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Safe Commodity Strategy
(133697467)

Created by: AlgoLabs AlgoLabs
Started: 01/2021
Futures
Last trade: Today
Trading style: Futures Commodities

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
9.6%
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.

(2.8%)
Max Drawdown
45
Num Trades
100.0%
Win Trades
- : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021(0.1%)(0.1%)+2.1%+0.6%+2.0%+4.6%+0.3%                              +9.6%

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 20 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
7/16/21 10:25 @CCZ1 COCOA LONG 1 2391 7/26 5:20 2396 0.95%
Trade id #136528377
Max drawdown($1,030)
Time7/20/21 0:00
Quant open1
Worst price2288
Drawdown as % of equity-0.95%
$42
Includes Typical Broker Commissions trade costs of $8.00
7/6/21 11:52 @WZ1 WHEAT LONG 1 629 1/4 7/6 13:39 632 0.19%
Trade id #136345818
Max drawdown($212)
Time7/6/21 12:37
Quant open1
Worst price625
Drawdown as % of equity-0.19%
$130
Includes Typical Broker Commissions trade costs of $8.00
7/2/21 10:04 @CCZ1 COCOA LONG 1 2376 7/6 4:45 2389 0.1%
Trade id #136305925
Max drawdown($109)
Time7/2/21 11:46
Quant open1
Worst price2365
Drawdown as % of equity-0.10%
$123
Includes Typical Broker Commissions trade costs of $8.00
7/1/21 11:14 @CCZ1 COCOA LONG 1 2408 7/2 5:09 2415 0.3%
Trade id #136287478
Max drawdown($330)
Time7/2/21 0:00
Quant open1
Worst price2375
Drawdown as % of equity-0.30%
$63
Includes Typical Broker Commissions trade costs of $8.00
6/29/21 12:05 @WU1 WHEAT LONG 1 647 6/30 12:01 668 1/4 0.68%
Trade id #136252979
Max drawdown($737)
Time6/30/21 9:36
Quant open1
Worst price632 1/4
Drawdown as % of equity-0.68%
$1,055
Includes Typical Broker Commissions trade costs of $8.00
6/29/21 4:49 @WU1 WHEAT LONG 1 647 3/4 6/29 9:34 654 0.09%
Trade id #136242788
Max drawdown($100)
Time6/29/21 5:07
Quant open1
Worst price645 3/4
Drawdown as % of equity-0.09%
$305
Includes Typical Broker Commissions trade costs of $8.00
6/25/21 9:36 @WU1 WHEAT LONG 1 646 3/4 6/27 23:38 648 1/4 0.45%
Trade id #136208419
Max drawdown($487)
Time6/25/21 10:15
Quant open1
Worst price637
Drawdown as % of equity-0.45%
$66
Includes Typical Broker Commissions trade costs of $8.00
6/23/21 9:09 @CCZ1 COCOA LONG 1 2416 6/25 10:29 2430 0.31%
Trade id #136173314
Max drawdown($330)
Time6/24/21 0:00
Quant open1
Worst price2383
Drawdown as % of equity-0.31%
$137
Includes Typical Broker Commissions trade costs of $8.00
6/22/21 10:10 @WU1 WHEAT LONG 1 662 2/4 6/22 11:00 665 0.12%
Trade id #136159799
Max drawdown($125)
Time6/22/21 10:31
Quant open1
Worst price660
Drawdown as % of equity-0.12%
$117
Includes Typical Broker Commissions trade costs of $8.00
6/21/21 9:30 @WU1 WHEAT LONG 1 649 2/4 6/21 9:59 659 2/4 n/a $492
Includes Typical Broker Commissions trade costs of $8.00
6/18/21 11:19 @CCZ1 COCOA LONG 1 2416 6/21 5:49 2431 0.03%
Trade id #136116683
Max drawdown($30)
Time6/21/21 4:45
Quant open1
Worst price2413
Drawdown as % of equity-0.03%
$142
Includes Typical Broker Commissions trade costs of $8.00
6/16/21 20:20 @WU1 WHEAT LONG 1 665 6/18 11:56 666 1.16%
Trade id #136086726
Max drawdown($1,237)
Time6/17/21 0:00
Quant open1
Worst price640 1/4
Drawdown as % of equity-1.16%
$42
Includes Typical Broker Commissions trade costs of $8.00
6/17/21 8:00 @CCU1 COCOA LONG 1 2392 6/17 10:43 2407 0.21%
Trade id #136091525
Max drawdown($220)
Time6/17/21 9:29
Quant open1
Worst price2370
Drawdown as % of equity-0.21%
$142
Includes Typical Broker Commissions trade costs of $8.00
6/16/21 9:34 @CCU1 COCOA LONG 1 2402 6/16 10:11 2417 0.06%
Trade id #136076133
Max drawdown($60)
Time6/16/21 9:41
Quant open1
Worst price2396
Drawdown as % of equity-0.06%
$142
Includes Typical Broker Commissions trade costs of $8.00
6/15/21 7:41 @WU1 WHEAT LONG 1 663 6/15 13:44 668 1/4 0.41%
Trade id #136058803
Max drawdown($437)
Time6/15/21 10:32
Quant open1
Worst price654 1/4
Drawdown as % of equity-0.41%
$255
Includes Typical Broker Commissions trade costs of $8.00
6/11/21 12:57 @WU1 WHEAT LONG 1 682 6/14 11:40 683 1/4 0.94%
Trade id #136026746
Max drawdown($1,000)
Time6/14/21 9:30
Quant open1
Worst price662
Drawdown as % of equity-0.94%
$55
Includes Typical Broker Commissions trade costs of $8.00
6/11/21 11:11 @CCU1 COCOA LONG 1 2391 6/11 13:07 2406 n/a $142
Includes Typical Broker Commissions trade costs of $8.00
6/11/21 7:58 @WU1 WHEAT LONG 1 682 6/11 11:31 688 3/4 0.31%
Trade id #136018097
Max drawdown($325)
Time6/11/21 9:43
Quant open1
Worst price675 2/4
Drawdown as % of equity-0.31%
$330
Includes Typical Broker Commissions trade costs of $8.00
6/10/21 12:11 @WU1 WHEAT LONG 1 681 2/4 6/10 12:24 686 3/4 0.05%
Trade id #136006758
Max drawdown($50)
Time6/10/21 12:14
Quant open1
Worst price680 2/4
Drawdown as % of equity-0.05%
$255
Includes Typical Broker Commissions trade costs of $8.00
6/10/21 6:29 @WU1 WHEAT LONG 1 681 1/4 6/10 9:56 685 3/4 0.09%
Trade id #135997514
Max drawdown($100)
Time6/10/21 9:31
Quant open1
Worst price679 1/4
Drawdown as % of equity-0.09%
$217
Includes Typical Broker Commissions trade costs of $8.00
6/9/21 11:25 @WU1 WHEAT LONG 1 681 1/4 6/9 12:41 686 2/4 0.05%
Trade id #135987441
Max drawdown($50)
Time6/9/21 11:28
Quant open1
Worst price680 1/4
Drawdown as % of equity-0.05%
$255
Includes Typical Broker Commissions trade costs of $8.00
6/9/21 7:30 @WU1 WHEAT LONG 1 681 6/9 9:50 688 1/4 0.07%
Trade id #135976206
Max drawdown($75)
Time6/9/21 9:31
Quant open1
Worst price679 2/4
Drawdown as % of equity-0.07%
$355
Includes Typical Broker Commissions trade costs of $8.00
6/7/21 8:08 @CCU1 COCOA LONG 1 2417 6/8 12:35 2420 0.21%
Trade id #135935133
Max drawdown($220)
Time6/8/21 8:07
Quant open1
Worst price2395
Drawdown as % of equity-0.21%
$22
Includes Typical Broker Commissions trade costs of $8.00
6/3/21 11:56 @CCU1 COCOA LONG 1 2449 6/4 10:18 2464 0.21%
Trade id #135892486
Max drawdown($220)
Time6/4/21 8:04
Quant open1
Worst price2427
Drawdown as % of equity-0.21%
$142
Includes Typical Broker Commissions trade costs of $8.00
6/3/21 12:43 @WU1 WHEAT LONG 1 678 3/4 6/4 3:41 684 1/4 0.23%
Trade id #135893227
Max drawdown($237)
Time6/3/21 13:09
Quant open1
Worst price674
Drawdown as % of equity-0.23%
$267
Includes Typical Broker Commissions trade costs of $8.00
5/28/21 11:47 @WU1 WHEAT LONG 1 671 5/31 20:00 676 3/4 0.22%
Trade id #135823629
Max drawdown($225)
Time5/28/21 14:14
Quant open1
Worst price666 2/4
Drawdown as % of equity-0.22%
$280
Includes Typical Broker Commissions trade costs of $8.00
5/28/21 9:30 @WU1 WHEAT LONG 1 665 3/4 5/28 11:24 676 1/4 0.01%
Trade id #135818689
Max drawdown($12)
Time5/28/21 9:45
Quant open1
Worst price665 2/4
Drawdown as % of equity-0.01%
$517
Includes Typical Broker Commissions trade costs of $8.00
5/24/21 10:38 @CCU1 COCOA LONG 1 2459 5/27 11:06 2474 0.37%
Trade id #135747547
Max drawdown($380)
Time5/25/21 0:00
Quant open1
Worst price2421
Drawdown as % of equity-0.37%
$142
Includes Typical Broker Commissions trade costs of $8.00
5/25/21 9:40 @WU1 WHEAT LONG 1 662 2/4 5/27 7:16 663 2/4 0.96%
Trade id #135763546
Max drawdown($987)
Time5/26/21 0:00
Quant open1
Worst price642 3/4
Drawdown as % of equity-0.96%
$42
Includes Typical Broker Commissions trade costs of $8.00
5/23/21 20:10 @WU1 WHEAT LONG 1 667 3/4 5/24 12:57 669 1/4 0.56%
Trade id #135737914
Max drawdown($575)
Time5/24/21 9:30
Quant open1
Worst price656 1/4
Drawdown as % of equity-0.56%
$67
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    1/29/2021
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    178.39
  • Age
    178 days ago
  • What it trades
    Futures
  • # Trades
    45
  • # Profitable
    45
  • % Profitable
    100.00%
  • Avg trade duration
    1.4 days
  • Max peak-to-valley drawdown
    2.77%
  • drawdown period
    March 24, 2021 - March 31, 2021
  • Cumul. Return
    9.6%
  • Avg win
    $240.76
  • Avg loss
    $0.00
  • Model Account Values (Raw)
  • Cash
    $110,834
  • Margin Used
    $0
  • Buying Power
    $110,834
  • Ratios
  • W:L ratio
    -
  • Sharpe Ratio
    2.85
  • Sortino Ratio
    9.1
  • Calmar Ratio
    25.788
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -9.42%
  • Correlation to SP500
    0.15880
  • Return Percent SP500 (cumu) during strategy life
    18.84%
  • Return Statistics
  • Ann Return (w trading costs)
    20.3%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.096%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.3%
  • 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 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
    96.94%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    818
  • Popularity (Last 6 weeks)
    989
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    988
  • Popularity (7 days, Percentile 1000 scale)
    892
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $0
  • Avg Win
    $241
  • Sum Trade PL (losers)
    $0.000
  • AUM
  • AUM (AutoTrader num accounts)
    5
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $10,834.000
  • # Winners
    45
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    552230
  • Win / Loss
  • # Losers
    0
  • % Winners
    100.0%
  • Frequency
  • Avg Position Time (mins)
    2002.82
  • Avg Position Time (hrs)
    33.38
  • Avg Trade Length
    1.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.33
  • Daily leverage (max)
    1.55
  • Regression
  • Alpha
    0.04
  • Beta
    0.06
  • Treynor Index
    0.78
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.92
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    -
  • Avg(MAE) / Avg(PL) - All trades
    1.574
  • 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
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    1.574
  • Avg(MAE) / Avg(PL) - Losing trades
    -
  • Hold-and-Hope Ratio
    0.635
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21701
  • SD
    0.06484
  • Sharpe ratio (Glass type estimate)
    3.34667
  • Sharpe ratio (Hedges UMVUE)
    2.67025
  • df
    4.00000
  • t
    2.16026
  • p
    0.04843
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54691
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.99517
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88549
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.22600
  • Statistics related to Sortino ratio
  • Sortino ratio
    60.16420
  • Upside Potential Ratio
    61.71340
  • Upside part of mean
    0.22260
  • Downside part of mean
    -0.00559
  • Upside SD
    0.08529
  • Downside SD
    0.00361
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.35503
  • Mean of criterion
    0.21701
  • SD of predictor
    0.05977
  • SD of criterion
    0.06484
  • Covariance
    -0.00081
  • r
    -0.20862
  • b (slope, estimate of beta)
    -0.22633
  • a (intercept, estimate of alpha)
    0.29736
  • Mean Square Error
    0.00536
  • DF error
    3.00000
  • t(b)
    -0.36947
  • p(b)
    0.63184
  • t(a)
    1.21229
  • p(a)
    0.15608
  • Lowerbound of 95% confidence interval for beta
    -2.17584
  • Upperbound of 95% confidence interval for beta
    1.72317
  • Lowerbound of 95% confidence interval for alpha
    -0.48327
  • Upperbound of 95% confidence interval for alpha
    1.07800
  • Treynor index (mean / b)
    -0.95881
  • Jensen alpha (a)
    0.29736
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21297
  • SD
    0.06338
  • Sharpe ratio (Glass type estimate)
    3.36041
  • Sharpe ratio (Hedges UMVUE)
    2.68122
  • df
    4.00000
  • t
    2.16913
  • p
    0.04795
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53875
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.01422
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87848
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.24092
  • Statistics related to Sortino ratio
  • Sortino ratio
    59.11190
  • Upside Potential Ratio
    60.66110
  • Upside part of mean
    0.21855
  • Downside part of mean
    -0.00558
  • Upside SD
    0.08354
  • Downside SD
    0.00360
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.34773
  • Mean of criterion
    0.21297
  • SD of predictor
    0.05808
  • SD of criterion
    0.06338
  • Covariance
    -0.00077
  • r
    -0.21003
  • b (slope, estimate of beta)
    -0.22919
  • a (intercept, estimate of alpha)
    0.29266
  • Mean Square Error
    0.00512
  • DF error
    3.00000
  • t(b)
    -0.37209
  • p(b)
    0.63272
  • t(a)
    1.21353
  • p(a)
    0.15588
  • Lowerbound of 95% confidence interval for beta
    -2.18944
  • Upperbound of 95% confidence interval for beta
    1.73106
  • Lowerbound of 95% confidence interval for alpha
    -0.47484
  • Upperbound of 95% confidence interval for alpha
    1.06017
  • Treynor index (mean / b)
    -0.92922
  • Jensen alpha (a)
    0.29266
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01227
  • Expected Shortfall on VaR
    0.01977
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00053
  • Expected Shortfall on VaR
    0.00131
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00573
  • Median
    1.02265
  • Quartile 3
    1.02625
  • Maximum
    1.04744
  • Mean of quarter 1
    1.00286
  • Mean of quarter 2
    1.02265
  • Mean of quarter 3
    1.02625
  • Mean of quarter 4
    1.04744
  • Inter Quartile Range
    0.02052
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    0.25338
  • Compounded annual return (geometric extrapolation)
    0.27236
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    13.77730
  • 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
    0.19118
  • SD
    0.05017
  • Sharpe ratio (Glass type estimate)
    3.81037
  • Sharpe ratio (Hedges UMVUE)
    3.78689
  • df
    122.00000
  • t
    2.61077
  • p
    0.38499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.90273
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.70295
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88717
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.68661
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.83210
  • Upside Potential Ratio
    20.16570
  • Upside part of mean
    0.27872
  • Downside part of mean
    -0.08754
  • Upside SD
    0.04945
  • Downside SD
    0.01382
  • N nonnegative terms
    43.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    123.00000
  • Mean of predictor
    0.35304
  • Mean of criterion
    0.19118
  • SD of predictor
    0.13497
  • SD of criterion
    0.05017
  • Covariance
    0.00120
  • r
    0.17739
  • b (slope, estimate of beta)
    0.06594
  • a (intercept, estimate of alpha)
    0.16800
  • Mean Square Error
    0.00246
  • DF error
    121.00000
  • t(b)
    1.98271
  • p(b)
    0.38767
  • t(a)
    2.29030
  • p(a)
    0.37114
  • Lowerbound of 95% confidence interval for beta
    0.00010
  • Upperbound of 95% confidence interval for beta
    0.13178
  • Lowerbound of 95% confidence interval for alpha
    0.02277
  • Upperbound of 95% confidence interval for alpha
    0.31304
  • Treynor index (mean / b)
    2.89929
  • Jensen alpha (a)
    0.16790
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18986
  • SD
    0.04975
  • Sharpe ratio (Glass type estimate)
    3.81617
  • Sharpe ratio (Hedges UMVUE)
    3.79266
  • df
    122.00000
  • t
    2.61475
  • p
    0.38482
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.90842
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.70881
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89282
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.69250
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.71550
  • Upside Potential Ratio
    20.04570
  • Upside part of mean
    0.27748
  • Downside part of mean
    -0.08763
  • Upside SD
    0.04900
  • Downside SD
    0.01384
  • N nonnegative terms
    43.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    123.00000
  • Mean of predictor
    0.34376
  • Mean of criterion
    0.18986
  • SD of predictor
    0.13467
  • SD of criterion
    0.04975
  • Covariance
    0.00120
  • r
    0.17840
  • b (slope, estimate of beta)
    0.06591
  • a (intercept, estimate of alpha)
    0.16720
  • Mean Square Error
    0.00242
  • DF error
    121.00000
  • t(b)
    1.99442
  • p(b)
    0.38703
  • t(a)
    2.30197
  • p(a)
    0.37052
  • Lowerbound of 95% confidence interval for beta
    0.00048
  • Upperbound of 95% confidence interval for beta
    0.13133
  • Lowerbound of 95% confidence interval for alpha
    0.02340
  • Upperbound of 95% confidence interval for alpha
    0.31100
  • Treynor index (mean / b)
    2.88067
  • Jensen alpha (a)
    0.16720
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00432
  • Expected Shortfall on VaR
    0.00560
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00090
  • Expected Shortfall on VaR
    0.00185
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    123.00000
  • Minimum
    0.99540
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00128
  • Maximum
    1.02653
  • Mean of quarter 1
    0.99895
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00030
  • Mean of quarter 4
    1.00408
  • Inter Quartile Range
    0.00128
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04878
  • Mean of outliers low
    0.99676
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.10569
  • Mean of outliers high
    1.00702
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08032
  • VaR(95%) (moments method)
    0.00149
  • Expected Shortfall (moments method)
    0.00231
  • Extreme Value Index (regression method)
    0.07264
  • VaR(95%) (regression method)
    0.00166
  • Expected Shortfall (regression method)
    0.00266
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00039
  • Median
    0.00177
  • Quartile 3
    0.00379
  • Maximum
    0.00943
  • Mean of quarter 1
    0.00024
  • Mean of quarter 2
    0.00157
  • Mean of quarter 3
    0.00281
  • Mean of quarter 4
    0.00884
  • Inter Quartile Range
    0.00340
  • 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
    0.00943
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -78.22570
  • VaR(95%) (moments method)
    0.00703
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.91490
  • VaR(95%) (regression method)
    0.01372
  • Expected Shortfall (regression method)
    0.01376
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22929
  • Compounded annual return (geometric extrapolation)
    0.24330
  • Calmar ratio (compounded annual return / max draw down)
    25.78820
  • Compounded annual return / average of 25% largest draw downs
    27.51390
  • Compounded annual return / Expected Shortfall lognormal
    43.45350
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.00400
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -342296000
  • Max Equity Drawdown (num days)
    7

Strategy Description

Location: Malta, EU
Experience In Markets: 22 years
Preferred Markets: Commodity Futures
Sharpe Ratio > 1.5

Description:
We have created several models of automatic futures trading in the market. We trade with several brokers on a real account, we show a yield of about 4-6% per month.

At the beginning of this year, we decided to limit our model, reduce risks and profitability, and put the bot on C2.

Please note also, that it is results from automated decision making, automated order creation, delivery, and execution. Risk concentration and risk management are also a part of our model DNA. We use cross-validation of data from our model, our risk management, and the risk management of the broker.
At each given moment of time system observes the market for gold and recalculates 8 different parameters in 4 types of deviations.

Summary Statistics

Strategy began
2021-01-29
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 1.2%
Rank # 
#9
# Trades
45
# Profitable
45
% Profitable
100.0%
Correlation S&P500
0.159
Sharpe Ratio
2.85
Sortino Ratio
9.10
Beta
0.06
Alpha
0.04
Leverage
0.33 Average
1.55 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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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.