Collective2 Collective2
Featured Strategy SK Trader Followed by live capital $11,900 Hypothetical

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ARK Futures
(150529671)

Created by: ARK2 ARK2
Started: 01/2025
Futures
Last trade: Yesterday
Trading style: Futures Currencies

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 $249.00 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
Currencies
Category: Equity

Currencies

Focuses on currency futures.
134.1%
Cumul. Return

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 marked-to-market equity calculations.

All results are hypothetical.

(12.8%)
Max Drawdown
219
Num Trades
90.0%
Win Trades
6.1 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2025+34.3%+11.3%+12.8%+14.2%+5.1%+0.9%+13.9%+0.9%                        +134.1%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 982 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/31/25 5:44 @JYU5 JAPANESE YEN LONG 5 0.006681 8/1 8:31 0.006693 1.29%
Trade id #152479849
Max drawdown($1,025)
Time7/31/25 20:01
Quant open3
Worst price0.006658
Drawdown as % of equity-1.29%
 $685
Includes Typical Broker Commissions trade costs of $40.00
7/30/25 14:50 @BPU5 BRITISH POUND LONG 2 1.3253 7/30 22:13 1.3263 0.3%
Trade id #152474220
Max drawdown($240)
Time7/30/25 15:28
Quant open2
Worst price1.3234
Drawdown as % of equity-0.30%
 $106
Includes Typical Broker Commissions trade costs of $16.00
7/30/25 8:31 @BPU5 BRITISH POUND SHORT 1 1.3350 7/30 8:38 1.3338 n/a $68
Includes Typical Broker Commissions trade costs of $8.00
7/30/25 6:26 @BPU5 BRITISH POUND SHORT 1 1.3377 7/30 8:20 1.3361 0.06%
Trade id #152463259
Max drawdown($50)
Time7/30/25 8:01
Quant open1
Worst price1.3385
Drawdown as % of equity-0.06%
 $92
Includes Typical Broker Commissions trade costs of $8.00
7/28/25 2:19 @BPU5 BRITISH POUND SHORT 3 1.3429 7/28 11:51 1.3408 0.41%
Trade id #152436374
Max drawdown($325)
Time7/28/25 9:02
Quant open3
Worst price1.3446
Drawdown as % of equity-0.41%
 $367
Includes Typical Broker Commissions trade costs of $24.00
7/24/25 10:23 @JYU5 JAPANESE YEN SHORT 1 0.006864 7/24 10:59 0.006851 n/a $155
Includes Typical Broker Commissions trade costs of $8.00
7/24/25 2:30 @JYU5 JAPANESE YEN SHORT 1 0.006876 7/24 5:14 0.006862 0.09%
Trade id #152403701
Max drawdown($75)
Time7/24/25 3:15
Quant open1
Worst price0.006882
Drawdown as % of equity-0.09%
 $167
Includes Typical Broker Commissions trade costs of $8.00
7/23/25 8:21 @JYU5 JAPANESE YEN LONG 3 0.006868 7/23 23:25 0.006883 0.41%
Trade id #152394097
Max drawdown($325)
Time7/23/25 9:35
Quant open2
Worst price0.006857
Drawdown as % of equity-0.41%
 $514
Includes Typical Broker Commissions trade costs of $24.00
7/22/25 20:53 @JYU5 JAPANESE YEN LONG 4 0.006858 7/23 6:21 0.006866 1.54%
Trade id #152391054
Max drawdown($1,200)
Time7/23/25 1:57
Quant open4
Worst price0.006834
Drawdown as % of equity-1.54%
 $368
Includes Typical Broker Commissions trade costs of $32.00
7/22/25 16:23 @JYU5 JAPANESE YEN LONG 2 0.006856 7/22 20:50 0.006873 0.22%
Trade id #152389403
Max drawdown($175)
Time7/22/25 19:41
Quant open1
Worst price0.006847
Drawdown as % of equity-0.22%
 $409
Includes Typical Broker Commissions trade costs of $16.00
7/22/25 6:41 @JYU5 JAPANESE YEN LONG 1 0.006820 7/22 11:14 0.006872 0.03%
Trade id #152382045
Max drawdown($25)
Time7/22/25 7:02
Quant open1
Worst price0.006818
Drawdown as % of equity-0.03%
 $642
Includes Typical Broker Commissions trade costs of $8.00
7/21/25 20:04 @JYU5 JAPANESE YEN LONG 3 0.006815 7/22 6:16 0.006821 0.66%
Trade id #152379510
Max drawdown($512)
Time7/22/25 3:13
Quant open3
Worst price0.006801
Drawdown as % of equity-0.66%
 $213
Includes Typical Broker Commissions trade costs of $24.00
7/21/25 9:05 @JYU5 JAPANESE YEN LONG 1 0.006820 7/21 10:19 0.006828 0.13%
Trade id #152371208
Max drawdown($100)
Time7/21/25 9:39
Quant open1
Worst price0.006812
Drawdown as % of equity-0.13%
 $92
Includes Typical Broker Commissions trade costs of $8.00
7/16/25 11:48 @JYU5 JAPANESE YEN LONG 11 0.006798 7/21 8:12 0.006803 3.86%
Trade id #152337190
Max drawdown($2,908)
Time7/17/25 0:00
Quant open4
Worst price0.006751
Drawdown as % of equity-3.86%
 $624
Includes Typical Broker Commissions trade costs of $88.00
7/17/25 7:54 @BPU5 BRITISH POUND LONG 1 1.3396 7/17 11:27 1.3416 0.08%
Trade id #152344007
Max drawdown($62)
Time7/17/25 8:30
Quant open1
Worst price1.3386
Drawdown as % of equity-0.08%
 $120
Includes Typical Broker Commissions trade costs of $8.00
7/15/25 1:32 @JYU5 JAPANESE YEN LONG 4 0.006789 7/16 11:16 0.006797 2.06%
Trade id #152317216
Max drawdown($1,562)
Time7/16/25 0:21
Quant open3
Worst price0.006750
Drawdown as % of equity-2.06%
 $393
Includes Typical Broker Commissions trade costs of $32.00
7/15/25 3:26 @BPU5 BRITISH POUND SHORT 2 1.3451 7/15 9:37 1.3435 0.4%
Trade id #152317775
Max drawdown($306)
Time7/15/25 8:30
Quant open2
Worst price1.3475
Drawdown as % of equity-0.40%
 $175
Includes Typical Broker Commissions trade costs of $16.00
7/14/25 6:06 @BPU5 BRITISH POUND SHORT 1 1.3498 7/14 8:47 1.3479 0.02%
Trade id #152306253
Max drawdown($18)
Time7/14/25 6:28
Quant open1
Worst price1.3501
Drawdown as % of equity-0.02%
 $113
Includes Typical Broker Commissions trade costs of $8.00
7/13/25 19:40 @BPU5 BRITISH POUND SHORT 2 1.3504 7/14 1:17 1.3485 0.12%
Trade id #152303618
Max drawdown($91)
Time7/13/25 20:31
Quant open2
Worst price1.3511
Drawdown as % of equity-0.12%
 $219
Includes Typical Broker Commissions trade costs of $16.00
7/11/25 14:01 @BPU5 BRITISH POUND SHORT 1 1.3523 7/13 18:23 1.3494 0.01%
Trade id #152296060
Max drawdown($6)
Time7/11/25 14:47
Quant open1
Worst price1.3524
Drawdown as % of equity-0.01%
 $173
Includes Typical Broker Commissions trade costs of $8.00
7/11/25 9:40 @BPU5 BRITISH POUND SHORT 1 1.3521 7/11 10:12 1.3494 0.02%
Trade id #152292576
Max drawdown($18)
Time7/11/25 9:43
Quant open1
Worst price1.3524
Drawdown as % of equity-0.02%
 $162
Includes Typical Broker Commissions trade costs of $8.00
7/11/25 3:20 @BPU5 BRITISH POUND SHORT 1 1.3554 7/11 7:26 1.3528 0.09%
Trade id #152289083
Max drawdown($69)
Time7/11/25 3:44
Quant open1
Worst price1.3565
Drawdown as % of equity-0.09%
 $154
Includes Typical Broker Commissions trade costs of $8.00
7/10/25 9:04 @BPU5 BRITISH POUND SHORT 1 1.3575 7/11 2:01 1.3559 0.15%
Trade id #152279695
Max drawdown($112)
Time7/10/25 18:45
Quant open1
Worst price1.3593
Drawdown as % of equity-0.15%
 $91
Includes Typical Broker Commissions trade costs of $8.00
7/8/25 11:19 @BPU5 BRITISH POUND SHORT 6 1.3601 7/10 8:37 1.3588 0.64%
Trade id #152255553
Max drawdown($480)
Time7/10/25 3:11
Quant open3
Worst price1.3627
Drawdown as % of equity-0.64%
 $456
Includes Typical Broker Commissions trade costs of $48.00
7/7/25 4:42 @BPU5 BRITISH POUND SHORT 7 1.3623 7/8 6:51 1.3609 1.19%
Trade id #152238561
Max drawdown($883)
Time7/7/25 10:40
Quant open4
Worst price1.3655
Drawdown as % of equity-1.19%
 $539
Includes Typical Broker Commissions trade costs of $56.00
7/3/25 14:15 @BPU5 BRITISH POUND SHORT 6 1.3650 7/7 4:38 1.3626 0.34%
Trade id #152224458
Max drawdown($252)
Time7/3/25 19:59
Quant open2
Worst price1.3676
Drawdown as % of equity-0.34%
 $840
Includes Typical Broker Commissions trade costs of $48.00
7/2/25 22:40 @BPU5 BRITISH POUND SHORT 7 1.3661 7/3 8:30 1.3628 0.89%
Trade id #152216837
Max drawdown($638)
Time7/3/25 4:30
Quant open4
Worst price1.3683
Drawdown as % of equity-0.89%
 $1,384
Includes Typical Broker Commissions trade costs of $56.00
7/2/25 19:41 @JYU5 JAPANESE YEN SHORT 1 0.007024 7/2 23:55 0.007008 0.09%
Trade id #152216262
Max drawdown($62)
Time7/2/25 20:20
Quant open1
Worst price0.007029
Drawdown as % of equity-0.09%
 $192
Includes Typical Broker Commissions trade costs of $8.00
7/2/25 8:34 @BPU5 BRITISH POUND LONG 5 1.3616 7/2 13:02 1.3622 1.64%
Trade id #152208647
Max drawdown($1,167)
Time7/2/25 10:16
Quant open4
Worst price1.3569
Drawdown as % of equity-1.64%
 $167
Includes Typical Broker Commissions trade costs of $40.00
7/2/25 8:18 @JYU5 JAPANESE YEN SHORT 1 0.007019 7/2 8:42 0.007008 0.12%
Trade id #152208099
Max drawdown($87)
Time7/2/25 8:24
Quant open1
Worst price0.007026
Drawdown as % of equity-0.12%
 $130
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    1/10/2025
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    204.6
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    219
  • # Profitable
    197
  • % Profitable
    90.00%
  • Avg trade duration
    1.0 days
  • Max peak-to-valley drawdown
    12.78%
  • drawdown period
    May 06, 2025 - May 12, 2025
  • Cumul. Return
    134.1%
  • Avg win
    $317.77
  • Avg loss
    $469.82
  • Model Account Values (Raw)
  • Cash
    $87,260
  • Margin Used
    $3,800
  • Buying Power
    $82,885
  • Ratios
  • W:L ratio
    6.06:1
  • Sharpe Ratio
    4.72
  • Sortino Ratio
    9.43
  • Calmar Ratio
    44.863
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    127.08%
  • Correlation to SP500
    -0.00930
  • Return Percent SP500 (cumu) during strategy life
    7.05%
  • Return Statistics
  • Ann Return (w trading costs)
    346.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.70%
  • Instruments
  • Percent Trades Futures
    0.98%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.341%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.02%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    415.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    993
  • Popularity (Last 6 weeks)
    994
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    928
  • Popularity (7 days, Percentile 1000 scale)
    995
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $470
  • Avg Win
    $318
  • Sum Trade PL (losers)
    $10,336.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $62,600.000
  • # Winners
    197
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    1793230
  • Win / Loss
  • # Losers
    22
  • % Winners
    90.0%
  • Frequency
  • Avg Position Time (mins)
    1446.28
  • Avg Position Time (hrs)
    24.11
  • Avg Trade Length
    1.0 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    4.73
  • Daily leverage (max)
    17.20
  • Regression
  • Alpha
    0.42
  • Beta
    -0.01
  • Treynor Index
    -38.05
  • 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)
    0.79
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.839
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    1.175
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.066
  • Hold-and-Hope Ratio
    0.544
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.90358
  • SD
    0.52869
  • Sharpe ratio (Glass type estimate)
    3.60053
  • Sharpe ratio (Hedges UMVUE)
    3.02714
  • df
    5.00000
  • t
    2.54596
  • p
    0.02576
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02176
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.01662
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31995
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.37424
  • Statistics related to Sortino ratio
  • Sortino ratio
    57.57030
  • Upside Potential Ratio
    58.98450
  • Upside part of mean
    1.95034
  • Downside part of mean
    -0.04676
  • Upside SD
    0.73062
  • Downside SD
    0.03307
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.13841
  • Mean of criterion
    1.90358
  • SD of predictor
    0.21422
  • SD of criterion
    0.52869
  • Covariance
    -0.01490
  • r
    -0.13157
  • b (slope, estimate of beta)
    -0.32472
  • a (intercept, estimate of alpha)
    1.94852
  • Mean Square Error
    0.34335
  • DF error
    4.00000
  • t(b)
    -0.26545
  • p(b)
    0.59811
  • t(a)
    2.30379
  • p(a)
    0.04130
  • Lowerbound of 95% confidence interval for beta
    -3.72177
  • Upperbound of 95% confidence interval for beta
    3.07232
  • Lowerbound of 95% confidence interval for alpha
    -0.40023
  • Upperbound of 95% confidence interval for alpha
    4.29727
  • Treynor index (mean / b)
    -5.86216
  • Jensen alpha (a)
    1.94852
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.68049
  • SD
    0.44052
  • Sharpe ratio (Glass type estimate)
    3.81474
  • Sharpe ratio (Hedges UMVUE)
    3.20723
  • df
    5.00000
  • t
    2.69743
  • p
    0.02146
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11130
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.31095
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20368
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.61815
  • Statistics related to Sortino ratio
  • Sortino ratio
    50.34520
  • Upside Potential Ratio
    51.75940
  • Upside part of mean
    1.72769
  • Downside part of mean
    -0.04721
  • Upside SD
    0.62924
  • Downside SD
    0.03338
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.11817
  • Mean of criterion
    1.68049
  • SD of predictor
    0.21581
  • SD of criterion
    0.44052
  • Covariance
    -0.01554
  • r
    -0.16342
  • b (slope, estimate of beta)
    -0.33359
  • a (intercept, estimate of alpha)
    1.71991
  • Mean Square Error
    0.23610
  • DF error
    4.00000
  • t(b)
    -0.33130
  • p(b)
    0.62147
  • t(a)
    2.46620
  • p(a)
    0.03461
  • Lowerbound of 95% confidence interval for beta
    -3.12976
  • Upperbound of 95% confidence interval for beta
    2.46259
  • Lowerbound of 95% confidence interval for alpha
    -0.21675
  • Upperbound of 95% confidence interval for alpha
    3.65656
  • Treynor index (mean / b)
    -5.03763
  • Jensen alpha (a)
    1.71991
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06680
  • Expected Shortfall on VaR
    0.11413
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00362
  • Expected Shortfall on VaR
    0.00992
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.97895
  • Quartile 1
    1.08413
  • Median
    1.14438
  • Quartile 3
    1.18894
  • Maximum
    1.43020
  • Mean of quarter 1
    1.02424
  • Mean of quarter 2
    1.12793
  • Mean of quarter 3
    1.16083
  • Mean of quarter 4
    1.31426
  • Inter Quartile Range
    0.10481
  • 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
    0.16667
  • Mean of outliers high
    1.43020
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.02105
  • Quartile 1
    0.02105
  • Median
    0.02105
  • Quartile 3
    0.02105
  • Maximum
    0.02105
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.69897
  • Compounded annual return (geometric extrapolation)
    4.52009
  • Calmar ratio (compounded annual return / max draw down)
    214.70700
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    39.60610
  • 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
    1.66574
  • SD
    0.27923
  • Sharpe ratio (Glass type estimate)
    5.96551
  • Sharpe ratio (Hedges UMVUE)
    5.93438
  • df
    144.00000
  • t
    4.43793
  • p
    0.32657
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    3.23285
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.67890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.21210
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.65667
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.19040
  • Upside Potential Ratio
    17.62730
  • Upside part of mean
    2.40866
  • Downside part of mean
    -0.74292
  • Upside SD
    0.26334
  • Downside SD
    0.13664
  • N nonnegative terms
    102.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    145.00000
  • Mean of predictor
    0.12114
  • Mean of criterion
    1.66574
  • SD of predictor
    0.22937
  • SD of criterion
    0.27923
  • Covariance
    -0.00092
  • r
    -0.01441
  • b (slope, estimate of beta)
    -0.01754
  • a (intercept, estimate of alpha)
    1.66800
  • Mean Square Error
    0.07850
  • DF error
    143.00000
  • t(b)
    -0.17233
  • p(b)
    0.50917
  • t(a)
    4.42623
  • p(a)
    0.28354
  • Lowerbound of 95% confidence interval for beta
    -0.21875
  • Upperbound of 95% confidence interval for beta
    0.18367
  • Lowerbound of 95% confidence interval for alpha
    0.92302
  • Upperbound of 95% confidence interval for alpha
    2.41271
  • Treynor index (mean / b)
    -94.95770
  • Jensen alpha (a)
    1.66787
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.62227
  • SD
    0.27642
  • Sharpe ratio (Glass type estimate)
    5.86896
  • Sharpe ratio (Hedges UMVUE)
    5.83833
  • df
    144.00000
  • t
    4.36611
  • p
    0.32904
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    3.13922
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.57967
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.11882
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.55785
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.58470
  • Upside Potential Ratio
    16.95820
  • Upside part of mean
    2.37476
  • Downside part of mean
    -0.75249
  • Upside SD
    0.25751
  • Downside SD
    0.14004
  • N nonnegative terms
    102.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    145.00000
  • Mean of predictor
    0.09524
  • Mean of criterion
    1.62227
  • SD of predictor
    0.22774
  • SD of criterion
    0.27642
  • Covariance
    -0.00148
  • r
    -0.02346
  • b (slope, estimate of beta)
    -0.02847
  • a (intercept, estimate of alpha)
    1.62498
  • Mean Square Error
    0.07690
  • DF error
    143.00000
  • t(b)
    -0.28059
  • p(b)
    0.51493
  • t(a)
    4.35793
  • p(a)
    0.28636
  • Lowerbound of 95% confidence interval for beta
    -0.22905
  • Upperbound of 95% confidence interval for beta
    0.17210
  • Lowerbound of 95% confidence interval for alpha
    0.88791
  • Upperbound of 95% confidence interval for alpha
    2.36205
  • Treynor index (mean / b)
    -56.97770
  • Jensen alpha (a)
    1.62498
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02166
  • Expected Shortfall on VaR
    0.02860
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00430
  • Expected Shortfall on VaR
    0.01047
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    145.00000
  • Minimum
    0.92636
  • Quartile 1
    0.99886
  • Median
    1.00471
  • Quartile 3
    1.01169
  • Maximum
    1.07620
  • Mean of quarter 1
    0.98907
  • Mean of quarter 2
    1.00220
  • Mean of quarter 3
    1.00822
  • Mean of quarter 4
    1.02684
  • Inter Quartile Range
    0.01284
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03448
  • Mean of outliers low
    0.96645
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.06897
  • Mean of outliers high
    1.04891
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30415
  • VaR(95%) (moments method)
    0.00553
  • Expected Shortfall (moments method)
    0.01051
  • Extreme Value Index (regression method)
    0.23277
  • VaR(95%) (regression method)
    0.00952
  • Expected Shortfall (regression method)
    0.01759
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00194
  • Median
    0.00739
  • Quartile 3
    0.01600
  • Maximum
    0.09379
  • Mean of quarter 1
    0.00118
  • Mean of quarter 2
    0.00504
  • Mean of quarter 3
    0.01088
  • Mean of quarter 4
    0.05080
  • Inter Quartile Range
    0.01406
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.06623
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.48425
  • VaR(95%) (moments method)
    0.04280
  • Expected Shortfall (moments method)
    0.05054
  • Extreme Value Index (regression method)
    -0.10325
  • VaR(95%) (regression method)
    0.06338
  • Expected Shortfall (regression method)
    0.08654
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.69670
  • Compounded annual return (geometric extrapolation)
    4.20789
  • Calmar ratio (compounded annual return / max draw down)
    44.86280
  • Compounded annual return / average of 25% largest draw downs
    82.83810
  • Compounded annual return / Expected Shortfall lognormal
    147.14900
  • 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
    1.25271
  • SD
    0.24988
  • Sharpe ratio (Glass type estimate)
    5.01313
  • Sharpe ratio (Hedges UMVUE)
    4.98415
  • df
    130.00000
  • t
    3.54482
  • p
    0.35156
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.16611
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.84186
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14691
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.82139
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.74201
  • Upside Potential Ratio
    14.32560
  • Upside part of mean
    2.05283
  • Downside part of mean
    -0.80012
  • Upside SD
    0.21776
  • Downside SD
    0.14330
  • N nonnegative terms
    90.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05404
  • Mean of criterion
    1.25271
  • SD of predictor
    0.23759
  • SD of criterion
    0.24988
  • Covariance
    -0.00306
  • r
    -0.05157
  • b (slope, estimate of beta)
    -0.05424
  • a (intercept, estimate of alpha)
    1.25564
  • Mean Square Error
    0.06276
  • DF error
    129.00000
  • t(b)
    -0.58652
  • p(b)
    0.53282
  • t(a)
    3.54378
  • p(a)
    0.31322
  • Lowerbound of 95% confidence interval for beta
    -0.23721
  • Upperbound of 95% confidence interval for beta
    0.12873
  • Lowerbound of 95% confidence interval for alpha
    0.55461
  • Upperbound of 95% confidence interval for alpha
    1.95667
  • Treynor index (mean / b)
    -23.09540
  • Jensen alpha (a)
    1.25564
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.21882
  • SD
    0.24922
  • Sharpe ratio (Glass type estimate)
    4.89064
  • Sharpe ratio (Hedges UMVUE)
    4.86237
  • df
    130.00000
  • t
    3.45820
  • p
    0.35488
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.04692
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.71647
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.69649
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.29841
  • Upside Potential Ratio
    13.81770
  • Upside part of mean
    2.02947
  • Downside part of mean
    -0.81064
  • Upside SD
    0.21385
  • Downside SD
    0.14687
  • N nonnegative terms
    90.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02631
  • Mean of criterion
    1.21882
  • SD of predictor
    0.23583
  • SD of criterion
    0.24922
  • Covariance
    -0.00361
  • r
    -0.06144
  • b (slope, estimate of beta)
    -0.06492
  • a (intercept, estimate of alpha)
    1.22053
  • Mean Square Error
    0.06235
  • DF error
    129.00000
  • t(b)
    -0.69912
  • p(b)
    0.53909
  • t(a)
    3.45615
  • p(a)
    0.31732
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    -0.24866
  • Upperbound of 95% confidence interval for beta
    0.11881
  • Lowerbound of 95% confidence interval for alpha
    0.52182
  • Upperbound of 95% confidence interval for alpha
    1.91924
  • Treynor index (mean / b)
    -18.77310
  • Jensen alpha (a)
    1.22053
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02046
  • Expected Shortfall on VaR
    0.02673
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00485
  • Expected Shortfall on VaR
    0.01160
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92636
  • Quartile 1
    0.99855
  • Median
    1.00431
  • Quartile 3
    1.01144
  • Maximum
    1.07336
  • Mean of quarter 1
    0.98815
  • Mean of quarter 2
    1.00174
  • Mean of quarter 3
    1.00727
  • Mean of quarter 4
    1.02246
  • Inter Quartile Range
    0.01289
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.96322
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.04347
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42119
  • VaR(95%) (moments method)
    0.00784
  • Expected Shortfall (moments method)
    0.01698
  • Extreme Value Index (regression method)
    0.23392
  • VaR(95%) (regression method)
    0.01045
  • Expected Shortfall (regression method)
    0.01894
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00192
  • Median
    0.00853
  • Quartile 3
    0.01791
  • Maximum
    0.09379
  • Mean of quarter 1
    0.00102
  • Mean of quarter 2
    0.00496
  • Mean of quarter 3
    0.01147
  • Mean of quarter 4
    0.05080
  • Inter Quartile Range
    0.01599
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15790
  • Mean of outliers high
    0.06623
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.77148
  • VaR(95%) (moments method)
    0.04683
  • Expected Shortfall (moments method)
    0.04721
  • Extreme Value Index (regression method)
    -0.43887
  • VaR(95%) (regression method)
    0.07051
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.08557
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -445750000
  • Max Equity Drawdown (num days)
    6
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.73039
  • Compounded annual return (geometric extrapolation)
    2.47895
  • Calmar ratio (compounded annual return / max draw down)
    26.42950
  • Compounded annual return / average of 25% largest draw downs
    48.80150
  • Compounded annual return / Expected Shortfall lognormal
    92.75160

Strategy Description

1) About My Trading System: Experience, Evolution, and Philosophy

I've been involved in online trading since 2006, developing a manual trading system based on advanced mathematical algorithms. My system generates precise entry and exit signals, incorporating analysis of intraday bulletins from currency futures of the Chicago Mercantile Exchange (CME Group), including British Pound, Euro FX, Australian Dollar, Japanese Yen, Swiss Franc, and Canadian Dollar futures. I trade G10 CME Group currency futures, both trending and reversal patterns, with every trade protected by a stop loss. This system is not a martingale strategy. My long-term goal is to open my own hedge fund.

2) A Journey of Continuous Improvement

My system has undergone extensive refinement over the years. I've focused significantly on addressing past mistakes, drawing insights from psychology to enhance my decision-making processes. This meticulous work has led to the identification and correction of bugs, resulting in a more reliable and stable system. I've also optimized my algorithms, retaining only the most effective ones, and implemented robust risk management strategies. I have complete confidence in my system.

I strive to become a disciplined trader. I set strict rules for the maximum leverage, average leverage level, and maximum drawdown each month, publishing these risk management goals at least once a month. This is my commitment to all my subscribers, ensuring you can invest with peace of mind.

3) Understanding Past Performance and Lessons Learned

I want to be transparent about my trading history. This isn't my first venture here; I've had periods of significant success, including from February 2018 to July 2019, when I managed approximately $7 million USD with around 100 paid subscribers. In 2018, my system showed an impressive 88% profit. However, I observed a pattern: when profits were more moderate (10-25% per year) and drawdowns low, clients tended to leave. In 2019, despite a 16% profit, 95% of my clients departed.

I learned that strategies promising high profits often lead to larger drawdowns, creating a "vicious circle." This realization, combined with client preferences for aggressive strategies, unfortunately led me to take on more risk with my system, resulting in some setbacks.

For example, from November 2021 to October 2022, my ARK system initially saw excellent results and client growth, with over 250% profit in six months and $15 million USD under management with 100+ subscribers. However, when I shifted to a more conservative (less risky) approach, the subscriber count dropped significantly. When I resumed more aggressive trading, it led to a substantial drawdown from a highly leveraged USD/JPY short position. While the market idea was correct (selling at 145-147-150 with targets at 135-133-131), poor execution was entirely my fault, and I take full responsibility.

More recently, in 2024, my M8888 system achieved an excellent 420% profit with a 42% maximum drawdown. However, this aggressive approach predictably led to a large drawdown, with current profits at 230% and a 70% drawdown. I understand that such results are generally unattractive. I now prioritize finding an adequate balance between risk and profit.

You can review the archives of my past systems from 2018-2024 on my website.

______________________________________________________________________________________________________________

Important Recommendations for Copying My System

Every month, I establish and adhere to strict risk parameters. For your peace of mind and based on your risk preferences, I strongly recommend setting your risk limit to no more than 10-15-20% after subscribing to the system.

Please keep the following in mind when considering or copying my system, "ARK Futures":

1) Do not idealize results: Consistent monthly gains over long periods are unrealistic. Trading is not a bank deposit. Expect periods of drawdown or stagnation, as market cycles are normal.

2) Diversify your investments: Never put all your capital into a single strategy.

3)Monitor regularly: Continuously monitor the results, ideally several times a week. This will help you stay calm and informed.

4) Profitability is non-linear: Past performance does not guarantee future results.

5) Manage your emotions: There's a stop loss and risk limit for every trade. Excessive anxiety about market movements or perceived errors will only hinder your results. I do not offer psychological counseling.

6) Periods of inactivity are normal: It's common to have several trading sessions or weeks with no activity. Constant market presence doesn't equate to better profits; sometimes, a few strong trading sessions can define an entire month's performance. Patience and waiting for clear signals are key.

7) Understand the risks: There's a possibility of losing some or all of your investment. Only invest capital you can afford to lose. I advise seeking independent financial advice if you have any doubts about the risks associated with foreign exchange trading.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2025-01-10
Suggested Minimum Capital
$80,000
Rank at C2 %
Top 7.2%
Rank # 
#87
# Trades
219
# Profitable
197
% Profitable
90.0%
Correlation S&P500
-0.009
Sharpe Ratio
4.72
Sortino Ratio
9.43
Beta
-0.01
Alpha
0.42
Leverage
4.73 Average
17.20 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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