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Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Crystal Ball 1
(145180098)

Created by: steve_pool steve_pool
Started: 07/2023
Futures, Forex
Last trade: 6 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 $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.

-2.4%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(49.9%)
Max Drawdown
109
Num Trades
37.6%
Win Trades
1.0 : 1
Profit Factor
40.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                          (9.8%)+8.3%+45.2%(18.1%)+8.8%(13.8%)+8.8%
2024(21%)+23.6%(2.7%)(5.5%)                                                (10.3%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/10/24 9:06 @CN4 CORN SHORT 15 443 4/22 13:03 449 3/4 4.18%
Trade id #147857713
Max drawdown($6,187)
Time4/22/24 11:34
Quant open15
Worst price451 1/4
Drawdown as % of equity-4.18%
 ($5,183)
Includes Typical Broker Commissions trade costs of $120.00
3/12/24 9:30 UWM PROSHARES ULTRA RUSSELL2000 LONG 1,000 38.89 4/2 11:06 38.54 1.63%
Trade id #147604819
Max drawdown($2,110)
Time3/19/24 0:00
Quant open1,000
Worst price36.78
Drawdown as % of equity-1.63%
 ($355)
Includes Typical Broker Commissions trade costs of $5.00
3/4/24 10:06 @RTYM4 Russell 2000 CME LONG 2 2113.20 4/2 11:06 2083.70 6.23%
Trade id #147527931
Max drawdown($8,070)
Time3/19/24 0:00
Quant open2
Worst price2032.50
Drawdown as % of equity-6.23%
 ($2,966)
Includes Typical Broker Commissions trade costs of $16.00
1/26/24 11:06 @LEJ4 LIVE CATTLE LONG 10 181.825 3/26 10:04 184.950 5.38%
Trade id #147134608
Max drawdown($5,600)
Time1/30/24 0:00
Quant open10
Worst price180.425
Drawdown as % of equity-5.38%
 $12,420
Includes Typical Broker Commissions trade costs of $80.00
2/26/24 21:29 @EUH4 EUROFX LONG 10 1.08590 3/14 20:13 1.08790 5.51%
Trade id #147456938
Max drawdown($7,062)
Time2/29/24 0:00
Quant open10
Worst price1.08025
Drawdown as % of equity-5.51%
 $2,420
Includes Typical Broker Commissions trade costs of $80.00
1/26/24 12:01 @HEJ4 LEAN HOGS LONG 10 84.037 3/11 9:30 84.450 14.96%
Trade id #147135918
Max drawdown($17,450)
Time2/8/24 0:00
Quant open10
Worst price79.675
Drawdown as % of equity-14.96%
 $1,570
Includes Typical Broker Commissions trade costs of $80.00
3/1/24 8:48 @OJK4 Orange Juice LONG 2 354.35 3/11 8:00 353.15 0.84%
Trade id #147510645
Max drawdown($1,260)
Time3/4/24 0:00
Quant open2
Worst price350.15
Drawdown as % of equity-0.84%
 ($376)
Includes Typical Broker Commissions trade costs of $16.00
1/30/24 9:15 @OJH4 Orange Juice LONG 3 339.90 3/1 8:48 348.87 0.7%
Trade id #147165589
Max drawdown($697)
Time1/30/24 9:34
Quant open3
Worst price338.35
Drawdown as % of equity-0.70%
 $4,011
Includes Typical Broker Commissions trade costs of $24.00
2/26/24 7:09 @EUH4 EUROFX LONG 10 1.08635 2/26 21:25 1.08580 1.28%
Trade id #147448423
Max drawdown($1,937)
Time2/26/24 10:10
Quant open10
Worst price1.08480
Drawdown as % of equity-1.28%
 ($768)
Includes Typical Broker Commissions trade costs of $80.00
2/25/24 17:59 EUR/TRY EUR/TRY LONG 50 33.78887 2/25 18:01 33.66242 1.33%
Trade id #147445745
Max drawdown($2,034)
Time2/25/24 18:01
Quant open50
Worst price33.66240
Drawdown as % of equity-1.33%
 ($2,034)
2/16/24 5:19 EUR/TRY EUR/TRY LONG 50 33.18140 2/25 17:15 33.63169 1.24%
Trade id #147352606
Max drawdown($1,583)
Time2/16/24 8:39
Quant open50
Worst price33.08290
Drawdown as % of equity-1.24%
 $7,240
2/19/24 10:00 @LBRH4 Lumber LONG 5 567.50 2/20 14:07 556.50 1.09%
Trade id #147369655
Max drawdown($1,512)
Time2/20/24 0:00
Quant open5
Worst price556.50
Drawdown as % of equity-1.09%
 ($1,553)
Includes Typical Broker Commissions trade costs of $40.00
1/23/24 14:09 @LBRH4 Lumber LONG 5 564 2/1 10:16 559.50 0.75%
Trade id #147105418
Max drawdown($825)
Time1/31/24 0:00
Quant open5
Worst price558
Drawdown as % of equity-0.75%
 ($659)
Includes Typical Broker Commissions trade costs of $40.00
1/24/24 16:58 @EUH4 EUROFX SHORT 10 1.09075 1/31 8:56 1.08771 2.01%
Trade id #147120710
Max drawdown($2,250)
Time1/25/24 0:00
Quant open10
Worst price1.09255
Drawdown as % of equity-2.01%
 $3,720
Includes Typical Broker Commissions trade costs of $80.00
1/10/24 8:00 @OJH4 Orange Juice SHORT 3 302.15 1/30 9:15 339.90 18.61%
Trade id #146961206
Max drawdown($19,147)
Time1/30/24 8:01
Quant open3
Worst price344.70
Drawdown as % of equity-18.61%
 ($17,012)
Includes Typical Broker Commissions trade costs of $24.00
1/16/24 17:22 EUR/USD EUR/USD SHORT 100 1.08733 1/24 10:34 1.09030 5.47%
Trade id #147019789
Max drawdown($5,900)
Time1/24/24 9:30
Quant open100
Worst price1.09323
Drawdown as % of equity-5.47%
 ($2,970)
1/10/24 19:07 @JYH4 JAPANESE YEN SHORT 3 0.006934 1/24 9:56 0.006856 2.17%
Trade id #146969083
Max drawdown($2,418)
Time1/12/24 0:00
Quant open3
Worst price0.006999
Drawdown as % of equity-2.17%
 $2,920
Includes Typical Broker Commissions trade costs of $24.00
1/16/24 13:36 @LBRH4 Lumber SHORT 10 551.75 1/22 10:00 550 0.4%
Trade id #147016609
Max drawdown($481)
Time1/19/24 0:00
Quant open10
Worst price553.50
Drawdown as % of equity-0.40%
 $401
Includes Typical Broker Commissions trade costs of $80.00
1/10/24 9:30 @JYH4 JAPANESE YEN LONG 3 0.006955 1/10 19:07 0.006934 0.88%
Trade id #146961801
Max drawdown($1,031)
Time1/10/24 18:43
Quant open3
Worst price0.006928
Drawdown as % of equity-0.88%
 ($812)
Includes Typical Broker Commissions trade costs of $24.00
1/10/24 7:10 @KCH4 COFFEE SHORT 5 182.95 1/10 7:20 183.35 0.73%
Trade id #146961027
Max drawdown($843)
Time1/10/24 7:19
Quant open5
Worst price183.40
Drawdown as % of equity-0.73%
 ($790)
Includes Typical Broker Commissions trade costs of $40.00
1/5/24 7:36 @EUH4 EUROFX SHORT 15 1.09475 1/5 13:55 1.09855 13.33%
Trade id #146914149
Max drawdown($15,656)
Time1/5/24 10:11
Quant open15
Worst price1.10310
Drawdown as % of equity-13.33%
 ($7,245)
Includes Typical Broker Commissions trade costs of $120.00
1/3/24 18:00 @EUH4 EUROFX SHORT 10 1.09560 1/4 10:00 1.09795 4.88%
Trade id #146899394
Max drawdown($6,000)
Time1/4/24 5:01
Quant open10
Worst price1.10040
Drawdown as % of equity-4.88%
 ($3,018)
Includes Typical Broker Commissions trade costs of $80.00
1/3/24 17:40 EUR/USD EUR/USD SHORT 150 1.09195 1/4 10:00 1.09472 6.43%
Trade id #146899380
Max drawdown($7,905)
Time1/4/24 5:01
Quant open150
Worst price1.09722
Drawdown as % of equity-6.43%
 ($4,155)
12/15/23 9:20 USD/MXN USD/MXN SHORT 150 17.18724 12/17 21:19 17.23338 3.87%
Trade id #146710858
Max drawdown($5,025)
Time12/17/23 20:38
Quant open150
Worst price17.24510
Drawdown as % of equity-3.87%
 ($4,017)
12/14/23 10:43 @PXH4 Mexican Peso LONG 10 0.057030 12/15 6:59 0.057160 0.69%
Trade id #146700368
Max drawdown($900)
Time12/14/23 13:58
Quant open10
Worst price0.056850
Drawdown as % of equity-0.69%
 $570
Includes Typical Broker Commissions trade costs of $80.00
12/14/23 10:26 USD/MXN USD/MXN SHORT 100 17.29173 12/15 6:59 17.24614 1.89%
Trade id #146699999
Max drawdown($2,474)
Time12/14/23 13:58
Quant open100
Worst price17.33430
Drawdown as % of equity-1.89%
 $2,629
12/11/23 9:01 @PXH4 Mexican Peso SHORT 20 0.056530 12/11 15:20 0.056590 0.53%
Trade id #146657352
Max drawdown($700)
Time12/11/23 15:15
Quant open20
Worst price0.056600
Drawdown as % of equity-0.53%
 ($760)
Includes Typical Broker Commissions trade costs of $160.00
12/11/23 9:00 USD/MXN USD/MXN LONG 150 17.41360 12/11 15:20 17.39969 1.22%
Trade id #146657348
Max drawdown($1,618)
Time12/11/23 15:16
Quant open150
Worst price17.39500
Drawdown as % of equity-1.22%
 ($1,199)
12/8/23 7:08 USD/MXN USD/MXN SHORT 150 17.41937 12/11 5:27 17.38789 6.78%
Trade id #146642429
Max drawdown($8,867)
Time12/8/23 8:30
Quant open150
Worst price17.52130
Drawdown as % of equity-6.78%
 $2,710
12/7/23 3:36 USD/MXN USD/MXN LONG 150 17.33040 12/8 3:10 17.44589 3.99%
Trade id #146632760
Max drawdown($4,767)
Time12/7/23 8:54
Quant open150
Worst price17.27520
Drawdown as % of equity-3.99%
 $9,920
Next

Statistics

  • Strategy began
    7/11/2023
  • Suggested Minimum Cap
    $120,000
  • Strategy Age (days)
    291.86
  • Age
    10 months ago
  • What it trades
    Futures, Forex
  • # Trades
    109
  • # Profitable
    41
  • % Profitable
    37.60%
  • Avg trade duration
    6.1 days
  • Max peak-to-valley drawdown
    49.88%
  • drawdown period
    Oct 03, 2023 - Jan 30, 2024
  • Cumul. Return
    -2.4%
  • Avg win
    $6,174
  • Avg loss
    $3,706
  • Model Account Values (Raw)
  • Cash
    $118,849
  • Margin Used
    $88,595
  • Buying Power
    $32,579
  • Ratios
  • W:L ratio
    1.00:1
  • Sharpe Ratio
    0.27
  • Sortino Ratio
    0.4
  • Calmar Ratio
    0.107
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -17.28%
  • Correlation to SP500
    0.00720
  • Return Percent SP500 (cumu) during strategy life
    14.88%
  • Return Statistics
  • Ann Return (w trading costs)
    -3.0%
  • Slump
  • Current Slump as Pcnt Equity
    69.50%
  • Instruments
  • Percent Trades Futures
    0.36%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.71%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.024%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    0.63%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    97.00%
  • Chance of 20% account loss
    85.00%
  • Chance of 30% account loss
    71.50%
  • Chance of 40% account loss
    50.50%
  • Chance of 60% account loss (Monte Carlo)
    8.50%
  • Chance of 70% account loss (Monte Carlo)
    4.50%
  • Chance of 80% account loss (Monte Carlo)
    1.00%
  • 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
    33.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    441
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    939
  • Popularity (7 days, Percentile 1000 scale)
    427
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,707
  • Avg Win
    $6,175
  • Sum Trade PL (losers)
    $252,051.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $253,164.000
  • # Winners
    41
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    61
  • Win / Loss
  • # Losers
    68
  • % Winners
    37.6%
  • Frequency
  • Avg Position Time (mins)
    8782.92
  • Avg Position Time (hrs)
    146.38
  • Avg Trade Length
    6.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    15.43
  • Daily leverage (max)
    41.80
  • Regression
  • Alpha
    0.07
  • Beta
    0.05
  • Treynor Index
    1.44
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.25
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -44.507
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.490
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.405
  • Hold-and-Hope Ratio
    -0.005
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41926
  • SD
    0.47108
  • Sharpe ratio (Glass type estimate)
    0.88999
  • Sharpe ratio (Hedges UMVUE)
    0.80340
  • df
    8.00000
  • t
    0.77076
  • p
    0.23150
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43979
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16714
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49375
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10055
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84126
  • Upside Potential Ratio
    3.79978
  • Upside part of mean
    0.86521
  • Downside part of mean
    -0.44596
  • Upside SD
    0.40007
  • Downside SD
    0.22770
  • N nonnegative terms
    4.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.14994
  • Mean of criterion
    0.41926
  • SD of predictor
    0.10040
  • SD of criterion
    0.47108
  • Covariance
    -0.01801
  • r
    -0.38067
  • b (slope, estimate of beta)
    -1.78609
  • a (intercept, estimate of alpha)
    0.68705
  • Mean Square Error
    0.21687
  • DF error
    7.00000
  • t(b)
    -1.08918
  • p(b)
    0.84393
  • t(a)
    1.16199
  • p(a)
    0.14166
  • Lowerbound of 95% confidence interval for beta
    -5.66375
  • Upperbound of 95% confidence interval for beta
    2.09156
  • Lowerbound of 95% confidence interval for alpha
    -0.71110
  • Upperbound of 95% confidence interval for alpha
    2.08520
  • Treynor index (mean / b)
    -0.23473
  • Jensen alpha (a)
    0.68705
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31957
  • SD
    0.45403
  • Sharpe ratio (Glass type estimate)
    0.70384
  • Sharpe ratio (Hedges UMVUE)
    0.63536
  • df
    8.00000
  • t
    0.60955
  • p
    0.27954
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60570
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97118
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64912
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91984
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31058
  • Upside Potential Ratio
    3.25153
  • Upside part of mean
    0.79285
  • Downside part of mean
    -0.47328
  • Upside SD
    0.36372
  • Downside SD
    0.24384
  • N nonnegative terms
    4.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.14433
  • Mean of criterion
    0.31957
  • SD of predictor
    0.09858
  • SD of criterion
    0.45403
  • Covariance
    -0.01655
  • r
    -0.36985
  • b (slope, estimate of beta)
    -1.70345
  • a (intercept, estimate of alpha)
    0.56543
  • Mean Square Error
    0.20337
  • DF error
    7.00000
  • t(b)
    -1.05323
  • p(b)
    0.83639
  • t(a)
    0.99084
  • p(a)
    0.17738
  • Lowerbound of 95% confidence interval for beta
    -5.52792
  • Upperbound of 95% confidence interval for beta
    2.12102
  • Lowerbound of 95% confidence interval for alpha
    -0.78397
  • Upperbound of 95% confidence interval for alpha
    1.91483
  • Treynor index (mean / b)
    -0.18760
  • Jensen alpha (a)
    0.56543
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17218
  • Expected Shortfall on VaR
    0.21539
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09203
  • Expected Shortfall on VaR
    0.16240
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.85052
  • Quartile 1
    0.95911
  • Median
    0.99832
  • Quartile 3
    1.11653
  • Maximum
    1.24588
  • Mean of quarter 1
    0.89844
  • Mean of quarter 2
    0.99092
  • Mean of quarter 3
    1.10649
  • Mean of quarter 4
    1.22263
  • Inter Quartile Range
    0.15742
  • 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)
    -35.86230
  • VaR(95%) (moments method)
    0.08973
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.06150
  • VaR(95%) (regression method)
    0.20110
  • Expected Shortfall (regression method)
    0.20386
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04089
  • Quartile 1
    0.09576
  • Median
    0.15062
  • Quartile 3
    0.20549
  • Maximum
    0.26035
  • Mean of quarter 1
    0.04089
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.26035
  • Inter Quartile Range
    0.10973
  • 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)
    0.39696
  • Compounded annual return (geometric extrapolation)
    0.41549
  • Calmar ratio (compounded annual return / max draw down)
    1.59587
  • Compounded annual return / average of 25% largest draw downs
    1.59587
  • Compounded annual return / Expected Shortfall lognormal
    1.92902
  • 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
    0.31892
  • SD
    0.77683
  • Sharpe ratio (Glass type estimate)
    0.41054
  • Sharpe ratio (Hedges UMVUE)
    0.40903
  • df
    204.00000
  • t
    0.36315
  • p
    0.35844
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80603
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62619
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80708
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62514
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.60658
  • Upside Potential Ratio
    8.98824
  • Upside part of mean
    4.72575
  • Downside part of mean
    -4.40683
  • Upside SD
    0.56962
  • Downside SD
    0.52577
  • N nonnegative terms
    98.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    205.00000
  • Mean of predictor
    0.15644
  • Mean of criterion
    0.31892
  • SD of predictor
    0.11829
  • SD of criterion
    0.77683
  • Covariance
    0.00012
  • r
    0.00134
  • b (slope, estimate of beta)
    0.00881
  • a (intercept, estimate of alpha)
    0.31800
  • Mean Square Error
    0.60643
  • DF error
    203.00000
  • t(b)
    0.01911
  • p(b)
    0.49239
  • t(a)
    0.35949
  • p(a)
    0.35980
  • Lowerbound of 95% confidence interval for beta
    -0.89996
  • Upperbound of 95% confidence interval for beta
    0.91758
  • Lowerbound of 95% confidence interval for alpha
    -1.42411
  • Upperbound of 95% confidence interval for alpha
    2.05920
  • Treynor index (mean / b)
    36.20710
  • Jensen alpha (a)
    0.31754
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01856
  • SD
    0.77760
  • Sharpe ratio (Glass type estimate)
    0.02387
  • Sharpe ratio (Hedges UMVUE)
    0.02378
  • df
    204.00000
  • t
    0.02112
  • p
    0.49159
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.19188
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.19197
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23954
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03362
  • Upside Potential Ratio
    8.28218
  • Upside part of mean
    4.57237
  • Downside part of mean
    -4.55381
  • Upside SD
    0.54491
  • Downside SD
    0.55207
  • N nonnegative terms
    98.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    205.00000
  • Mean of predictor
    0.14942
  • Mean of criterion
    0.01856
  • SD of predictor
    0.11826
  • SD of criterion
    0.77760
  • Covariance
    -0.00022
  • r
    -0.00242
  • b (slope, estimate of beta)
    -0.01594
  • a (intercept, estimate of alpha)
    0.02094
  • Mean Square Error
    0.60764
  • DF error
    203.00000
  • t(b)
    -0.03454
  • p(b)
    0.51376
  • t(a)
    0.02369
  • p(a)
    0.49056
  • Lowerbound of 95% confidence interval for beta
    -0.92587
  • Upperbound of 95% confidence interval for beta
    0.89399
  • Lowerbound of 95% confidence interval for alpha
    -1.72193
  • Upperbound of 95% confidence interval for alpha
    1.76382
  • Treynor index (mean / b)
    -1.16461
  • Jensen alpha (a)
    0.02094
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07591
  • Expected Shortfall on VaR
    0.09413
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03999
  • Expected Shortfall on VaR
    0.07535
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    205.00000
  • Minimum
    0.80846
  • Quartile 1
    0.97546
  • Median
    1.00000
  • Quartile 3
    1.02222
  • Maximum
    1.18752
  • Mean of quarter 1
    0.94420
  • Mean of quarter 2
    0.98951
  • Mean of quarter 3
    1.01048
  • Mean of quarter 4
    1.06223
  • Inter Quartile Range
    0.04676
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.01463
  • Mean of outliers low
    0.85873
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.04390
  • Mean of outliers high
    1.11419
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.26413
  • VaR(95%) (moments method)
    0.05430
  • Expected Shortfall (moments method)
    0.06608
  • Extreme Value Index (regression method)
    0.03006
  • VaR(95%) (regression method)
    0.05043
  • Expected Shortfall (regression method)
    0.06732
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.03092
  • Quartile 1
    0.07112
  • Median
    0.12709
  • Quartile 3
    0.18113
  • Maximum
    0.44310
  • Mean of quarter 1
    0.03530
  • Mean of quarter 2
    0.11482
  • Mean of quarter 3
    0.17862
  • Mean of quarter 4
    0.31337
  • Inter Quartile Range
    0.11001
  • 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
    0.14286
  • Mean of outliers high
    0.44310
  • 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)
    0.04733
  • Compounded annual return (geometric extrapolation)
    0.04757
  • Calmar ratio (compounded annual return / max draw down)
    0.10735
  • Compounded annual return / average of 25% largest draw downs
    0.15179
  • Compounded annual return / Expected Shortfall lognormal
    0.50530
  • 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
    -0.21256
  • SD
    0.78492
  • Sharpe ratio (Glass type estimate)
    -0.27080
  • Sharpe ratio (Hedges UMVUE)
    -0.26924
  • df
    130.00000
  • t
    -0.19149
  • p
    0.50840
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.04232
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50168
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.04124
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50276
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.38495
  • Upside Potential Ratio
    7.89634
  • Upside part of mean
    4.36010
  • Downside part of mean
    -4.57266
  • Upside SD
    0.55379
  • Downside SD
    0.55217
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35943
  • Mean of criterion
    -0.21256
  • SD of predictor
    0.11768
  • SD of criterion
    0.78492
  • Covariance
    0.00693
  • r
    0.07503
  • b (slope, estimate of beta)
    0.50042
  • a (intercept, estimate of alpha)
    -0.39243
  • Mean Square Error
    0.61739
  • DF error
    129.00000
  • t(b)
    0.85453
  • p(b)
    0.45228
  • t(a)
    -0.34698
  • p(a)
    0.51944
  • Lowerbound of 95% confidence interval for beta
    -0.65822
  • Upperbound of 95% confidence interval for beta
    1.65907
  • Lowerbound of 95% confidence interval for alpha
    -2.63006
  • Upperbound of 95% confidence interval for alpha
    1.84521
  • Treynor index (mean / b)
    -0.42476
  • Jensen alpha (a)
    -0.39243
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.52031
  • SD
    0.78915
  • Sharpe ratio (Glass type estimate)
    -0.65934
  • Sharpe ratio (Hedges UMVUE)
    -0.65552
  • df
    130.00000
  • t
    -0.46622
  • p
    0.52043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.43109
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11484
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.42848
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11743
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.89228
  • Upside Potential Ratio
    7.22953
  • Upside part of mean
    4.21571
  • Downside part of mean
    -4.73603
  • Upside SD
    0.52820
  • Downside SD
    0.58312
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35229
  • Mean of criterion
    -0.52031
  • SD of predictor
    0.11753
  • SD of criterion
    0.78915
  • Covariance
    0.00665
  • r
    0.07175
  • b (slope, estimate of beta)
    0.48175
  • a (intercept, estimate of alpha)
    -0.69003
  • Mean Square Error
    0.62435
  • DF error
    129.00000
  • t(b)
    0.81701
  • p(b)
    0.45436
  • t(a)
    -0.60710
  • p(a)
    0.53396
  • VAR (95 Confidence Intrvl)
    0.07600
  • Lowerbound of 95% confidence interval for beta
    -0.68490
  • Upperbound of 95% confidence interval for beta
    1.64840
  • Lowerbound of 95% confidence interval for alpha
    -2.93882
  • Upperbound of 95% confidence interval for alpha
    1.55875
  • Treynor index (mean / b)
    -1.08004
  • Jensen alpha (a)
    -0.69003
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07889
  • Expected Shortfall on VaR
    0.09732
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04312
  • Expected Shortfall on VaR
    0.08112
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.80846
  • Quartile 1
    0.97550
  • Median
    1.00000
  • Quartile 3
    1.02064
  • Maximum
    1.18752
  • Mean of quarter 1
    0.94246
  • Mean of quarter 2
    0.98849
  • Mean of quarter 3
    1.00848
  • Mean of quarter 4
    1.05803
  • Inter Quartile Range
    0.04514
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.83655
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.11421
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.13249
  • VaR(95%) (moments method)
    0.05459
  • Expected Shortfall (moments method)
    0.06963
  • Extreme Value Index (regression method)
    0.16297
  • VaR(95%) (regression method)
    0.04655
  • Expected Shortfall (regression method)
    0.06513
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.37879
  • Quartile 1
    0.37879
  • Median
    0.37879
  • Quartile 3
    0.37879
  • Maximum
    0.37879
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -377353000
  • Max Equity Drawdown (num days)
    119
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.43647
  • Compounded annual return (geometric extrapolation)
    -0.38885
  • Calmar ratio (compounded annual return / max draw down)
    -1.02656
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -3.99550

Strategy Description

Description of system is being reviewed to ensure it meets with regulatory standards. It will appear here shortly.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-07-11
Suggested Minimum Capital
$120,000
Rank at C2 %
Top 6.1%
Rank # 
#319
# Trades
109
# Profitable
41
% Profitable
37.6%
Net Dividends
$60
Correlation S&P500
0.007
Sharpe Ratio
0.27
Sortino Ratio
0.40
Beta
0.05
Alpha
0.07
Leverage
15.43 Average
41.80 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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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.