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lang
(122681618)

Created by: LangLang LangLang
Started: 02/2019
Futures
Last trade: 2 days ago
Trading style: Equity Trend-following

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
30.4%
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.

(5.6%)
Max Drawdown
331
Num Trades
53.2%
Win Trades
2.0 : 1
Profit Factor
87.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019       +5.6%+4.3%+14.4%+0.9%+1.0%+2.7%+0.9%(2%)                  +30.4%

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 299 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/12/19 3:50 @SX9 SOYBEANS LONG 1 873 3/4 9/13 12:57 896 3/4 0.13%
Trade id #125320146
Max drawdown($66)
Time9/12/19 6:13
Quant open1
Worst price872 2/4
Drawdown as % of equity-0.13%
$1,135
Includes Typical Broker Commissions trade costs of $8.00
9/11/19 10:06 @CCZ9 COCOA LONG 2 2298 9/11 11:21 2300 0.11%
Trade id #125306792
Max drawdown($55)
Time9/11/19 10:21
Quant open2
Worst price2295
Drawdown as % of equity-0.11%
$19
Includes Typical Broker Commissions trade costs of $16.00
9/11/19 6:01 LFU9 FTSE 100 INDEX LONG 1 7330.2 9/11 9:36 7330.5 0.03%
Trade id #125302047
Max drawdown($14)
Time9/11/19 6:02
Quant open1
Worst price7329.0
Drawdown as % of equity-0.03%
($4)
Includes Typical Broker Commissions trade costs of $8.00
9/11/19 4:26 @EUZ9 EUROFX LONG 1 1.11060 9/11 6:01 1.10981 0.21%
Trade id #125301479
Max drawdown($106)
Time9/11/19 6:01
Quant open1
Worst price1.10975
Drawdown as % of equity-0.21%
($107)
Includes Typical Broker Commissions trade costs of $8.00
9/10/19 10:36 @CTZ9 COTTON - #2 LONG 1 5954 9/11 2:21 5926 0.4%
Trade id #125290662
Max drawdown($205)
Time9/10/19 14:17
Quant open1
Worst price5913
Drawdown as % of equity-0.40%
($148)
Includes Typical Broker Commissions trade costs of $8.00
9/10/19 9:25 @SBV9 Sugar #11 LONG 2 11.05 9/10 10:35 10.95 0.47%
Trade id #125288690
Max drawdown($246)
Time9/10/19 10:32
Quant open2
Worst price10.94
Drawdown as % of equity-0.47%
($240)
Includes Typical Broker Commissions trade costs of $16.00
9/10/19 4:50 @KCZ9 COFFEE LONG 1 98.48 9/10 7:17 98.46 0.02%
Trade id #125286165
Max drawdown($12)
Time9/10/19 4:51
Quant open1
Worst price98.45
Drawdown as % of equity-0.02%
($17)
Includes Typical Broker Commissions trade costs of $8.00
9/9/19 13:06 @HEV9 LEAN HOGS LONG 1 63.867 9/9 13:59 62.775 0.78%
Trade id #125278025
Max drawdown($406)
Time9/9/19 13:59
Quant open1
Worst price62.850
Drawdown as % of equity-0.78%
($445)
Includes Typical Broker Commissions trade costs of $8.00
9/6/19 12:04 @SBV9 Sugar #11 LONG 2 11.04 9/9 12:54 10.90 0.49%
Trade id #125248929
Max drawdown($261)
Time9/9/19 4:20
Quant open2
Worst price10.92
Drawdown as % of equity-0.49%
($322)
Includes Typical Broker Commissions trade costs of $16.00
9/6/19 9:08 @CCZ9 COCOA LONG 2 2264 9/6 12:03 2268 0.33%
Trade id #125244441
Max drawdown($173)
Time9/6/19 9:22
Quant open2
Worst price2255
Drawdown as % of equity-0.33%
$73
Includes Typical Broker Commissions trade costs of $16.00
9/6/19 6:52 @SX9 SOYBEANS SHORT 1 865 9/6 9:07 865 0.12%
Trade id #125243182
Max drawdown($62)
Time9/6/19 7:03
Quant open1
Worst price866 1/4
Drawdown as % of equity-0.12%
($8)
Includes Typical Broker Commissions trade costs of $8.00
9/6/19 6:04 @SBV9 Sugar #11 SHORT 2 10.95 9/6 6:43 10.96 0.04%
Trade id #125242832
Max drawdown($22)
Time9/6/19 6:05
Quant open2
Worst price10.96
Drawdown as % of equity-0.04%
($38)
Includes Typical Broker Commissions trade costs of $16.00
9/5/19 11:42 @CTZ9 COTTON - #2 LONG 1 5913 9/5 12:32 5900 0.06%
Trade id #125233856
Max drawdown($31)
Time9/5/19 12:32
Quant open1
Worst price5907
Drawdown as % of equity-0.06%
($75)
Includes Typical Broker Commissions trade costs of $8.00
9/5/19 9:43 @OJX9 Orange Juice LONG 1 104.30 9/5 12:04 102.97 0.21%
Trade id #125230885
Max drawdown($112)
Time9/5/19 12:04
Quant open1
Worst price103.55
Drawdown as % of equity-0.21%
($207)
Includes Typical Broker Commissions trade costs of $8.00
9/5/19 8:26 @CTZ9 COTTON - #2 LONG 1 5875 9/5 9:42 5860 0.1%
Trade id #125229743
Max drawdown($54)
Time9/5/19 9:41
Quant open1
Worst price5864
Drawdown as % of equity-0.10%
($85)
Includes Typical Broker Commissions trade costs of $8.00
9/5/19 5:33 @CTZ9 COTTON - #2 LONG 1 5879 9/5 7:52 5856 0.2%
Trade id #125228503
Max drawdown($109)
Time9/5/19 7:52
Quant open1
Worst price5857
Drawdown as % of equity-0.20%
($124)
Includes Typical Broker Commissions trade costs of $8.00
9/5/19 4:50 @CCZ9 COCOA LONG 2 2281 9/5 5:33 2264 0.54%
Trade id #125228183
Max drawdown($288)
Time9/5/19 5:20
Quant open2
Worst price2267
Drawdown as % of equity-0.54%
($368)
Includes Typical Broker Commissions trade costs of $16.00
9/4/19 22:38 @CTZ9 COTTON - #2 LONG 1 5875 9/5 3:07 5860 0.15%
Trade id #125225942
Max drawdown($79)
Time9/5/19 2:59
Quant open1
Worst price5859
Drawdown as % of equity-0.15%
($81)
Includes Typical Broker Commissions trade costs of $8.00
8/27/19 5:35 @CCZ9 COCOA SHORT 1 2232 9/3 10:08 2218 0.54%
Trade id #125098128
Max drawdown($291)
Time8/27/19 8:06
Quant open1
Worst price2261
Drawdown as % of equity-0.54%
$130
Includes Typical Broker Commissions trade costs of $8.00
8/22/19 4:29 @SBV9 Sugar #11 LONG 2 11.42 8/26 7:30 11.42 0.17%
Trade id #125031321
Max drawdown($89)
Time8/22/19 7:12
Quant open2
Worst price11.38
Drawdown as % of equity-0.17%
($16)
Includes Typical Broker Commissions trade costs of $16.00
8/20/19 4:50 QPLV9 PLATINUM SHORT 1 855.8 8/21 8:48 855.3 0.3%
Trade id #124998332
Max drawdown($163)
Time8/21/19 0:00
Quant open1
Worst price859.1
Drawdown as % of equity-0.30%
$18
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 2:24 QPLV9 PLATINUM SHORT 1 847.0 8/16 12:51 850.5 0.59%
Trade id #124943781
Max drawdown($318)
Time8/15/19 2:24
Quant open1
Worst price853.4
Drawdown as % of equity-0.59%
($181)
Includes Typical Broker Commissions trade costs of $8.00
8/14/19 9:58 @BOZ9 SOYBEAN OIL LONG 2 29.72 8/15 2:09 29.59 0.49%
Trade id #124928834
Max drawdown($264)
Time8/14/19 9:58
Quant open2
Worst price29.50
Drawdown as % of equity-0.49%
($172)
Includes Typical Broker Commissions trade costs of $16.00
8/12/19 6:22 @SBV9 Sugar #11 LONG 1 11.86 8/14 9:57 11.59 0.78%
Trade id #124877888
Max drawdown($425)
Time8/12/19 6:22
Quant open1
Worst price11.48
Drawdown as % of equity-0.78%
($310)
Includes Typical Broker Commissions trade costs of $8.00
8/7/19 12:13 @BOZ9 SOYBEAN OIL LONG 2 28.23 8/9 8:54 29.83 0.05%
Trade id #124816885
Max drawdown($25)
Time8/7/19 12:13
Quant open2
Worst price28.21
Drawdown as % of equity-0.05%
$1,902
Includes Typical Broker Commissions trade costs of $16.00
8/7/19 11:30 @HEV9 LEAN HOGS LONG 1 66.043 8/7 12:11 66.157 0.49%
Trade id #124815163
Max drawdown($257)
Time8/7/19 11:30
Quant open1
Worst price65.400
Drawdown as % of equity-0.49%
$38
Includes Typical Broker Commissions trade costs of $8.00
8/2/19 11:27 @LBU9 Random Length Lumber Globex LONG 1 363.06 8/5 10:01 358.80 0.87%
Trade id #124741013
Max drawdown($468)
Time8/5/19 10:01
Quant open1
Worst price358.80
Drawdown as % of equity-0.87%
($476)
Includes Typical Broker Commissions trade costs of $8.00
8/2/19 3:08 QGCZ9 Gold 100 oz LONG 1 1446.3 8/2 8:30 1445.8 0.1%
Trade id #124732460
Max drawdown($51)
Time8/2/19 8:30
Quant open1
Worst price1445.8
Drawdown as % of equity-0.10%
($59)
Includes Typical Broker Commissions trade costs of $8.00
8/1/19 19:17 QGCZ9 Gold 100 oz LONG 1 1451.4 8/1 19:39 1448.3 0.57%
Trade id #124729356
Max drawdown($306)
Time8/1/19 19:39
Quant open1
Worst price1448.3
Drawdown as % of equity-0.57%
($314)
Includes Typical Broker Commissions trade costs of $8.00
7/31/19 3:08 QHGZ9 Copper SHORT 1 268.97 7/31 5:00 269.60 0.3%
Trade id #124690643
Max drawdown($158)
Time7/31/19 5:00
Quant open1
Worst price269.60
Drawdown as % of equity-0.30%
($166)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    2/26/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    201.43
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    331
  • # Profitable
    176
  • % Profitable
    53.20%
  • Avg trade duration
    8.6 hours
  • Max peak-to-valley drawdown
    5.57%
  • drawdown period
    Aug 09, 2019 - Sept 11, 2019
  • Cumul. Return
    30.4%
  • Avg win
    $181.57
  • Avg loss
    $104.52
  • Model Account Values (Raw)
  • Cash
    $56,256
  • Margin Used
    $0
  • Buying Power
    $56,256
  • Ratios
  • W:L ratio
    1.97:1
  • Sharpe Ratio
    3.08
  • Sortino Ratio
    6.77
  • Calmar Ratio
    20.072
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.07170
  • Verified
  • C2Star
    1
  • Return Statistics
  • Ann Return (w trading costs)
    60.5%
  • Ann Return (Compnd, No Fees)
    80.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    805
  • Popularity (Last 6 weeks)
    985
  • C2 Score
    977
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $105
  • Avg Win
    $182
  • # Winners
    176
  • # Losers
    155
  • % Winners
    53.2%
  • Frequency
  • Avg Position Time (mins)
    513.68
  • Avg Position Time (hrs)
    8.56
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.91
  • Daily leverage (max)
    7.48
  • Regression
  • Alpha
    0.13
  • Beta
    -0.07
  • Treynor Index
    -1.89
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    8.878
  • Avg(MAE) / Avg(PL) - Winning trades
    0.267
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.067
  • Hold-and-Hope Ratio
    0.109
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.68964
  • SD
    0.22129
  • Sharpe ratio (Glass type estimate)
    3.11651
  • Sharpe ratio (Hedges UMVUE)
    2.62020
  • df
    5.00000
  • t
    2.20371
  • p
    0.03936
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33127
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.36440
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59231
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.83272
  • Statistics related to Sortino ratio
  • Sortino ratio
    88.72750
  • Upside Potential Ratio
    90.14170
  • Upside part of mean
    0.70063
  • Downside part of mean
    -0.01099
  • Upside SD
    0.28351
  • Downside SD
    0.00777
  • 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
    0.07274
  • Mean of criterion
    0.68964
  • SD of predictor
    0.14611
  • SD of criterion
    0.22129
  • Covariance
    0.01091
  • r
    0.33731
  • b (slope, estimate of beta)
    0.51087
  • a (intercept, estimate of alpha)
    0.65248
  • Mean Square Error
    0.05424
  • DF error
    4.00000
  • t(b)
    0.71663
  • p(b)
    0.25661
  • t(a)
    1.95683
  • p(a)
    0.06100
  • Lowerbound of 95% confidence interval for beta
    -1.46880
  • Upperbound of 95% confidence interval for beta
    2.49055
  • Lowerbound of 95% confidence interval for alpha
    -0.27347
  • Upperbound of 95% confidence interval for alpha
    1.57842
  • Treynor index (mean / b)
    1.34992
  • Jensen alpha (a)
    0.65248
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65116
  • SD
    0.20624
  • Sharpe ratio (Glass type estimate)
    3.15724
  • Sharpe ratio (Hedges UMVUE)
    2.65445
  • df
    5.00000
  • t
    2.23251
  • p
    0.03796
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30473
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.41864
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56885
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.87774
  • Statistics related to Sortino ratio
  • Sortino ratio
    83.74210
  • Upside Potential Ratio
    85.15630
  • Upside part of mean
    0.66216
  • Downside part of mean
    -0.01100
  • Upside SD
    0.26593
  • Downside SD
    0.00778
  • 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
    0.06352
  • Mean of criterion
    0.65116
  • SD of predictor
    0.14603
  • SD of criterion
    0.20624
  • Covariance
    0.01016
  • r
    0.33718
  • b (slope, estimate of beta)
    0.47622
  • a (intercept, estimate of alpha)
    0.62091
  • Mean Square Error
    0.04713
  • DF error
    4.00000
  • t(b)
    0.71631
  • p(b)
    0.25670
  • t(a)
    2.00363
  • p(a)
    0.05782
  • Lowerbound of 95% confidence interval for beta
    -1.36998
  • Upperbound of 95% confidence interval for beta
    2.32241
  • Lowerbound of 95% confidence interval for alpha
    -0.23966
  • Upperbound of 95% confidence interval for alpha
    1.48149
  • Treynor index (mean / b)
    1.36736
  • Jensen alpha (a)
    0.62091
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04273
  • Expected Shortfall on VaR
    0.06602
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00085
  • Expected Shortfall on VaR
    0.00233
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.99683
  • Quartile 1
    1.01329
  • Median
    1.03788
  • Quartile 3
    1.10706
  • Maximum
    1.15099
  • Mean of quarter 1
    1.00381
  • Mean of quarter 2
    1.02082
  • Mean of quarter 3
    1.05494
  • Mean of quarter 4
    1.13771
  • Inter Quartile Range
    0.09377
  • 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 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
    0.00317
  • Quartile 1
    0.00317
  • Median
    0.00317
  • Quartile 3
    0.00317
  • Maximum
    0.00317
  • 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)
    0.80859
  • Compounded annual return (geometric extrapolation)
    0.97204
  • Calmar ratio (compounded annual return / max draw down)
    306.85800
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    14.72280
  • 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
    0.57747
  • SD
    0.12608
  • Sharpe ratio (Glass type estimate)
    4.58019
  • Sharpe ratio (Hedges UMVUE)
    4.55579
  • df
    141.00000
  • t
    3.37192
  • p
    0.32828
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.85705
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.28778
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84092
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.27065
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.12790
  • Upside Potential Ratio
    18.89680
  • Upside part of mean
    0.98063
  • Downside part of mean
    -0.40316
  • Upside SD
    0.11985
  • Downside SD
    0.05189
  • N nonnegative terms
    80.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    142.00000
  • Mean of predictor
    0.11694
  • Mean of criterion
    0.57747
  • SD of predictor
    0.13396
  • SD of criterion
    0.12608
  • Covariance
    -0.00203
  • r
    -0.12024
  • b (slope, estimate of beta)
    -0.11317
  • a (intercept, estimate of alpha)
    0.59100
  • Mean Square Error
    0.01578
  • DF error
    140.00000
  • t(b)
    -1.43312
  • p(b)
    0.56012
  • t(a)
    3.45700
  • p(a)
    0.35978
  • Lowerbound of 95% confidence interval for beta
    -0.26928
  • Upperbound of 95% confidence interval for beta
    0.04295
  • Lowerbound of 95% confidence interval for alpha
    0.25288
  • Upperbound of 95% confidence interval for alpha
    0.92853
  • Treynor index (mean / b)
    -5.10288
  • Jensen alpha (a)
    0.59071
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56898
  • SD
    0.12516
  • Sharpe ratio (Glass type estimate)
    4.54610
  • Sharpe ratio (Hedges UMVUE)
    4.52188
  • df
    141.00000
  • t
    3.34682
  • p
    0.32944
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.82385
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.25292
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80779
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.23597
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.91580
  • Upside Potential Ratio
    18.67560
  • Upside part of mean
    0.97344
  • Downside part of mean
    -0.40447
  • Upside SD
    0.11863
  • Downside SD
    0.05212
  • N nonnegative terms
    80.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    142.00000
  • Mean of predictor
    0.10795
  • Mean of criterion
    0.56898
  • SD of predictor
    0.13441
  • SD of criterion
    0.12516
  • Covariance
    -0.00202
  • r
    -0.12010
  • b (slope, estimate of beta)
    -0.11183
  • a (intercept, estimate of alpha)
    0.58105
  • Mean Square Error
    0.01555
  • DF error
    140.00000
  • t(b)
    -1.43136
  • p(b)
    0.56005
  • t(a)
    3.42628
  • p(a)
    0.36093
  • Lowerbound of 95% confidence interval for beta
    -0.26629
  • Upperbound of 95% confidence interval for beta
    0.04263
  • Lowerbound of 95% confidence interval for alpha
    0.24577
  • Upperbound of 95% confidence interval for alpha
    0.91633
  • Treynor index (mean / b)
    -5.08785
  • Jensen alpha (a)
    0.58105
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01049
  • Expected Shortfall on VaR
    0.01368
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00324
  • Expected Shortfall on VaR
    0.00653
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    142.00000
  • Minimum
    0.98489
  • Quartile 1
    0.99801
  • Median
    1.00061
  • Quartile 3
    1.00455
  • Maximum
    1.03615
  • Mean of quarter 1
    0.99464
  • Mean of quarter 2
    0.99956
  • Mean of quarter 3
    1.00218
  • Mean of quarter 4
    1.01279
  • Inter Quartile Range
    0.00654
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01408
  • Mean of outliers low
    0.98618
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.07746
  • Mean of outliers high
    1.02121
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06740
  • VaR(95%) (moments method)
    0.00491
  • Expected Shortfall (moments method)
    0.00696
  • Extreme Value Index (regression method)
    0.08408
  • VaR(95%) (regression method)
    0.00519
  • Expected Shortfall (regression method)
    0.00748
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00159
  • Median
    0.00324
  • Quartile 3
    0.01737
  • Maximum
    0.04068
  • Mean of quarter 1
    0.00069
  • Mean of quarter 2
    0.00242
  • Mean of quarter 3
    0.01064
  • Mean of quarter 4
    0.03203
  • Inter Quartile Range
    0.01578
  • 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)
    -4.62409
  • VaR(95%) (moments method)
    0.03453
  • Expected Shortfall (moments method)
    0.03455
  • Extreme Value Index (regression method)
    -1.08744
  • VaR(95%) (regression method)
    0.04196
  • Expected Shortfall (regression method)
    0.04405
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.70474
  • Compounded annual return (geometric extrapolation)
    0.81645
  • Calmar ratio (compounded annual return / max draw down)
    20.07180
  • Compounded annual return / average of 25% largest draw downs
    25.49190
  • Compounded annual return / Expected Shortfall lognormal
    59.68560
  • 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
    0.46309
  • SD
    0.11844
  • Sharpe ratio (Glass type estimate)
    3.91006
  • Sharpe ratio (Hedges UMVUE)
    3.88746
  • df
    130.00000
  • t
    2.76483
  • p
    0.38217
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.09058
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.71498
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07567
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.69926
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.74739
  • Upside Potential Ratio
    16.58650
  • Upside part of mean
    0.87810
  • Downside part of mean
    -0.41501
  • Upside SD
    0.10925
  • Downside SD
    0.05294
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11650
  • Mean of criterion
    0.46309
  • SD of predictor
    0.13620
  • SD of criterion
    0.11844
  • Covariance
    -0.00179
  • r
    -0.11096
  • b (slope, estimate of beta)
    -0.09649
  • a (intercept, estimate of alpha)
    0.47433
  • Mean Square Error
    0.01396
  • DF error
    129.00000
  • t(b)
    -1.26812
  • p(b)
    0.57049
  • t(a)
    2.83457
  • p(a)
    0.34737
  • Lowerbound of 95% confidence interval for beta
    -0.24704
  • Upperbound of 95% confidence interval for beta
    0.05405
  • Lowerbound of 95% confidence interval for alpha
    0.14325
  • Upperbound of 95% confidence interval for alpha
    0.80541
  • Treynor index (mean / b)
    -4.79936
  • Jensen alpha (a)
    0.47433
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45574
  • SD
    0.11765
  • Sharpe ratio (Glass type estimate)
    3.87369
  • Sharpe ratio (Hedges UMVUE)
    3.85130
  • df
    130.00000
  • t
    2.73911
  • p
    0.38321
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.05508
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.67799
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04024
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.66236
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.57002
  • Upside Potential Ratio
    16.39970
  • Upside part of mean
    0.87211
  • Downside part of mean
    -0.41637
  • Upside SD
    0.10817
  • Downside SD
    0.05318
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10722
  • Mean of criterion
    0.45574
  • SD of predictor
    0.13669
  • SD of criterion
    0.11765
  • Covariance
    -0.00179
  • r
    -0.11104
  • b (slope, estimate of beta)
    -0.09557
  • a (intercept, estimate of alpha)
    0.46599
  • Mean Square Error
    0.01378
  • DF error
    129.00000
  • t(b)
    -1.26899
  • p(b)
    0.57054
  • t(a)
    2.80395
  • p(a)
    0.34889
  • Lowerbound of 95% confidence interval for beta
    -0.24458
  • Upperbound of 95% confidence interval for beta
    0.05344
  • Lowerbound of 95% confidence interval for alpha
    0.13718
  • Upperbound of 95% confidence interval for alpha
    0.79480
  • Treynor index (mean / b)
    -4.76869
  • Jensen alpha (a)
    0.46599
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01016
  • Expected Shortfall on VaR
    0.01316
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00341
  • Expected Shortfall on VaR
    0.00681
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98489
  • Quartile 1
    0.99796
  • Median
    1.00046
  • Quartile 3
    1.00404
  • Maximum
    1.03615
  • Mean of quarter 1
    0.99453
  • Mean of quarter 2
    0.99944
  • Mean of quarter 3
    1.00199
  • Mean of quarter 4
    1.01154
  • Inter Quartile Range
    0.00608
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.98618
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01933
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04783
  • VaR(95%) (moments method)
    0.00493
  • Expected Shortfall (moments method)
    0.00691
  • Extreme Value Index (regression method)
    0.04274
  • VaR(95%) (regression method)
    0.00514
  • Expected Shortfall (regression method)
    0.00722
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00040
  • Quartile 1
    0.00178
  • Median
    0.00324
  • Quartile 3
    0.02289
  • Maximum
    0.04068
  • Mean of quarter 1
    0.00109
  • Mean of quarter 2
    0.00263
  • Mean of quarter 3
    0.01477
  • Mean of quarter 4
    0.03508
  • Inter Quartile Range
    0.02111
  • 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)
    -4.62409
  • VaR(95%) (moments method)
    0.03454
  • Expected Shortfall (moments method)
    0.03455
  • Extreme Value Index (regression method)
    -1.08744
  • VaR(95%) (regression method)
    0.04250
  • Expected Shortfall (regression method)
    0.04431
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.54714
  • Compounded annual return (geometric extrapolation)
    0.62199
  • Calmar ratio (compounded annual return / max draw down)
    15.29110
  • Compounded annual return / average of 25% largest draw downs
    17.73300
  • Compounded annual return / Expected Shortfall lognormal
    47.25500

Strategy Description

This system trade futures in CME, CBOT, NYMEX, COMEX. This is not a day-trading but a trend-trading system. It will follow the long-term trend and entry the trades when the price come back to the trendline, It will not open many trades but less trades only when the entry signals become clear. This system will trade as the requiements of c2star.

Summary Statistics

Strategy began
2019-02-26
Suggested Minimum Capital
$50,000
Rank at C2 %
Top 2.3%
Rank # 
#14
# Trades
331
# Profitable
176
% Profitable
53.2%
Correlation S&P500
-0.072
Sharpe Ratio
3.08
Sortino Ratio
6.77
Beta
-0.07
Alpha
0.13
Leverage
1.91 Average
7.48 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.