Medallion CME
(134947287)
Subscription terms. Subscriptions to this system cost $250.00 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.
Currencies
Focuses on currency futures.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  +0.2%  +6.8%  (5.2%)  +3.2%  +15.4%  (12.4%)  +8.2%  +14.5% 
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  $125,000  
Buy Power  $151,830  
Cash  $151,830  
Equity  $0  
Cumulative $  $26,830  
Total System Equity  $151,830  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began3/31/2021

Suggested Minimum Cap$140,000

Strategy Age (days)171.22

Age171 days ago

What it tradesFutures

# Trades83

# Profitable68

% Profitable81.90%

Avg trade duration2.3 days

Max peaktovalley drawdown29.62%

drawdown periodAug 05, 2021  Aug 20, 2021

Cumul. Return14.5%

Avg win$902.94

Avg loss$2,304
 Model Account Values (Raw)

Cash$151,830

Margin Used$0

Buying Power$151,830
 Ratios

W:L ratio1.78:1

Sharpe Ratio0.72

Sortino Ratio0.98

Calmar Ratio1.923
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)2.94%

Correlation to SP5000.15120

Return Percent SP500 (cumu) during strategy life11.58%
 Return Statistics

Ann Return (w trading costs)32.8%
 Slump

Current Slump as Pcnt Equity9.00%
 Instruments

Percent Trades Futures0.99%
 Slump

Current Slump, time of slump as pcnt of strategy life0.26%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.145%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocksn/a

Percent Trades Forex0.01%
 Return Statistics

Ann Return (Compnd, No Fees)51.0%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss56.50%

Chance of 20% account loss14.50%

Chance of 30% account loss2.00%

Chance of 40% account lossn/a

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

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

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

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

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)697

Popularity (Last 6 weeks)908
 Trading Style

Any stock shorts? 0/10
 Popularity

Popularity (7 days, Percentile 1000 scale)728
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$2,305

Avg Win$903

Sum Trade PL (losers)$34,570.000
 Age

Num Months filled monthly returns table7
 Win / Loss

Sum Trade PL (winners)$61,400.000

# Winners68

Num Months Winners5
 Dividends

Dividends Received in Model Acct0
 Win / Loss

# Losers15

% Winners81.9%
 Frequency

Avg Position Time (mins)3294.90

Avg Position Time (hrs)54.91

Avg Trade Length2.3 days

Last Trade Ago9
 Leverage

Daily leverage (average)6.63

Daily leverage (max)17.38
 Regression

Alpha0.06

Beta0.58

Treynor Index0.16
 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)1.13

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.06

Avg(MAE) / Avg(PL)  All trades6.661

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 strat0.01

Avg(MAE) / Avg(PL)  Winning trades1.365

Avg(MAE) / Avg(PL)  Losing trades2.562

HoldandHope Ratio0.150
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.30883

SD0.35360

Sharpe ratio (Glass type estimate)0.87337

Sharpe ratio (Hedges UMVUE)0.69685

df4.00000

t0.56376

p0.30151

Lowerbound of 95% confidence interval for Sharpe Ratio2.26903

Upperbound of 95% confidence interval for Sharpe Ratio3.91504

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.37767

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.77136
 Statistics related to Sortino ratio

Sortino ratio1.78962

Upside Potential Ratio3.81134

Upside part of mean0.65770

Downside part of mean0.34888

Upside SD0.27964

Downside SD0.17256

N nonnegative terms3.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.28862

Mean of criterion0.30883

SD of predictor0.06063

SD of criterion0.35360

Covariance0.00375

r0.17495

b (slope, estimate of beta)1.02031

a (intercept, estimate of alpha)0.01434

Mean Square Error0.16161

DF error3.00000

t(b)0.30778

p(b)0.38919

t(a)0.01256

p(a)0.49538

Lowerbound of 95% confidence interval for beta9.52980

Upperbound of 95% confidence interval for beta11.57040

Lowerbound of 95% confidence interval for alpha3.61887

Upperbound of 95% confidence interval for alpha3.64756

Treynor index (mean / b)0.30268

Jensen alpha (a)0.01434
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.25660

SD0.34564

Sharpe ratio (Glass type estimate)0.74240

Sharpe ratio (Hedges UMVUE)0.59235

df4.00000

t0.47922

p0.32840

Lowerbound of 95% confidence interval for Sharpe Ratio2.37755

Upperbound of 95% confidence interval for Sharpe Ratio3.77589

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.47163

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.65633
 Statistics related to Sortino ratio

Sortino ratio1.41887

Upside Potential Ratio3.43100

Upside part of mean0.62049

Downside part of mean0.36389

Upside SD0.26144

Downside SD0.18085

N nonnegative terms3.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.28316

Mean of criterion0.25660

SD of predictor0.05892

SD of criterion0.34564

Covariance0.00373

r0.18310

b (slope, estimate of beta)1.07412

a (intercept, estimate of alpha)0.04755

Mean Square Error0.15394

DF error3.00000

t(b)0.32259

p(b)0.38409

t(a)0.04239

p(a)0.51557

Lowerbound of 95% confidence interval for beta9.52243

Upperbound of 95% confidence interval for beta11.67070

Lowerbound of 95% confidence interval for alpha3.61757

Upperbound of 95% confidence interval for alpha3.52247

Treynor index (mean / b)0.23889

Jensen alpha (a)0.04755
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.13301

Expected Shortfall on VaR0.16786
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.05956

Expected Shortfall on VaR0.10762
 ORDER STATISTICS
 Quartiles of return rates

Number of observations5.00000

Minimum0.89930

Quartile 10.96000

Median1.04159

Quartile 31.07801

Maximum1.16143

Mean of quarter 10.92965

Mean of quarter 21.04159

Mean of quarter 31.07801

Mean of quarter 41.16143

Inter Quartile Range0.11801

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.04000

Quartile 10.05518

Median0.07035

Quartile 30.08553

Maximum0.10070

Mean of quarter 10.04000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.10070

Inter Quartile Range0.03035

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)0.30206

Compounded annual return (geometric extrapolation)0.32911

Calmar ratio (compounded annual return / max draw down)3.26807

Compounded annual return / average of 25% largest draw downs3.26807

Compounded annual return / Expected Shortfall lognormal1.96064

0.00000

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

Mean0.45997

SD0.39814

Sharpe ratio (Glass type estimate)1.15530

Sharpe ratio (Hedges UMVUE)1.14813

df121.00000

t0.78836

p0.45453

Lowerbound of 95% confidence interval for Sharpe Ratio1.72294

Upperbound of 95% confidence interval for Sharpe Ratio4.02888

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.72774

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.02399
 Statistics related to Sortino ratio

Sortino ratio1.59897

Upside Potential Ratio8.33848

Upside part of mean2.39872

Downside part of mean1.93875

Upside SD0.27435

Downside SD0.28767

N nonnegative terms70.00000

N negative terms52.00000
 Statistics related to linear regression on benchmark

N of observations122.00000

Mean of predictor0.21299

Mean of criterion0.45997

SD of predictor0.10492

SD of criterion0.39814

Covariance0.00737

r0.17653

b (slope, estimate of beta)0.66989

a (intercept, estimate of alpha)0.31700

Mean Square Error0.15485

DF error120.00000

t(b)1.96468

p(b)0.41173

t(a)0.54590

p(a)0.47511

Lowerbound of 95% confidence interval for beta0.00520

Upperbound of 95% confidence interval for beta1.34498

Lowerbound of 95% confidence interval for alpha0.83351

Upperbound of 95% confidence interval for alpha1.46810

Treynor index (mean / b)0.68664

Jensen alpha (a)0.31729
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.38039

SD0.40059

Sharpe ratio (Glass type estimate)0.94958

Sharpe ratio (Hedges UMVUE)0.94369

df121.00000

t0.64798

p0.46259

Lowerbound of 95% confidence interval for Sharpe Ratio1.92708

Upperbound of 95% confidence interval for Sharpe Ratio3.82236

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.93100

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.81837
 Statistics related to Sortino ratio

Sortino ratio1.28109

Upside Potential Ratio7.95507

Upside part of mean2.36209

Downside part of mean1.98170

Upside SD0.26747

Downside SD0.29693

N nonnegative terms70.00000

N negative terms52.00000
 Statistics related to linear regression on benchmark

N of observations122.00000

Mean of predictor0.20742

Mean of criterion0.38039

SD of predictor0.10491

SD of criterion0.40059

Covariance0.00746

r0.17743

b (slope, estimate of beta)0.67749

a (intercept, estimate of alpha)0.23987

Mean Square Error0.15671

DF error120.00000

t(b)1.97497

p(b)0.41129

t(a)0.41040

p(a)0.48128

Lowerbound of 95% confidence interval for beta0.00170

Upperbound of 95% confidence interval for beta1.35668

Lowerbound of 95% confidence interval for alpha0.91736

Upperbound of 95% confidence interval for alpha1.39709

Treynor index (mean / b)0.56147

Jensen alpha (a)0.23987
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03850

Expected Shortfall on VaR0.04835
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01509

Expected Shortfall on VaR0.03235
 ORDER STATISTICS
 Quartiles of return rates

Number of observations122.00000

Minimum0.91090

Quartile 10.99273

Median1.00409

Quartile 31.01216

Maximum1.10049

Mean of quarter 10.97266

Mean of quarter 20.99906

Mean of quarter 31.00837

Mean of quarter 41.02748

Inter Quartile Range0.01943

Number outliers low5.00000

Percentage of outliers low0.04098

Mean of outliers low0.92654

Number of outliers high4.00000

Percentage of outliers high0.03279

Mean of outliers high1.06222
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.34302

VaR(95%) (moments method)0.02442

Expected Shortfall (moments method)0.04544

Extreme Value Index (regression method)0.02476

VaR(95%) (regression method)0.02928

Expected Shortfall (regression method)0.04338
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations13.00000

Minimum0.00030

Quartile 10.00691

Median0.01496

Quartile 30.06425

Maximum0.26221

Mean of quarter 10.00252

Mean of quarter 20.01285

Mean of quarter 30.04894

Mean of quarter 40.15570

Inter Quartile Range0.05734

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.07692

Mean of outliers high0.26221
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.25564

VaR(95%) (moments method)0.14383

Expected Shortfall (moments method)0.17769

Extreme Value Index (regression method)0.68677

VaR(95%) (regression method)0.19099

Expected Shortfall (regression method)0.58917
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.44970

Compounded annual return (geometric extrapolation)0.50426

Calmar ratio (compounded annual return / max draw down)1.92312

Compounded annual return / average of 25% largest draw downs3.23862

Compounded annual return / Expected Shortfall lognormal10.42990
 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)0.03800
 DRAW DOWN STATISTICS
 Risk estimates based on draw downs (based on Extreme Value T
 assuming Pareto losses only (using partial moments from Sortino statistics)

Last 4 Months  Pcnt Negative0.25%

Strat Max DD how much worse than SP500 max DD during strat life?340816000

Max Equity Drawdown (num days)15
Strategy Description
This system Medallion CME (Futures) is identical to the my system Medallion X (Forex)  https://collective2.com/details/132634862
1) Trading experience since 2006. Experience in managing a fund of 20 million USD. The plan and goal for the future is to open a hedge fund.
2) My public verified trading results  2011 + 12.11%  2012 + 105.51%  2013 + 272.49%  2014 + 182.49%  2015 + 121.17%  2016 + 65.57%  2017 + 18.24%  2018 + 88.6%  2019 +16.5%.
3) Manual trading is based on the use of advanced mathematical algorithms that generate accurate entry and exit signals, as well as on the analysis of intraday currency futures of the Chicago Mercantile Exchange (CME Group).
4) Trading is carried out both by trend and reversal, on CME currency futures: British Pound Futures, Euro FX Futures, Australian Dollar Futures, Japanese Yen Futures, Canadian Dollar Futures, Swiss Franc Futures.
5) Each trade is protected by stop loss. Prior to the opening of each trade, a risk calculation is made and only after that a trade is opened. Risk control takes first place in the system.
6) Maximum Position Sizes for Medallion CME  In order to comply with rules imposed by market regulators, including the CME and the CFTC, Collective2 restricts the size of trades that can be placed at exchanges.
7) Maximum drawdown per month 10%. The risk for you may be more than 10% if you connected not from the 1st of the month.
8) Not a martingale.
July 27, 2021
Michael
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.