Only 4 days
(135117731)
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.
Currencies
Focuses on currency futures.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2021  +4.4%    +2.2%  +3.0%  +0.4%  (2.7%)  +7.4% 
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.
Started  $50,000  
Buy Power  $48,659  
Cash  $55,049  
Equity  ($425)  
Cumulative $  $4,623  
Total System Equity  $54,623  
Margined  $5,964  
Open P/L  ($425) 
Trading Record
Statistics

Strategy began4/13/2021

Suggested Minimum Cap$50,000

Strategy Age (days)159.92

Age160 days ago

What it tradesForex

# Trades208

# Profitable140

% Profitable67.30%

Avg trade duration1.2 days

Max peaktovalley drawdown6.11%

drawdown periodJuly 23, 2021  Sept 10, 2021

Cumul. Return7.4%

Avg win$167.40

Avg loss$276.65
 Model Account Values (Raw)

Cash$55,049

Margin Used$5,964

Buying Power$48,659
 Ratios

W:L ratio1.25:1

Sharpe Ratio1.09

Sortino Ratio1.71

Calmar Ratio4.28
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)0.33%

Correlation to SP5000.03920

Return Percent SP500 (cumu) during strategy life7.04%
 Verified

C2Star1
 Return Statistics

Ann Return (w trading costs)17.3%
 Slump

Current Slump as Pcnt Equity5.40%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.36%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.074%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocksn/a

Percent Trades Forex1.00%
 Return Statistics

Ann Return (Compnd, No Fees)22.2%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss4.00%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/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 Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)826
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score175

Popularity (7 days, Percentile 1000 scale)409
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$277

Avg Win$167

Sum Trade PL (losers)$18,807.000
 Age

Num Months filled monthly returns table6
 Win / Loss

Sum Trade PL (winners)$23,436.000

# Winners140

Num Months Winners4
 Dividends

Dividends Received in Model Acct0
 Win / Loss

# Losers68

% Winners67.3%
 Frequency

Avg Position Time (mins)1755.65

Avg Position Time (hrs)29.26

Avg Trade Length1.2 days

Last Trade Ago0
 Leverage

Daily leverage (average)3.49

Daily leverage (max)8.65
 Regression

Alpha0.05

Beta0.05

Treynor Index0.95
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)3.36

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades9.994

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.867

Avg(MAE) / Avg(PL)  Losing trades1.183

HoldandHope Ratio0.103
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.17858

SD0.08868

Sharpe ratio (Glass type estimate)2.01371

Sharpe ratio (Hedges UMVUE)1.60671

df4.00000

t1.29984

p0.13175

Lowerbound of 95% confidence interval for Sharpe Ratio1.40688

Upperbound of 95% confidence interval for Sharpe Ratio5.23641

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.62734

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.84076
 Statistics related to Sortino ratio

Sortino ratio9.36669

Upside Potential Ratio10.91590

Upside part of mean0.20812

Downside part of mean0.02954

Upside SD0.09266

Downside SD0.01907

N nonnegative terms4.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.15738

Mean of criterion0.17858

SD of predictor0.06096

SD of criterion0.08868

Covariance0.00234

r0.43234

b (slope, estimate of beta)0.62900

a (intercept, estimate of alpha)0.27758

Mean Square Error0.00853

DF error3.00000

t(b)0.83045

p(b)0.76640

t(a)1.49069

p(a)0.11642

Lowerbound of 95% confidence interval for beta3.03943

Upperbound of 95% confidence interval for beta1.78144

Lowerbound of 95% confidence interval for alpha0.31501

Upperbound of 95% confidence interval for alpha0.87016

Treynor index (mean / b)0.28392

Jensen alpha (a)0.27758
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.17385

SD0.08642

Sharpe ratio (Glass type estimate)2.01183

Sharpe ratio (Hedges UMVUE)1.60521

df4.00000

t1.29863

p0.13194

Lowerbound of 95% confidence interval for Sharpe Ratio1.40820

Upperbound of 95% confidence interval for Sharpe Ratio5.23401

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.62849

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.83890
 Statistics related to Sortino ratio

Sortino ratio9.08365

Upside Potential Ratio10.63280

Upside part of mean0.20350

Downside part of mean0.02965

Upside SD0.09015

Downside SD0.01914

N nonnegative terms4.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.15455

Mean of criterion0.17385

SD of predictor0.06015

SD of criterion0.08642

Covariance0.00222

r0.42618

b (slope, estimate of beta)0.61229

a (intercept, estimate of alpha)0.26848

Mean Square Error0.00815

DF error3.00000

t(b)0.81599

p(b)0.76287

t(a)1.47784

p(a)0.11799

Lowerbound of 95% confidence interval for beta3.00031

Upperbound of 95% confidence interval for beta1.77572

Lowerbound of 95% confidence interval for alpha0.30968

Upperbound of 95% confidence interval for alpha0.84665

Treynor index (mean / b)0.28394

Jensen alpha (a)0.26848
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02620

Expected Shortfall on VaR0.03625
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00280

Expected Shortfall on VaR0.00694
 ORDER STATISTICS
 Quartiles of return rates

Number of observations5.00000

Minimum0.99002

Quartile 11.00551

Median1.01255

Quartile 31.01929

Maximum1.05868

Mean of quarter 10.99777

Mean of quarter 21.01255

Mean of quarter 31.01929

Mean of quarter 41.05868

Inter Quartile Range0.01378

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.20000

Mean of outliers high1.05868
 Risk estimates for a oneperiod 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 observations1.00000

Minimum0.00998

Quartile 10.00998

Median0.00998

Quartile 30.00998

Maximum0.00998

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.21048

Compounded annual return (geometric extrapolation)0.22356

Calmar ratio (compounded annual return / max draw down)22.40350

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal6.16660

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.18069

SD0.11844

Sharpe ratio (Glass type estimate)1.52561

Sharpe ratio (Hedges UMVUE)1.51546

df113.00000

t1.00634

p0.44009

Lowerbound of 95% confidence interval for Sharpe Ratio1.45568

Upperbound of 95% confidence interval for Sharpe Ratio4.50022

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.46240

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.49332
 Statistics related to Sortino ratio

Sortino ratio2.40062

Upside Potential Ratio10.96680

Upside part of mean0.82545

Downside part of mean0.64476

Upside SD0.09145

Downside SD0.07527

N nonnegative terms63.00000

N negative terms51.00000
 Statistics related to linear regression on benchmark

N of observations114.00000

Mean of predictor0.13381

Mean of criterion0.18069

SD of predictor0.10443

SD of criterion0.11844

Covariance0.00023

r0.01879

b (slope, estimate of beta)0.02131

a (intercept, estimate of alpha)0.18400

Mean Square Error0.01415

DF error112.00000

t(b)0.19886

p(b)0.50939

t(a)1.01466

p(a)0.45228

Lowerbound of 95% confidence interval for beta0.23360

Upperbound of 95% confidence interval for beta0.19098

Lowerbound of 95% confidence interval for alpha0.17487

Upperbound of 95% confidence interval for alpha0.54195

Treynor index (mean / b)8.48038

Jensen alpha (a)0.18354
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.17368

SD0.11820

Sharpe ratio (Glass type estimate)1.46935

Sharpe ratio (Hedges UMVUE)1.45958

df113.00000

t0.96923

p0.44227

Lowerbound of 95% confidence interval for Sharpe Ratio1.51131

Upperbound of 95% confidence interval for Sharpe Ratio4.44363

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.51780

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.43696
 Statistics related to Sortino ratio

Sortino ratio2.29418

Upside Potential Ratio10.84780

Upside part of mean0.82122

Downside part of mean0.64754

Upside SD0.09073

Downside SD0.07570

N nonnegative terms63.00000

N negative terms51.00000
 Statistics related to linear regression on benchmark

N of observations114.00000

Mean of predictor0.12836

Mean of criterion0.17368

SD of predictor0.10446

SD of criterion0.11820

Covariance0.00023

r0.01898

b (slope, estimate of beta)0.02148

a (intercept, estimate of alpha)0.17644

Mean Square Error0.01409

DF error112.00000

t(b)0.20089

p(b)0.50949

t(a)0.97759

p(a)0.45401

Lowerbound of 95% confidence interval for beta0.23328

Upperbound of 95% confidence interval for beta0.19033

Lowerbound of 95% confidence interval for alpha0.18116

Upperbound of 95% confidence interval for alpha0.53403

Treynor index (mean / b)8.08750

Jensen alpha (a)0.17644
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01128

Expected Shortfall on VaR0.01429
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00533

Expected Shortfall on VaR0.01014
 ORDER STATISTICS
 Quartiles of return rates

Number of observations114.00000

Minimum0.97882

Quartile 10.99624

Median1.00117

Quartile 31.00473

Maximum1.02901

Mean of quarter 10.99191

Mean of quarter 20.99873

Mean of quarter 31.00297

Mean of quarter 41.00958

Inter Quartile Range0.00849

Number outliers low1.00000

Percentage of outliers low0.00877

Mean of outliers low0.97882

Number of outliers high2.00000

Percentage of outliers high0.01754

Mean of outliers high1.02642
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.40948

VaR(95%) (moments method)0.00813

Expected Shortfall (moments method)0.00950

Extreme Value Index (regression method)0.05387

VaR(95%) (regression method)0.00837

Expected Shortfall (regression method)0.01094
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.00201

Quartile 10.00814

Median0.01414

Quartile 30.01962

Maximum0.05218

Mean of quarter 10.00498

Mean of quarter 20.01147

Mean of quarter 30.01720

Mean of quarter 40.04044

Inter Quartile Range0.01148

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.11111

Mean of outliers high0.05218
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.39882

VaR(95%) (moments method)0.03963

Expected Shortfall (moments method)0.04129

Extreme Value Index (regression method)0.37277

VaR(95%) (regression method)0.05937

Expected Shortfall (regression method)0.10786
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.21069

Compounded annual return (geometric extrapolation)0.22334

Calmar ratio (compounded annual return / max draw down)4.28017

Compounded annual return / average of 25% largest draw downs5.52330

Compounded annual return / Expected Shortfall lognormal15.62570
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess log return rates
 Statistics related to linear regression on benchmark

VAR (95 Confidence Intrvl)0.01100
 DRAW DOWN STATISTICS
 Risk estimates based on draw downs (based on Extreme Value T
 assuming Pareto losses only (using partial moments from Sortino statistics)

Last 4 Months  Pcnt Negative0.25%

Strat Max DD how much worse than SP500 max DD during strat life?314150000

Max Equity Drawdown (num days)49
Strategy Description
The system uses three tactics:
1. It focuses on 10 intercorrelated pairs. During backtesting, we found that when fitted together, these pairs form a chain that is easier to analyze and exploit, improving our win/loss ratio.
2. The second tactic is to cut losses quickly and take profits slowly.
3. The third tactic is to avoid active trading on Fridays. Trades that have drawdowns may be carried over to Fridays or even to the following week, but there is a deliberate effort to limit the holding period and only have active positions during the first four days of the week.
Summary as follows:
Mainly take advantage of short term trends;
Swing trading tactics (between 14 days);
Mostly avoid active trading on Fridays;
No trade immediately before or during major news events;
Mandatory stop loss of 89 pips maximum on each trade;
Maximum 25 open positions at any given time;
Manual trade entries.
Please note that our trading decisions are based on quantitative models that we developed ourselves. Our approach is rulesbased, systematic, mechanical and nondiscretionary.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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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Strategy is now visible
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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.