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These are hypothetical performance results that have certain inherent limitations. Learn more

Stella Capital 500 Plus
(135199024)

Created by: StellaCapital StellaCapital
Started: 04/2021
Futures
Last trade: 4 days ago
Trading style: Futures Macro / Fundamental

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 $98.00 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: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
89.2%
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.

(19.0%)
Max Drawdown
58
Num Trades
69.0%
Win Trades
2.2 : 1
Profit Factor
85.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                     +4.3%+0.6%+21.0%(15.5%)+2.6%+0.9%+8.0%+5.5%+7.6%+36.2%
2022+19.5%+3.3%+7.6%+17.3%(3.8%)                                          +49.7%

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.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 34 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/23/22 5:12 @ESM2 E-MINI S&P 500 SHORT 2 3920.68 5/23 11:14 3960.25 4.09%
Trade id #140561157
Max drawdown($4,181)
Time5/23/22 11:14
Quant open2
Worst price3962.50
Drawdown as % of equity-4.09%
($3,973)
Includes Typical Broker Commissions trade costs of $16.00
5/8/22 20:54 @ESM2 E-MINI S&P 500 SHORT 2 4068.00 5/9 6:47 4034.75 3.05%
Trade id #140406974
Max drawdown($3,099)
Time5/9/22 0:00
Quant open2
Worst price4099.00
Drawdown as % of equity-3.05%
$3,309
Includes Typical Broker Commissions trade costs of $16.00
5/1/22 18:22 @ESM2 E-MINI S&P 500 LONG 2 4135.00 5/2 9:37 4103.00 3.05%
Trade id #140326905
Max drawdown($3,225)
Time5/2/22 9:37
Quant open2
Worst price4102.75
Drawdown as % of equity-3.05%
($3,216)
Includes Typical Broker Commissions trade costs of $16.00
4/24/22 20:29 @ESM2 E-MINI S&P 500 SHORT 2 4250.00 4/25 11:45 4203.50 1.7%
Trade id #140243670
Max drawdown($1,725)
Time4/25/22 0:00
Quant open2
Worst price4267.25
Drawdown as % of equity-1.70%
$4,634
Includes Typical Broker Commissions trade costs of $16.00
4/18/22 4:58 @ESM2 E-MINI S&P 500 LONG 2 4369.75 4/19 9:52 4415.50 0.9%
Trade id #140163716
Max drawdown($875)
Time4/18/22 5:24
Quant open2
Worst price4361.00
Drawdown as % of equity-0.90%
$4,559
Includes Typical Broker Commissions trade costs of $16.00
4/10/22 19:54 @ESM2 E-MINI S&P 500 SHORT 2 4480.16 4/11 10:26 4436.25 1.16%
Trade id #140090444
Max drawdown($1,109)
Time4/11/22 0:00
Quant open2
Worst price4491.25
Drawdown as % of equity-1.16%
$4,375
Includes Typical Broker Commissions trade costs of $16.00
4/4/22 0:30 @ESM2 E-MINI S&P 500 LONG 1 4541.75 4/5 3:35 4585.25 0.65%
Trade id #140012670
Max drawdown($587)
Time4/4/22 3:15
Quant open1
Worst price4530.00
Drawdown as % of equity-0.65%
$2,167
Includes Typical Broker Commissions trade costs of $8.00
3/27/22 18:24 @ESM2 E-MINI S&P 500 LONG 1 4534.15 3/29 1:46 4578.25 1.38%
Trade id #139933973
Max drawdown($1,220)
Time3/28/22 0:00
Quant open1
Worst price4509.75
Drawdown as % of equity-1.38%
$2,197
Includes Typical Broker Commissions trade costs of $8.00
3/22/22 3:00 @ESM2 E-MINI S&P 500 LONG 1 4442.00 3/22 10:00 4486.75 0.01%
Trade id #139868455
Max drawdown($12)
Time3/22/22 3:03
Quant open1
Worst price4441.75
Drawdown as % of equity-0.01%
$2,230
Includes Typical Broker Commissions trade costs of $8.00
3/15/22 21:48 @ESH2 E-MINI S&P 500 SHORT 1 4251.75 3/16 3:06 4293.50 2.43%
Trade id #139797197
Max drawdown($2,125)
Time3/16/22 3:06
Quant open1
Worst price4294.25
Drawdown as % of equity-2.43%
($2,096)
Includes Typical Broker Commissions trade costs of $8.00
3/6/22 18:02 @ESH2 E-MINI S&P 500 SHORT 1 4294.89 3/6 21:52 4253.81 n/a $2,046
Includes Typical Broker Commissions trade costs of $8.00
3/2/22 1:21 @ESH2 E-MINI S&P 500 LONG 1 4318.81 3/2 11:04 4361.25 2.45%
Trade id #139603421
Max drawdown($2,028)
Time3/2/22 2:21
Quant open1
Worst price4278.25
Drawdown as % of equity-2.45%
$2,114
Includes Typical Broker Commissions trade costs of $8.00
2/20/22 18:04 @ESH2 E-MINI S&P 500 SHORT 1 4322.29 2/20 20:33 4369.79 2.81%
Trade id #139468316
Max drawdown($2,397)
Time2/20/22 20:33
Quant open1
Worst price4370.25
Drawdown as % of equity-2.81%
($2,383)
Includes Typical Broker Commissions trade costs of $8.00
2/20/22 18:05 @MESH2 MICRO E-MINI S&P 500 SHORT 7 4322.03 2/20 20:33 4369.91 1.98%
Trade id #139468326
Max drawdown($1,696)
Time2/20/22 20:33
Quant open7
Worst price4370.50
Drawdown as % of equity-1.98%
($1,683)
Includes Typical Broker Commissions trade costs of $6.58
2/13/22 18:03 @MESH2 MICRO E-MINI S&P 500 SHORT 17 4411.12 2/14 3:57 4371.50 1.68%
Trade id #139372008
Max drawdown($1,434)
Time2/14/22 2:56
Quant open17
Worst price4428.00
Drawdown as % of equity-1.68%
$3,352
Includes Typical Broker Commissions trade costs of $15.98
2/6/22 18:34 @MESH2 MICRO E-MINI S&P 500 LONG 6 4498.40 2/9 3:50 4542.50 1.57%
Trade id #139277866
Max drawdown($1,264)
Time2/8/22 0:00
Quant open6
Worst price4456.25
Drawdown as % of equity-1.57%
$1,317
Includes Typical Broker Commissions trade costs of $5.64
2/6/22 18:34 @ESH2 E-MINI S&P 500 LONG 1 4498.88 2/9 3:50 4542.50 2.65%
Trade id #139277858
Max drawdown($2,131)
Time2/8/22 0:00
Quant open1
Worst price4456.25
Drawdown as % of equity-2.65%
$2,173
Includes Typical Broker Commissions trade costs of $8.00
1/30/22 18:04 @MESH2 MICRO E-MINI S&P 500 LONG 5 4416.75 1/31 11:52 4469.75 0.69%
Trade id #139163211
Max drawdown($531)
Time1/31/22 7:24
Quant open5
Worst price4395.50
Drawdown as % of equity-0.69%
$1,320
Includes Typical Broker Commissions trade costs of $4.70
1/30/22 18:03 @ESH2 E-MINI S&P 500 LONG 1 4419.00 1/31 11:52 4469.75 1.52%
Trade id #139163200
Max drawdown($1,175)
Time1/31/22 7:24
Quant open1
Worst price4395.50
Drawdown as % of equity-1.52%
$2,530
Includes Typical Broker Commissions trade costs of $8.00
1/23/22 18:12 @MESH2 MICRO E-MINI S&P 500 SHORT 5 4398.50 1/24 8:20 4352.25 0.98%
Trade id #139063890
Max drawdown($718)
Time1/23/22 21:00
Quant open5
Worst price4427.25
Drawdown as % of equity-0.98%
$1,151
Includes Typical Broker Commissions trade costs of $4.70
1/23/22 18:11 @ESH2 E-MINI S&P 500 SHORT 1 4396.00 1/24 8:20 4352.25 2.15%
Trade id #139063879
Max drawdown($1,575)
Time1/23/22 21:00
Quant open1
Worst price4427.50
Drawdown as % of equity-2.15%
$2,180
Includes Typical Broker Commissions trade costs of $8.00
1/16/22 18:24 @MESH2 MICRO E-MINI S&P 500 SHORT 6 4658.50 1/18 3:19 4612.75 0.22%
Trade id #138972651
Max drawdown($150)
Time1/16/22 18:37
Quant open6
Worst price4663.50
Drawdown as % of equity-0.22%
$1,367
Includes Typical Broker Commissions trade costs of $5.64
1/16/22 18:37 @ESH2 E-MINI S&P 500 SHORT 2 4663.25 1/18 3:19 4612.75 n/a $5,034
Includes Typical Broker Commissions trade costs of $16.00
1/9/22 18:05 @ESH2 E-MINI S&P 500 LONG 1 4662.50 1/10 9:34 4623.75 2.87%
Trade id #138879075
Max drawdown($2,037)
Time1/10/22 9:34
Quant open1
Worst price4621.75
Drawdown as % of equity-2.87%
($1,946)
Includes Typical Broker Commissions trade costs of $8.00
1/9/22 18:07 @MESH2 MICRO E-MINI S&P 500 LONG 3 4658.25 1/10 9:34 4623.75 0.78%
Trade id #138879099
Max drawdown($551)
Time1/10/22 9:34
Quant open3
Worst price4621.50
Drawdown as % of equity-0.78%
($521)
Includes Typical Broker Commissions trade costs of $2.82
1/2/22 18:03 @ESH2 E-MINI S&P 500 SHORT 1 4772.25 1/5 14:41 4726.75 3.05%
Trade id #138779041
Max drawdown($1,800)
Time1/4/22 0:00
Quant open1
Worst price4808.25
Drawdown as % of equity-3.05%
$2,267
Includes Typical Broker Commissions trade costs of $8.00
12/26/21 18:05 @ESH2 E-MINI S&P 500 LONG 4 4720.25 12/27 13:13 4768.25 2.78%
Trade id #138706586
Max drawdown($1,400)
Time12/27/21 2:40
Quant open4
Worst price4713.25
Drawdown as % of equity-2.78%
$9,568
Includes Typical Broker Commissions trade costs of $32.00
12/19/21 18:03 @ESH2 E-MINI S&P 500 LONG 2 4616.75 12/19 21:00 4572.25 8.2%
Trade id #138632380
Max drawdown($4,500)
Time12/19/21 21:00
Quant open2
Worst price4571.75
Drawdown as % of equity-8.20%
($4,466)
Includes Typical Broker Commissions trade costs of $16.00
12/12/21 18:02 @ESH2 E-MINI S&P 500 LONG 1 4708.25 12/13 15:56 4661.25 4.05%
Trade id #138551187
Max drawdown($2,362)
Time12/13/21 15:56
Quant open1
Worst price4661.00
Drawdown as % of equity-4.05%
($2,358)
Includes Typical Broker Commissions trade costs of $8.00
12/5/21 18:03 @ESZ1 E-MINI S&P 500 LONG 1 4546.75 12/6 12:22 4591.25 1.37%
Trade id #138464581
Max drawdown($762)
Time12/6/21 5:57
Quant open1
Worst price4531.50
Drawdown as % of equity-1.37%
$2,217
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    4/17/2021
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    404.24
  • Age
    13 months ago
  • What it trades
    Futures
  • # Trades
    58
  • # Profitable
    40
  • % Profitable
    69.00%
  • Avg trade duration
    1.6 days
  • Max peak-to-valley drawdown
    19.04%
  • drawdown period
    June 28, 2021 - Oct 11, 2021
  • Annual Return (Compounded)
    89.2%
  • Avg win
    $2,472
  • Avg loss
    $2,473
  • Model Account Values (Raw)
  • Cash
    $104,361
  • Margin Used
    $0
  • Buying Power
    $104,361
  • Ratios
  • W:L ratio
    2.22:1
  • Sharpe Ratio
    2.13
  • Sortino Ratio
    4.07
  • Calmar Ratio
    6.552
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    106.95%
  • Correlation to SP500
    0.00840
  • Return Percent SP500 (cumu) during strategy life
    -3.05%
  • Return Statistics
  • Ann Return (w trading costs)
    89.2%
  • Slump
  • Current Slump as Pcnt Equity
    5.80%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.06%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.892%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    94.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    14.50%
  • Chance of 20% account loss
    1.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    934
  • Popularity (Last 6 weeks)
    995
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    967
  • Popularity (7 days, Percentile 1000 scale)
    992
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,474
  • Avg Win
    $2,472
  • Sum Trade PL (losers)
    $44,528.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $98,891.000
  • # Winners
    40
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    6071540
  • Win / Loss
  • # Losers
    18
  • % Winners
    69.0%
  • Frequency
  • Avg Position Time (mins)
    2294.85
  • Avg Position Time (hrs)
    38.25
  • Avg Trade Length
    1.6 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    5.15
  • Daily leverage (max)
    18.73
  • Regression
  • Alpha
    0.18
  • Beta
    0.01
  • Treynor Index
    14.41
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.15
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    1.868
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.464
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.027
  • Hold-and-Hope Ratio
    0.535
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.82923
  • SD
    0.37668
  • Sharpe ratio (Glass type estimate)
    2.20140
  • Sharpe ratio (Hedges UMVUE)
    2.04721
  • df
    11.00000
  • t
    2.20140
  • p
    0.02498
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00041
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.32126
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09131
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18573
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.32114
  • Upside Potential Ratio
    10.05130
  • Upside part of mean
    1.00165
  • Downside part of mean
    -0.17242
  • Upside SD
    0.42123
  • Downside SD
    0.09965
  • N nonnegative terms
    7.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.08058
  • Mean of criterion
    0.82923
  • SD of predictor
    0.15855
  • SD of criterion
    0.37668
  • Covariance
    -0.00515
  • r
    -0.08615
  • b (slope, estimate of beta)
    -0.20467
  • a (intercept, estimate of alpha)
    0.81274
  • Mean Square Error
    0.15492
  • DF error
    10.00000
  • t(b)
    -0.27345
  • p(b)
    0.60496
  • t(a)
    2.04106
  • p(a)
    0.03426
  • Lowerbound of 95% confidence interval for beta
    -1.87242
  • Upperbound of 95% confidence interval for beta
    1.46307
  • Lowerbound of 95% confidence interval for alpha
    -0.07449
  • Upperbound of 95% confidence interval for alpha
    1.69997
  • Treynor index (mean / b)
    -4.05144
  • Jensen alpha (a)
    0.81274
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.74397
  • SD
    0.34890
  • Sharpe ratio (Glass type estimate)
    2.13231
  • Sharpe ratio (Hedges UMVUE)
    1.98296
  • df
    11.00000
  • t
    2.13231
  • p
    0.02818
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05606
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24117
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14496
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11088
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.23664
  • Upside Potential Ratio
    8.96014
  • Upside part of mean
    0.92115
  • Downside part of mean
    -0.17719
  • Upside SD
    0.38359
  • Downside SD
    0.10281
  • N nonnegative terms
    7.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.09288
  • Mean of criterion
    0.74397
  • SD of predictor
    0.16539
  • SD of criterion
    0.34890
  • Covariance
    -0.00474
  • r
    -0.08211
  • b (slope, estimate of beta)
    -0.17322
  • a (intercept, estimate of alpha)
    0.72788
  • Mean Square Error
    0.13300
  • DF error
    10.00000
  • t(b)
    -0.26054
  • p(b)
    0.60013
  • t(a)
    1.96784
  • p(a)
    0.03871
  • Lowerbound of 95% confidence interval for beta
    -1.65463
  • Upperbound of 95% confidence interval for beta
    1.30819
  • Lowerbound of 95% confidence interval for alpha
    -0.09628
  • Upperbound of 95% confidence interval for alpha
    1.55204
  • Treynor index (mean / b)
    -4.29490
  • Jensen alpha (a)
    0.72788
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09848
  • Expected Shortfall on VaR
    0.13504
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02952
  • Expected Shortfall on VaR
    0.05868
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.93241
  • Quartile 1
    0.99161
  • Median
    1.05885
  • Quartile 3
    1.17026
  • Maximum
    1.26402
  • Mean of quarter 1
    0.94890
  • Mean of quarter 2
    1.01288
  • Mean of quarter 3
    1.11500
  • Mean of quarter 4
    1.20894
  • Inter Quartile Range
    0.17865
  • 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)
    -770.06000
  • VaR(95%) (moments method)
    0.04592
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.51201
  • VaR(95%) (regression method)
    0.13789
  • Expected Shortfall (regression method)
    0.13799
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00391
  • Quartile 1
    0.01735
  • Median
    0.04286
  • Quartile 3
    0.06482
  • Maximum
    0.06758
  • Mean of quarter 1
    0.00391
  • Mean of quarter 2
    0.02183
  • Mean of quarter 3
    0.06390
  • Mean of quarter 4
    0.06758
  • Inter Quartile Range
    0.04747
  • 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)
    1.16382
  • Compounded annual return (geometric extrapolation)
    1.16382
  • Calmar ratio (compounded annual return / max draw down)
    17.22010
  • Compounded annual return / average of 25% largest draw downs
    17.22010
  • Compounded annual return / Expected Shortfall lognormal
    8.61841
  • 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
    0.72829
  • SD
    0.26470
  • Sharpe ratio (Glass type estimate)
    2.75137
  • Sharpe ratio (Hedges UMVUE)
    2.74361
  • df
    266.00000
  • t
    2.77750
  • p
    0.00293
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.79332
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70436
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78814
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69908
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.00770
  • Upside Potential Ratio
    10.32730
  • Upside part of mean
    1.50194
  • Downside part of mean
    -0.77365
  • Upside SD
    0.22512
  • Downside SD
    0.14543
  • N nonnegative terms
    89.00000
  • N negative terms
    178.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    267.00000
  • Mean of predictor
    -0.03662
  • Mean of criterion
    0.72829
  • SD of predictor
    0.18142
  • SD of criterion
    0.26470
  • Covariance
    0.00114
  • r
    0.02373
  • b (slope, estimate of beta)
    0.03463
  • a (intercept, estimate of alpha)
    0.73000
  • Mean Square Error
    0.07029
  • DF error
    265.00000
  • t(b)
    0.38643
  • p(b)
    0.34974
  • t(a)
    2.77767
  • p(a)
    0.00293
  • Lowerbound of 95% confidence interval for beta
    -0.14180
  • Upperbound of 95% confidence interval for beta
    0.21106
  • Lowerbound of 95% confidence interval for alpha
    0.21241
  • Upperbound of 95% confidence interval for alpha
    1.24671
  • Treynor index (mean / b)
    21.03280
  • Jensen alpha (a)
    0.72956
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69300
  • SD
    0.26119
  • Sharpe ratio (Glass type estimate)
    2.65326
  • Sharpe ratio (Hedges UMVUE)
    2.64578
  • df
    266.00000
  • t
    2.67846
  • p
    0.00393
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.69625
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.60539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69128
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.60027
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.67116
  • Upside Potential Ratio
    9.95860
  • Upside part of mean
    1.47742
  • Downside part of mean
    -0.78442
  • Upside SD
    0.21860
  • Downside SD
    0.14836
  • N nonnegative terms
    89.00000
  • N negative terms
    178.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    267.00000
  • Mean of predictor
    -0.05307
  • Mean of criterion
    0.69300
  • SD of predictor
    0.18194
  • SD of criterion
    0.26119
  • Covariance
    0.00121
  • r
    0.02550
  • b (slope, estimate of beta)
    0.03661
  • a (intercept, estimate of alpha)
    0.69494
  • Mean Square Error
    0.06843
  • DF error
    265.00000
  • t(b)
    0.41530
  • p(b)
    0.33913
  • t(a)
    2.68135
  • p(a)
    0.00390
  • Lowerbound of 95% confidence interval for beta
    -0.13697
  • Upperbound of 95% confidence interval for beta
    0.21019
  • Lowerbound of 95% confidence interval for alpha
    0.18463
  • Upperbound of 95% confidence interval for alpha
    1.20524
  • Treynor index (mean / b)
    18.92790
  • Jensen alpha (a)
    0.69494
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02361
  • Expected Shortfall on VaR
    0.03016
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00799
  • Expected Shortfall on VaR
    0.01721
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    267.00000
  • Minimum
    0.93096
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00701
  • Maximum
    1.12472
  • Mean of quarter 1
    0.98852
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00117
  • Mean of quarter 4
    1.02183
  • Inter Quartile Range
    0.00701
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.09738
  • Mean of outliers low
    0.97541
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.11610
  • Mean of outliers high
    1.03285
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.18686
  • VaR(95%) (moments method)
    0.00358
  • Expected Shortfall (moments method)
    0.00517
  • Extreme Value Index (regression method)
    0.13590
  • VaR(95%) (regression method)
    0.01012
  • Expected Shortfall (regression method)
    0.01907
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00142
  • Quartile 1
    0.01183
  • Median
    0.02606
  • Quartile 3
    0.04392
  • Maximum
    0.16121
  • Mean of quarter 1
    0.00566
  • Mean of quarter 2
    0.01909
  • Mean of quarter 3
    0.03468
  • Mean of quarter 4
    0.08917
  • Inter Quartile Range
    0.03209
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.13150
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.15292
  • VaR(95%) (moments method)
    0.09807
  • Expected Shortfall (moments method)
    0.14605
  • Extreme Value Index (regression method)
    1.30227
  • VaR(95%) (regression method)
    0.13289
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.06446
  • Compounded annual return (geometric extrapolation)
    1.05629
  • Calmar ratio (compounded annual return / max draw down)
    6.55211
  • Compounded annual return / average of 25% largest draw downs
    11.84600
  • Compounded annual return / Expected Shortfall lognormal
    35.02610
  • 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
    0.91912
  • SD
    0.30225
  • Sharpe ratio (Glass type estimate)
    3.04094
  • Sharpe ratio (Hedges UMVUE)
    3.02336
  • df
    130.00000
  • t
    2.15027
  • p
    0.40734
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23900
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.83156
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22730
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.81942
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.95453
  • Upside Potential Ratio
    10.38330
  • Upside part of mean
    1.60273
  • Downside part of mean
    -0.68360
  • Upside SD
    0.26468
  • Downside SD
    0.15436
  • N nonnegative terms
    38.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.29542
  • Mean of criterion
    0.91912
  • SD of predictor
    0.23184
  • SD of criterion
    0.30225
  • Covariance
    -0.00201
  • r
    -0.02869
  • b (slope, estimate of beta)
    -0.03741
  • a (intercept, estimate of alpha)
    0.90807
  • Mean Square Error
    0.09199
  • DF error
    129.00000
  • t(b)
    -0.32601
  • p(b)
    0.51826
  • t(a)
    2.11052
  • p(a)
    0.38434
  • Lowerbound of 95% confidence interval for beta
    -0.26441
  • Upperbound of 95% confidence interval for beta
    0.18960
  • Lowerbound of 95% confidence interval for alpha
    0.05679
  • Upperbound of 95% confidence interval for alpha
    1.75935
  • Treynor index (mean / b)
    -24.57190
  • Jensen alpha (a)
    0.90807
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.87334
  • SD
    0.29661
  • Sharpe ratio (Glass type estimate)
    2.94446
  • Sharpe ratio (Hedges UMVUE)
    2.92744
  • df
    130.00000
  • t
    2.08204
  • p
    0.41018
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14416
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.73368
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13288
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.72199
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.52110
  • Upside Potential Ratio
    9.92005
  • Upside part of mean
    1.56918
  • Downside part of mean
    -0.69584
  • Upside SD
    0.25533
  • Downside SD
    0.15818
  • N nonnegative terms
    38.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.32235
  • Mean of criterion
    0.87334
  • SD of predictor
    0.23254
  • SD of criterion
    0.29661
  • Covariance
    -0.00193
  • r
    -0.02801
  • b (slope, estimate of beta)
    -0.03573
  • a (intercept, estimate of alpha)
    0.86182
  • Mean Square Error
    0.08859
  • DF error
    129.00000
  • t(b)
    -0.31828
  • p(b)
    0.51783
  • t(a)
    2.03995
  • p(a)
    0.38805
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.25784
  • Upperbound of 95% confidence interval for beta
    0.18638
  • Lowerbound of 95% confidence interval for alpha
    0.02595
  • Upperbound of 95% confidence interval for alpha
    1.69770
  • Treynor index (mean / b)
    -24.44290
  • Jensen alpha (a)
    0.86182
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02645
  • Expected Shortfall on VaR
    0.03386
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00732
  • Expected Shortfall on VaR
    0.01615
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93096
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00474
  • Maximum
    1.12472
  • Mean of quarter 1
    0.98994
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00033
  • Mean of quarter 4
    1.02408
  • Inter Quartile Range
    0.00474
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.97400
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.16794
  • Mean of outliers high
    1.03202
  • 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)
    0.50568
  • VaR(95%) (regression method)
    0.00558
  • Expected Shortfall (regression method)
    0.01936
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00244
  • Quartile 1
    0.01032
  • Median
    0.02895
  • Quartile 3
    0.04053
  • Maximum
    0.10179
  • Mean of quarter 1
    0.00707
  • Mean of quarter 2
    0.02606
  • Mean of quarter 3
    0.03755
  • Mean of quarter 4
    0.07342
  • Inter Quartile Range
    0.03022
  • 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
    0.11111
  • Mean of outliers high
    0.10179
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.22041
  • VaR(95%) (moments method)
    0.07727
  • Expected Shortfall (moments method)
    0.11435
  • Extreme Value Index (regression method)
    2.65096
  • VaR(95%) (regression method)
    0.17381
  • 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?
    -337292000
  • Max Equity Drawdown (num days)
    105
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.13858
  • Compounded annual return (geometric extrapolation)
    1.46267
  • Calmar ratio (compounded annual return / max draw down)
    14.36910
  • Compounded annual return / average of 25% largest draw downs
    19.92160
  • Compounded annual return / Expected Shortfall lognormal
    43.20410

Strategy Description

[Published on 30 April 2022]
Dear Fellow Investors. Firstly, thank you to all Investors who have subscribed to my strategy. I am privileged to be followed by USD$13,240,500 in Investor capital, a 202.3% increase over the past month (excluding my funds). Also, thank you to the fellow Investor who took the time to leave a thoughtful review; very much appreciated.

The strategies I manage have over 22 years of development and continue to be a work-in-progress. I am delighted with the strategy's year to date and annualized performance. Equally good is the strategy's very low correlation to the S&P500 and its C2 top percentage ranking and C2 Leader Board ranking (as published by C2). The strategy continues showing signs of improving with each week's new dataset.

COMMUNICATION
As a subscriber, you will receive three regular messages each week: a WELCOME MESSAGE, a POSITION SIZING MESSAGE (a must-read), and a WEEKLY TRADE CLOSE MESSAGE (also a must-read). You will also receive occasional strategy development updates and observation messages. Hopefully, you will find these messages interesting and please understand that none of these general messages is personal advice.

STRATEGY
The Stella Capital 500 Plus strategy trades long or short positions in futures markets using the ES e-mini futures contract. The strategy is suitable for account balances above USD$100,000. For account balances under USD$10,000, please see the Stella Capital 50 Plus strategy (https://collective2.com/details/135195328).

Stops and Targets cover all trades. My strategy goals are to limit uncontrolled drawdowns and consecutive losses and maximize successive wins.

POSITION SIZING
Position sizing is a significant risk/cash management element of the strategy's performance, which can vary in the weekly position sizing message as follows:

1X (most weeks)
Position sizing is ONE ES e-mini futures contract per $100,000 in the account balance, risking approximately $2,500 per position sizing/trade.

2X (some weeks)
Position sizing is TWO ES e-mini futures contracts per USD$100,000 in the account balance, risking approximately $5,000 per position sizing/trade.

3X (rarely)
Position sizing is THREE ES e-mini futures contracts per USD$100,000 in the account balance, risking approximately $7,500 per position sizing/trade.

Please understand that keeping the position size to 1X is considered more conservative.

HISTORY
The Manager has traded the strategy since December 2019 and with their funds for most of this time. Further note that the results published by C2 for October 2021 to date reflect trades undertaken by the Manager through their broker. The prior months' results do not reflect the Manager's actual results as the Manager was inconsistently entering trades into C2 from April to September 2021.

NOTE: C2 have not verified the following statistics, and they are to be considered hypothetical. Furthermore, historical or back-tested results are no indication or guarantee of future results.

Since December 2019, the maximum straight losses have been three in a row, which happened three times. Versus three consecutive wins in a row, which have happened six times over the same period.

The Manager's consecutive winning and losing weeks statistics since December 2019 are:
2 weeks in a row: Winning = 7 times (Losing = 6 times or 28.57% of all losing trades)
3 weeks in a row: Winning = 6 times (Losing = 3 times or 21.43% of all losing trades)
4 weeks in a row: Winning = 2 times (Losing = 0 times)
5 weeks in a row: Winning = 2 times (Losing = 0 times)
6 weeks in a row: Winning = 0 times (Losing = 0 times)
7 weeks in a row: Winning = 2 times (Losing = 0 times)
8 weeks in a row: Winning = 0 times (Losing = 0 times)
9 weeks in a row: Winning = 1 times (Losing = 0 times)

Historically 50% of all losing trades are followed by a winning trade the next week, while a losing trade follows 13.1% of all winning trades.

The strategy has a low correlation to the "Bull Market Effect", with 63.64% of short trades winning versus 69.01% of long trades winning since December 2019. Therefore, the strategy should perform well in both bull and bear markets.

Thank you for your interest and prosperous trading!

IMPORTANT NOTICES
Though the above information was current when published, it does change daily. The Manager does not assume any responsibility for keeping the above information updated.

The Manager has not verified and does not assume responsibility for any simulated or hypothetical performance results published by C2. The Manager does not make any representations or warranties regarding their accuracy, fairness, or completeness.

By subscribing to the C2 platform and copying the Manager's strategy, you acknowledge that:
(1) You have read and understood the essential notices published on the C2 website and at the bottom of the strategy description page;
(2) The Manager does not provide individual advice to Investors, and nothing the Manager publishes is considered personal advice or is acted on by you as individual advice;
(3) You are trading with money you can afford to lose and that you have received individual professional advice regarding the appropriateness to your circumstances of subscribing to the C2 platform and copying the Manager's strategy;
(4) The Manager does not assume any responsibility for any risks or losses you sustain by subscribing to the C2 platform or copying the Manager's strategy; and
(5) The Manager is publishing non-personalized information via the C2 website, which you can choose to act upon or not.

Please read the important notices posted on the C2 website and at the bottom of this strategy description page.

Summary Statistics

Strategy began
2021-04-17
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 3.3%
Rank # 
#26
# Trades
58
# Profitable
40
% Profitable
69.0%
Correlation S&P500
0.008
Sharpe Ratio
2.13
Sortino Ratio
4.07
Beta
0.01
Alpha
0.18
Leverage
5.15 Average
18.73 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

#PERSONNAME#
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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If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.