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Klarity
(125935591)

Created by: JamesB4 JamesB4
Started: 10/2019
Futures
Last trade: 2 days ago
Trading style: Futures Short Term

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
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
38.1%
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.

(10.2%)
Max Drawdown
541
Num Trades
67.5%
Win Trades
1.7 : 1
Profit Factor
90.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                               +1.6%+7.9%+3.9%+13.9%
2020+3.9%+6.6%+2.1%+0.5%+12.1%(6.5%)+1.8%                              +21.2%

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 871 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/8/20 7:49 @MESU0 MICRO E-MINI S&P 500 LONG 1 3143.50 7/9 10:41 3138.25 0.16%
Trade id #129964118
Max drawdown($87)
Time7/8/20 11:26
Quant open1
Worst price3126.00
Drawdown as % of equity-0.16%
($27)
Includes Typical Broker Commissions trade costs of $0.94
7/8/20 6:28 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 1 10545.94 7/9 10:40 10677.28 0.12%
Trade id #129963238
Max drawdown($66)
Time7/8/20 11:23
Quant open1
Worst price10512.50
Drawdown as % of equity-0.12%
$262
Includes Typical Broker Commissions trade costs of $0.94
7/5/20 18:39 @MESU0 MICRO E-MINI S&P 500 LONG 2 3140.14 7/7 14:41 3151.78 0.63%
Trade id #129911527
Max drawdown($343)
Time7/6/20 0:00
Quant open2
Worst price3105.75
Drawdown as % of equity-0.63%
$114
Includes Typical Broker Commissions trade costs of $1.88
6/21/20 18:19 @M6EU0 E-MICRO EUR/USD SHORT 3 1.1230 7/5 21:43 1.1272 0.8%
Trade id #129677237
Max drawdown($428)
Time6/23/20 0:00
Quant open2
Worst price1.1371
Drawdown as % of equity-0.80%
($162)
Includes Typical Broker Commissions trade costs of $2.10
7/2/20 9:23 @FVU0 US T-NOTE 5 YR LONG 2 125 43/64 7/5 19:52 125 46/64 0.06%
Trade id #129876255
Max drawdown($31)
Time7/2/20 9:41
Quant open1
Worst price125 36/64
Drawdown as % of equity-0.06%
$70
Includes Typical Broker Commissions trade costs of $16.00
6/14/20 18:08 @FVU0 US T-NOTE 5 YR LONG 2 125 32/64 7/1 9:50 125 39/64 0.41%
Trade id #129545754
Max drawdown($218)
Time6/16/20 0:00
Quant open1
Worst price125 20/64
Drawdown as % of equity-0.41%
$195
Includes Typical Broker Commissions trade costs of $16.00
6/24/20 20:30 @MESU0 MICRO E-MINI S&P 500 LONG 1 3051.65 6/24 21:10 3050.50 0.04%
Trade id #129737044
Max drawdown($22)
Time6/24/20 20:42
Quant open1
Worst price3047.25
Drawdown as % of equity-0.04%
($7)
Includes Typical Broker Commissions trade costs of $0.94
6/21/20 18:12 QMGCZ0 E-Micro Gold LONG 2 1776.2 6/24 9:57 1797.0 0.19%
Trade id #129677156
Max drawdown($104)
Time6/22/20 0:00
Quant open2
Worst price1771.0
Drawdown as % of equity-0.19%
$416
Includes Typical Broker Commissions trade costs of $1.40
6/23/20 9:24 @MESU0 MICRO E-MINI S&P 500 LONG 1 3133.75 6/24 9:55 3083.43 0.49%
Trade id #129702898
Max drawdown($263)
Time6/24/20 5:19
Quant open1
Worst price3081.00
Drawdown as % of equity-0.49%
($253)
Includes Typical Broker Commissions trade costs of $0.94
6/14/20 18:10 @M6EU0 E-MICRO EUR/USD SHORT 1 1.1253 6/19 16:02 1.1209 0.29%
Trade id #129545772
Max drawdown($154)
Time6/16/20 0:00
Quant open1
Worst price1.1377
Drawdown as % of equity-0.29%
$55
Includes Typical Broker Commissions trade costs of $0.70
6/12/20 12:50 QMGCZ0 E-Micro Gold LONG 2 1758.6 6/19 16:02 1769.7 1.24%
Trade id #129533931
Max drawdown($667)
Time6/15/20 0:00
Quant open2
Worst price1725.2
Drawdown as % of equity-1.24%
$221
Includes Typical Broker Commissions trade costs of $1.40
6/19/20 15:19 @MESU0 MICRO E-MINI S&P 500 LONG 1 3102.78 6/19 16:02 3082.15 0.24%
Trade id #129666829
Max drawdown($128)
Time6/19/20 16:02
Quant open1
Worst price3077.00
Drawdown as % of equity-0.24%
($104)
Includes Typical Broker Commissions trade costs of $0.94
6/19/20 10:36 @MESU0 MICRO E-MINI S&P 500 LONG 1 3127.34 6/19 12:14 3102.82 0.27%
Trade id #129660474
Max drawdown($144)
Time6/19/20 12:14
Quant open1
Worst price3098.50
Drawdown as % of equity-0.27%
($124)
Includes Typical Broker Commissions trade costs of $0.94
6/10/20 19:23 @M2KU0 MICRO E-MINI RUSSELL 2000 LONG 2 1444.89 6/11 15:22 1355.76 1.74%
Trade id #129480233
Max drawdown($978)
Time6/11/20 0:00
Quant open2
Worst price1347.00
Drawdown as % of equity-1.74%
($893)
Includes Typical Broker Commissions trade costs of $1.88
6/11/20 8:43 @MESU0 MICRO E-MINI S&P 500 LONG 2 3092.02 6/11 15:22 2996.34 1.78%
Trade id #129491106
Max drawdown($965)
Time6/11/20 15:19
Quant open2
Worst price2995.50
Drawdown as % of equity-1.78%
($959)
Includes Typical Broker Commissions trade costs of $1.88
6/11/20 8:44 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 1 9892.28 6/11 15:22 9608.38 1.05%
Trade id #129491114
Max drawdown($574)
Time6/11/20 14:59
Quant open1
Worst price9605.00
Drawdown as % of equity-1.05%
($569)
Includes Typical Broker Commissions trade costs of $0.94
6/10/20 20:24 @MESU0 MICRO E-MINI S&P 500 SHORT 1 3164.76 6/10 23:50 3143.00 0.05%
Trade id #129481030
Max drawdown($26)
Time6/10/20 21:09
Quant open1
Worst price3170.00
Drawdown as % of equity-0.05%
$108
Includes Typical Broker Commissions trade costs of $0.94
6/10/20 21:09 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 1 10074.98 6/10 23:46 10020.00 0.02%
Trade id #129481495
Max drawdown($10)
Time6/10/20 21:46
Quant open1
Worst price10080.00
Drawdown as % of equity-0.02%
$109
Includes Typical Broker Commissions trade costs of $0.94
6/10/20 15:29 @MESU0 MICRO E-MINI S&P 500 LONG 2 3200.59 6/10 15:35 3192.22 0.1%
Trade id #129476652
Max drawdown($58)
Time6/10/20 15:32
Quant open2
Worst price3194.75
Drawdown as % of equity-0.10%
($86)
Includes Typical Broker Commissions trade costs of $1.88
6/10/20 14:21 @MESU0 MICRO E-MINI S&P 500 LONG 1 3207.33 6/10 14:25 3206.09 0.04%
Trade id #129475215
Max drawdown($22)
Time6/10/20 14:24
Quant open1
Worst price3202.75
Drawdown as % of equity-0.04%
($7)
Includes Typical Broker Commissions trade costs of $0.94
6/10/20 12:50 @M2KM0 MICRO E-MINI RUSSELL 2000 SHORT 1 1479.79 6/10 14:04 1494.96 0.12%
Trade id #129473398
Max drawdown($67)
Time6/10/20 14:04
Quant open1
Worst price1493.20
Drawdown as % of equity-0.12%
($77)
Includes Typical Broker Commissions trade costs of $0.94
6/10/20 12:26 @MESU0 MICRO E-MINI S&P 500 LONG 1 3190.40 6/10 13:41 3188.78 0.05%
Trade id #129472996
Max drawdown($26)
Time6/10/20 13:02
Quant open1
Worst price3185.00
Drawdown as % of equity-0.05%
($9)
Includes Typical Broker Commissions trade costs of $0.94
6/10/20 10:21 @M2KU0 MICRO E-MINI RUSSELL 2000 LONG 2 1466.39 6/10 12:06 1477.46 0.08%
Trade id #129469476
Max drawdown($46)
Time6/10/20 10:58
Quant open2
Worst price1461.70
Drawdown as % of equity-0.08%
$109
Includes Typical Broker Commissions trade costs of $1.88
6/9/20 10:50 @MESM0 MICRO E-MINI S&P 500 SHORT 2 3208.86 6/9 21:46 3223.66 0.29%
Trade id #129436541
Max drawdown($161)
Time6/9/20 21:33
Quant open2
Worst price3225.00
Drawdown as % of equity-0.29%
($150)
Includes Typical Broker Commissions trade costs of $1.88
6/9/20 13:26 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 1 9992.27 6/9 21:46 10007.28 0.07%
Trade id #129439929
Max drawdown($38)
Time6/9/20 21:33
Quant open1
Worst price10011.80
Drawdown as % of equity-0.07%
($31)
Includes Typical Broker Commissions trade costs of $0.94
6/9/20 8:25 @M2KM0 MICRO E-MINI RUSSELL 2000 SHORT 2 1516.38 6/9 10:16 1498.22 0.04%
Trade id #129432411
Max drawdown($21)
Time6/9/20 9:36
Quant open2
Worst price1518.50
Drawdown as % of equity-0.04%
$180
Includes Typical Broker Commissions trade costs of $1.88
6/8/20 14:15 @M2KM0 MICRO E-MINI RUSSELL 2000 SHORT 2 1534.15 6/9 6:28 1498.59 0.12%
Trade id #129416412
Max drawdown($64)
Time6/8/20 20:06
Quant open2
Worst price1540.60
Drawdown as % of equity-0.12%
$354
Includes Typical Broker Commissions trade costs of $1.88
6/8/20 10:53 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 2 9788.58 6/8 14:14 9848.30 0.05%
Trade id #129411734
Max drawdown($25)
Time6/8/20 10:59
Quant open2
Worst price9782.25
Drawdown as % of equity-0.05%
$237
Includes Typical Broker Commissions trade costs of $1.88
6/2/20 10:54 QMGCQ0 E-Micro Gold LONG 4 1732.4 6/8 11:11 1694.4 4.15%
Trade id #129310635
Max drawdown($2,425)
Time6/5/20 0:00
Quant open4
Worst price1671.8
Drawdown as % of equity-4.15%
($1,522)
Includes Typical Broker Commissions trade costs of $2.80
6/5/20 13:05 @QMQ0 MINY CRUDE OIL LONG 1 39.535 6/8 11:05 38.431 1.15%
Trade id #129385338
Max drawdown($642)
Time6/8/20 10:34
Quant open1
Worst price38.250
Drawdown as % of equity-1.15%
($560)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    10/24/2019
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    260.71
  • Age
    9 months ago
  • What it trades
    Futures
  • # Trades
    541
  • # Profitable
    365
  • % Profitable
    67.50%
  • Avg trade duration
    22.8 hours
  • Max peak-to-valley drawdown
    10.24%
  • drawdown period
    June 01, 2020 - June 16, 2020
  • Cumul. Return
    38.1%
  • Avg win
    $128.64
  • Avg loss
    $158.06
  • Model Account Values (Raw)
  • Cash
    $58,386
  • Margin Used
    $3,105
  • Buying Power
    $56,529
  • Ratios
  • W:L ratio
    1.69:1
  • Sharpe Ratio
    2.93
  • Sortino Ratio
    4.49
  • Calmar Ratio
    9.168
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    32.31%
  • Correlation to SP500
    -0.03330
  • Return Percent SP500 (cumu) during strategy life
    5.81%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    56.4%
  • Slump
  • Current Slump as Pcnt Equity
    5.80%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.15%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.381%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    72.6%
  • 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 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    883
  • Popularity (Last 6 weeks)
    994
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    906
  • Popularity (7 days, Percentile 1000 scale)
    909
  • 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
    $158
  • Avg Win
    $129
  • Sum Trade PL (losers)
    $27,819.000
  • AUM
  • AUM (AutoTrader num accounts)
    17
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $47,235.000
  • # Winners
    365
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    1483850
  • Win / Loss
  • # Losers
    176
  • % Winners
    67.5%
  • Frequency
  • Avg Position Time (mins)
    1367.30
  • Avg Position Time (hrs)
    22.79
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    2.96
  • Daily leverage (max)
    12.49
  • Regression
  • Alpha
    0.13
  • Beta
    -0.01
  • Treynor Index
    -11.22
  • 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)
    0.12
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    4.798
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.011
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.320
  • Hold-and-Hope Ratio
    0.219
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57336
  • SD
    0.19907
  • Sharpe ratio (Glass type estimate)
    2.88015
  • Sharpe ratio (Hedges UMVUE)
    2.55816
  • df
    7.00000
  • t
    2.35163
  • p
    0.02548
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01136
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.62794
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19099
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.30731
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.74936
  • Upside Potential Ratio
    9.18369
  • Upside part of mean
    0.67949
  • Downside part of mean
    -0.10612
  • Upside SD
    0.23790
  • Downside SD
    0.07399
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.04008
  • Mean of criterion
    0.57336
  • SD of predictor
    0.31693
  • SD of criterion
    0.19907
  • Covariance
    -0.00654
  • r
    -0.10371
  • b (slope, estimate of beta)
    -0.06515
  • a (intercept, estimate of alpha)
    0.57597
  • Mean Square Error
    0.04574
  • DF error
    6.00000
  • t(b)
    -0.25542
  • p(b)
    0.59654
  • t(a)
    2.19729
  • p(a)
    0.03518
  • Lowerbound of 95% confidence interval for beta
    -0.68925
  • Upperbound of 95% confidence interval for beta
    0.55895
  • Lowerbound of 95% confidence interval for alpha
    -0.06544
  • Upperbound of 95% confidence interval for alpha
    1.21739
  • Treynor index (mean / b)
    -8.80120
  • Jensen alpha (a)
    0.57597
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54262
  • SD
    0.19385
  • Sharpe ratio (Glass type estimate)
    2.79920
  • Sharpe ratio (Hedges UMVUE)
    2.48626
  • df
    7.00000
  • t
    2.28554
  • p
    0.02809
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06990
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.52634
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24473
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.21725
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.13734
  • Upside Potential Ratio
    8.56726
  • Upside part of mean
    0.65133
  • Downside part of mean
    -0.10871
  • Upside SD
    0.22724
  • Downside SD
    0.07603
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    -0.00666
  • Mean of criterion
    0.54262
  • SD of predictor
    0.33223
  • SD of criterion
    0.19385
  • Covariance
    -0.00666
  • r
    -0.10337
  • b (slope, estimate of beta)
    -0.06031
  • a (intercept, estimate of alpha)
    0.54222
  • Mean Square Error
    0.04337
  • DF error
    6.00000
  • t(b)
    -0.25456
  • p(b)
    0.59622
  • t(a)
    2.12578
  • p(a)
    0.03883
  • Lowerbound of 95% confidence interval for beta
    -0.64006
  • Upperbound of 95% confidence interval for beta
    0.51943
  • Lowerbound of 95% confidence interval for alpha
    -0.08192
  • Upperbound of 95% confidence interval for alpha
    1.16636
  • Treynor index (mean / b)
    -8.99683
  • Jensen alpha (a)
    0.54222
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04575
  • Expected Shortfall on VaR
    0.06760
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01202
  • Expected Shortfall on VaR
    0.02876
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.94301
  • Quartile 1
    1.03694
  • Median
    1.06019
  • Quartile 3
    1.08104
  • Maximum
    1.11897
  • Mean of quarter 1
    0.96695
  • Mean of quarter 2
    1.05463
  • Mean of quarter 3
    1.06892
  • Mean of quarter 4
    1.10993
  • Inter Quartile Range
    0.04410
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.94301
  • 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
    2.00000
  • Minimum
    0.00910
  • Quartile 1
    0.02107
  • Median
    0.03305
  • Quartile 3
    0.04502
  • Maximum
    0.05699
  • Mean of quarter 1
    0.00910
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05699
  • Inter Quartile Range
    0.02395
  • 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)
    0.69420
  • Compounded annual return (geometric extrapolation)
    0.76920
  • Calmar ratio (compounded annual return / max draw down)
    13.49660
  • Compounded annual return / average of 25% largest draw downs
    13.49660
  • Compounded annual return / Expected Shortfall lognormal
    11.37840
  • 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
    0.55405
  • SD
    0.13081
  • Sharpe ratio (Glass type estimate)
    4.23553
  • Sharpe ratio (Hedges UMVUE)
    4.21814
  • df
    183.00000
  • t
    3.54949
  • p
    0.34018
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.85133
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.60863
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83977
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.59652
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.12622
  • Upside Potential Ratio
    12.98350
  • Upside part of mean
    1.00945
  • Downside part of mean
    -0.45540
  • Upside SD
    0.11021
  • Downside SD
    0.07775
  • N nonnegative terms
    123.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    184.00000
  • Mean of predictor
    0.12872
  • Mean of criterion
    0.55405
  • SD of predictor
    0.38968
  • SD of criterion
    0.13081
  • Covariance
    -0.00215
  • r
    -0.04214
  • b (slope, estimate of beta)
    -0.01415
  • a (intercept, estimate of alpha)
    0.55600
  • Mean Square Error
    0.01718
  • DF error
    182.00000
  • t(b)
    -0.56905
  • p(b)
    0.52107
  • t(a)
    3.55382
  • p(a)
    0.37263
  • Lowerbound of 95% confidence interval for beta
    -0.06320
  • Upperbound of 95% confidence interval for beta
    0.03491
  • Lowerbound of 95% confidence interval for alpha
    0.24725
  • Upperbound of 95% confidence interval for alpha
    0.86450
  • Treynor index (mean / b)
    -39.16440
  • Jensen alpha (a)
    0.55588
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54493
  • SD
    0.13062
  • Sharpe ratio (Glass type estimate)
    4.17192
  • Sharpe ratio (Hedges UMVUE)
    4.15480
  • df
    183.00000
  • t
    3.49619
  • p
    0.34238
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.78899
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.54394
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77760
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.53200
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.93968
  • Upside Potential Ratio
    12.77760
  • Upside part of mean
    1.00334
  • Downside part of mean
    -0.45841
  • Upside SD
    0.10925
  • Downside SD
    0.07852
  • N nonnegative terms
    123.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    184.00000
  • Mean of predictor
    0.05244
  • Mean of criterion
    0.54493
  • SD of predictor
    0.39273
  • SD of criterion
    0.13062
  • Covariance
    -0.00213
  • r
    -0.04145
  • b (slope, estimate of beta)
    -0.01379
  • a (intercept, estimate of alpha)
    0.54566
  • Mean Square Error
    0.01713
  • DF error
    182.00000
  • t(b)
    -0.55972
  • p(b)
    0.52073
  • t(a)
    3.49413
  • p(a)
    0.37464
  • Lowerbound of 95% confidence interval for beta
    -0.06239
  • Upperbound of 95% confidence interval for beta
    0.03481
  • Lowerbound of 95% confidence interval for alpha
    0.23753
  • Upperbound of 95% confidence interval for alpha
    0.85378
  • Treynor index (mean / b)
    -39.52460
  • Jensen alpha (a)
    0.54566
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01113
  • Expected Shortfall on VaR
    0.01446
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00290
  • Expected Shortfall on VaR
    0.00678
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    184.00000
  • Minimum
    0.97100
  • Quartile 1
    0.99879
  • Median
    1.00193
  • Quartile 3
    1.00506
  • Maximum
    1.02924
  • Mean of quarter 1
    0.99335
  • Mean of quarter 2
    1.00052
  • Mean of quarter 3
    1.00332
  • Mean of quarter 4
    1.01169
  • Inter Quartile Range
    0.00627
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.04348
  • Mean of outliers low
    0.98043
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.07065
  • Mean of outliers high
    1.02060
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54638
  • VaR(95%) (moments method)
    0.00539
  • Expected Shortfall (moments method)
    0.01398
  • Extreme Value Index (regression method)
    0.61145
  • VaR(95%) (regression method)
    0.00536
  • Expected Shortfall (regression method)
    0.01570
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00121
  • Median
    0.00469
  • Quartile 3
    0.01996
  • Maximum
    0.08435
  • Mean of quarter 1
    0.00040
  • Mean of quarter 2
    0.00262
  • Mean of quarter 3
    0.00798
  • Mean of quarter 4
    0.04088
  • Inter Quartile Range
    0.01875
  • 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
    0.05000
  • Mean of outliers high
    0.08435
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49289
  • VaR(95%) (moments method)
    0.04797
  • Expected Shortfall (moments method)
    0.09270
  • Extreme Value Index (regression method)
    2.20749
  • VaR(95%) (regression method)
    0.04951
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.70520
  • Compounded annual return (geometric extrapolation)
    0.77329
  • Calmar ratio (compounded annual return / max draw down)
    9.16792
  • Compounded annual return / average of 25% largest draw downs
    18.91620
  • Compounded annual return / Expected Shortfall lognormal
    53.49470
  • 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
    0.39328
  • SD
    0.12693
  • Sharpe ratio (Glass type estimate)
    3.09831
  • Sharpe ratio (Hedges UMVUE)
    3.08040
  • df
    130.00000
  • t
    2.19083
  • p
    0.40565
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29531
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.88974
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28342
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.87738
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.74991
  • Upside Potential Ratio
    10.80380
  • Upside part of mean
    0.89453
  • Downside part of mean
    -0.50125
  • Upside SD
    0.09861
  • Downside SD
    0.08280
  • N nonnegative terms
    84.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02262
  • Mean of criterion
    0.39328
  • SD of predictor
    0.46010
  • SD of criterion
    0.12693
  • Covariance
    -0.00478
  • r
    -0.08191
  • b (slope, estimate of beta)
    -0.02260
  • a (intercept, estimate of alpha)
    0.39379
  • Mean Square Error
    0.01613
  • DF error
    129.00000
  • t(b)
    -0.93349
  • p(b)
    0.55209
  • t(a)
    2.19259
  • p(a)
    0.38006
  • Lowerbound of 95% confidence interval for beta
    -0.07050
  • Upperbound of 95% confidence interval for beta
    0.02530
  • Lowerbound of 95% confidence interval for alpha
    0.03845
  • Upperbound of 95% confidence interval for alpha
    0.74914
  • Treynor index (mean / b)
    -17.40310
  • Jensen alpha (a)
    0.39379
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38495
  • SD
    0.12700
  • Sharpe ratio (Glass type estimate)
    3.03110
  • Sharpe ratio (Hedges UMVUE)
    3.01358
  • df
    130.00000
  • t
    2.14331
  • p
    0.40763
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22931
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.82157
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21767
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.80948
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.60090
  • Upside Potential Ratio
    10.63260
  • Upside part of mean
    0.88963
  • Downside part of mean
    -0.50467
  • Upside SD
    0.09783
  • Downside SD
    0.08367
  • N nonnegative terms
    84.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08343
  • Mean of criterion
    0.38495
  • SD of predictor
    0.46364
  • SD of criterion
    0.12700
  • Covariance
    -0.00481
  • r
    -0.08167
  • b (slope, estimate of beta)
    -0.02237
  • a (intercept, estimate of alpha)
    0.38309
  • Mean Square Error
    0.01615
  • DF error
    129.00000
  • t(b)
    -0.93073
  • p(b)
    0.55194
  • t(a)
    2.13169
  • p(a)
    0.38324
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.06993
  • Upperbound of 95% confidence interval for beta
    0.02519
  • Lowerbound of 95% confidence interval for alpha
    0.02753
  • Upperbound of 95% confidence interval for alpha
    0.73865
  • Treynor index (mean / b)
    -17.20700
  • Jensen alpha (a)
    0.38309
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01137
  • Expected Shortfall on VaR
    0.01460
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00341
  • Expected Shortfall on VaR
    0.00777
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97100
  • Quartile 1
    0.99796
  • Median
    1.00140
  • Quartile 3
    1.00478
  • Maximum
    1.02536
  • Mean of quarter 1
    0.99295
  • Mean of quarter 2
    1.00007
  • Mean of quarter 3
    1.00310
  • Mean of quarter 4
    1.01036
  • Inter Quartile Range
    0.00682
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97788
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.02018
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78548
  • VaR(95%) (moments method)
    0.00776
  • Expected Shortfall (moments method)
    0.03712
  • Extreme Value Index (regression method)
    0.84784
  • VaR(95%) (regression method)
    0.00569
  • Expected Shortfall (regression method)
    0.03297
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00108
  • Median
    0.00473
  • Quartile 3
    0.01821
  • Maximum
    0.08435
  • Mean of quarter 1
    0.00038
  • Mean of quarter 2
    0.00318
  • Mean of quarter 3
    0.01011
  • Mean of quarter 4
    0.05041
  • Inter Quartile Range
    0.01713
  • 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
    0.07692
  • Mean of outliers high
    0.08435
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.23642
  • VaR(95%) (moments method)
    0.04408
  • Expected Shortfall (moments method)
    0.05544
  • Extreme Value Index (regression method)
    0.61745
  • VaR(95%) (regression method)
    0.07764
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.22318
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -262190000
  • Max Equity Drawdown (num days)
    15
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45857
  • Compounded annual return (geometric extrapolation)
    0.51114
  • Calmar ratio (compounded annual return / max draw down)
    6.05986
  • Compounded annual return / average of 25% largest draw downs
    10.13900
  • Compounded annual return / Expected Shortfall lognormal
    35.00160

Strategy Description

C2STAR attempt. Completely discretionary.

Summary Statistics

Strategy began
2019-10-24
Suggested Minimum Capital
$60,000
Rank at C2 %
Top 9.4%
Rank # 
#59
# Trades
541
# Profitable
365
% Profitable
67.5%
Correlation S&P500
-0.033
Sharpe Ratio
2.93
Sortino Ratio
4.49
Beta
-0.01
Alpha
0.13
Leverage
2.96 Average
12.49 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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