Star sp500
(135282700)
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.
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  (1%)  (0.5%)  +8.1%  (1.2%)  (0.2%)  +8.0%  +13.3% 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $50,000  
Buy Power  $45,075  
Cash  $53,665  
Equity  $4,850  
Cumulative $  $8,515  
Total System Equity  $58,515  
Margined  $13,440  
Open P/L  $4,850 
Trading Record
Statistics

Strategy began4/23/2021

Suggested Minimum Cap$60,000

Strategy Age (days)149.88

Age150 days ago

What it tradesFutures

# Trades111

# Profitable58

% Profitable52.30%

Avg trade duration13.7 hours

Max peaktovalley drawdown7.36%

drawdown periodAug 12, 2021  Aug 31, 2021

Cumul. Return13.3%

Avg win$347.93

Avg loss$220.09
 Model Account Values (Raw)

Cash$53,665

Margin Used$13,440

Buying Power$45,075
 Ratios

W:L ratio1.73:1

Sharpe Ratio1.73

Sortino Ratio3

Calmar Ratio8.925
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)7.26%

Correlation to SP5000.10220

Return Percent SP500 (cumu) during strategy life6.05%
 Verified

C2Star2
 Return Statistics

Ann Return (w trading costs)34.8%
 Slump

Current Slump as Pcnt Equityn/a
 Instruments

Percent Trades Futures1.00%
 Slump

Current Slump, time of slump as pcnt of strategy lifen/a
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.133%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocksn/a

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)47.3%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss0.50%

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 Automated92.51%
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)683

Popularity (Last 6 weeks)721
 Trading Style

Any stock shorts? 0/10
 Popularity

Popularity (7 days, Percentile 1000 scale)692
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$220

Avg Win$351

Sum Trade PL (losers)$11,665.000
 Age

Num Months filled monthly returns table6
 Win / Loss

Sum Trade PL (winners)$20,355.000

# Winners58

Num Months Winners2
 Dividends

Dividends Received in Model Acct0
 Win / Loss

# Losers53

% Winners52.2%
 Frequency

Avg Position Time (mins)817.23

Avg Position Time (hrs)13.62

Avg Trade Length0.6 days

Last Trade Ago4
 Leverage

Daily leverage (average)3.03

Daily leverage (max)14.50
 Regression

Alpha0.09

Beta0.15

Treynor Index0.57
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)1.87

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades20.244

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 trades0.417

Avg(MAE) / Avg(PL)  Losing trades1.439

HoldandHope Ratio0.045
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.19617

SD0.16709

Sharpe ratio (Glass type estimate)1.17403

Sharpe ratio (Hedges UMVUE)0.84953

df3.00000

t0.67783

p0.27324

Lowerbound of 95% confidence interval for Sharpe Ratio2.42212

Upperbound of 95% confidence interval for Sharpe Ratio4.59930

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.61261

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.31167
 Statistics related to Sortino ratio

Sortino ratio5.50874

Upside Potential Ratio7.91541

Upside part of mean0.28187

Downside part of mean0.08570

Upside SD0.15126

Downside SD0.03561

N nonnegative terms2.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations4.00000

Mean of predictor0.20249

Mean of criterion0.19617

SD of predictor0.04799

SD of criterion0.16709

Covariance0.00183

r0.22848

b (slope, estimate of beta)0.79548

a (intercept, estimate of alpha)0.35725

Mean Square Error0.03969

DF error2.00000

t(b)0.33189

p(b)0.61424

t(a)0.59991

p(a)0.30474

Lowerbound of 95% confidence interval for beta11.10810

Upperbound of 95% confidence interval for beta9.51714

Lowerbound of 95% confidence interval for alpha2.20502

Upperbound of 95% confidence interval for alpha2.91953

Treynor index (mean / b)0.24661

Jensen alpha (a)0.35725
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.18431

SD0.16084

Sharpe ratio (Glass type estimate)1.14591

Sharpe ratio (Hedges UMVUE)0.82918

df3.00000

t0.66159

p0.27775

Lowerbound of 95% confidence interval for Sharpe Ratio2.44309

Upperbound of 95% confidence interval for Sharpe Ratio4.56748

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.62980

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.28816
 Statistics related to Sortino ratio

Sortino ratio5.14799

Upside Potential Ratio7.55408

Upside part of mean0.27045

Downside part of mean0.08614

Upside SD0.14474

Downside SD0.03580

N nonnegative terms2.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations4.00000

Mean of predictor0.19951

Mean of criterion0.18431

SD of predictor0.04712

SD of criterion0.16084

Covariance0.00177

r0.23392

b (slope, estimate of beta)0.79852

a (intercept, estimate of alpha)0.34362

Mean Square Error0.03668

DF error2.00000

t(b)0.34026

p(b)0.61696

t(a)0.59883

p(a)0.30504

Lowerbound of 95% confidence interval for beta10.89600

Upperbound of 95% confidence interval for beta9.29896

Lowerbound of 95% confidence interval for alpha2.12530

Upperbound of 95% confidence interval for alpha2.81254

Treynor index (mean / b)0.23081

Jensen alpha (a)0.34362
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05919

Expected Shortfall on VaR0.07713
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01652

Expected Shortfall on VaR0.02424
 ORDER STATISTICS
 Quartiles of return rates

Number of observations4.00000

Minimum0.98534

Quartile 10.98940

Median0.99999

Quartile 31.02927

Maximum1.08938

Mean of quarter 10.98534

Mean of quarter 20.99075

Mean of quarter 31.00923

Mean of quarter 41.08938

Inter Quartile Range0.03987

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.25000

Mean of outliers high1.08938
 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

Minimum0.02378

Quartile 10.02378

Median0.02378

Quartile 30.02378

Maximum0.02378

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)0.21990

Compounded annual return (geometric extrapolation)0.23641

Calmar ratio (compounded annual return / max draw down)9.94343

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

Compounded annual return / Expected Shortfall lognormal3.06516

0.00000

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

Mean0.39183

SD0.15540

Sharpe ratio (Glass type estimate)2.52144

Sharpe ratio (Hedges UMVUE)2.50286

df102.00000

t1.58095

p0.42267

Lowerbound of 95% confidence interval for Sharpe Ratio0.62961

Upperbound of 95% confidence interval for Sharpe Ratio5.66037

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.64189

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.64760
 Statistics related to Sortino ratio

Sortino ratio4.67928

Upside Potential Ratio12.19060

Upside part of mean1.02080

Downside part of mean0.62897

Upside SD0.13224

Downside SD0.08374

N nonnegative terms44.00000

N negative terms59.00000
 Statistics related to linear regression on benchmark

N of observations103.00000

Mean of predictor0.12688

Mean of criterion0.39183

SD of predictor0.10412

SD of criterion0.15540

Covariance0.00110

r0.06782

b (slope, estimate of beta)0.10122

a (intercept, estimate of alpha)0.40500

Mean Square Error0.02428

DF error101.00000

t(b)0.68314

p(b)0.75196

t(a)1.62385

p(a)0.05376

Lowerbound of 95% confidence interval for beta0.39514

Upperbound of 95% confidence interval for beta0.19271

Lowerbound of 95% confidence interval for alpha0.08968

Upperbound of 95% confidence interval for alpha0.89902

Treynor index (mean / b)3.87106

Jensen alpha (a)0.40467
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.37962

SD0.15466

Sharpe ratio (Glass type estimate)2.45459

Sharpe ratio (Hedges UMVUE)2.43650

df102.00000

t1.53903

p0.42468

Lowerbound of 95% confidence interval for Sharpe Ratio0.69531

Upperbound of 95% confidence interval for Sharpe Ratio5.59268

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.70727

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.58026
 Statistics related to Sortino ratio

Sortino ratio4.49594

Upside Potential Ratio11.98620

Upside part of mean1.01207

Downside part of mean0.63245

Upside SD0.13080

Downside SD0.08444

N nonnegative terms44.00000

N negative terms59.00000
 Statistics related to linear regression on benchmark

N of observations103.00000

Mean of predictor0.12147

Mean of criterion0.37962

SD of predictor0.10416

SD of criterion0.15466

Covariance0.00108

r0.06720

b (slope, estimate of beta)0.09978

a (intercept, estimate of alpha)0.39174

Mean Square Error0.02405

DF error101.00000

t(b)0.67693

p(b)0.75000

t(a)1.57981

p(a)0.05864

Lowerbound of 95% confidence interval for beta0.39220

Upperbound of 95% confidence interval for beta0.19263

Lowerbound of 95% confidence interval for alpha0.10016

Upperbound of 95% confidence interval for alpha0.88365

Treynor index (mean / b)3.80442

Jensen alpha (a)0.39174
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01417

Expected Shortfall on VaR0.01809
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00600

Expected Shortfall on VaR0.01181
 ORDER STATISTICS
 Quartiles of return rates

Number of observations103.00000

Minimum0.97087

Quartile 10.99708

Median1.00000

Quartile 31.00476

Maximum1.03056

Mean of quarter 10.99150

Mean of quarter 20.99923

Mean of quarter 31.00165

Mean of quarter 41.01403

Inter Quartile Range0.00768

Number outliers low3.00000

Percentage of outliers low0.02913

Mean of outliers low0.97967

Number of outliers high10.00000

Percentage of outliers high0.09709

Mean of outliers high1.02340
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.23584

VaR(95%) (moments method)0.00745

Expected Shortfall (moments method)0.00936

Extreme Value Index (regression method)0.13364

VaR(95%) (regression method)0.00886

Expected Shortfall (regression method)0.01359
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00294

Quartile 10.01264

Median0.02163

Quartile 30.04651

Maximum0.05637

Mean of quarter 10.00645

Mean of quarter 20.02066

Mean of quarter 30.02260

Mean of quarter 40.05542

Inter Quartile Range0.03387

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)0.44199

Compounded annual return (geometric extrapolation)0.50310

Calmar ratio (compounded annual return / max draw down)8.92473

Compounded annual return / average of 25% largest draw downs9.07739

Compounded annual return / Expected Shortfall lognormal27.81400
 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)0.01400
 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 Negative0.50%

Strat Max DD how much worse than SP500 max DD during strat life?307392000

Max Equity Drawdown (num days)19
Strategy Description
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.
Not available
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Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
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To make this strategy private, you need to first withdraw from C2Star program.
Strategy is no longer visible
This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
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You can restore public visibility at any time.
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.