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Featured Strategy Enter Here +30.8% Cumul. Return since Jul 29, 2026 Hypothetical

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SmartFutures

By VIXPro

Futures · Futures · Started Nov 2020

hypothetical · Annual Return (Compounded)
25.2%
Max Drawdown
25.9%
Trades
544
Win Trades
62.9%
Profit Factor
2.30
Win Months
67.1%
Subscribe Full access for $195/month

About this strategy

Our algorithmic + discretionary trading strategy SmartFutures focusses on 'Micro E-mini S&P 500 Futures' (MES). We switch between long and short positions or go back to cash entirely. Trading decisions are based on a set of technical and historical volatility indicators, our own proprietary trading signals and our expertise.

Markets are meticulously monitored and under normal circumstances trades are executed around Market Open and Market Close. Average holding time is usually a couple of days but short-term daytrades are possible. In volatile markets protective Stop Loss orders are put in place.

Strategy go-live: 11/2020

Subscribe to this strategy now for $195/month


Be sure to also check out our other trading strategies on Collective2:

• EliteFutures: Our algorithmic MES Futures trading strategy
collective2.com/details/125237603

• VolatilityFutures: Our algorithmic VIX Futures trading strategy
collective2.com/details/133141816


-VIXPro-

Short Term

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20206.12.08.2
202110.15.310.3-3.510.73.62.60.1-1.61.8-1.77.553.5
2022-7.8-1.48.6-0.8-2.1-3.612.8-2.31.312.98.33.030.0
202317.22.92.01.80.11.10.5-1.7-4.0-2.61.10.719.1
20242.6-0.4-1.11.00.92.4-0.6-4.57.7-0.72.9-0.99.0
20252.1-1.4-3.812.82.01.51.12.01.22.2-0.90.920.4
20260.61.0-0.34.12.30.00.90.29.1

Statistics

Overview

Strategy began11/9/2020
Suggested Minimum Capital$90,000
Age70 months
C2 RankTop 2.4%
What it tradesFutures
# Trades544
# Profitable342
% Profitable62.9%
Avg trade duration3.6 days
Max peak-to-valley drawdown25.9%
drawdown periodJan 20, 2022 - Feb 24, 2022
Annual Return (Compounded)25.2%
Avg win$433
Avg loss$312

Ratios

W:L ratio2.35
Sharpe Ratio1.06
Sortino Ratio1.76
Calmar Ratio1.56

CORRELATION STATISTICS

Correlation to SP5000.36
Return Percent SP500 (cumu) during strategy life116.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)152.3%

Return Statistics

Ann Return (w trading costs)25.2%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)29.2%

Slump

Current Slump as Pcnt Equity0.8%
Current Slump, time of slump as pcnt of strategy life0.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss31.0%
Chance of 20% account loss7.5%
Chance of 30% account loss0.5%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.1%

Popularity

Popularity (Today)609
Popularity (Last 6 weeks)964
C2 Score976
Popularity (7 days, Percentile 1000 scale)926

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$312
Avg Win$433
# Winners342
Sum Trade PL (losers)$63,089
Sum Trade PL (winners)$148,195
Num Months Winners48
# Losers202
% Winners62.9%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table70

Frequency

Avg Position Time (mins)5132.23
Avg Position Time (hrs)85.54
Avg Trade Length3.60
Last Trade Ago3

Leverage

Daily leverage (average)1.15
Daily leverage (max)19.57

Regression

Alpha0.05
Beta0.39
Treynor Index0.16

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.02
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades4.21
MAE:PL (avg, all trades)-0.36
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.84
Avg(MAE) / Avg(PL) - Losing trades-2.69
Hold-and-Hope Ratio0.24

RATIO STATISTICS

Mean0.25
SD0.18
Sharpe ratio (Glass type estimate)1.40
Sharpe ratio (Hedges UMVUE)1.39
df67
t3.34
p0.00
Lowerbound of 95% confidence interval for Sharpe Ratio0.54
Upperbound of 95% confidence interval for Sharpe Ratio2.26
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.53
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.24
Sortino ratio3.66
Upside Potential Ratio5.03
Upside part of mean0.34
Downside part of mean-0.09
Upside SD0.18
Downside SD0.07
N nonnegative terms48
N negative terms20
N of observations68
Mean of predictor0.12
Mean of criterion0.25
SD of predictor0.16
SD of criterion0.18
Covariance0.01
r0.33
b (slope, estimate of beta)0.37
a (intercept, estimate of alpha)0.21
Mean Square Error0.03
DF error66
t(b)2.82
p(b)0.00
t(a)2.84
p(a)0.00
Lowerbound of 95% confidence interval for beta0.11
Upperbound of 95% confidence interval for beta0.64
Lowerbound of 95% confidence interval for alpha0.06
Upperbound of 95% confidence interval for alpha0.35
Treynor index (mean / b)0.66
Jensen alpha (a)0.21
Mean0.23
SD0.17
Sharpe ratio (Glass type estimate)1.37
Sharpe ratio (Hedges UMVUE)1.35
df67
t3.25
p0.00
Lowerbound of 95% confidence interval for Sharpe Ratio0.51
Upperbound of 95% confidence interval for Sharpe Ratio2.22
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.50
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.20
Sortino ratio3.28
Upside Potential Ratio4.63
Upside part of mean0.33
Downside part of mean-0.10
Upside SD0.17
Downside SD0.07
N nonnegative terms48
N negative terms20
N of observations68
Mean of predictor0.10
Mean of criterion0.23
SD of predictor0.15
SD of criterion0.17
Covariance0.01
r0.34
b (slope, estimate of beta)0.37
a (intercept, estimate of alpha)0.19
Mean Square Error0.03
DF error66
t(b)2.93
p(b)0.00
t(a)2.81
p(a)0.00
Lowerbound of 95% confidence interval for beta0.12
Upperbound of 95% confidence interval for beta0.63
Lowerbound of 95% confidence interval for alpha0.06
Upperbound of 95% confidence interval for alpha0.33
Treynor index (mean / b)0.62
Jensen alpha (a)0.19
VaR(95%)0.06
Expected Shortfall on VaR0.08
VaR(95%)0.01
Expected Shortfall on VaR0.03
Mean0.24
SD0.16
Sharpe ratio (Glass type estimate)1.56
Sharpe ratio (Hedges UMVUE)1.56
df1500
t3.73
p0.45
Lowerbound of 95% confidence interval for Sharpe Ratio0.74
Upperbound of 95% confidence interval for Sharpe Ratio2.38
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.74
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.38
Sortino ratio2.54
Upside Potential Ratio8.08
Upside part of mean0.77
Downside part of mean-0.53
Upside SD0.12
Downside SD0.10
N nonnegative terms793
N negative terms708
N of observations1501
Mean of predictor0.12
Mean of criterion0.24
SD of predictor0.17
SD of criterion0.16
Covariance0.01
r0.38
b (slope, estimate of beta)0.36
a (intercept, estimate of alpha)0.20
Mean Square Error0.02
DF error1499
t(b)15.95
p(b)0.26
t(a)3.31
p(a)0.45
Lowerbound of 95% confidence interval for beta0.31
Upperbound of 95% confidence interval for beta0.40
Lowerbound of 95% confidence interval for alpha0.08
Upperbound of 95% confidence interval for alpha0.32
Treynor index (mean / b)0.68
Jensen alpha (a)0.20
Mean0.23
SD0.15
Sharpe ratio (Glass type estimate)1.49
Sharpe ratio (Hedges UMVUE)1.49
df1500
t3.57
p0.45
Lowerbound of 95% confidence interval for Sharpe Ratio0.67
Upperbound of 95% confidence interval for Sharpe Ratio2.31
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.67
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.31
Sortino ratio2.37
Upside Potential Ratio7.86
Upside part of mean0.76
Downside part of mean-0.53
Upside SD0.12
Downside SD0.10
N nonnegative terms793
N negative terms708
N of observations1501
Mean of predictor0.11
Mean of criterion0.23
SD of predictor0.17
SD of criterion0.15
Covariance0.01
r0.38
b (slope, estimate of beta)0.36
a (intercept, estimate of alpha)0.19
Mean Square Error0.02
DF error1499
t(b)16.00
p(b)0.26
t(a)3.22
p(a)0.45
Lowerbound of 95% confidence interval for beta0.31
Upperbound of 95% confidence interval for beta0.40
Lowerbound of 95% confidence interval for alpha0.07
Upperbound of 95% confidence interval for alpha0.31
Treynor index (mean / b)0.64
Jensen alpha (a)0.19
VaR(95%)0.01
Expected Shortfall on VaR0.02
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean0.12
SD0.05
Sharpe ratio (Glass type estimate)2.39
Sharpe ratio (Hedges UMVUE)2.37
df130
t1.69
p0.43
Lowerbound of 95% confidence interval for Sharpe Ratio-0.40
Upperbound of 95% confidence interval for Sharpe Ratio5.17
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.41
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.16
Sortino ratio4.59
Upside Potential Ratio12.83
Upside part of mean0.34
Downside part of mean-0.22
Upside SD0.04
Downside SD0.03
N nonnegative terms66
N negative terms65
N of observations131
Mean of predictor0.21
Mean of criterion0.12
SD of predictor0.14
SD of criterion0.05
Covariance0.00
r0.61
b (slope, estimate of beta)0.22
a (intercept, estimate of alpha)0.08
Mean Square Error0.00
DF error129
t(b)8.64
p(b)0.14
t(a)1.33
p(a)0.43
Lowerbound of 95% confidence interval for beta0.17
Upperbound of 95% confidence interval for beta0.26
Lowerbound of 95% confidence interval for alpha-0.04
Upperbound of 95% confidence interval for alpha0.19
Treynor index (mean / b)0.56
Jensen alpha (a)0.08
Mean0.12
SD0.05
Sharpe ratio (Glass type estimate)2.37
Sharpe ratio (Hedges UMVUE)2.36
df130
t1.68
p0.43
Lowerbound of 95% confidence interval for Sharpe Ratio-0.42
Upperbound of 95% confidence interval for Sharpe Ratio5.15
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.43
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.14
Sortino ratio4.53
Upside Potential Ratio12.76
Upside part of mean0.33
Downside part of mean-0.22
Upside SD0.04
Downside SD0.03
N nonnegative terms66
N negative terms65
N of observations131
Mean of predictor0.20
Mean of criterion0.12
SD of predictor0.14
SD of criterion0.05
Covariance0.00
r0.61
b (slope, estimate of beta)0.21
a (intercept, estimate of alpha)0.08
Mean Square Error0.00
DF error129
t(b)8.64
p(b)0.14
t(a)1.35
p(a)0.43
Lowerbound of 95% confidence interval for beta0.17
VAR (95 Confidence Intrvl)0.01
Upperbound of 95% confidence interval for beta0.26
Lowerbound of 95% confidence interval for alpha-0.04
Upperbound of 95% confidence interval for alpha0.19
Treynor index (mean / b)0.55
Jensen alpha (a)0.08
VaR(95%)0.00
Expected Shortfall on VaR0.01
VaR(95%)0.00
Expected Shortfall on VaR0.00

ORDER STATISTICS

Number of observations68
Minimum0.89
Quartile 11.00
Median1.01
Quartile 31.04
Maximum1.19
Mean of quarter 10.97
Mean of quarter 21.01
Mean of quarter 31.02
Mean of quarter 41.09
Inter Quartile Range0.04
Number outliers low1
Percentage of outliers low0.01
Mean of outliers low0.89
Number of outliers high7
Percentage of outliers high0.10
Mean of outliers high1.14
Extreme Value Index (moments method)-0.62
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)0.27
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.06
Number of observations1501
Minimum0.93
Quartile 11.00
Median1.00
Quartile 31.00
Maximum1.11
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.00
Number outliers low105
Percentage of outliers low0.07
Mean of outliers low0.98
Number of outliers high135
Percentage of outliers high0.09
Mean of outliers high1.02
Extreme Value Index (moments method)0.73
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)0.46
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.01
Number of observations131
Minimum0.99
Quartile 11.00
Median1.00
Quartile 31.00
Maximum1.01
Mean of quarter 11.00
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.00
Inter Quartile Range0.00
Number outliers low2
Percentage of outliers low0.02
Mean of outliers low0.99
Number of outliers high9
Percentage of outliers high0.07
Mean of outliers high1.01
Extreme Value Index (moments method)0.01
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)-0.08
VaR(95%) (regression method)0.00
Expected Shortfall (regression method)0.00

DRAW DOWN STATISTICS

Number of observations10
Minimum0.00
Quartile 10.01
Median0.02
Quartile 30.05
Maximum0.11
Mean of quarter 10.01
Mean of quarter 20.02
Mean of quarter 30.03
Mean of quarter 40.07
Inter Quartile Range0.03
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.10
Mean of outliers high0.11
Extreme Value Index (moments method)0.33
VaR(95%) (moments method)0.09
Expected Shortfall (moments method)0.14
Extreme Value Index (regression method)3.95
VaR(95%) (regression method)0.21
Expected Shortfall (regression method)0
Number of observations132
Minimum0
Quartile 10.00
Median0.00
Quartile 30.01
Maximum0.19
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.01
Mean of quarter 40.05
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high21
Percentage of outliers high0.16
Mean of outliers high0.06
Extreme Value Index (moments method)0.39
VaR(95%) (moments method)0.04
Expected Shortfall (moments method)0.08
Extreme Value Index (regression method)0.42
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.06
Number of observations16
Minimum0.00
Quartile 10.00
Median0.00
Quartile 30.01
Maximum0.02
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.00
Mean of quarter 40.01
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.06
Mean of outliers high0.02
Extreme Value Index (moments method)-0.52
VaR(95%) (moments method)0.02
Expected Shortfall (moments method)0.02
Extreme Value Index (regression method)0.43
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.02
Strat Max DD how much worse than SP500 max DD during strat life?-371082560
Max Equity Drawdown (num days)35
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.59
Compounded annual return (geometric extrapolation)0.30
Calmar ratio (compounded annual return / max draw down)2.65
Compounded annual return / average of 25% largest draw downs4.22
Compounded annual return / Expected Shortfall lognormal3.78
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.59
Compounded annual return (geometric extrapolation)0.29
Calmar ratio (compounded annual return / max draw down)1.56
Compounded annual return / average of 25% largest draw downs6.42
Compounded annual return / Expected Shortfall lognormal15.80
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.15
Compounded annual return (geometric extrapolation)0.16
Calmar ratio (compounded annual return / max draw down)8.38
Compounded annual return / average of 25% largest draw downs11.85
Compounded annual return / Expected Shortfall lognormal26.70

Trading record

Placed 616 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
MES U6long1Aug 13, 2026Aug 16, 2026($97)
MES U6short1Aug 13, 2026Aug 13, 2026($204)
MES U6long1Aug 6, 2026Aug 13, 2026$234
MES U6long3Jul 21, 2026Aug 3, 2026$1,381
MES U6long2Jul 17, 2026Jul 21, 2026$548
MES U6short1Jul 16, 2026Jul 17, 2026$404
MES U6long1Jul 13, 2026Jul 16, 2026$95
MES U6short1Jul 9, 2026Jul 9, 2026($7)
MES U6long1Jul 6, 2026Jul 7, 2026($220)
MES U6short1Jul 2, 2026Jul 6, 2026($367)
MES U6long2Jun 30, 2026Jul 2, 2026($290)
MES U6short1Jun 29, 2026Jun 30, 2026($270)
MES U6long1Jun 28, 2026Jun 29, 2026$463
MES U6long2Jun 24, 2026Jun 25, 2026($312)
MES U6long1Jun 14, 2026Jun 22, 2026($32)
MES M6short1Jun 11, 2026Jun 12, 2026($166)
MES M6long4Jun 3, 2026Jun 11, 2026$389
MES M6short1Jun 2, 2026Jun 3, 2026$272
MES M6long1May 29, 2026Jun 2, 2026$128
MES M6short1May 28, 2026May 29, 2026($67)
MES M6long1May 15, 2026May 28, 2026$784
MES M6long1May 7, 2026May 14, 2026$771
MES M6short1May 6, 2026May 6, 2026$44
MES M6long1Apr 30, 2026May 6, 2026$723
MES M6long1Apr 28, 2026Apr 30, 2026$342
MES M6long1Apr 23, 2026Apr 24, 2026$243
MES M6short1Apr 22, 2026Apr 23, 2026$103
MES M6long1Apr 20, 2026Apr 22, 2026$63
MES M6short1Apr 16, 2026Apr 20, 2026($329)
MES M6long1Apr 10, 2026Apr 16, 2026$1,107

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.