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Marlin
(125206069)

Created by: sean_modd sean_modd
Started: 09/2019
Futures
Last trade: 8 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.
59.9%
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.

(33.0%)
Max Drawdown
326
Num Trades
39.6%
Win Trades
1.3 : 1
Profit Factor
52.9%
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%)(7.2%)+7.3%+4.8%(5.6%)+85.8%
2021(8.6%)                                                                  (8.6%)

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 168 hours.

Trading Record

This strategy has placed 479 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 22 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/5/21 19:13 @QGH1 MINY NATURAL GAS LONG 1 2.655 1/11 8:06 2.600 0.25%
Trade id #133196071
Max drawdown($237)
Time1/11/21 5:31
Quant open1
Worst price2.560
Drawdown as % of equity-0.25%
($146)
Includes Typical Broker Commissions trade costs of $8.00
12/24/20 3:30 @SBH1 Sugar #11 LONG 4 15.36 1/11/21 3:30 15.57 0.26%
Trade id #133000152
Max drawdown($268)
Time12/24/20 8:13
Quant open2
Worst price14.74
Drawdown as % of equity-0.26%
$909
Includes Typical Broker Commissions trade costs of $32.00
1/5/21 10:57 @LBH1 Random Length Lumber Globex SHORT 1 668.50 1/6 10:09 701.80 4.63%
Trade id #133182309
Max drawdown($4,565)
Time1/6/21 0:00
Quant open1
Worst price710.00
Drawdown as % of equity-4.63%
($3,671)
Includes Typical Broker Commissions trade costs of $8.00
1/6/21 0:16 @RTYH1 Russell 2000 CME SHORT 1 2000.00 1/6 5:41 2032.20 1.62%
Trade id #133208017
Max drawdown($1,610)
Time1/6/21 5:41
Quant open1
Worst price2032.20
Drawdown as % of equity-1.62%
($1,618)
Includes Typical Broker Commissions trade costs of $8.00
1/4/21 13:50 QHGH1 Copper SHORT 1 355.85 1/5 18:58 364.90 2.64%
Trade id #133164764
Max drawdown($2,612)
Time1/5/21 14:41
Quant open1
Worst price366.30
Drawdown as % of equity-2.64%
($2,271)
Includes Typical Broker Commissions trade costs of $8.00
1/4/21 10:08 @CCH1 COCOA LONG 1 2600 1/5 7:38 2516 0.99%
Trade id #133156554
Max drawdown($990)
Time1/5/21 5:52
Quant open1
Worst price2501
Drawdown as % of equity-0.99%
($848)
Includes Typical Broker Commissions trade costs of $8.00
12/16/20 11:47 @LEG1 LIVE CATTLE LONG 4 113.600 1/4/21 13:49 112.275 3.36%
Trade id #132853074
Max drawdown($3,360)
Time1/4/21 13:10
Quant open4
Worst price111.500
Drawdown as % of equity-3.36%
($2,152)
Includes Typical Broker Commissions trade costs of $32.00
12/31/20 7:08 QHGH1 Copper SHORT 1 352.20 1/4/21 0:55 358.00 1.42%
Trade id #133106196
Max drawdown($1,475)
Time1/4/21 0:55
Quant open1
Worst price358.10
Drawdown as % of equity-1.42%
($1,458)
Includes Typical Broker Commissions trade costs of $8.00
12/15/20 11:24 @CCH1 COCOA SHORT 3 2552 12/28 4:00 2599 1.38%
Trade id #132823865
Max drawdown($1,450)
Time12/24/20 0:00
Quant open3
Worst price2600
Drawdown as % of equity-1.38%
($1,444)
Includes Typical Broker Commissions trade costs of $24.00
12/17/20 9:10 QNGH1 Natural Gas LONG 3 2.669 12/23 13:32 2.561 3.59%
Trade id #132883296
Max drawdown($3,760)
Time12/23/20 12:35
Quant open3
Worst price2.544
Drawdown as % of equity-3.59%
($3,274)
Includes Typical Broker Commissions trade costs of $24.00
12/7/20 9:53 @CH1 CORN SHORT 1 416 3/4 12/17 11:17 429 0.6%
Trade id #132671760
Max drawdown($650)
Time12/17/20 10:21
Quant open1
Worst price429 3/4
Drawdown as % of equity-0.60%
($621)
Includes Typical Broker Commissions trade costs of $8.00
11/30/20 9:26 @SBH1 Sugar #11 SHORT 2 14.59 12/17 11:14 14.57 0.99%
Trade id #132526666
Max drawdown($1,075)
Time12/10/20 0:00
Quant open2
Worst price15.07
Drawdown as % of equity-0.99%
$29
Includes Typical Broker Commissions trade costs of $16.00
12/10/20 11:35 @CCH1 COCOA SHORT 1 2549 12/14 4:45 2647 0.97%
Trade id #132745522
Max drawdown($1,040)
Time12/14/20 4:45
Quant open1
Worst price2653
Drawdown as % of equity-0.97%
($988)
Includes Typical Broker Commissions trade costs of $8.00
12/2/20 11:00 @LEG1 LIVE CATTLE SHORT 1 112.975 12/10 11:13 111.975 0.36%
Trade id #132596788
Max drawdown($400)
Time12/2/20 13:59
Quant open1
Worst price113.975
Drawdown as % of equity-0.36%
$392
Includes Typical Broker Commissions trade costs of $8.00
12/9/20 12:59 @KCH1 COFFEE SHORT 1 117.00 12/10 9:10 120.10 1.07%
Trade id #132724898
Max drawdown($1,162)
Time12/10/20 9:10
Quant open1
Worst price120.10
Drawdown as % of equity-1.07%
($1,171)
Includes Typical Broker Commissions trade costs of $8.00
12/7/20 9:54 @CTH1 COTTON - #2 SHORT 1 7161 12/7 12:53 7250 0.42%
Trade id #132671777
Max drawdown($455)
Time12/7/20 12:53
Quant open1
Worst price7252
Drawdown as % of equity-0.42%
($453)
Includes Typical Broker Commissions trade costs of $8.00
11/25/20 12:33 @HEG1 LEAN HOGS LONG 1 67.400 12/3 13:27 67.025 0.42%
Trade id #132460162
Max drawdown($470)
Time11/27/20 0:00
Quant open1
Worst price66.225
Drawdown as % of equity-0.42%
($158)
Includes Typical Broker Commissions trade costs of $8.00
11/25/20 8:51 @CTH1 COTTON - #2 LONG 1 7291 12/2 7:19 7169 0.57%
Trade id #132449102
Max drawdown($630)
Time12/2/20 7:13
Quant open1
Worst price7165
Drawdown as % of equity-0.57%
($618)
Includes Typical Broker Commissions trade costs of $8.00
11/18/20 21:50 @CTH1 COTTON - #2 LONG 5 7275 11/25 8:50 7297 0.12%
Trade id #132334942
Max drawdown($135)
Time11/19/20 0:00
Quant open1
Worst price7142
Drawdown as % of equity-0.12%
$520
Includes Typical Broker Commissions trade costs of $40.00
11/20/20 11:20 @KCH1 COFFEE LONG 1 117.20 11/23 11:17 117.10 0.2%
Trade id #132372273
Max drawdown($225)
Time11/23/20 10:59
Quant open1
Worst price116.60
Drawdown as % of equity-0.20%
($46)
Includes Typical Broker Commissions trade costs of $8.00
11/20/20 11:20 @KCH1 COFFEE SHORT 1 117.20 11/20 11:20 117.20 n/a ($8)
Includes Typical Broker Commissions trade costs of $8.00
11/9/20 4:15 @KCH1 COFFEE LONG 8 115.49 11/20 11:20 118.96 0.84%
Trade id #132142817
Max drawdown($843)
Time11/10/20 0:00
Quant open1
Worst price108.05
Drawdown as % of equity-0.84%
$10,361
Includes Typical Broker Commissions trade costs of $64.00
11/5/20 11:05 @LEZ0 LIVE CATTLE LONG 2 110.200 11/13 10:24 111.425 0.11%
Trade id #132094622
Max drawdown($110)
Time11/5/20 11:31
Quant open1
Worst price107.825
Drawdown as % of equity-0.11%
$964
Includes Typical Broker Commissions trade costs of $16.00
11/9/20 11:48 QMGCZ0 E-Micro Gold LONG 1 1852.5 11/11 10:14 1858.4 0.02%
Trade id #132155039
Max drawdown($15)
Time11/9/20 11:51
Quant open1
Worst price1851.0
Drawdown as % of equity-0.02%
$58
Includes Typical Broker Commissions trade costs of $0.70
11/6/20 7:41 @CTZ0 COTTON - #2 SHORT 1 6947 11/9 13:41 6987 0.49%
Trade id #132112156
Max drawdown($485)
Time11/9/20 8:08
Quant open1
Worst price7044
Drawdown as % of equity-0.49%
($208)
Includes Typical Broker Commissions trade costs of $8.00
11/9/20 13:18 @UBZ0 ULTRA US TREASURY BOND LONG 1 210.84375 11/9 13:36 210.93750 0.06%
Trade id #132157049
Max drawdown($62)
Time11/9/20 13:22
Quant open1
Worst price210.78100
Drawdown as % of equity-0.06%
$86
Includes Typical Broker Commissions trade costs of $8.00
11/4/20 12:49 QMGCZ0 E-Micro Gold LONG 1 1894.8 11/9 7:52 1910.2 0.01%
Trade id #132077042
Max drawdown($12)
Time11/4/20 13:02
Quant open1
Worst price1893.6
Drawdown as % of equity-0.01%
$153
Includes Typical Broker Commissions trade costs of $0.70
10/29/20 23:21 QHGZ0 Copper SHORT 2 307.95 11/6 7:21 313.93 2.08%
Trade id #131980718
Max drawdown($2,175)
Time11/3/20 0:00
Quant open2
Worst price312.30
Drawdown as % of equity-2.08%
($3,004)
Includes Typical Broker Commissions trade costs of $16.00
11/4/20 20:18 @VXZ0 CBOE Volatility Index VIX LONG 1 29.25 11/5 9:51 28.00 1.24%
Trade id #132083084
Max drawdown($1,250)
Time11/5/20 9:51
Quant open1
Worst price28.00
Drawdown as % of equity-1.24%
($1,258)
Includes Typical Broker Commissions trade costs of $8.00
11/2/20 10:01 @WZ0 WHEAT SHORT 1 609 11/5 9:30 620 0.56%
Trade id #132017645
Max drawdown($562)
Time11/5/20 9:30
Quant open1
Worst price620 1/4
Drawdown as % of equity-0.56%
($558)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    9/3/2019
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    503.56
  • Age
    17 months ago
  • What it trades
    Futures
  • # Trades
    326
  • # Profitable
    129
  • % Profitable
    39.60%
  • Avg trade duration
    3.5 days
  • Max peak-to-valley drawdown
    33%
  • drawdown period
    May 14, 2020 - Jan 18, 2021
  • Annual Return (Compounded)
    59.9%
  • Avg win
    $1,733
  • Avg loss
    $872.10
  • Model Account Values (Raw)
  • Cash
    $91,123
  • Margin Used
    $11,572
  • Buying Power
    $90,260
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    1.36
  • Sortino Ratio
    2.47
  • Calmar Ratio
    2.77
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    62.20%
  • Correlation to SP500
    -0.13350
  • Return Percent SP500 (cumu) during strategy life
    29.66%
  • Return Statistics
  • Ann Return (w trading costs)
    59.9%
  • Slump
  • Current Slump as Pcnt Equity
    36.30%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.50%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.599%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    67.1%
  • 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)
    0
  • Popularity (Last 6 weeks)
    888
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    807
  • Popularity (7 days, Percentile 1000 scale)
    755
  • 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
    $873
  • Avg Win
    $1,734
  • Sum Trade PL (losers)
    $171,976.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $223,636.000
  • # Winners
    129
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    98790
  • Win / Loss
  • # Losers
    197
  • % Winners
    39.6%
  • Frequency
  • Avg Position Time (mins)
    5073.58
  • Avg Position Time (hrs)
    84.56
  • Avg Trade Length
    3.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.01
  • Daily leverage (max)
    8.31
  • Regression
  • Alpha
    0.14
  • Beta
    -0.13
  • Treynor Index
    -1.00
  • 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)
    0.07
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.357
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.230
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.099
  • Hold-and-Hope Ratio
    0.257
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59468
  • SD
    0.49664
  • Sharpe ratio (Glass type estimate)
    1.19740
  • Sharpe ratio (Hedges UMVUE)
    1.13634
  • df
    15.00000
  • t
    1.38264
  • p
    0.29006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92851
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60906
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88175
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.44409
  • Upside Potential Ratio
    5.31684
  • Upside part of mean
    0.91804
  • Downside part of mean
    -0.32336
  • Upside SD
    0.48052
  • Downside SD
    0.17267
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.20082
  • Mean of criterion
    0.59468
  • SD of predictor
    0.21013
  • SD of criterion
    0.49664
  • Covariance
    -0.05308
  • r
    -0.50867
  • b (slope, estimate of beta)
    -1.20227
  • a (intercept, estimate of alpha)
    0.83612
  • Mean Square Error
    0.19589
  • DF error
    14.00000
  • t(b)
    -2.21064
  • p(b)
    0.75434
  • t(a)
    2.09787
  • p(a)
    0.25547
  • Lowerbound of 95% confidence interval for beta
    -2.36873
  • Upperbound of 95% confidence interval for beta
    -0.03582
  • Lowerbound of 95% confidence interval for alpha
    -0.01870
  • Upperbound of 95% confidence interval for alpha
    1.69094
  • Treynor index (mean / b)
    -0.49463
  • Jensen alpha (a)
    0.83612
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48086
  • SD
    0.45121
  • Sharpe ratio (Glass type estimate)
    1.06572
  • Sharpe ratio (Hedges UMVUE)
    1.01138
  • df
    15.00000
  • t
    1.23059
  • p
    0.31021
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78792
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72415
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74691
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.62533
  • Upside Potential Ratio
    4.47457
  • Upside part of mean
    0.81957
  • Downside part of mean
    -0.33871
  • Upside SD
    0.42022
  • Downside SD
    0.18316
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.17805
  • Mean of criterion
    0.48086
  • SD of predictor
    0.21185
  • SD of criterion
    0.45121
  • Covariance
    -0.04680
  • r
    -0.48958
  • b (slope, estimate of beta)
    -1.04271
  • a (intercept, estimate of alpha)
    0.66651
  • Mean Square Error
    0.16584
  • DF error
    14.00000
  • t(b)
    -2.10086
  • p(b)
    0.74479
  • t(a)
    1.83318
  • p(a)
    0.28002
  • Lowerbound of 95% confidence interval for beta
    -2.10723
  • Upperbound of 95% confidence interval for beta
    0.02180
  • Lowerbound of 95% confidence interval for alpha
    -0.11330
  • Upperbound of 95% confidence interval for alpha
    1.44632
  • Treynor index (mean / b)
    -0.46116
  • Jensen alpha (a)
    0.66651
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15985
  • Expected Shortfall on VaR
    0.20344
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05773
  • Expected Shortfall on VaR
    0.10867
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.85192
  • Quartile 1
    0.96466
  • Median
    1.01086
  • Quartile 3
    1.11604
  • Maximum
    1.36627
  • Mean of quarter 1
    0.91091
  • Mean of quarter 2
    0.98621
  • Mean of quarter 3
    1.05306
  • Mean of quarter 4
    1.25736
  • Inter Quartile Range
    0.15138
  • 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
    0.06250
  • Mean of outliers high
    1.36627
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08227
  • VaR(95%) (moments method)
    0.09692
  • Expected Shortfall (moments method)
    0.12843
  • Extreme Value Index (regression method)
    1.02376
  • VaR(95%) (regression method)
    0.09793
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.07278
  • Quartile 1
    0.11166
  • Median
    0.15054
  • Quartile 3
    0.18942
  • Maximum
    0.22830
  • Mean of quarter 1
    0.07278
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22830
  • Inter Quartile Range
    0.07776
  • 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)
    0.72798
  • Compounded annual return (geometric extrapolation)
    0.66324
  • Calmar ratio (compounded annual return / max draw down)
    2.90515
  • Compounded annual return / average of 25% largest draw downs
    2.90515
  • Compounded annual return / Expected Shortfall lognormal
    3.26008
  • 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
    0.53882
  • SD
    0.29385
  • Sharpe ratio (Glass type estimate)
    1.83362
  • Sharpe ratio (Hedges UMVUE)
    1.82975
  • df
    355.00000
  • t
    2.13739
  • p
    0.01662
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14557
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51919
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14296
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51654
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.62463
  • Upside Potential Ratio
    11.87360
  • Upside part of mean
    1.76507
  • Downside part of mean
    -1.22625
  • Upside SD
    0.25518
  • Downside SD
    0.14865
  • N nonnegative terms
    183.00000
  • N negative terms
    173.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    356.00000
  • Mean of predictor
    0.20863
  • Mean of criterion
    0.53882
  • SD of predictor
    0.30004
  • SD of criterion
    0.29385
  • Covariance
    -0.01736
  • r
    -0.19694
  • b (slope, estimate of beta)
    -0.19288
  • a (intercept, estimate of alpha)
    0.57900
  • Mean Square Error
    0.08324
  • DF error
    354.00000
  • t(b)
    -3.77940
  • p(b)
    0.99991
  • t(a)
    2.33744
  • p(a)
    0.00999
  • Lowerbound of 95% confidence interval for beta
    -0.29325
  • Upperbound of 95% confidence interval for beta
    -0.09251
  • Lowerbound of 95% confidence interval for alpha
    0.09185
  • Upperbound of 95% confidence interval for alpha
    1.06627
  • Treynor index (mean / b)
    -2.79353
  • Jensen alpha (a)
    0.57906
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49612
  • SD
    0.28925
  • Sharpe ratio (Glass type estimate)
    1.71518
  • Sharpe ratio (Hedges UMVUE)
    1.71155
  • df
    355.00000
  • t
    1.99933
  • p
    0.02317
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.40016
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02544
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.39767
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.28986
  • Upside Potential Ratio
    11.49520
  • Upside part of mean
    1.73350
  • Downside part of mean
    -1.23738
  • Upside SD
    0.24825
  • Downside SD
    0.15080
  • N nonnegative terms
    183.00000
  • N negative terms
    173.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    356.00000
  • Mean of predictor
    0.16325
  • Mean of criterion
    0.49612
  • SD of predictor
    0.30222
  • SD of criterion
    0.28925
  • Covariance
    -0.01724
  • r
    -0.19719
  • b (slope, estimate of beta)
    -0.18872
  • a (intercept, estimate of alpha)
    0.52693
  • Mean Square Error
    0.08064
  • DF error
    354.00000
  • t(b)
    -3.78435
  • p(b)
    0.99991
  • t(a)
    2.16176
  • p(a)
    0.01565
  • Lowerbound of 95% confidence interval for beta
    -0.28680
  • Upperbound of 95% confidence interval for beta
    -0.09065
  • Lowerbound of 95% confidence interval for alpha
    0.04755
  • Upperbound of 95% confidence interval for alpha
    1.00630
  • Treynor index (mean / b)
    -2.62881
  • Jensen alpha (a)
    0.52693
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02713
  • Expected Shortfall on VaR
    0.03434
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01064
  • Expected Shortfall on VaR
    0.02043
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    356.00000
  • Minimum
    0.93984
  • Quartile 1
    0.99294
  • Median
    1.00029
  • Quartile 3
    1.00619
  • Maximum
    1.10196
  • Mean of quarter 1
    0.98476
  • Mean of quarter 2
    0.99674
  • Mean of quarter 3
    1.00279
  • Mean of quarter 4
    1.02436
  • Inter Quartile Range
    0.01325
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.02247
  • Mean of outliers low
    0.96181
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.07303
  • Mean of outliers high
    1.04994
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22249
  • VaR(95%) (moments method)
    0.01584
  • Expected Shortfall (moments method)
    0.02420
  • Extreme Value Index (regression method)
    0.19245
  • VaR(95%) (regression method)
    0.01390
  • Expected Shortfall (regression method)
    0.01999
  • 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
    0.24866
  • Mean of quarter 1
    0.00470
  • Mean of quarter 2
    0.01228
  • Mean of quarter 3
    0.02431
  • Mean of quarter 4
    0.10786
  • 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
    0.18774
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.39620
  • VaR(95%) (moments method)
    0.11710
  • Expected Shortfall (moments method)
    0.22518
  • Extreme Value Index (regression method)
    1.52952
  • VaR(95%) (regression method)
    0.12487
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.76402
  • Compounded annual return (geometric extrapolation)
    0.68881
  • Calmar ratio (compounded annual return / max draw down)
    2.77009
  • Compounded annual return / average of 25% largest draw downs
    6.38620
  • Compounded annual return / Expected Shortfall lognormal
    20.05760
  • 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
    -0.30650
  • SD
    0.23435
  • Sharpe ratio (Glass type estimate)
    -1.30786
  • Sharpe ratio (Hedges UMVUE)
    -1.30030
  • df
    130.00000
  • t
    -0.92479
  • p
    0.54042
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.08180
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47092
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.07660
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47601
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.89685
  • Upside Potential Ratio
    7.04302
  • Upside part of mean
    1.13802
  • Downside part of mean
    -1.44452
  • Upside SD
    0.16956
  • Downside SD
    0.16158
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30312
  • Mean of criterion
    -0.30650
  • SD of predictor
    0.16535
  • SD of criterion
    0.23435
  • Covariance
    -0.00289
  • r
    -0.07462
  • b (slope, estimate of beta)
    -0.10576
  • a (intercept, estimate of alpha)
    -0.27444
  • Mean Square Error
    0.05504
  • DF error
    129.00000
  • t(b)
    -0.84991
  • p(b)
    0.54746
  • t(a)
    -0.82188
  • p(a)
    0.54591
  • Lowerbound of 95% confidence interval for beta
    -0.35196
  • Upperbound of 95% confidence interval for beta
    0.14044
  • Lowerbound of 95% confidence interval for alpha
    -0.93510
  • Upperbound of 95% confidence interval for alpha
    0.38622
  • Treynor index (mean / b)
    2.89804
  • Jensen alpha (a)
    -0.27444
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.33377
  • SD
    0.23342
  • Sharpe ratio (Glass type estimate)
    -1.42989
  • Sharpe ratio (Hedges UMVUE)
    -1.42163
  • df
    130.00000
  • t
    -1.01109
  • p
    0.54417
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.20449
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.19882
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35556
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.04026
  • Upside Potential Ratio
    6.87001
  • Upside part of mean
    1.12387
  • Downside part of mean
    -1.45764
  • Upside SD
    0.16653
  • Downside SD
    0.16359
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28930
  • Mean of criterion
    -0.33377
  • SD of predictor
    0.16586
  • SD of criterion
    0.23342
  • Covariance
    -0.00290
  • r
    -0.07483
  • b (slope, estimate of beta)
    -0.10532
  • a (intercept, estimate of alpha)
    -0.30330
  • Mean Square Error
    0.05460
  • DF error
    129.00000
  • t(b)
    -0.85232
  • p(b)
    0.54760
  • t(a)
    -0.91250
  • p(a)
    0.55093
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.34979
  • Upperbound of 95% confidence interval for beta
    0.13916
  • Lowerbound of 95% confidence interval for alpha
    -0.96093
  • Upperbound of 95% confidence interval for alpha
    0.35433
  • Treynor index (mean / b)
    3.16920
  • Jensen alpha (a)
    -0.30330
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02468
  • Expected Shortfall on VaR
    0.03053
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01356
  • Expected Shortfall on VaR
    0.02436
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95945
  • Quartile 1
    0.99265
  • Median
    0.99857
  • Quartile 3
    1.00454
  • Maximum
    1.05365
  • Mean of quarter 1
    0.98264
  • Mean of quarter 2
    0.99588
  • Mean of quarter 3
    1.00112
  • Mean of quarter 4
    1.01618
  • Inter Quartile Range
    0.01189
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.96723
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.03845
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24742
  • VaR(95%) (moments method)
    0.01687
  • Expected Shortfall (moments method)
    0.02071
  • Extreme Value Index (regression method)
    -0.36286
  • VaR(95%) (regression method)
    0.01760
  • Expected Shortfall (regression method)
    0.02096
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.15443
  • Quartile 1
    0.16500
  • Median
    0.17557
  • Quartile 3
    0.18615
  • Maximum
    0.19672
  • Mean of quarter 1
    0.15443
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.19672
  • Inter Quartile Range
    0.02115
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -277263000
  • Max Equity Drawdown (num days)
    249
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.28362
  • Compounded annual return (geometric extrapolation)
    -0.26351
  • Calmar ratio (compounded annual return / max draw down)
    -1.33952
  • Compounded annual return / average of 25% largest draw downs
    -1.33952
  • Compounded annual return / Expected Shortfall lognormal
    -8.63125

Strategy Description

The Marlin Fund brings a mix of systematic and discretionary principles to trading commodities. Largely based on trade signals that are generated via proprietary trend breakout indicators, the trade signals generated are occasionally subjected to a layer of further analysis before a trade is executed. Utilizing a discretionary approach at times to what would otherwise be a fully systematic strategy , provides a level of risk management oversight to account for any upcoming catalysts that may have an adverse impact on Marlin's investment returns.

In essence, the key concept of Marlin is pinpointing when a new price trend is about to commence or when an existing trend is coming to an end. This strategy can be employed across all baskets of commodities but tends to avoid those that are illiquid. Given that Marlin is a trend following strategy, the trades can last a couple of days to a couple of months.

Summary Statistics

Strategy began
2019-09-03
Suggested Minimum Capital
$100,000
Rank at C2 
#140
# Trades
326
# Profitable
129
% Profitable
39.6%
Correlation S&P500
-0.134
Sharpe Ratio
1.36
Sortino Ratio
2.47
Beta
-0.13
Alpha
0.14
Leverage
2.01 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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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.