Worst price293.95
Drawdown as % of equity-1.94%
$2,911
Includes Typical Broker Commissions trade costs of $16.00
8/12/20 10:20 @JYU0 JAPANESE YEN SHORT 1 0.009365 8/13 15:39 0.009351 0.25%
Trade id #130581950
Max drawdown($275)
Time8/13/20 2:26
Quant open1
Worst price0.009387
Drawdown as % of equity-0.25%
$167
Includes Typical Broker Commissions trade costs of $8.00
8/10/20 13:20 @HEV0 LEAN HOGS LONG 1 54.000 8/11 13:59 51.775 0.8%
Trade id #130543123
Max drawdown($890)
Time8/11/20 13:59
Quant open1
Worst price51.775
Drawdown as % of equity-0.80%
($898)
Includes Typical Broker Commissions trade costs of $8.00
7/22/20 13:22 @CCU0 COCOA LONG 2 2382 8/11 4:47 2459 0.35%
Trade id #130221657
Max drawdown($400)
Time7/23/20 0:00
Quant open1
Worst price2176
Drawdown as % of equity-0.35%
$1,524
Includes Typical Broker Commissions trade costs of $16.00
7/31/20 9:30 @SMZ0 SOYBEAN MEAL LONG 1 299.2 8/4 11:55 290.0 0.82%
Trade id #130386491
Max drawdown($920)
Time8/4/20 11:55
Quant open1
Worst price290.0
Drawdown as % of equity-0.82%
($928)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    9/3/2019
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    385.22
  • Age
    13 months ago
  • What it trades
    Futures
  • # Trades
    266
  • # Profitable
    107
  • % Profitable
    40.20%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    21.84%
  • drawdown period
    May 14, 2020 - Sept 22, 2020
  • Annual Return (Compounded)
    95.9%
  • Avg win
    $1,698
  • Avg loss
    $786.29
  • Model Account Values (Raw)
  • Cash
    $106,800
  • Margin Used
    $2,900
  • Buying Power
    $103,860
  • Ratios
  • W:L ratio
    1.45:1
  • Sharpe Ratio
    1.96
  • Sortino Ratio
    3.93
  • Calmar Ratio
    5.732
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    90.56%
  • Correlation to SP500
    -0.14930
  • Return Percent SP500 (cumu) during strategy life
    14.08%
  • Return Statistics
  • Ann Return (w trading costs)
    95.9%
  • Slump
  • Current Slump as Pcnt Equity
    27.90%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.34%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.959%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    104.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    773
  • Popularity (Last 6 weeks)
    963
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    859
  • Popularity (7 days, Percentile 1000 scale)
    895
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $786
  • Avg Win
    $1,699
  • Sum Trade PL (losers)
    $125,020.000
  • AUM
  • AUM (AutoTrader num accounts)
    7
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $181,780.000
  • # Winners
    107
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    678455
  • Win / Loss
  • # Losers
    159
  • % Winners
    40.2%
  • Frequency
  • Avg Position Time (mins)
    4502.60
  • Avg Position Time (hrs)
    75.04
  • Avg Trade Length
    3.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.07
  • Daily leverage (max)
    8.31
  • Regression
  • Alpha
    0.20
  • Beta
    -0.14
  • Treynor Index
    -1.42
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.14
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.543
  • 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
    0.221
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.082
  • Hold-and-Hope Ratio
    0.392
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.91958
  • SD
    0.51019
  • Sharpe ratio (Glass type estimate)
    1.80242
  • Sharpe ratio (Hedges UMVUE)
    1.67618
  • df
    11.00000
  • t
    1.80242
  • p
    0.04946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32936
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.86361
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40518
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.75754
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.69601
  • Upside Potential Ratio
    10.62160
  • Upside part of mean
    1.12321
  • Downside part of mean
    -0.20363
  • Upside SD
    0.54579
  • Downside SD
    0.10575
  • N nonnegative terms
    7.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.16494
  • Mean of criterion
    0.91958
  • SD of predictor
    0.24067
  • SD of criterion
    0.51019
  • Covariance
    -0.07279
  • r
    -0.59283
  • b (slope, estimate of beta)
    -1.25673
  • a (intercept, estimate of alpha)
    1.12686
  • Mean Square Error
    0.18570
  • DF error
    10.00000
  • t(b)
    -2.32789
  • p(b)
    0.97890
  • t(a)
    2.56089
  • p(a)
    0.01416
  • Lowerbound of 95% confidence interval for beta
    -2.45961
  • Upperbound of 95% confidence interval for beta
    -0.05385
  • Lowerbound of 95% confidence interval for alpha
    0.14642
  • Upperbound of 95% confidence interval for alpha
    2.10731
  • Treynor index (mean / b)
    -0.73172
  • Jensen alpha (a)
    1.12686
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.78783
  • SD
    0.45117
  • Sharpe ratio (Glass type estimate)
    1.74620
  • Sharpe ratio (Hedges UMVUE)
    1.62390
  • df
    11.00000
  • t
    1.74620
  • p
    0.05430
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37662
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80006
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45021
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.69800
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.22596
  • Upside Potential Ratio
    9.14260
  • Upside part of mean
    0.99680
  • Downside part of mean
    -0.20897
  • Upside SD
    0.47584
  • Downside SD
    0.10903
  • N nonnegative terms
    7.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.13690
  • Mean of criterion
    0.78783
  • SD of predictor
    0.24261
  • SD of criterion
    0.45117
  • Covariance
    -0.06361
  • r
    -0.58111
  • b (slope, estimate of beta)
    -1.08067
  • a (intercept, estimate of alpha)
    0.93577
  • Mean Square Error
    0.14830
  • DF error
    10.00000
  • t(b)
    -2.25802
  • p(b)
    0.97624
  • t(a)
    2.39556
  • p(a)
    0.01880
  • Lowerbound of 95% confidence interval for beta
    -2.14704
  • Upperbound of 95% confidence interval for beta
    -0.01430
  • Lowerbound of 95% confidence interval for alpha
    0.06540
  • Upperbound of 95% confidence interval for alpha
    1.80614
  • Treynor index (mean / b)
    -0.72902
  • Jensen alpha (a)
    0.93577
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13806
  • Expected Shortfall on VaR
    0.18279
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03540
  • Expected Shortfall on VaR
    0.06589
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.92722
  • Quartile 1
    0.97744
  • Median
    1.01932
  • Quartile 3
    1.16328
  • Maximum
    1.36627
  • Mean of quarter 1
    0.94654
  • Mean of quarter 2
    0.99559
  • Mean of quarter 3
    1.08311
  • Mean of quarter 4
    1.29060
  • Inter Quartile Range
    0.18584
  • 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)
    -48.46550
  • VaR(95%) (moments method)
    0.05172
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.48708
  • VaR(95%) (regression method)
    0.09980
  • Expected Shortfall (regression method)
    0.10098
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.07278
  • Quartile 1
    0.08325
  • Median
    0.09372
  • Quartile 3
    0.10418
  • Maximum
    0.11465
  • Mean of quarter 1
    0.07278
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11465
  • Inter Quartile Range
    0.02094
  • 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)
    1.26084
  • Compounded annual return (geometric extrapolation)
    1.26084
  • Calmar ratio (compounded annual return / max draw down)
    10.99710
  • Compounded annual return / average of 25% largest draw downs
    10.99710
  • Compounded annual return / Expected Shortfall lognormal
    6.89793
  • 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
    0.74162
  • SD
    0.29790
  • Sharpe ratio (Glass type estimate)
    2.48949
  • Sharpe ratio (Hedges UMVUE)
    2.48264
  • df
    273.00000
  • t
    2.54586
  • p
    0.00573
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.55937
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.41513
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55480
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.41048
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.46496
  • Upside Potential Ratio
    13.64950
  • Upside part of mean
    1.85228
  • Downside part of mean
    -1.11066
  • Upside SD
    0.26852
  • Downside SD
    0.13570
  • N nonnegative terms
    140.00000
  • N negative terms
    134.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    274.00000
  • Mean of predictor
    0.15289
  • Mean of criterion
    0.74162
  • SD of predictor
    0.32999
  • SD of criterion
    0.29790
  • Covariance
    -0.02162
  • r
    -0.21993
  • b (slope, estimate of beta)
    -0.19854
  • a (intercept, estimate of alpha)
    0.77200
  • Mean Square Error
    0.08476
  • DF error
    272.00000
  • t(b)
    -3.71813
  • p(b)
    0.99988
  • t(a)
    2.71048
  • p(a)
    0.00357
  • Lowerbound of 95% confidence interval for beta
    -0.30367
  • Upperbound of 95% confidence interval for beta
    -0.09341
  • Lowerbound of 95% confidence interval for alpha
    0.21126
  • Upperbound of 95% confidence interval for alpha
    1.33268
  • Treynor index (mean / b)
    -3.73534
  • Jensen alpha (a)
    0.77197
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69747
  • SD
    0.29234
  • Sharpe ratio (Glass type estimate)
    2.38584
  • Sharpe ratio (Hedges UMVUE)
    2.37928
  • df
    273.00000
  • t
    2.43986
  • p
    0.00766
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45671
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.31068
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45235
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.30620
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.06430
  • Upside Potential Ratio
    13.19610
  • Upside part of mean
    1.81740
  • Downside part of mean
    -1.11993
  • Upside SD
    0.26084
  • Downside SD
    0.13772
  • N nonnegative terms
    140.00000
  • N negative terms
    134.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    274.00000
  • Mean of predictor
    0.09808
  • Mean of criterion
    0.69747
  • SD of predictor
    0.33250
  • SD of criterion
    0.29234
  • Covariance
    -0.02143
  • r
    -0.22044
  • b (slope, estimate of beta)
    -0.19381
  • a (intercept, estimate of alpha)
    0.71648
  • Mean Square Error
    0.08161
  • DF error
    272.00000
  • t(b)
    -3.72723
  • p(b)
    0.99988
  • t(a)
    2.56443
  • p(a)
    0.00544
  • Lowerbound of 95% confidence interval for beta
    -0.29618
  • Upperbound of 95% confidence interval for beta
    -0.09144
  • Lowerbound of 95% confidence interval for alpha
    0.16643
  • Upperbound of 95% confidence interval for alpha
    1.26652
  • Treynor index (mean / b)
    -3.59877
  • Jensen alpha (a)
    0.71648
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02668
  • Expected Shortfall on VaR
    0.03398
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00966
  • Expected Shortfall on VaR
    0.01863
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    274.00000
  • Minimum
    0.93984
  • Quartile 1
    0.99312
  • Median
    1.00031
  • Quartile 3
    1.00681
  • Maximum
    1.10196
  • Mean of quarter 1
    0.98642
  • Mean of quarter 2
    0.99692
  • Mean of quarter 3
    1.00297
  • Mean of quarter 4
    1.02535
  • Inter Quartile Range
    0.01369
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.01825
  • Mean of outliers low
    0.96127
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.06934
  • Mean of outliers high
    1.05380
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24748
  • VaR(95%) (moments method)
    0.01456
  • Expected Shortfall (moments method)
    0.02222
  • Extreme Value Index (regression method)
    0.21584
  • VaR(95%) (regression method)
    0.01247
  • Expected Shortfall (regression method)
    0.01766
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00303
  • Quartile 1
    0.00708
  • Median
    0.02062
  • Quartile 3
    0.03704
  • Maximum
    0.18588
  • Mean of quarter 1
    0.00470
  • Mean of quarter 2
    0.01228
  • Mean of quarter 3
    0.02431
  • Mean of quarter 4
    0.09530
  • Inter Quartile Range
    0.02996
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    0.15635
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.13203
  • VaR(95%) (moments method)
    0.09878
  • Expected Shortfall (moments method)
    0.14559
  • Extreme Value Index (regression method)
    0.99897
  • VaR(95%) (regression method)
    0.10368
  • Expected Shortfall (regression method)
    70.29560
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.08556
  • Compounded annual return (geometric extrapolation)
    1.06550
  • Calmar ratio (compounded annual return / max draw down)
    5.73205
  • Compounded annual return / average of 25% largest draw downs
    11.18000
  • Compounded annual return / Expected Shortfall lognormal
    31.35810
  • 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
    0.16903
  • SD
    0.22524
  • Sharpe ratio (Glass type estimate)
    0.75045
  • Sharpe ratio (Hedges UMVUE)
    0.74611
  • df
    130.00000
  • t
    0.53065
  • p
    0.47675
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02419
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52243
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.02718
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51940
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.50539
  • Upside Potential Ratio
    10.95460
  • Upside part of mean
    1.23003
  • Downside part of mean
    -1.06100
  • Upside SD
    0.19454
  • Downside SD
    0.11228
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.61736
  • Mean of criterion
    0.16903
  • SD of predictor
    0.27460
  • SD of criterion
    0.22524
  • Covariance
    0.00294
  • r
    0.04756
  • b (slope, estimate of beta)
    0.03901
  • a (intercept, estimate of alpha)
    0.14495
  • Mean Square Error
    0.05101
  • DF error
    129.00000
  • t(b)
    0.54084
  • p(b)
    0.46973
  • t(a)
    0.44945
  • p(a)
    0.47483
  • Lowerbound of 95% confidence interval for beta
    -0.10371
  • Upperbound of 95% confidence interval for beta
    0.18174
  • Lowerbound of 95% confidence interval for alpha
    -0.49313
  • Upperbound of 95% confidence interval for alpha
    0.78302
  • Treynor index (mean / b)
    4.33255
  • Jensen alpha (a)
    0.14495
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14429
  • SD
    0.22198
  • Sharpe ratio (Glass type estimate)
    0.64999
  • Sharpe ratio (Hedges UMVUE)
    0.64624
  • df
    130.00000
  • t
    0.45962
  • p
    0.47986
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.12415
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.42172
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.12668
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41916
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27473
  • Upside Potential Ratio
    10.70370
  • Upside part of mean
    1.21155
  • Downside part of mean
    -1.06726
  • Upside SD
    0.19018
  • Downside SD
    0.11319
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.57936
  • Mean of criterion
    0.14429
  • SD of predictor
    0.27384
  • SD of criterion
    0.22198
  • Covariance
    0.00258
  • r
    0.04238
  • b (slope, estimate of beta)
    0.03435
  • a (intercept, estimate of alpha)
    0.12438
  • Mean Square Error
    0.04957
  • DF error
    129.00000
  • t(b)
    0.48174
  • p(b)
    0.47303
  • t(a)
    0.39169
  • p(a)
    0.47806
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.10673
  • Upperbound of 95% confidence interval for beta
    0.17543
  • Lowerbound of 95% confidence interval for alpha
    -0.50391
  • Upperbound of 95% confidence interval for alpha
    0.75268
  • Treynor index (mean / b)
    4.20033
  • Jensen alpha (a)
    0.12438
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02177
  • Expected Shortfall on VaR
    0.02734
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00982
  • Expected Shortfall on VaR
    0.01700
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97161
  • Quartile 1
    0.99318
  • Median
    0.99892
  • Quartile 3
    1.00365
  • Maximum
    1.07392
  • Mean of quarter 1
    0.98797
  • Mean of quarter 2
    0.99625
  • Mean of quarter 3
    1.00155
  • Mean of quarter 4
    1.01725
  • Inter Quartile Range
    0.01047
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97198
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.04101
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00768
  • VaR(95%) (moments method)
    0.01239
  • Expected Shortfall (moments method)
    0.01579
  • Extreme Value Index (regression method)
    -0.05015
  • VaR(95%) (regression method)
    0.01236
  • Expected Shortfall (regression method)
    0.01545
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00303
  • Quartile 1
    0.01147
  • Median
    0.02498
  • Quartile 3
    0.03704
  • Maximum
    0.18588
  • Mean of quarter 1
    0.00504
  • Mean of quarter 2
    0.02043
  • Mean of quarter 3
    0.02850
  • Mean of quarter 4
    0.11573
  • Inter Quartile Range
    0.02557
  • 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
    0.14286
  • Mean of outliers high
    0.18588
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -264649000
  • Max Equity Drawdown (num days)
    131
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17982
  • Compounded annual return (geometric extrapolation)
    0.18791
  • Calmar ratio (compounded annual return / max draw down)
    1.01088
  • Compounded annual return / average of 25% largest draw downs
    1.62368
  • Compounded annual return / Expected Shortfall lognormal
    6.87208

Strategy Description

HI TRADERS! PLEASE NOTE- YOU DO NOT NEED $100,000 TO TRADE MARLIN. FOR THE MOST PART YOU COULD TRADE THIS AT 100% SCALING WITH $15,000. IF YOU DON'T CURRENTLY HAVE, DO NOT WANT TO PART WITH OR SIMPLY "CANT BE BUGGERED" FORKING OUT $15,000. I WOULD SUGGEST TAKING A LOOK AT MY OTHER FUND "JACKAROO"

Hi Guys, Marlin is a futures based hedge fund that trades exclusively commodities. It is traded manually and is based on a mixture of technical and fundamental analysis. I also never risk more than 2% on any one trade. Please let me know if you have any questions

Summary Statistics

Strategy began
2019-09-03
Suggested Minimum Capital
$100,000
Rank at C2 
#93
# Trades
266
# Profitable
107
% Profitable
40.2%
Correlation S&P500
-0.149
Sharpe Ratio
1.96
Sortino Ratio
3.93
Beta
-0.14
Alpha
0.20
Leverage
2.07 Average
8.31 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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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.