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C2Star 9
(123613717)

Created by: WhiteCumings WhiteCumings
Started: 05/2019
Futures
Last trade: 2 days ago

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.

16.9%
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.

(5.1%)
Max Drawdown
161
Num Trades
50.9%
Win Trades
2.0 : 1
Profit Factor
80.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                            +8.4%+4.0%+0.2%(0.5%)+4.2%                  +16.9%

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 45 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 22:18 QHGZ9 Copper LONG 0.900000000 264.95 9/13 11:29 270.00 0.38%
Trade id #125337027
Max drawdown($202)
Time9/13/19 0:00
Quant open1
Worst price264.05
Drawdown as % of equity-0.38%
$1,129
Includes Typical Broker Commissions trade costs of $7.20
9/12/19 8:09 @EUZ9 EUROFX SHORT 0.900000000 1.10335 9/12 9:05 1.10320 0.28%
Trade id #125323938
Max drawdown($146)
Time9/12/19 8:19
Quant open1
Worst price1.10480
Drawdown as % of equity-0.28%
$10
Includes Typical Broker Commissions trade costs of $7.20
9/12/19 1:36 @EUZ9 EUROFX LONG 0.900000000 1.10900 9/12 7:55 1.10450 1.03%
Trade id #125319244
Max drawdown($536)
Time9/12/19 7:53
Quant open1
Worst price1.10370
Drawdown as % of equity-1.03%
($513)
Includes Typical Broker Commissions trade costs of $7.20
9/11/19 3:39 QPLV9 PLATINUM LONG 0.900000000 939.7 9/11 3:49 939.6 0.05%
Trade id #125301161
Max drawdown($24)
Time9/11/19 3:49
Quant open1
Worst price939.1
Drawdown as % of equity-0.05%
($12)
Includes Typical Broker Commissions trade costs of $7.20
9/10/19 11:48 @JYZ9 JAPANESE YEN SHORT 0.900000000 0.009376 9/11 2:19 0.009338 0.14%
Trade id #125292287
Max drawdown($70)
Time9/10/19 12:06
Quant open1
Worst price0.009383
Drawdown as % of equity-0.14%
$421
Includes Typical Broker Commissions trade costs of $7.20
9/10/19 3:56 @DXZ9 US Dollar Index SHORT 0.900000000 97.945 9/10 10:20 97.925 0.08%
Trade id #125285753
Max drawdown($40)
Time9/10/19 4:12
Quant open1
Worst price97.995
Drawdown as % of equity-0.08%
$11
Includes Typical Broker Commissions trade costs of $7.20
9/10/19 2:05 @DXZ9 US Dollar Index SHORT 0.900000000 97.880 9/10 3:40 97.910 0.03%
Trade id #125284801
Max drawdown($16)
Time9/10/19 2:16
Quant open1
Worst price97.900
Drawdown as % of equity-0.03%
($34)
Includes Typical Broker Commissions trade costs of $7.20
9/9/19 5:44 @CCZ9 COCOA LONG 1.800000000 2278 9/9 7:19 2268 0.27%
Trade id #125270108
Max drawdown($141)
Time9/9/19 7:14
Quant open1
Worst price2261
Drawdown as % of equity-0.27%
($212)
Includes Typical Broker Commissions trade costs of $14.40
8/27/19 12:38 @HEV9 LEAN HOGS LONG 1.800000000 62.937 9/6 10:34 65.725 2.66%
Trade id #125106114
Max drawdown($1,336)
Time8/28/19 0:00
Quant open2
Worst price60.875
Drawdown as % of equity-2.66%
$1,993
Includes Typical Broker Commissions trade costs of $14.40
8/22/19 3:23 DXMZ9 MINI-DAX INDEX SHORT 0.900000000 11770.0 8/22 12:56 11732.0 0.34%
Trade id #125030868
Max drawdown($170)
Time8/22/19 9:42
Quant open1
Worst price11808.0
Drawdown as % of equity-0.34%
$182
Includes Typical Broker Commissions trade costs of $7.20
8/20/19 4:28 @TYU9 US T-NOTE 10 YR LONG 0.900000000 130 38/64 8/20 7:58 130 36/64 0.08%
Trade id #124998184
Max drawdown($38)
Time8/20/19 4:37
Quant open1
Worst price130 35/64
Drawdown as % of equity-0.08%
($36)
Includes Typical Broker Commissions trade costs of $7.20
8/14/19 19:34 QPLV9 PLATINUM SHORT 1.800000000 847.6 8/16 11:32 847.7 0.4%
Trade id #124940211
Max drawdown($198)
Time8/14/19 19:34
Quant open2
Worst price850.1
Drawdown as % of equity-0.40%
($19)
Includes Typical Broker Commissions trade costs of $14.40
8/8/19 10:36 @YMU9 MINI DOW SHORT 0.900000000 26142 8/13 9:54 26229 2.03%
Trade id #124836408
Max drawdown($1,020)
Time8/8/19 10:36
Quant open1
Worst price26394
Drawdown as % of equity-2.03%
($399)
Includes Typical Broker Commissions trade costs of $7.20
8/7/19 9:12 @YMU9 MINI DOW SHORT 1.800000000 25624 8/7 9:32 25579 0.89%
Trade id #124810270
Max drawdown($445)
Time8/7/19 9:12
Quant open2
Worst price25679
Drawdown as % of equity-0.89%
$391
Includes Typical Broker Commissions trade costs of $14.40
8/1/19 9:45 @YMU9 MINI DOW SHORT 1.800000000 26890 8/1 10:27 26981 1.46%
Trade id #124714929
Max drawdown($737)
Time8/1/19 10:27
Quant open2
Worst price26981
Drawdown as % of equity-1.46%
($833)
Includes Typical Broker Commissions trade costs of $14.40
7/31/19 13:05 QPLV9 PLATINUM SHORT 1.800000000 878.1 7/31 13:23 880.1 0.31%
Trade id #124701439
Max drawdown($156)
Time7/31/19 13:23
Quant open2
Worst price880.1
Drawdown as % of equity-0.31%
($187)
Includes Typical Broker Commissions trade costs of $14.40
7/31/19 2:54 DXMU9 MINI-DAX INDEX SHORT 0.900000000 12133.0 7/31 9:52 12193.0 0.53%
Trade id #124690586
Max drawdown($270)
Time7/31/19 9:52
Quant open1
Worst price12193.0
Drawdown as % of equity-0.53%
($308)
Includes Typical Broker Commissions trade costs of $7.20
7/30/19 12:47 @YMU9 MINI DOW SHORT 0.900000000 27156 7/30 14:04 27187 0.24%
Trade id #124681042
Max drawdown($125)
Time7/30/19 14:04
Quant open1
Worst price27187
Drawdown as % of equity-0.24%
($147)
Includes Typical Broker Commissions trade costs of $7.20
7/30/19 11:38 @YMU9 MINI DOW SHORT 0.900000000 27156 7/30 12:30 27168 0.09%
Trade id #124678902
Max drawdown($48)
Time7/30/19 12:30
Quant open1
Worst price27168
Drawdown as % of equity-0.09%
($61)
Includes Typical Broker Commissions trade costs of $7.20
7/30/19 10:22 @YMU9 MINI DOW SHORT 0.900000000 27128 7/30 11:00 27160 0.25%
Trade id #124676577
Max drawdown($129)
Time7/30/19 11:00
Quant open1
Worst price27160
Drawdown as % of equity-0.25%
($151)
Includes Typical Broker Commissions trade costs of $7.20
7/29/19 11:51 @ESU9 E-MINI S&P 500 SHORT 0.900000000 3022.50 7/29 12:21 3020.50 0.1%
Trade id #124660306
Max drawdown($50)
Time7/29/19 11:51
Quant open1
Worst price3023.75
Drawdown as % of equity-0.10%
$83
Includes Typical Broker Commissions trade costs of $7.20
7/29/19 11:36 @ESZ9 E-MINI S&P 500 SHORT 0.900000000 3023.75 7/29 11:41 3023.75 n/a ($7)
Includes Typical Broker Commissions trade costs of $7.20
7/25/19 8:27 DXMZ9 MINI-DAX INDEX LONG 0.900000000 12542.0 7/25 8:45 12555.0 n/a $58
Includes Typical Broker Commissions trade costs of $7.20
7/25/19 4:40 DXMU9 MINI-DAX INDEX LONG 0.900000000 12529.0 7/25 4:53 12523.0 0.06%
Trade id #124607479
Max drawdown($31)
Time7/25/19 4:40
Quant open1
Worst price12522.0
Drawdown as % of equity-0.06%
($37)
Includes Typical Broker Commissions trade costs of $7.20
7/25/19 4:25 DXMZ9 MINI-DAX INDEX SHORT 1.800000000 12531.0 7/25 4:39 12507.0 n/a $226
Includes Typical Broker Commissions trade costs of $14.40
7/25/19 3:01 @TYU9 US T-NOTE 10 YR LONG 0.900000000 127 42/64 7/25 4:36 127 43/64 0.05%
Trade id #124606926
Max drawdown($25)
Time7/25/19 3:01
Quant open1
Worst price127 40/64
Drawdown as % of equity-0.05%
$7
Includes Typical Broker Commissions trade costs of $7.20
7/25/19 3:34 DXMZ9 MINI-DAX INDEX LONG 1.800000000 12527.0 7/25 4:01 12531.0 n/a $26
Includes Typical Broker Commissions trade costs of $14.40
7/24/19 11:22 @YMU9 MINI DOW SHORT 0.900000000 27202 7/24 12:33 27226 0.19%
Trade id #124594824
Max drawdown($97)
Time7/24/19 11:22
Quant open1
Worst price27226
Drawdown as % of equity-0.19%
($115)
Includes Typical Broker Commissions trade costs of $7.20
7/24/19 8:46 @TYU9 US T-NOTE 10 YR LONG 0.900000000 127 36/64 7/24 11:23 127 37/64 0.07%
Trade id #124590710
Max drawdown($37)
Time7/24/19 8:46
Quant open1
Worst price127 33/64
Drawdown as % of equity-0.07%
$7
Includes Typical Broker Commissions trade costs of $7.20
7/23/19 11:26 DXMZ9 MINI-DAX INDEX SHORT 0.900000000 12492.0 7/23 12:23 12467.0 n/a $118
Includes Typical Broker Commissions trade costs of $7.20

Statistics

  • Strategy began
    5/10/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    128.33
  • Age
    128 days ago
  • What it trades
    Futures
  • # Trades
    161
  • # Profitable
    82
  • % Profitable
    50.90%
  • Avg trade duration
    12.2 hours
  • Max peak-to-valley drawdown
    5.13%
  • drawdown period
    July 30, 2019 - Aug 28, 2019
  • Cumul. Return
    16.9%
  • Avg win
    $237.27
  • Avg loss
    $123.11
  • Model Account Values (Raw)
  • Cash
    $54,730
  • Margin Used
    $0
  • Buying Power
    $54,730
  • Ratios
  • W:L ratio
    2.00:1
  • Sharpe Ratio
    2.74
  • Sortino Ratio
    5.29
  • Calmar Ratio
    23.74
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.06490
  • Verified
  • C2Star
    2
  • Return Statistics
  • Ann Return (w trading costs)
    54.2%
  • Ann Return (Compnd, No Fees)
    73.7%
  • 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)
    738
  • Popularity (Last 6 weeks)
    890
  • C2 Score
    973
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $123
  • Avg Win
    $237
  • # Winners
    82
  • # Losers
    79
  • % Winners
    50.9%
  • Frequency
  • Avg Position Time (mins)
    731.82
  • Avg Position Time (hrs)
    12.20
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    2.63
  • Daily leverage (max)
    12.12
  • Regression
  • Alpha
    0.12
  • Beta
    0.07
  • Treynor Index
    1.85
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    -7.613
  • Avg(MAE) / Avg(PL) - Winning trades
    0.501
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.064
  • Hold-and-Hope Ratio
    -0.131
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53849
  • SD
    0.16955
  • Sharpe ratio (Glass type estimate)
    3.17596
  • Sharpe ratio (Hedges UMVUE)
    2.29813
  • df
    3.00000
  • t
    1.83364
  • p
    0.08204
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14502
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.19163
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56267
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.15893
  • Statistics related to Sortino ratio
  • Sortino ratio
    22.69710
  • Upside Potential Ratio
    24.42920
  • Upside part of mean
    0.57958
  • Downside part of mean
    -0.04109
  • Upside SD
    0.21252
  • Downside SD
    0.02373
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.11441
  • Mean of criterion
    0.53849
  • SD of predictor
    0.17162
  • SD of criterion
    0.16955
  • Covariance
    0.01202
  • r
    0.41295
  • b (slope, estimate of beta)
    0.40797
  • a (intercept, estimate of alpha)
    0.49182
  • Mean Square Error
    0.03577
  • DF error
    2.00000
  • t(b)
    0.64123
  • p(b)
    0.29352
  • t(a)
    1.46564
  • p(a)
    0.14019
  • Lowerbound of 95% confidence interval for beta
    -2.32949
  • Upperbound of 95% confidence interval for beta
    3.14542
  • Lowerbound of 95% confidence interval for alpha
    -0.95200
  • Upperbound of 95% confidence interval for alpha
    1.93563
  • Treynor index (mean / b)
    1.31994
  • Jensen alpha (a)
    0.49182
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51574
  • SD
    0.16184
  • Sharpe ratio (Glass type estimate)
    3.18680
  • Sharpe ratio (Hedges UMVUE)
    2.30597
  • df
    3.00000
  • t
    1.83990
  • p
    0.08153
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13908
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.20714
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55781
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.16976
  • Statistics related to Sortino ratio
  • Sortino ratio
    21.63950
  • Upside Potential Ratio
    23.37150
  • Upside part of mean
    0.55702
  • Downside part of mean
    -0.04128
  • Upside SD
    0.20308
  • Downside SD
    0.02383
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.10266
  • Mean of criterion
    0.51574
  • SD of predictor
    0.17148
  • SD of criterion
    0.16184
  • Covariance
    0.01231
  • r
    0.44363
  • b (slope, estimate of beta)
    0.41869
  • a (intercept, estimate of alpha)
    0.47276
  • Mean Square Error
    0.03155
  • DF error
    2.00000
  • t(b)
    0.70005
  • p(b)
    0.27818
  • t(a)
    1.50685
  • p(a)
    0.13542
  • Lowerbound of 95% confidence interval for beta
    -2.15466
  • Upperbound of 95% confidence interval for beta
    2.99204
  • Lowerbound of 95% confidence interval for alpha
    -0.87715
  • Upperbound of 95% confidence interval for alpha
    1.82267
  • Treynor index (mean / b)
    1.23179
  • Jensen alpha (a)
    0.47276
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03330
  • Expected Shortfall on VaR
    0.05185
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00486
  • Expected Shortfall on VaR
    0.01072
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.98863
  • Quartile 1
    1.02876
  • Median
    1.04598
  • Quartile 3
    1.06442
  • Maximum
    1.10823
  • Mean of quarter 1
    0.98863
  • Mean of quarter 2
    1.04214
  • Mean of quarter 3
    1.04981
  • Mean of quarter 4
    1.10823
  • Inter Quartile Range
    0.03565
  • 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
    0.01137
  • Quartile 1
    0.01137
  • Median
    0.01137
  • Quartile 3
    0.01137
  • Maximum
    0.01137
  • 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)
    0.59602
  • Compounded annual return (geometric extrapolation)
    0.72227
  • Calmar ratio (compounded annual return / max draw down)
    63.52780
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    13.93120
  • 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
    0.54551
  • SD
    0.13363
  • Sharpe ratio (Glass type estimate)
    4.08232
  • Sharpe ratio (Hedges UMVUE)
    4.04703
  • df
    87.00000
  • t
    2.36591
  • p
    0.01010
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.63535
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.50667
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61211
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.48195
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.21691
  • Upside Potential Ratio
    15.14730
  • Upside part of mean
    1.00561
  • Downside part of mean
    -0.46010
  • Upside SD
    0.11992
  • Downside SD
    0.06639
  • N nonnegative terms
    54.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    88.00000
  • Mean of predictor
    0.10989
  • Mean of criterion
    0.54551
  • SD of predictor
    0.14444
  • SD of criterion
    0.13363
  • Covariance
    0.00014
  • r
    0.00749
  • b (slope, estimate of beta)
    0.00693
  • a (intercept, estimate of alpha)
    0.54500
  • Mean Square Error
    0.01806
  • DF error
    86.00000
  • t(b)
    0.06946
  • p(b)
    0.47239
  • t(a)
    2.34643
  • p(a)
    0.01063
  • Lowerbound of 95% confidence interval for beta
    -0.19139
  • Upperbound of 95% confidence interval for beta
    0.20525
  • Lowerbound of 95% confidence interval for alpha
    0.08323
  • Upperbound of 95% confidence interval for alpha
    1.00627
  • Treynor index (mean / b)
    78.72670
  • Jensen alpha (a)
    0.54475
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53613
  • SD
    0.13296
  • Sharpe ratio (Glass type estimate)
    4.03212
  • Sharpe ratio (Hedges UMVUE)
    3.99726
  • df
    87.00000
  • t
    2.33681
  • p
    0.01087
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.58655
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.45534
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56363
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.43089
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.01225
  • Upside Potential Ratio
    14.92080
  • Upside part of mean
    0.99841
  • Downside part of mean
    -0.46228
  • Upside SD
    0.11874
  • Downside SD
    0.06691
  • N nonnegative terms
    54.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    88.00000
  • Mean of predictor
    0.09951
  • Mean of criterion
    0.53613
  • SD of predictor
    0.14484
  • SD of criterion
    0.13296
  • Covariance
    0.00022
  • r
    0.01140
  • b (slope, estimate of beta)
    0.01046
  • a (intercept, estimate of alpha)
    0.53509
  • Mean Square Error
    0.01788
  • DF error
    86.00000
  • t(b)
    0.10569
  • p(b)
    0.45804
  • t(a)
    2.31687
  • p(a)
    0.01144
  • Lowerbound of 95% confidence interval for beta
    -0.18632
  • Upperbound of 95% confidence interval for beta
    0.20724
  • Lowerbound of 95% confidence interval for alpha
    0.07597
  • Upperbound of 95% confidence interval for alpha
    0.99421
  • Treynor index (mean / b)
    51.24710
  • Jensen alpha (a)
    0.53509
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01140
  • Expected Shortfall on VaR
    0.01478
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00335
  • Expected Shortfall on VaR
    0.00723
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    88.00000
  • Minimum
    0.97434
  • Quartile 1
    0.99873
  • Median
    1.00109
  • Quartile 3
    1.00511
  • Maximum
    1.02719
  • Mean of quarter 1
    0.99349
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00267
  • Mean of quarter 4
    1.01268
  • Inter Quartile Range
    0.00638
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02273
  • Mean of outliers low
    0.98116
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.07955
  • Mean of outliers high
    1.02235
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.43120
  • VaR(95%) (moments method)
    0.00404
  • Expected Shortfall (moments method)
    0.00408
  • Extreme Value Index (regression method)
    0.02173
  • VaR(95%) (regression method)
    0.00492
  • Expected Shortfall (regression method)
    0.00726
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00068
  • Quartile 1
    0.00186
  • Median
    0.01464
  • Quartile 3
    0.01860
  • Maximum
    0.03192
  • Mean of quarter 1
    0.00078
  • Mean of quarter 2
    0.00874
  • Mean of quarter 3
    0.01819
  • Mean of quarter 4
    0.02547
  • Inter Quartile Range
    0.01674
  • 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)
    0.62101
  • Compounded annual return (geometric extrapolation)
    0.75775
  • Calmar ratio (compounded annual return / max draw down)
    23.73950
  • Compounded annual return / average of 25% largest draw downs
    29.75130
  • Compounded annual return / Expected Shortfall lognormal
    51.25840

Strategy Description

Summary Statistics

Strategy began
2019-05-10
Suggested Minimum Capital
$50,000
Rank at C2 %
Top 2.7%
Rank # 
#16
# Trades
161
# Profitable
82
% Profitable
50.9%
Correlation S&P500
0.065
Sharpe Ratio
2.74
Sortino Ratio
5.29
Beta
0.07
Alpha
0.12
Leverage
2.63 Average
12.12 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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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.