IQFUTURES
(135954418)
Subscription terms. Subscriptions to this system cost $240.00 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.
Short Term
Makes shortterm trades or bases analysis on shortterm market movements.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 Cumulative Rate of Return is calculated
= (Ending_equity  Starting_equity) / Starting_equity
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2021  (1.6%)  +23.2%  +7.2%  +6.5%  +38.4% 
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.
Started  $50,000  
Buy Power  $69,761  
Cash  $70,790  
Equity  $151  
Cumulative $  $20,941  
Total System Equity  $70,941  
Margined  $1,180  
Open P/L  $151 
Trading Record
Statistics

Strategy began6/8/2021

Suggested Minimum Cap$70,000

Strategy Age (days)108.42

Age108 days ago

What it tradesFutures

# Trades115

# Profitable103

% Profitable89.60%

Avg trade duration17.2 hours

Max peaktovalley drawdown27.06%

drawdown periodJune 28, 2021  July 07, 2021

Cumul. Return38.5%

Avg win$226.99

Avg loss$203.25
 Model Account Values (Raw)

Cash$70,790

Margin Used$1,180

Buying Power$69,761
 Ratios

W:L ratio9.59:1

Sharpe Ratio1.58

Sortino Ratio3.72

Calmar Ratio9.775
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)33.35%

Correlation to SP5000.22170

Return Percent SP500 (cumu) during strategy life5.25%
 Return Statistics

Ann Return (w trading costs)189.6%
 Slump

Current Slump as Pcnt Equity0.90%
 Instruments

Percent Trades Futures1.00%
 Slump

Current Slump, time of slump as pcnt of strategy life0.01%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.385%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocksn/a

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)218.2%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss43.50%

Chance of 20% account loss8.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/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
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)703

Popularity (Last 6 weeks)953
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score854

Popularity (7 days, Percentile 1000 scale)956
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$191

Avg Win$228

Sum Trade PL (losers)$2,482.000
 Age

Num Months filled monthly returns table4
 Win / Loss

Sum Trade PL (winners)$23,229.000

# Winners102

Num Months Winners3
 Dividends

Dividends Received in Model Acct0
 Win / Loss

# Losers13

% Winners88.7%
 Frequency

Avg Position Time (mins)1028.67

Avg Position Time (hrs)17.14

Avg Trade Length0.7 days

Last Trade Ago0
 Leverage

Daily leverage (average)3.36

Daily leverage (max)17.28
 Regression

Alpha0.41

Beta1.46

Treynor Index0.24
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)1.23

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades3.011

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades2.357

Avg(MAE) / Avg(PL)  Losing trades2.873

HoldandHope Ratio0.332
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean1.21427

SD0.41655

Sharpe ratio (Glass type estimate)2.91506

Sharpe ratio (Hedges UMVUE)1.64465

df2.00000

t1.45753

p0.14115

Lowerbound of 95% confidence interval for Sharpe Ratio2.01821

Upperbound of 95% confidence interval for Sharpe Ratio7.44247

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.59369

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.88298
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean1.21427

Downside part of mean0.00000

Upside SD0.48841

Downside SD0.00000

N nonnegative terms3.00000

N negative terms0.00000
 Statistics related to linear regression on benchmark

N of observations3.00000

Mean of predictor0.23759

Mean of criterion1.21427

SD of predictor0.01277

SD of criterion0.41655

Covariance0.00383

r0.72024

b (slope, estimate of beta)23.48650

a (intercept, estimate of alpha)4.36584

Mean Square Error0.16701

DF error1.00000

t(b)1.03822

p(b)0.24403

t(a)0.80306

p(a)0.71537

Lowerbound of 95% confidence interval for beta263.95200

Upperbound of 95% confidence interval for beta310.92500

Lowerbound of 95% confidence interval for alpha73.44290

Upperbound of 95% confidence interval for alpha64.71120

Treynor index (mean / b)0.05170

Jensen alpha (a)4.36584
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.10785

SD0.37009

Sharpe ratio (Glass type estimate)2.99345

Sharpe ratio (Hedges UMVUE)1.68887

df2.00000

t1.49672

p0.13657

Lowerbound of 95% confidence interval for Sharpe Ratio1.98043

Upperbound of 95% confidence interval for Sharpe Ratio7.56028

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.56613

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.94387
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean1.10785

Downside part of mean0.00000

Upside SD0.43999

Downside SD0.00000

N nonnegative terms3.00000

N negative terms0.00000
 Statistics related to linear regression on benchmark

N of observations3.00000

Mean of predictor0.23467

Mean of criterion1.10785

SD of predictor0.01250

SD of criterion0.37009

Covariance0.00326

r0.70448

b (slope, estimate of beta)20.86200

a (intercept, estimate of alpha)3.78790

Mean Square Error0.13798

DF error1.00000

t(b)0.99262

p(b)0.25118

t(a)0.75943

p(a)0.70675

Lowerbound of 95% confidence interval for beta246.18600

Upperbound of 95% confidence interval for beta287.91000

Lowerbound of 95% confidence interval for alpha67.16400

Upperbound of 95% confidence interval for alpha59.58820

Treynor index (mean / b)0.05310

Jensen alpha (a)3.78790
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08003

Expected Shortfall on VaR0.11951
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00000

Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates

Number of observations3.00000

Minimum1.00732

Quartile 11.03611

Median1.06491

Quartile 31.15162

Maximum1.23833

Mean of quarter 11.00732

Mean of quarter 21.06491

Mean of quarter 30.00000

Mean of quarter 41.23833

Inter Quartile Range0.11550

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations0.00000

Minimum0.00000

Quartile 10.00000

Median0.00000

Quartile 30.00000

Maximum0.00000

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)1.31341

Compounded annual return (geometric extrapolation)2.11354

Calmar ratio (compounded annual return / max draw down)0.00000

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal17.68470

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean1.33497

SD0.67163

Sharpe ratio (Glass type estimate)1.98765

Sharpe ratio (Hedges UMVUE)1.96822

df77.00000

t1.08451

p0.14076

Lowerbound of 95% confidence interval for Sharpe Ratio1.62448

Upperbound of 95% confidence interval for Sharpe Ratio5.58705

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.63733

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.57377
 Statistics related to Sortino ratio

Sortino ratio4.69631

Upside Potential Ratio10.52180

Upside part of mean2.99090

Downside part of mean1.65593

Upside SD0.60935

Downside SD0.28426

N nonnegative terms49.00000

N negative terms29.00000
 Statistics related to linear regression on benchmark

N of observations78.00000

Mean of predictor0.14439

Mean of criterion1.33497

SD of predictor0.10157

SD of criterion0.67163

Covariance0.01509

r0.22117

b (slope, estimate of beta)1.46245

a (intercept, estimate of alpha)1.54600

Mean Square Error0.43467

DF error76.00000

t(b)1.97703

p(b)0.97417

t(a)1.27460

p(a)0.10317

Lowerbound of 95% confidence interval for beta2.93573

Upperbound of 95% confidence interval for beta0.01083

Lowerbound of 95% confidence interval for alpha0.86984

Upperbound of 95% confidence interval for alpha3.96210

Treynor index (mean / b)0.91283

Jensen alpha (a)1.54613
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.12872

SD0.62832

Sharpe ratio (Glass type estimate)1.79641

Sharpe ratio (Hedges UMVUE)1.77885

df77.00000

t0.98017

p0.16504

Lowerbound of 95% confidence interval for Sharpe Ratio1.81260

Upperbound of 95% confidence interval for Sharpe Ratio5.39393

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.82424

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.38195
 Statistics related to Sortino ratio

Sortino ratio3.82479

Upside Potential Ratio9.57937

Upside part of mean2.82694

Downside part of mean1.69822

Upside SD0.55453

Downside SD0.29511

N nonnegative terms49.00000

N negative terms29.00000
 Statistics related to linear regression on benchmark

N of observations78.00000

Mean of predictor0.13924

Mean of criterion1.12872

SD of predictor0.10160

SD of criterion0.62832

Covariance0.01425

r0.22315

b (slope, estimate of beta)1.37998

a (intercept, estimate of alpha)1.32087

Mean Square Error0.38006

DF error76.00000

t(b)1.99571

p(b)0.97523

t(a)1.16482

p(a)0.12387

Lowerbound of 95% confidence interval for beta2.75717

Upperbound of 95% confidence interval for beta0.00280

Lowerbound of 95% confidence interval for alpha0.93763

Upperbound of 95% confidence interval for alpha3.57938

Treynor index (mean / b)0.81792

Jensen alpha (a)1.32087
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05780

Expected Shortfall on VaR0.07287
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01151

Expected Shortfall on VaR0.02635
 ORDER STATISTICS
 Quartiles of return rates

Number of observations78.00000

Minimum0.89435

Quartile 10.99691

Median1.00239

Quartile 31.00688

Maximum1.25819

Mean of quarter 10.97612

Mean of quarter 21.00009

Mean of quarter 31.00468

Mean of quarter 41.03964

Inter Quartile Range0.00996

Number outliers low8.00000

Percentage of outliers low0.10256

Mean of outliers low0.95152

Number of outliers high5.00000

Percentage of outliers high0.06410

Mean of outliers high1.11983
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.73637

VaR(95%) (moments method)0.01810

Expected Shortfall (moments method)0.07899

Extreme Value Index (regression method)0.60897

VaR(95%) (regression method)0.02091

Expected Shortfall (regression method)0.06514
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations12.00000

Minimum0.00261

Quartile 10.00474

Median0.00727

Quartile 30.01665

Maximum0.22293

Mean of quarter 10.00346

Mean of quarter 20.00592

Mean of quarter 30.01079

Mean of quarter 40.12793

Inter Quartile Range0.01191

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.16667

Mean of outliers high0.18286
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)50.06420

VaR(95%) (moments method)0.06028

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)1.63838

VaR(95%) (regression method)0.28978

Expected Shortfall (regression method)0.30477
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.38073

Compounded annual return (geometric extrapolation)2.17919

Calmar ratio (compounded annual return / max draw down)9.77544

Compounded annual return / average of 25% largest draw downs17.03400

Compounded annual return / Expected Shortfall lognormal29.90630
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess log return rates
 Statistics related to linear regression on benchmark

VAR (95 Confidence Intrvl)0.05800
 DRAW DOWN STATISTICS
 Risk estimates based on draw downs (based on Extreme Value T
 assuming Pareto losses only (using partial moments from Sortino statistics)

Last 4 Months  Pcnt Negative0.25%

Strat Max DD how much worse than SP500 max DD during strat life?310046000

Max Equity Drawdown (num days)9
Strategy Description
The basis and algorithm of the strategy is the intraday rhythm of the futures markets.
The maximum number of work contracts can be up to 30.
Most of the deals are closed within a trading day, but sometimes they can be opened for 2 days or more.
Risks when trading are of course present!
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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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Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
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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.