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C2Star Strategy FT Forex 3 C2Star Certified Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

Commodities breakout
(130776164)

Created by: OlegMikhailov OlegMikhailov
Started: 08/2020
Futures
Last trade: Yesterday

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 $100.00 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.

8.7%
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.

(10.9%)
Max Drawdown
67
Num Trades
41.8%
Win Trades
3.3 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                 +3.3%(1.1%)(0.7%)(0.4%)+1.2%+2.1%
2021+0.6%+2.1%(1.2%)+2.4%(2.9%)(0.1%)+1.0%+2.3%+2.1%+1.4%(0.9%)+1.7%+8.7%
2022+1.8%(0.8%)+3.5%+3.7%(0.6%)(7.5%)(0.3%)+1.3%+0.1%+0.6%+0.4%(0.2%)+1.4%
2023  -  +3.6%+3.7%+2.0%+3.6%(2.8%)                                    +10.3%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/6/23 3:06 GBP/USD GBP/USD LONG 20 1.24421 6/6 3:09 1.24376 n/a ($90)
5/18/23 11:47 @SBN3 Sugar #11 LONG 1 25.59 5/18 11:58 25.60 n/a $3
Includes Typical Broker Commissions trade costs of $8.00
5/18/23 11:31: Rescaled downward to 79% of previous Model Account size
5/18/23 11:26: Rescaled downward to 41% of previous Model Account size
5/11/23 8:53 @OJN3 Orange Juice LONG 0.324000000 251.50 5/18 8:00 251.35 0.19%
Trade id #144586654
Max drawdown($193)
Time5/12/23 0:00
Quant open0
Worst price239.20
Drawdown as % of equity-0.19%
 ($10)
Includes Typical Broker Commissions trade costs of $2.60
5/1/23 7:36 @SBN3 Sugar #11 LONG 0.324000000 26.25 5/18 3:30 25.84 0.16%
Trade id #144483802
Max drawdown($160)
Time5/3/23 0:00
Quant open0
Worst price24.88
Drawdown as % of equity-0.16%
 ($152)
Includes Typical Broker Commissions trade costs of $2.60
5/17/23 7:51 @MESM3 MICRO E-MINI S&P 500 LONG 2.915000000 4137.00 5/17 7:51 4136.50 0%
Trade id #144647780
Max drawdown($2)
Time5/17/23 7:51
Quant open2
Worst price4136.50
Drawdown as % of equity-0.00%
 ($10)
Includes Typical Broker Commissions trade costs of $2.74
3/13/23 8:50 @OJK3 Orange Juice LONG 0.324000000 240.90 5/9 14:41 265.00 0.11%
Trade id #143873031
Max drawdown($106)
Time3/13/23 12:02
Quant open0
Worst price234.15
Drawdown as % of equity-0.11%
 $1,168
Includes Typical Broker Commissions trade costs of $2.60
3/10/23 1:20 @CTK3 COTTON - #2 SHORT 0.324000000 8204 5/8 11:05 8350 0.15%
Trade id #143837408
Max drawdown($151)
Time4/18/23 0:00
Quant open0
Worst price8493
Drawdown as % of equity-0.15%
 ($240)
Includes Typical Broker Commissions trade costs of $2.60
3/1/23 7:54 @SBK3 Sugar #11 LONG 0.324000000 20.34 4/28 14:43 27.05 0.02%
Trade id #143730339
Max drawdown($16)
Time3/2/23 0:00
Quant open0
Worst price20.20
Drawdown as % of equity-0.02%
 $2,432
Includes Typical Broker Commissions trade costs of $2.60
1/25/23 11:19 @OJH3 Orange Juice LONG 0.324000000 204.45 3/10 11:28 271.80 0.01%
Trade id #143336516
Max drawdown($8)
Time1/25/23 13:59
Quant open0
Worst price203.90
Drawdown as % of equity-0.01%
 $3,270
Includes Typical Broker Commissions trade costs of $2.60
1/25/23 11:23 @CTH3 COTTON - #2 SHORT 0.324000000 8682 3/10 1:20 8312 0.27%
Trade id #143336632
Max drawdown$255
Time2/20/23 0:00
Quant open
Worst price8200
Drawdown as % of equity0.27%
 $596
Includes Typical Broker Commissions trade costs of $2.60
1/30/23 6:31 @SBH3 Sugar #11 LONG 0.324000000 21.04 2/28 13:48 22.10 0.07%
Trade id #143381968
Max drawdown($63)
Time2/7/23 0:00
Quant open0
Worst price20.50
Drawdown as % of equity-0.07%
 $382
Includes Typical Broker Commissions trade costs of $2.60
1/30/23 6:29 @SBH3 Sugar #11 LONG 0.324000000 21.07 1/30 6:30 21.05 0%
Trade id #143381939
Max drawdown$2
Time1/30/23 6:29
Quant open
Worst price21.05
Drawdown as % of equity0.00%
 ($10)
Includes Typical Broker Commissions trade costs of $2.60
1/11/23 10:45 @CTH3 COTTON - #2 SHORT 0.324000000 8429 1/22 21:00 8700 0.3%
Trade id #143178374
Max drawdown$280
Time1/12/23 0:00
Quant open
Worst price8670
Drawdown as % of equity0.30%
 ($442)
Includes Typical Broker Commissions trade costs of $2.60
12/22/22 9:05 @CTH3 COTTON - #2 SHORT 0.324000000 8481 1/9/23 9:19 8700 0.38%
Trade id #142965484
Max drawdown$357
Time1/4/23 0:00
Quant open
Worst price8504
Drawdown as % of equity0.38%
 ($358)
Includes Typical Broker Commissions trade costs of $2.60
12/20/22 8:56 @SBH3 Sugar #11 LONG 0.324000000 20.50 1/3/23 3:30 20.00 0.16%
Trade id #142937805
Max drawdown$151
Time12/23/22 0:00
Quant open
Worst price19.89
Drawdown as % of equity0.16%
 ($184)
Includes Typical Broker Commissions trade costs of $2.60
12/21/22 5:31 @CTH3 COTTON - #2 SHORT 0.324000000 8786 12/21 9:28 8900 0.06%
Trade id #142949467
Max drawdown$59
Time12/21/22 5:31
Quant open
Worst price8736
Drawdown as % of equity0.06%
 ($188)
Includes Typical Broker Commissions trade costs of $2.60
12/15/22 7:43 @SBH3 Sugar #11 LONG 0.324000000 20.50 12/15 11:26 20.00 0.06%
Trade id #142886285
Max drawdown$59
Time12/15/22 7:43
Quant open
Worst price20.00
Drawdown as % of equity0.06%
 ($184)
Includes Typical Broker Commissions trade costs of $2.60
12/12/22 12:10 @CTH3 COTTON - #2 SHORT 0.324000000 7968 12/13 8:41 8200 0.2%
Trade id #142848244
Max drawdown$185
Time12/12/22 23:53
Quant open
Worst price7925
Drawdown as % of equity0.20%
 ($379)
Includes Typical Broker Commissions trade costs of $2.60
12/8/22 12:57 @HEZ2 LEAN HOGS SHORT 0.324000000 81.550 12/8 12:57 81.600 0%
Trade id #142818560
Max drawdown$2
Time12/8/22 12:57
Quant open
Worst price81.550
Drawdown as % of equity0.00%
 ($9)
Includes Typical Broker Commissions trade costs of $2.60
11/10/22 13:46 @OJF3 Orange Juice LONG 0.324000000 208.30 11/23 10:11 206.25 0.21%
Trade id #142524355
Max drawdown$203
Time11/10/22 13:46
Quant open
Worst price194.70
Drawdown as % of equity0.21%
 ($103)
Includes Typical Broker Commissions trade costs of $2.60
11/17/22 7:52 @CTZ2 COTTON - #2 SHORT 0.324000000 8700 11/17 7:52 7400 0%
Trade id #142595308
Max drawdown$0
Time12/31/69 19:00
Quant open
Worst price7383
Drawdown as % of equity0.00%
 $2,103
Includes Typical Broker Commissions trade costs of $2.60
11/4/22 7:02 @CTZ2 COTTON - #2 SHORT 0.324000000 8731 11/16 2:59 8939 0.24%
Trade id #142437736
Max drawdown$223
Time11/14/22 0:00
Quant open
Worst price8939
Drawdown as % of equity0.24%
 ($340)
Includes Typical Broker Commissions trade costs of $2.60
9/12/22 12:31 @OJX2 Orange Juice LONG 0.324000000 171.80 11/10 8:00 224.00 0.27%
Trade id #141750593
Max drawdown$253
Time10/4/22 0:00
Quant open
Worst price186.05
Drawdown as % of equity0.27%
 $2,534
Includes Typical Broker Commissions trade costs of $2.60
10/31/22 6:25 @CTZ2 COTTON - #2 SHORT 0.324000000 7198 11/1 2:13 7400 0.12%
Trade id #142376497
Max drawdown$108
Time10/31/22 6:25
Quant open
Worst price7272
Drawdown as % of equity0.12%
 ($330)
Includes Typical Broker Commissions trade costs of $2.60
10/28/22 8:34 @CTZ2 COTTON - #2 SHORT 0.324000000 7353 10/28 8:34 7355 0.01%
Trade id #142356051
Max drawdown$6
Time10/28/22 8:34
Quant open
Worst price7345
Drawdown as % of equity0.01%
 ($6)
Includes Typical Broker Commissions trade costs of $2.60
10/28/22 6:30 @CTZ2 COTTON - #2 SHORT 0.324000000 7393 10/28 6:32 7397 0%
Trade id #142355274
Max drawdown$0
Time10/28/22 6:30
Quant open
Worst price7397
Drawdown as % of equity0.00%
 ($9)
Includes Typical Broker Commissions trade costs of $2.60
7/11/22 9:33 @OJU2 Orange Juice LONG 0.324000000 162.65 9/12 15:38 178.80 0.38%
Trade id #141019345
Max drawdown$356
Time8/31/22 0:00
Quant open
Worst price175.90
Drawdown as % of equity0.38%
 $782
Includes Typical Broker Commissions trade costs of $2.60
7/1/22 9:01 @SBV2 Sugar #11 LONG 0.324000000 18.32 8/1 9:30 17.30 0.29%
Trade id #140932001
Max drawdown$269
Time7/18/22 0:00
Quant open
Worst price17.29
Drawdown as % of equity0.29%
 ($373)
Includes Typical Broker Commissions trade costs of $2.60
5/12/22 8:00 @OJN2 Orange Juice LONG 0.648000000 169.75 7/11 9:02 173.00 0.93%
Trade id #140449699
Max drawdown$941
Time6/8/22 0:00
Quant open
Worst price163.60
Drawdown as % of equity0.93%
 $311
Includes Typical Broker Commissions trade costs of $5.18
7/13/21 8:36 @SBN2 Sugar #11 LONG 0.324000000 16.01 7/1/22 3:30 18.89 0.29%
Trade id #136464916
Max drawdown$264
Time11/17/21 0:00
Quant open
Worst price17.41
Drawdown as % of equity0.29%
 $1,042
Includes Typical Broker Commissions trade costs of $2.60
Next

Statistics

  • Strategy began
    8/25/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1015.54
  • Age
    34 months ago
  • What it trades
    Futures
  • # Trades
    67
  • # Profitable
    28
  • % Profitable
    41.80%
  • Avg trade duration
    31.3 days
  • Max peak-to-valley drawdown
    10.92%
  • drawdown period
    June 09, 2022 - June 24, 2022
  • Annual Return (Compounded)
    8.8%
  • Avg win
    $1,182
  • Avg loss
    $259.44
  • Model Account Values (Raw)
  • Cash
    $99,028
  • Margin Used
    $10,095
  • Buying Power
    $90,483
  • Ratios
  • W:L ratio
    3.27:1
  • Sharpe Ratio
    0.65
  • Sortino Ratio
    0.86
  • Calmar Ratio
    0.828
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.97%
  • Correlation to SP500
    -0.03800
  • Return Percent SP500 (cumu) during strategy life
    24.40%
  • Return Statistics
  • Ann Return (w trading costs)
    8.8%
  • Slump
  • Current Slump as Pcnt Equity
    4.40%
  • Instruments
  • Percent Trades Futures
    0.97%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.087%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    0.01%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.00%
  • 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
    1.68%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    651
  • Popularity (Last 6 weeks)
    886
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    974
  • Popularity (7 days, Percentile 1000 scale)
    776
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $259
  • Avg Win
    $1,183
  • Sum Trade PL (losers)
    $10,118.000
  • Age
  • Num Months filled monthly returns table
    35
  • Win / Loss
  • Sum Trade PL (winners)
    $33,121.000
  • # Winners
    28
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    39
  • % Winners
    41.8%
  • Frequency
  • Avg Position Time (mins)
    44959.90
  • Avg Position Time (hrs)
    749.33
  • Avg Trade Length
    31.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.27
  • Daily leverage (max)
    0.92
  • Regression
  • Alpha
    0.02
  • Beta
    -0.02
  • Treynor Index
    -1.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.88
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.079
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.031
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.688
  • Hold-and-Hope Ratio
    11.901
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07023
  • SD
    0.08980
  • Sharpe ratio (Glass type estimate)
    0.78205
  • Sharpe ratio (Hedges UMVUE)
    0.76355
  • df
    32.00000
  • t
    1.29688
  • p
    0.10197
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42110
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97336
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43306
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96017
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.11964
  • Upside Potential Ratio
    2.39220
  • Upside part of mean
    0.15005
  • Downside part of mean
    -0.07982
  • Upside SD
    0.06555
  • Downside SD
    0.06272
  • N nonnegative terms
    22.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.05476
  • Mean of criterion
    0.07023
  • SD of predictor
    0.15632
  • SD of criterion
    0.08980
  • Covariance
    0.00143
  • r
    0.10157
  • b (slope, estimate of beta)
    0.05835
  • a (intercept, estimate of alpha)
    0.06703
  • Mean Square Error
    0.00824
  • DF error
    31.00000
  • t(b)
    0.56846
  • p(b)
    0.28691
  • t(a)
    1.21831
  • p(a)
    0.11615
  • Lowerbound of 95% confidence interval for beta
    -0.15099
  • Upperbound of 95% confidence interval for beta
    0.26769
  • Lowerbound of 95% confidence interval for alpha
    -0.04518
  • Upperbound of 95% confidence interval for alpha
    0.17925
  • Treynor index (mean / b)
    1.20360
  • Jensen alpha (a)
    0.06703
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06592
  • SD
    0.09072
  • Sharpe ratio (Glass type estimate)
    0.72661
  • Sharpe ratio (Hedges UMVUE)
    0.70942
  • df
    32.00000
  • t
    1.20494
  • p
    0.11853
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47402
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91624
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48519
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90403
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01672
  • Upside Potential Ratio
    2.27663
  • Upside part of mean
    0.14761
  • Downside part of mean
    -0.08169
  • Upside SD
    0.06434
  • Downside SD
    0.06484
  • N nonnegative terms
    22.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.04255
  • Mean of criterion
    0.06592
  • SD of predictor
    0.15798
  • SD of criterion
    0.09072
  • Covariance
    0.00161
  • r
    0.11230
  • b (slope, estimate of beta)
    0.06449
  • a (intercept, estimate of alpha)
    0.06318
  • Mean Square Error
    0.00839
  • DF error
    31.00000
  • t(b)
    0.62922
  • p(b)
    0.26691
  • t(a)
    1.14029
  • p(a)
    0.13145
  • Lowerbound of 95% confidence interval for beta
    -0.14454
  • Upperbound of 95% confidence interval for beta
    0.27352
  • Lowerbound of 95% confidence interval for alpha
    -0.04982
  • Upperbound of 95% confidence interval for alpha
    0.17617
  • Treynor index (mean / b)
    1.02221
  • Jensen alpha (a)
    0.06318
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03689
  • Expected Shortfall on VaR
    0.04732
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01118
  • Expected Shortfall on VaR
    0.02599
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.91654
  • Quartile 1
    1.00136
  • Median
    1.00944
  • Quartile 3
    1.02452
  • Maximum
    1.04701
  • Mean of quarter 1
    0.97813
  • Mean of quarter 2
    1.00456
  • Mean of quarter 3
    1.01739
  • Mean of quarter 4
    1.03640
  • Inter Quartile Range
    0.02315
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.94956
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -10.55470
  • VaR(95%) (moments method)
    0.00161
  • Expected Shortfall (moments method)
    0.00161
  • Extreme Value Index (regression method)
    -0.20763
  • VaR(95%) (regression method)
    0.02246
  • Expected Shortfall (regression method)
    0.03251
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01000
  • Quartile 1
    0.01694
  • Median
    0.03379
  • Quartile 3
    0.03406
  • Maximum
    0.08372
  • Mean of quarter 1
    0.01347
  • Mean of quarter 2
    0.03379
  • Mean of quarter 3
    0.03406
  • Mean of quarter 4
    0.08372
  • Inter Quartile Range
    0.01712
  • 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
    0.20000
  • Mean of outliers high
    0.08372
  • 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)
    0.10705
  • Compounded annual return (geometric extrapolation)
    0.09837
  • Calmar ratio (compounded annual return / max draw down)
    1.17497
  • Compounded annual return / average of 25% largest draw downs
    1.17497
  • Compounded annual return / Expected Shortfall lognormal
    2.07862
  • 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
    0.06073
  • SD
    0.08021
  • Sharpe ratio (Glass type estimate)
    0.75715
  • Sharpe ratio (Hedges UMVUE)
    0.75636
  • df
    724.00000
  • t
    1.25950
  • p
    0.10413
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42199
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93580
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42251
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93524
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99914
  • Upside Potential Ratio
    6.66568
  • Upside part of mean
    0.40518
  • Downside part of mean
    -0.34445
  • Upside SD
    0.05239
  • Downside SD
    0.06079
  • N nonnegative terms
    371.00000
  • N negative terms
    354.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    725.00000
  • Mean of predictor
    0.06853
  • Mean of criterion
    0.06073
  • SD of predictor
    0.18725
  • SD of criterion
    0.08021
  • Covariance
    -0.00052
  • r
    -0.03448
  • b (slope, estimate of beta)
    -0.01477
  • a (intercept, estimate of alpha)
    0.06200
  • Mean Square Error
    0.00644
  • DF error
    723.00000
  • t(b)
    -0.92763
  • p(b)
    0.82305
  • t(a)
    1.28004
  • p(a)
    0.10047
  • Lowerbound of 95% confidence interval for beta
    -0.04603
  • Upperbound of 95% confidence interval for beta
    0.01649
  • Lowerbound of 95% confidence interval for alpha
    -0.03296
  • Upperbound of 95% confidence interval for alpha
    0.15645
  • Treynor index (mean / b)
    -4.11195
  • Jensen alpha (a)
    0.06175
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05746
  • SD
    0.08105
  • Sharpe ratio (Glass type estimate)
    0.70895
  • Sharpe ratio (Hedges UMVUE)
    0.70822
  • df
    724.00000
  • t
    1.17933
  • p
    0.11933
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47006
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88753
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47058
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88701
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92460
  • Upside Potential Ratio
    6.49681
  • Upside part of mean
    0.40377
  • Downside part of mean
    -0.34631
  • Upside SD
    0.05207
  • Downside SD
    0.06215
  • N nonnegative terms
    371.00000
  • N negative terms
    354.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    725.00000
  • Mean of predictor
    0.05099
  • Mean of criterion
    0.05746
  • SD of predictor
    0.18744
  • SD of criterion
    0.08105
  • Covariance
    -0.00052
  • r
    -0.03432
  • b (slope, estimate of beta)
    -0.01484
  • a (intercept, estimate of alpha)
    0.05822
  • Mean Square Error
    0.00657
  • DF error
    723.00000
  • t(b)
    -0.92331
  • p(b)
    0.82192
  • t(a)
    1.19457
  • p(a)
    0.11632
  • Lowerbound of 95% confidence interval for beta
    -0.04639
  • Upperbound of 95% confidence interval for beta
    0.01671
  • Lowerbound of 95% confidence interval for alpha
    -0.03746
  • Upperbound of 95% confidence interval for alpha
    0.15390
  • Treynor index (mean / b)
    -3.87226
  • Jensen alpha (a)
    0.05822
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00799
  • Expected Shortfall on VaR
    0.01006
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00290
  • Expected Shortfall on VaR
    0.00640
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    725.00000
  • Minimum
    0.92660
  • Quartile 1
    0.99838
  • Median
    1.00020
  • Quartile 3
    1.00216
  • Maximum
    1.02850
  • Mean of quarter 1
    0.99540
  • Mean of quarter 2
    0.99957
  • Mean of quarter 3
    1.00111
  • Mean of quarter 4
    1.00530
  • Inter Quartile Range
    0.00378
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.02897
  • Mean of outliers low
    0.98642
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.03724
  • Mean of outliers high
    1.01225
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26670
  • VaR(95%) (moments method)
    0.00431
  • Expected Shortfall (moments method)
    0.00711
  • Extreme Value Index (regression method)
    0.26760
  • VaR(95%) (regression method)
    0.00396
  • Expected Shortfall (regression method)
    0.00639
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00068
  • Quartile 1
    0.00332
  • Median
    0.00642
  • Quartile 3
    0.02041
  • Maximum
    0.10760
  • Mean of quarter 1
    0.00231
  • Mean of quarter 2
    0.00526
  • Mean of quarter 3
    0.01605
  • Mean of quarter 4
    0.04333
  • Inter Quartile Range
    0.01709
  • 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
    0.03448
  • Mean of outliers high
    0.10760
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.13043
  • VaR(95%) (moments method)
    0.04285
  • Expected Shortfall (moments method)
    0.06099
  • Extreme Value Index (regression method)
    0.04169
  • VaR(95%) (regression method)
    0.04353
  • Expected Shortfall (regression method)
    0.05845
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09630
  • Compounded annual return (geometric extrapolation)
    0.08912
  • Calmar ratio (compounded annual return / max draw down)
    0.82828
  • Compounded annual return / average of 25% largest draw downs
    2.05682
  • Compounded annual return / Expected Shortfall lognormal
    8.86138
  • 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
    0.17535
  • SD
    0.08431
  • Sharpe ratio (Glass type estimate)
    2.07994
  • Sharpe ratio (Hedges UMVUE)
    2.06792
  • df
    130.00000
  • t
    1.47074
  • p
    0.43603
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70725
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85938
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71526
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.85110
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.98468
  • Upside Potential Ratio
    11.64510
  • Upside part of mean
    0.51245
  • Downside part of mean
    -0.33710
  • Upside SD
    0.07235
  • Downside SD
    0.04401
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12180
  • Mean of criterion
    0.17535
  • SD of predictor
    0.15541
  • SD of criterion
    0.08431
  • Covariance
    -0.00214
  • r
    -0.16343
  • b (slope, estimate of beta)
    -0.08866
  • a (intercept, estimate of alpha)
    0.18615
  • Mean Square Error
    0.00697
  • DF error
    129.00000
  • t(b)
    -1.88154
  • p(b)
    0.60358
  • t(a)
    1.57464
  • p(a)
    0.41285
  • Lowerbound of 95% confidence interval for beta
    -0.18188
  • Upperbound of 95% confidence interval for beta
    0.00457
  • Lowerbound of 95% confidence interval for alpha
    -0.04775
  • Upperbound of 95% confidence interval for alpha
    0.42005
  • Treynor index (mean / b)
    -1.97787
  • Jensen alpha (a)
    0.18615
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17178
  • SD
    0.08384
  • Sharpe ratio (Glass type estimate)
    2.04892
  • Sharpe ratio (Hedges UMVUE)
    2.03708
  • df
    130.00000
  • t
    1.44881
  • p
    0.43697
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73793
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.82802
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74577
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81992
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.88801
  • Upside Potential Ratio
    11.53930
  • Upside part of mean
    0.50982
  • Downside part of mean
    -0.33804
  • Upside SD
    0.07166
  • Downside SD
    0.04418
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10979
  • Mean of criterion
    0.17178
  • SD of predictor
    0.15534
  • SD of criterion
    0.08384
  • Covariance
    -0.00213
  • r
    -0.16376
  • b (slope, estimate of beta)
    -0.08838
  • a (intercept, estimate of alpha)
    0.18148
  • Mean Square Error
    0.00689
  • DF error
    129.00000
  • t(b)
    -1.88537
  • p(b)
    0.60378
  • t(a)
    1.54413
  • p(a)
    0.41450
  • VAR (95 Confidence Intrvl)
    0.00800
  • Lowerbound of 95% confidence interval for beta
    -0.18113
  • Upperbound of 95% confidence interval for beta
    0.00437
  • Lowerbound of 95% confidence interval for alpha
    -0.05105
  • Upperbound of 95% confidence interval for alpha
    0.41401
  • Treynor index (mean / b)
    -1.94355
  • Jensen alpha (a)
    0.18148
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00783
  • Expected Shortfall on VaR
    0.00998
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00288
  • Expected Shortfall on VaR
    0.00576
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98796
  • Quartile 1
    0.99836
  • Median
    1.00020
  • Quartile 3
    1.00280
  • Maximum
    1.02850
  • Mean of quarter 1
    0.99554
  • Mean of quarter 2
    0.99957
  • Mean of quarter 3
    1.00138
  • Mean of quarter 4
    1.00663
  • Inter Quartile Range
    0.00444
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98950
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02083
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12470
  • VaR(95%) (moments method)
    0.00413
  • Expected Shortfall (moments method)
    0.00609
  • Extreme Value Index (regression method)
    0.12742
  • VaR(95%) (regression method)
    0.00416
  • Expected Shortfall (regression method)
    0.00613
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00113
  • Median
    0.00729
  • Quartile 3
    0.01616
  • Maximum
    0.03546
  • Mean of quarter 1
    0.00060
  • Mean of quarter 2
    0.00582
  • Mean of quarter 3
    0.01224
  • Mean of quarter 4
    0.02405
  • Inter Quartile Range
    0.01503
  • 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)
    0.25727
  • VaR(95%) (moments method)
    0.02660
  • Expected Shortfall (moments method)
    0.03772
  • Extreme Value Index (regression method)
    1.69186
  • VaR(95%) (regression method)
    0.03286
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -306018000
  • Max Equity Drawdown (num days)
    15
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20999
  • Compounded annual return (geometric extrapolation)
    0.22101
  • Calmar ratio (compounded annual return / max draw down)
    6.23297
  • Compounded annual return / average of 25% largest draw downs
    9.18883
  • Compounded annual return / Expected Shortfall lognormal
    22.15430

Strategy Description

Summary Statistics

Strategy began
2020-08-25
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 2.6%
Rank # 
#21
# Trades
67
# Profitable
28
% Profitable
41.8%
Correlation S&P500
-0.038
Sharpe Ratio
0.65
Sortino Ratio
0.86
Beta
-0.02
Alpha
0.02
Leverage
0.27 Average
0.92 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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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.