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C2Star Strategy Furry Logic C2Star: in evaluation Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

DSX50
(143198202)

Created by: LaurenGar LaurenGar
Started: 01/2023
Futures
Last trade: 9 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 $125.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: 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.
53.1%
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.

(6.4%)
Max Drawdown
364
Num Trades
59.6%
Win Trades
2.0 : 1
Profit Factor
90.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023+3.0%+5.9%+12.1%+1.2%+6.3%+1.4%+9.7%(4.7%)+5.1%+2.5%+2.0%      +53.1%

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/21/23 11:44 @ESZ3 E-MINI S&P 500 LONG 4 4544.69 11/21 13:20 4549.04 0.24%
Trade id #146500310
Max drawdown($137)
Time11/21/23 11:47
Quant open2
Worst price4542.00
Drawdown as % of equity-0.24%
 $839
Includes Typical Broker Commissions trade costs of $32.00
11/21/23 9:34 @ESZ3 E-MINI S&P 500 LONG 3 4545.24 11/21 11:41 4541.25 1.32%
Trade id #146498352
Max drawdown($760)
Time11/21/23 10:38
Quant open2
Worst price4538.25
Drawdown as % of equity-1.32%
 ($622)
Includes Typical Broker Commissions trade costs of $24.00
11/21/23 9:31 @ESZ3 E-MINI S&P 500 SHORT 1 4548.75 11/21 9:34 4549.75 0.15%
Trade id #146498185
Max drawdown($87)
Time11/21/23 9:34
Quant open1
Worst price4550.50
Drawdown as % of equity-0.15%
 ($58)
Includes Typical Broker Commissions trade costs of $8.00
11/20/23 10:09 @ESZ3 E-MINI S&P 500 LONG 2 4538.25 11/20 10:50 4542.25 0.57%
Trade id #146488605
Max drawdown($325)
Time11/20/23 10:24
Quant open1
Worst price4534.00
Drawdown as % of equity-0.57%
 $384
Includes Typical Broker Commissions trade costs of $16.00
11/15/23 10:07 @ESZ3 E-MINI S&P 500 LONG 3 4526.79 11/15 10:38 4530.75 0.25%
Trade id #146447478
Max drawdown($142)
Time11/15/23 10:11
Quant open2
Worst price4523.50
Drawdown as % of equity-0.25%
 $571
Includes Typical Broker Commissions trade costs of $24.00
11/15/23 9:51 @ESZ3 E-MINI S&P 500 SHORT 1 4519.50 11/15 9:54 4521.11 0.2%
Trade id #146447181
Max drawdown($112)
Time11/15/23 9:54
Quant open1
Worst price4521.75
Drawdown as % of equity-0.20%
 ($88)
Includes Typical Broker Commissions trade costs of $8.00
11/15/23 9:35 @ESZ3 E-MINI S&P 500 LONG 1 4529.07 11/15 9:46 4521.75 0.72%
Trade id #146446603
Max drawdown($416)
Time11/15/23 9:46
Quant open1
Worst price4520.75
Drawdown as % of equity-0.72%
 ($374)
Includes Typical Broker Commissions trade costs of $8.00
11/14/23 20:47 @FVZ3 US T-NOTE 5 YR LONG 1 105 60/64 11/15 8:58 105 44/64 0.46%
Trade id #146440608
Max drawdown($266)
Time11/15/23 8:45
Quant open1
Worst price105 43/64
Drawdown as % of equity-0.46%
 ($251)
Includes Typical Broker Commissions trade costs of $8.00
11/13/23 10:14 @ESZ3 E-MINI S&P 500 LONG 2 4414.79 11/13 11:37 4427.25 0.67%
Trade id #146419379
Max drawdown($379)
Time11/13/23 10:25
Quant open2
Worst price4411.00
Drawdown as % of equity-0.67%
 $1,230
Includes Typical Broker Commissions trade costs of $16.00
11/13/23 9:35 @ESZ3 E-MINI S&P 500 SHORT 2 4411.00 11/13 9:39 4410.00 0.22%
Trade id #146418614
Max drawdown($125)
Time11/13/23 9:39
Quant open2
Worst price4412.25
Drawdown as % of equity-0.22%
 $84
Includes Typical Broker Commissions trade costs of $16.00
11/13/23 1:38 @ESZ3 E-MINI S&P 500 LONG 2 4417.50 11/13 7:10 4421.00 0.24%
Trade id #146415899
Max drawdown($135)
Time11/13/23 3:17
Quant open1
Worst price4413.00
Drawdown as % of equity-0.24%
 $334
Includes Typical Broker Commissions trade costs of $16.00
11/9/23 11:05 @ESZ3 E-MINI S&P 500 LONG 2 4398.00 11/9 11:23 4400.75 n/a $259
Includes Typical Broker Commissions trade costs of $16.00
11/9/23 9:15 @MESZ3 MICRO E-MINI S&P 500 LONG 20 4404.87 11/9 10:07 4392.19 2.81%
Trade id #146383820
Max drawdown($1,587)
Time11/9/23 10:07
Quant open20
Worst price4389.00
Drawdown as % of equity-2.81%
 ($1,288)
Includes Typical Broker Commissions trade costs of $18.80
11/1/23 15:34 @ESZ3 E-MINI S&P 500 SHORT 1 4261.45 11/1 15:39 4259.50 n/a $90
Includes Typical Broker Commissions trade costs of $8.00
11/1/23 9:35 @ESZ3 E-MINI S&P 500 LONG 2 4219.88 11/1 9:47 4224.85 0.33%
Trade id #146299237
Max drawdown($187)
Time11/1/23 9:46
Quant open2
Worst price4218.00
Drawdown as % of equity-0.33%
 $482
Includes Typical Broker Commissions trade costs of $16.00
11/1/23 2:52 EXZ3 DJ EURO STOXX 50 LONG 2 4096.00 11/1 4:19 4083.00 0.52%
Trade id #146297117
Max drawdown($295)
Time11/1/23 4:03
Quant open2
Worst price4082.00
Drawdown as % of equity-0.52%
 ($291)
Includes Typical Broker Commissions trade costs of $16.00
10/30/23 9:30 @ESZ3 E-MINI S&P 500 LONG 1 4168.33 10/30 9:38 4177.00 n/a $425
Includes Typical Broker Commissions trade costs of $8.00
10/30/23 9:28 @MESZ3 MICRO E-MINI S&P 500 LONG 10 4165.25 10/30 9:37 4176.25 n/a $541
Includes Typical Broker Commissions trade costs of $9.40
10/30/23 8:50 @MESZ3 MICRO E-MINI S&P 500 SHORT 5 4159.25 10/30 9:27 4165.25 0.29%
Trade id #146273243
Max drawdown($162)
Time10/30/23 9:24
Quant open5
Worst price4165.75
Drawdown as % of equity-0.29%
 ($155)
Includes Typical Broker Commissions trade costs of $4.70
10/29/23 18:12 @MESZ3 MICRO E-MINI S&P 500 SHORT 10 4154.62 10/30 7:04 4164.75 0.99%
Trade id #146270753
Max drawdown($556)
Time10/30/23 6:53
Quant open10
Worst price4165.75
Drawdown as % of equity-0.99%
 ($515)
Includes Typical Broker Commissions trade costs of $9.40
10/27/23 9:26 @MESZ3 MICRO E-MINI S&P 500 SHORT 5 4174.17 10/27 9:57 4162.25 0.07%
Trade id #146255605
Max drawdown($39)
Time10/27/23 9:30
Quant open5
Worst price4175.75
Drawdown as % of equity-0.07%
 $293
Includes Typical Broker Commissions trade costs of $4.70
10/26/23 9:41 @MESZ3 MICRO E-MINI S&P 500 SHORT 2 4192.25 10/26 9:54 4191.00 0.21%
Trade id #146243677
Max drawdown($117)
Time10/26/23 9:44
Quant open2
Worst price4204.00
Drawdown as % of equity-0.21%
 $11
Includes Typical Broker Commissions trade costs of $1.88
10/24/23 3:57 @MESZ3 MICRO E-MINI S&P 500 SHORT 1 4252.25 10/24 5:45 4261.75 0.09%
Trade id #146213979
Max drawdown($48)
Time10/24/23 5:42
Quant open1
Worst price4262.00
Drawdown as % of equity-0.09%
 ($49)
Includes Typical Broker Commissions trade costs of $0.94
10/20/23 13:30 @MESZ3 MICRO E-MINI S&P 500 SHORT 1 4278.50 10/20 14:36 4268.50 0.04%
Trade id #146189604
Max drawdown($21)
Time10/20/23 13:43
Quant open1
Worst price4282.75
Drawdown as % of equity-0.04%
 $49
Includes Typical Broker Commissions trade costs of $0.94
10/20/23 10:11 @MESZ3 MICRO E-MINI S&P 500 SHORT 4 4274.31 10/20 10:41 4268.25 0.06%
Trade id #146185438
Max drawdown($36)
Time10/20/23 10:16
Quant open2
Worst price4278.50
Drawdown as % of equity-0.06%
 $117
Includes Typical Broker Commissions trade costs of $3.76
10/20/23 10:11 EXZ3 DJ EURO STOXX 50 SHORT 2 4056.00 10/20 10:11 4055.00 n/a $5
Includes Typical Broker Commissions trade costs of $16.00
10/18/23 9:48 @MESZ3 MICRO E-MINI S&P 500 SHORT 2 4380.38 10/18 10:02 4377.16 0.05%
Trade id #146160529
Max drawdown($26)
Time10/18/23 9:55
Quant open2
Worst price4383.00
Drawdown as % of equity-0.05%
 $30
Includes Typical Broker Commissions trade costs of $1.88
10/18/23 9:12 @MESZ3 MICRO E-MINI S&P 500 SHORT 1 4381.50 10/18 9:34 4387.50 0.06%
Trade id #146159368
Max drawdown($35)
Time10/18/23 9:34
Quant open1
Worst price4388.50
Drawdown as % of equity-0.06%
 ($31)
Includes Typical Broker Commissions trade costs of $0.94
10/18/23 2:57 EXZ3 DJ EURO STOXX 50 SHORT 1 4155.00 10/18 3:14 4155.00 0.11%
Trade id #146157826
Max drawdown($63)
Time10/18/23 3:01
Quant open1
Worst price4161.00
Drawdown as % of equity-0.11%
 ($8)
Includes Typical Broker Commissions trade costs of $8.00
10/17/23 3:13 EXZ3 DJ EURO STOXX 50 LONG 1 4177.00 10/17 4:06 4177.00 0.21%
Trade id #146147305
Max drawdown($116)
Time10/17/23 3:28
Quant open1
Worst price4166.00
Drawdown as % of equity-0.21%
 ($8)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    1/12/2023
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    322.26
  • Age
    11 months ago
  • What it trades
    Futures
  • # Trades
    364
  • # Profitable
    217
  • % Profitable
    59.60%
  • Avg trade duration
    7.4 hours
  • Max peak-to-valley drawdown
    6.42%
  • drawdown period
    Aug 03, 2023 - Aug 29, 2023
  • Cumul. Return
    53.1%
  • Avg win
    $234.83
  • Avg loss
    $170.90
  • Model Account Values (Raw)
  • Cash
    $63,669
  • Margin Used
    $0
  • Buying Power
    $63,669
  • Ratios
  • W:L ratio
    2.03:1
  • Sharpe Ratio
    3.33
  • Sortino Ratio
    7.04
  • Calmar Ratio
    17.162
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    38.43%
  • Correlation to SP500
    0.04760
  • Return Percent SP500 (cumu) during strategy life
    14.68%
  • Verified
  • C2Star
    1
  • Return Statistics
  • Ann Return (w trading costs)
    61.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.30%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.531%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    80.0%
  • 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
    99.90%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    940
  • Popularity (Last 6 weeks)
    984
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    987
  • Popularity (7 days, Percentile 1000 scale)
    977
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $171
  • Avg Win
    $235
  • Sum Trade PL (losers)
    $25,123.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $50,958.000
  • # Winners
    217
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    535821
  • Win / Loss
  • # Losers
    147
  • % Winners
    59.6%
  • Frequency
  • Avg Position Time (mins)
    444.97
  • Avg Position Time (hrs)
    7.42
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    9
  • Leverage
  • Daily leverage (average)
    3.43
  • Daily leverage (max)
    21.24
  • Regression
  • Alpha
    0.13
  • Beta
    0.04
  • Treynor Index
    3.07
  • 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)
    -0.03
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    238.577
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.594
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.168
  • Hold-and-Hope Ratio
    0.004
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61040
  • SD
    0.13369
  • Sharpe ratio (Glass type estimate)
    4.56572
  • Sharpe ratio (Hedges UMVUE)
    4.17250
  • df
    9.00000
  • t
    4.16792
  • p
    0.00121
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.51591
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.48928
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28715
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.05785
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.61040
  • Downside part of mean
    0.00000
  • Upside SD
    0.21711
  • Downside SD
    0.00000
  • N nonnegative terms
    10.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.12636
  • Mean of criterion
    0.61040
  • SD of predictor
    0.13475
  • SD of criterion
    0.13369
  • Covariance
    -0.00509
  • r
    -0.28280
  • b (slope, estimate of beta)
    -0.28058
  • a (intercept, estimate of alpha)
    0.64586
  • Mean Square Error
    0.01850
  • DF error
    8.00000
  • t(b)
    -0.83392
  • p(b)
    0.78574
  • t(a)
    4.16836
  • p(a)
    0.00156
  • Lowerbound of 95% confidence interval for beta
    -1.05645
  • Upperbound of 95% confidence interval for beta
    0.49529
  • Lowerbound of 95% confidence interval for alpha
    0.28856
  • Upperbound of 95% confidence interval for alpha
    1.00316
  • Treynor index (mean / b)
    -2.17551
  • Jensen alpha (a)
    0.64586
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58688
  • SD
    0.12571
  • Sharpe ratio (Glass type estimate)
    4.66848
  • Sharpe ratio (Hedges UMVUE)
    4.26640
  • df
    9.00000
  • t
    4.26172
  • p
    0.00105
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.58620
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.62465
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.18091
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.58688
  • Downside part of mean
    0.00000
  • Upside SD
    0.20718
  • Downside SD
    0.00000
  • N nonnegative terms
    10.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.11735
  • Mean of criterion
    0.58688
  • SD of predictor
    0.13433
  • SD of criterion
    0.12571
  • Covariance
    -0.00482
  • r
    -0.28540
  • b (slope, estimate of beta)
    -0.26709
  • a (intercept, estimate of alpha)
    0.61822
  • Mean Square Error
    0.01633
  • DF error
    8.00000
  • t(b)
    -0.84227
  • p(b)
    0.78795
  • t(a)
    4.26803
  • p(a)
    0.00137
  • Lowerbound of 95% confidence interval for beta
    -0.99834
  • Upperbound of 95% confidence interval for beta
    0.46416
  • Lowerbound of 95% confidence interval for alpha
    0.28420
  • Upperbound of 95% confidence interval for alpha
    0.95224
  • Treynor index (mean / b)
    -2.19731
  • Jensen alpha (a)
    0.61822
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01073
  • Expected Shortfall on VaR
    0.02553
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    1.00975
  • Quartile 1
    1.02205
  • Median
    1.04512
  • Quartile 3
    1.06977
  • Maximum
    1.12225
  • Mean of quarter 1
    1.01694
  • Mean of quarter 2
    1.02773
  • Mean of quarter 3
    1.06309
  • Mean of quarter 4
    1.09983
  • Inter Quartile Range
    0.04773
  • 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)
    0.80299
  • Compounded annual return (geometric extrapolation)
    0.84926
  • 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
    33.26940
  • 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
    0.57204
  • SD
    0.11506
  • Sharpe ratio (Glass type estimate)
    4.97167
  • Sharpe ratio (Hedges UMVUE)
    4.95537
  • df
    229.00000
  • t
    4.65817
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.82568
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.10731
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81484
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.09590
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.87580
  • Upside Potential Ratio
    17.21290
  • Upside part of mean
    0.82912
  • Downside part of mean
    -0.25708
  • Upside SD
    0.11005
  • Downside SD
    0.04817
  • N nonnegative terms
    120.00000
  • N negative terms
    110.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    230.00000
  • Mean of predictor
    0.13687
  • Mean of criterion
    0.57204
  • SD of predictor
    0.13239
  • SD of criterion
    0.11506
  • Covariance
    0.00059
  • r
    0.03895
  • b (slope, estimate of beta)
    0.03385
  • a (intercept, estimate of alpha)
    0.56700
  • Mean Square Error
    0.01328
  • DF error
    228.00000
  • t(b)
    0.58855
  • p(b)
    0.27837
  • t(a)
    4.60442
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    -0.07948
  • Upperbound of 95% confidence interval for beta
    0.14718
  • Lowerbound of 95% confidence interval for alpha
    0.32459
  • Upperbound of 95% confidence interval for alpha
    0.81022
  • Treynor index (mean / b)
    16.89890
  • Jensen alpha (a)
    0.56741
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56484
  • SD
    0.11425
  • Sharpe ratio (Glass type estimate)
    4.94392
  • Sharpe ratio (Hedges UMVUE)
    4.92771
  • df
    229.00000
  • t
    4.63217
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.79854
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.07903
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78771
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.06771
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.65010
  • Upside Potential Ratio
    16.97600
  • Upside part of mean
    0.82306
  • Downside part of mean
    -0.25822
  • Upside SD
    0.10892
  • Downside SD
    0.04848
  • N nonnegative terms
    120.00000
  • N negative terms
    110.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    230.00000
  • Mean of predictor
    0.12810
  • Mean of criterion
    0.56484
  • SD of predictor
    0.13231
  • SD of criterion
    0.11425
  • Covariance
    0.00057
  • r
    0.03781
  • b (slope, estimate of beta)
    0.03265
  • a (intercept, estimate of alpha)
    0.56065
  • Mean Square Error
    0.01309
  • DF error
    228.00000
  • t(b)
    0.57140
  • p(b)
    0.28415
  • t(a)
    4.58287
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    -0.07995
  • Upperbound of 95% confidence interval for beta
    0.14526
  • Lowerbound of 95% confidence interval for alpha
    0.31960
  • Upperbound of 95% confidence interval for alpha
    0.80171
  • Treynor index (mean / b)
    17.29790
  • Jensen alpha (a)
    0.56065
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00941
  • Expected Shortfall on VaR
    0.01232
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00213
  • Expected Shortfall on VaR
    0.00477
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    230.00000
  • Minimum
    0.97997
  • Quartile 1
    0.99994
  • Median
    1.00027
  • Quartile 3
    1.00384
  • Maximum
    1.03145
  • Mean of quarter 1
    0.99631
  • Mean of quarter 2
    1.00002
  • Mean of quarter 3
    1.00156
  • Mean of quarter 4
    1.01122
  • Inter Quartile Range
    0.00389
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.05217
  • Mean of outliers low
    0.98875
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.11304
  • Mean of outliers high
    1.01773
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10673
  • VaR(95%) (moments method)
    0.00260
  • Expected Shortfall (moments method)
    0.00388
  • Extreme Value Index (regression method)
    0.00725
  • VaR(95%) (regression method)
    0.00448
  • Expected Shortfall (regression method)
    0.00764
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00028
  • Median
    0.00161
  • Quartile 3
    0.00517
  • Maximum
    0.04714
  • Mean of quarter 1
    0.00014
  • Mean of quarter 2
    0.00084
  • Mean of quarter 3
    0.00334
  • Mean of quarter 4
    0.02504
  • Inter Quartile Range
    0.00488
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.17241
  • Mean of outliers high
    0.03073
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.12722
  • VaR(95%) (moments method)
    0.01664
  • Expected Shortfall (moments method)
    0.01788
  • Extreme Value Index (regression method)
    -0.24943
  • VaR(95%) (regression method)
    0.02490
  • Expected Shortfall (regression method)
    0.03250
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.77758
  • Compounded annual return (geometric extrapolation)
    0.80894
  • Calmar ratio (compounded annual return / max draw down)
    17.16190
  • Compounded annual return / average of 25% largest draw downs
    32.30630
  • Compounded annual return / Expected Shortfall lognormal
    65.64290
  • 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
    0.38585
  • SD
    0.10399
  • Sharpe ratio (Glass type estimate)
    3.71031
  • Sharpe ratio (Hedges UMVUE)
    3.68887
  • df
    130.00000
  • t
    2.62359
  • p
    0.38788
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.89521
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.51160
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.49671
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.88308
  • Upside Potential Ratio
    12.26810
  • Upside part of mean
    0.68772
  • Downside part of mean
    -0.30187
  • Upside SD
    0.09032
  • Downside SD
    0.05606
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15664
  • Mean of criterion
    0.38585
  • SD of predictor
    0.11853
  • SD of criterion
    0.10399
  • Covariance
    0.00071
  • r
    0.05747
  • b (slope, estimate of beta)
    0.05043
  • a (intercept, estimate of alpha)
    0.37795
  • Mean Square Error
    0.01086
  • DF error
    129.00000
  • t(b)
    0.65385
  • p(b)
    0.46343
  • t(a)
    2.55565
  • p(a)
    0.36138
  • Lowerbound of 95% confidence interval for beta
    -0.10216
  • Upperbound of 95% confidence interval for beta
    0.20301
  • Lowerbound of 95% confidence interval for alpha
    0.08535
  • Upperbound of 95% confidence interval for alpha
    0.67055
  • Treynor index (mean / b)
    7.65186
  • Jensen alpha (a)
    0.37795
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38019
  • SD
    0.10364
  • Sharpe ratio (Glass type estimate)
    3.66828
  • Sharpe ratio (Hedges UMVUE)
    3.64707
  • df
    130.00000
  • t
    2.59386
  • p
    0.38909
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.85411
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.46888
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84004
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.45411
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.73373
  • Upside Potential Ratio
    12.10790
  • Upside part of mean
    0.68362
  • Downside part of mean
    -0.30343
  • Upside SD
    0.08957
  • Downside SD
    0.05646
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14961
  • Mean of criterion
    0.38019
  • SD of predictor
    0.11847
  • SD of criterion
    0.10364
  • Covariance
    0.00068
  • r
    0.05568
  • b (slope, estimate of beta)
    0.04871
  • a (intercept, estimate of alpha)
    0.37290
  • Mean Square Error
    0.01079
  • DF error
    129.00000
  • t(b)
    0.63339
  • p(b)
    0.46457
  • t(a)
    2.53052
  • p(a)
    0.36266
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    -0.10345
  • Upperbound of 95% confidence interval for beta
    0.20088
  • Lowerbound of 95% confidence interval for alpha
    0.08134
  • Upperbound of 95% confidence interval for alpha
    0.66446
  • Treynor index (mean / b)
    7.80470
  • Jensen alpha (a)
    0.37290
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00904
  • Expected Shortfall on VaR
    0.01168
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00264
  • Expected Shortfall on VaR
    0.00585
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97997
  • Quartile 1
    0.99988
  • Median
    1.00006
  • Quartile 3
    1.00324
  • Maximum
    1.02592
  • Mean of quarter 1
    0.99565
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00118
  • Mean of quarter 4
    1.00948
  • Inter Quartile Range
    0.00337
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98827
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.01398
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07427
  • VaR(95%) (moments method)
    0.00274
  • Expected Shortfall (moments method)
    0.00457
  • Extreme Value Index (regression method)
    -0.04978
  • VaR(95%) (regression method)
    0.00620
  • Expected Shortfall (regression method)
    0.01042
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00028
  • Median
    0.00092
  • Quartile 3
    0.01052
  • Maximum
    0.04714
  • Mean of quarter 1
    0.00014
  • Mean of quarter 2
    0.00073
  • Mean of quarter 3
    0.00489
  • Mean of quarter 4
    0.02818
  • Inter Quartile Range
    0.01024
  • 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
    0.11765
  • Mean of outliers high
    0.04286
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.39411
  • VaR(95%) (moments method)
    0.02886
  • Expected Shortfall (moments method)
    0.05496
  • Extreme Value Index (regression method)
    0.73257
  • VaR(95%) (regression method)
    0.03058
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.10740
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -415453000
  • Max Equity Drawdown (num days)
    26
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45271
  • Compounded annual return (geometric extrapolation)
    0.50395
  • Calmar ratio (compounded annual return / max draw down)
    10.69150
  • Compounded annual return / average of 25% largest draw downs
    17.88230
  • Compounded annual return / Expected Shortfall lognormal
    43.12840

Strategy Description

ES, NQ, YM, mini dax, DJ EURO STOXX 50

Summary Statistics

Strategy began
2023-01-12
Suggested Minimum Capital
$60,000
Rank at C2 %
Top 1.3%
Rank # 
#10
# Trades
364
# Profitable
217
% Profitable
59.6%
Correlation S&P500
0.048
Sharpe Ratio
3.33
Sortino Ratio
7.04
Beta
0.04
Alpha
0.13
Leverage
3.43 Average
21.24 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.