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%  (10.2%)  (32.2%)  (20.9%) 
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  $31,914  
Cash  $73,001  
Equity  ($26,927)  
Cumulative $  ($3,926)  
Total System Equity  $46,074  
Margined  $14,160  
Open P/L  ($26,927) 
Trading Record
Statistics

Strategy began6/8/2021

Suggested Minimum Cap$45,000

Strategy Age (days)141.54

Age142 days ago

What it tradesFutures

# Trades123

# Profitable110

% Profitable89.40%

Avg trade duration21.3 hours

Max peaktovalley drawdown40.56%

drawdown periodOct 12, 2021  Oct 26, 2021

Cumul. Return20.8%

Avg win$231.27

Avg loss$2,258
 Model Account Values (Raw)

Cash$73,001

Margin Used$14,160

Buying Power$31,914
 Ratios

W:L ratio0.87:1

Sharpe Ratio0.02

Sortino Ratio0.03

Calmar Ratio0.501
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)29.25%

Correlation to SP5000.07120

Return Percent SP500 (cumu) during strategy life8.24%
 Return Statistics

Ann Return (w trading costs)44.6%
 Slump

Current Slump as Pcnt Equity68.20%
 Instruments

Percent Trades Futures1.00%
 Slump

Current Slump, time of slump as pcnt of strategy life0.10%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.208%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocksn/a

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)38.2%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss94.00%

Chance of 20% account loss75.00%

Chance of 30% account loss47.00%

Chance of 40% account loss22.00%

Chance of 60% account loss (Monte Carlo)n/a

Chance of 70% account loss (Monte Carlo)n/a

Chance of 80% account loss (Monte Carlo)n/a

Chance of 90% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account loss6.00%
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)938
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score372

Popularity (7 days, Percentile 1000 scale)301
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$2,616

Avg Win$231

Sum Trade PL (losers)$34,010.000
 Age

Num Months filled monthly returns table5
 Win / Loss

Sum Trade PL (winners)$25,440.000

# Winners110

Num Months Winners2
 Dividends

Dividends Received in Model Acct0
 Win / Loss

# Losers13

% Winners89.4%
 Frequency

Avg Position Time (mins)1279.47

Avg Position Time (hrs)21.32

Avg Trade Length0.9 days

Last Trade Ago10
 Leverage

Daily leverage (average)3.62

Daily leverage (max)17.28
 Regression

Alpha0.02

Beta0.52

Treynor Index0.01
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)1.63

MAE:Equity, average, winning trades0.02

MAE:Equity, average, losing trades0.06

Avg(MAE) / Avg(PL)  All trades29.321

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 trades3.158

Avg(MAE) / Avg(PL)  Losing trades1.379

HoldandHope Ratio0.086
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean1.11907

SD0.34452

Sharpe ratio (Glass type estimate)3.24815

Sharpe ratio (Hedges UMVUE)2.35037

df3.00000

t1.87532

p0.07871

Lowerbound of 95% confidence interval for Sharpe Ratio1.10529

Upperbound of 95% confidence interval for Sharpe Ratio7.29537

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.53051

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.23124
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean1.11907

Downside part of mean0.00000

Upside SD0.43975

Downside SD0.00000

N nonnegative terms4.00000

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

N of observations4.00000

Mean of predictor0.09524

Mean of criterion1.11907

SD of predictor0.08285

SD of criterion0.34452

Covariance0.00707

r0.24778

b (slope, estimate of beta)1.03044

a (intercept, estimate of alpha)1.02093

Mean Square Error0.16711

DF error2.00000

t(b)0.36170

p(b)0.37611

t(a)1.34641

p(a)0.15523

Lowerbound of 95% confidence interval for beta11.22740

Upperbound of 95% confidence interval for beta13.28820

Lowerbound of 95% confidence interval for alpha2.24160

Upperbound of 95% confidence interval for alpha4.28346

Treynor index (mean / b)1.08601

Jensen alpha (a)1.02093
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.03189

SD0.30535

Sharpe ratio (Glass type estimate)3.37940

Sharpe ratio (Hedges UMVUE)2.44534

df3.00000

t1.95110

p0.07306

Lowerbound of 95% confidence interval for Sharpe Ratio1.03392

Upperbound of 95% confidence interval for Sharpe Ratio7.48551

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.47293

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.36360
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean1.03189

Downside part of mean0.00000

Upside SD0.39832

Downside SD0.00000

N nonnegative terms4.00000

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

N of observations4.00000

Mean of predictor0.09208

Mean of criterion1.03189

SD of predictor0.08296

SD of criterion0.30535

Covariance0.00578

r0.22831

b (slope, estimate of beta)0.84036

a (intercept, estimate of alpha)0.95450

Mean Square Error0.13256

DF error2.00000

t(b)0.33164

p(b)0.38585

t(a)1.41952

p(a)0.14578

Lowerbound of 95% confidence interval for beta10.06250

Upperbound of 95% confidence interval for beta11.74330

Lowerbound of 95% confidence interval for alpha1.93865

Upperbound of 95% confidence interval for alpha3.84766

Treynor index (mean / b)1.22791

Jensen alpha (a)0.95450
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05729

Expected Shortfall on VaR0.09090
 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 observations4.00000

Minimum1.00732

Quartile 11.05051

Median1.06835

Quartile 31.11342

Maximum1.23833

Mean of quarter 11.00732

Mean of quarter 21.06491

Mean of quarter 31.07178

Mean of quarter 41.23833

Inter Quartile Range0.06291

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.25000

Mean of outliers high1.23833
 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)1.27112

Compounded annual return (geometric extrapolation)1.88577

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 lognormal20.74540

0.00000

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

Mean0.04375

SD0.76164

Sharpe ratio (Glass type estimate)0.05744

Sharpe ratio (Hedges UMVUE)0.05701

df100.00000

t0.03567

p0.48581

Lowerbound of 95% confidence interval for Sharpe Ratio3.09938

Upperbound of 95% confidence interval for Sharpe Ratio3.21411

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.09973

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.21376
 Statistics related to Sortino ratio

Sortino ratio0.09713

Upside Potential Ratio6.69094

Upside part of mean3.01395

Downside part of mean2.97020

Upside SD0.60947

Downside SD0.45045

N nonnegative terms55.00000

N negative terms46.00000
 Statistics related to linear regression on benchmark

N of observations101.00000

Mean of predictor0.18738

Mean of criterion0.04375

SD of predictor0.10969

SD of criterion0.76164

Covariance0.00638

r0.07639

b (slope, estimate of beta)0.53042

a (intercept, estimate of alpha)0.14300

Mean Square Error0.58253

DF error99.00000

t(b)0.76230

p(b)0.77616

t(a)0.11579

p(a)0.45403

Lowerbound of 95% confidence interval for beta1.91105

Upperbound of 95% confidence interval for beta0.85022

Lowerbound of 95% confidence interval for alpha2.30969

Upperbound of 95% confidence interval for alpha2.59598

Treynor index (mean / b)0.08249

Jensen alpha (a)0.14314
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.23020

SD0.73645

Sharpe ratio (Glass type estimate)0.31258

Sharpe ratio (Hedges UMVUE)0.31023

df100.00000

t0.19408

p0.57674

Lowerbound of 95% confidence interval for Sharpe Ratio3.46891

Upperbound of 95% confidence interval for Sharpe Ratio2.84515

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.46726

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.84679
 Statistics related to Sortino ratio

Sortino ratio0.48422

Upside Potential Ratio5.99213

Upside part of mean2.84866

Downside part of mean3.07886

Upside SD0.55784

Downside SD0.47540

N nonnegative terms55.00000

N negative terms46.00000
 Statistics related to linear regression on benchmark

N of observations101.00000

Mean of predictor0.18134

Mean of criterion0.23020

SD of predictor0.10978

SD of criterion0.73645

Covariance0.00596

r0.07367

b (slope, estimate of beta)0.49423

a (intercept, estimate of alpha)0.14058

Mean Square Error0.54486

DF error99.00000

t(b)0.73503

p(b)0.76797

t(a)0.11763

p(a)0.54670

Lowerbound of 95% confidence interval for beta1.82839

Upperbound of 95% confidence interval for beta0.83994

Lowerbound of 95% confidence interval for alpha2.51192

Upperbound of 95% confidence interval for alpha2.23076

Treynor index (mean / b)0.46578

Jensen alpha (a)0.14058
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07292

Expected Shortfall on VaR0.09025
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02414

Expected Shortfall on VaR0.05160
 ORDER STATISTICS
 Quartiles of return rates

Number of observations101.00000

Minimum0.84217

Quartile 10.99198

Median1.00139

Quartile 31.00688

Maximum1.25819

Mean of quarter 10.95866

Mean of quarter 20.99758

Mean of quarter 31.00413

Mean of quarter 41.04239

Inter Quartile Range0.01490

Number outliers low12.00000

Percentage of outliers low0.11881

Mean of outliers low0.93095

Number of outliers high6.00000

Percentage of outliers high0.05941

Mean of outliers high1.13467
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.34842

VaR(95%) (moments method)0.03143

Expected Shortfall (moments method)0.06074

Extreme Value Index (regression method)0.42309

VaR(95%) (regression method)0.03531

Expected Shortfall (regression method)0.07549
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations14.00000

Minimum0.00261

Quartile 10.00520

Median0.00809

Quartile 30.11162

Maximum0.36530

Mean of quarter 10.00379

Mean of quarter 20.00702

Mean of quarter 30.01414

Mean of quarter 40.23310

Inter Quartile Range0.10641

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.07143

Mean of outliers high0.36530
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.37643

VaR(95%) (moments method)0.26568

Expected Shortfall (moments method)0.27677

Extreme Value Index (regression method)0.01476

VaR(95%) (regression method)0.31460

Expected Shortfall (regression method)0.42007
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.19461

Compounded annual return (geometric extrapolation)0.18314

Calmar ratio (compounded annual return / max draw down)0.50135

Compounded annual return / average of 25% largest draw downs0.78570

Compounded annual return / Expected Shortfall lognormal2.02929
 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)0.07300
 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 Negative0.50%

Strat Max DD how much worse than SP500 max DD during strat life?335518000

Max Equity Drawdown (num days)14
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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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.