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These are hypothetical performance results that have certain inherent limitations. Learn more

Commodity spreads
(138001531)

Created by: Druid Druid
Started: 10/2021
Futures
Last trade: 603 days ago
Trading style: Futures Momentum Commodities
Subscriptions not currently available.

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 $500.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
18.1%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(37.8%)
Max Drawdown
26
Num Trades
65.4%
Win Trades
1.6 : 1
Profit Factor
13.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                               (0.5%)+17.0%+20.4%+40.2%
2022(3.7%)(4.3%)(5.7%)(14.1%)(1.1%)+76.7%+7.2%(24%)  -    -    -    -  +6.3%
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/23/22 8:08 @SMQ2 SOYBEAN MEAL LONG 1 421.1 8/4 20:00 503.9 2.28%
Trade id #140561963
Max drawdown($2,320)
Time6/15/22 0:00
Quant open1
Worst price397.9
Drawdown as % of equity-2.28%
$8,272
Includes Typical Broker Commissions trade costs of $8.00
5/23/22 8:09 @OU2 Oats SHORT 2 597 3/4 8/4 20:00 418 3/4 5.75%
Trade id #140561976
Max drawdown($5,950)
Time5/31/22 0:00
Quant open2
Worst price657 1/4
Drawdown as % of equity-5.75%
$17,884
Includes Typical Broker Commissions trade costs of $16.00
5/23/22 8:09 @RRU2 Rough Rice LONG 1 17.610 8/4 20:00 17.185 1.63%
Trade id #140561978
Max drawdown($3,120)
Time7/6/22 0:00
Quant open1
Worst price16.050
Drawdown as % of equity-1.63%
($858)
Includes Typical Broker Commissions trade costs of $8.00
5/23/22 8:10 @BOQ2 SOYBEAN OIL SHORT 3 78.61 8/4 20:00 67.48 5.03%
Trade id #140561981
Max drawdown($4,980)
Time6/8/22 0:00
Quant open3
Worst price81.38
Drawdown as % of equity-5.03%
$20,016
Includes Typical Broker Commissions trade costs of $24.00
5/23/22 8:10 @SQ2 SOYBEANS LONG 1 1643 3/4 8/4 20:00 1612 1/4 5.94%
Trade id #140561985
Max drawdown($11,800)
Time7/22/22 0:00
Quant open1
Worst price1407 3/4
Drawdown as % of equity-5.94%
($1,583)
Includes Typical Broker Commissions trade costs of $8.00
4/5/22 7:39 @SN2 SOYBEANS LONG 1 1603 1/4 5/17 13:42 1678 3/4 1.18%
Trade id #140027193
Max drawdown($1,262)
Time5/9/22 0:00
Quant open1
Worst price1578
Drawdown as % of equity-1.18%
$3,767
Includes Typical Broker Commissions trade costs of $8.00
4/5/22 7:38 @BON2 SOYBEAN OIL SHORT 2 71.28 5/17 13:41 83.78 18.77%
Trade id #140027181
Max drawdown($19,644)
Time4/29/22 0:00
Quant open2
Worst price87.65
Drawdown as % of equity-18.77%
($15,016)
Includes Typical Broker Commissions trade costs of $16.00
4/5/22 7:38 @RRN2 Rough Rice LONG 2 16.520 5/17 13:41 17.500 2%
Trade id #140027164
Max drawdown($2,340)
Time4/11/22 0:00
Quant open2
Worst price15.935
Drawdown as % of equity-2.00%
$3,904
Includes Typical Broker Commissions trade costs of $16.00
4/5/22 7:37 @ON2 Oats SHORT 2 712 5/17 13:41 655 2/4 5.1%
Trade id #140027154
Max drawdown($5,800)
Time4/12/22 0:00
Quant open2
Worst price770
Drawdown as % of equity-5.10%
$5,634
Includes Typical Broker Commissions trade costs of $16.00
4/5/22 7:37 @SMN2 SOYBEAN MEAL LONG 1 451.4 5/17 13:41 410.8 5.41%
Trade id #140027147
Max drawdown($5,640)
Time5/12/22 0:00
Quant open1
Worst price395.0
Drawdown as % of equity-5.41%
($4,068)
Includes Typical Broker Commissions trade costs of $8.00
4/5/22 7:40 @BOK2 SOYBEAN OIL SHORT 1 73.07 5/13 15:03 88.28 10.51%
Trade id #140027202
Max drawdown($10,998)
Time4/29/22 0:00
Quant open1
Worst price91.40
Drawdown as % of equity-10.51%
($9,134)
Includes Typical Broker Commissions trade costs of $8.00
12/23/21 8:43 @OH2 Oats SHORT 4 693 3/4 4/1/22 11:42 697 2/4 6.12%
Trade id #138677583
Max drawdown($8,575)
Time2/10/22 0:00
Quant open2
Worst price779 2/4
Drawdown as % of equity-6.12%
($782)
Includes Typical Broker Commissions trade costs of $32.00
12/23/21 8:43 @SMH2 SOYBEAN MEAL LONG 2 396.4 3/14/22 15:19 458.6 1.27%
Trade id #138677586
Max drawdown($1,800)
Time1/24/22 0:00
Quant open2
Worst price387.4
Drawdown as % of equity-1.27%
$12,424
Includes Typical Broker Commissions trade costs of $16.00
12/23/21 8:45 @RRH2 Rough Rice LONG 1 14.130 3/14/22 15:17 15.470 0.04%
Trade id #138677597
Max drawdown($60)
Time1/12/22 0:00
Quant open1
Worst price14.100
Drawdown as % of equity-0.04%
$2,672
Includes Typical Broker Commissions trade costs of $8.00
12/23/21 8:46 @SH2 SOYBEANS LONG 1 1331 1/4 3/13/22 15:16 1705 n/a $18,680
Includes Typical Broker Commissions trade costs of $8.00
12/23/21 8:44 @BOH2 SOYBEAN OIL SHORT 3 54.72 3/13/22 15:15 81.78 40.88%
Trade id #138677591
Max drawdown($51,876)
Time3/9/22 0:00
Quant open3
Worst price83.54
Drawdown as % of equity-40.88%
($48,732)
Includes Typical Broker Commissions trade costs of $24.00
11/17/21 10:18 @SF2 SOYBEANS LONG 1 1286 2/4 12/21 9:33 1295 2/4 3.4%
Trade id #138226931
Max drawdown($3,612)
Time11/30/21 0:00
Quant open1
Worst price1214 1/4
Drawdown as % of equity-3.40%
$442
Includes Typical Broker Commissions trade costs of $8.00
11/17/21 10:16 @RRF2 Rough Rice LONG 1 14.370 12/21 9:33 13.640 1.17%
Trade id #138226898
Max drawdown($1,540)
Time12/15/21 0:00
Quant open1
Worst price13.600
Drawdown as % of equity-1.17%
($1,468)
Includes Typical Broker Commissions trade costs of $8.00
11/17/21 10:16 @BOF2 SOYBEAN OIL SHORT 3 59.93 12/21 9:33 53.96 3.48%
Trade id #138226872
Max drawdown($3,684)
Time11/24/21 0:00
Quant open3
Worst price61.98
Drawdown as % of equity-3.48%
$10,728
Includes Typical Broker Commissions trade costs of $24.00
11/17/21 10:15 @SMF2 SOYBEAN MEAL LONG 2 373.4 12/21 9:33 385.9 6.65%
Trade id #138226821
Max drawdown($7,060)
Time11/30/21 0:00
Quant open2
Worst price338.1
Drawdown as % of equity-6.65%
$2,484
Includes Typical Broker Commissions trade costs of $16.00
11/17/21 10:14 @OH2 Oats SHORT 4 732 2/4 12/21 9:33 672 1/4 8.4%
Trade id #138226813
Max drawdown($9,100)
Time11/22/21 0:00
Quant open4
Worst price778
Drawdown as % of equity-8.40%
$12,018
Includes Typical Broker Commissions trade costs of $32.00
11/8/21 9:17 @SMZ1 SOYBEAN MEAL LONG 2 331.1 11/15 9:55 371.7 0.22%
Trade id #138112460
Max drawdown($220)
Time11/8/21 9:38
Quant open2
Worst price330.0
Drawdown as % of equity-0.22%
$8,104
Includes Typical Broker Commissions trade costs of $16.00
11/2/21 8:58 @OZ1 Oats SHORT 4 747 2/4 11/15 9:55 733 2/4 0.65%
Trade id #138040302
Max drawdown($650)
Time11/2/21 9:30
Quant open2
Worst price776 2/4
Drawdown as % of equity-0.65%
$2,768
Includes Typical Broker Commissions trade costs of $32.00
11/2/21 8:56 @RRF2 Rough Rice LONG 1 13.550 11/15 9:55 14.110 1.09%
Trade id #138040293
Max drawdown($1,090)
Time11/2/21 10:26
Quant open1
Worst price13.005
Drawdown as % of equity-1.09%
$1,112
Includes Typical Broker Commissions trade costs of $8.00
11/1/21 20:00 @BOZ1 SOYBEAN OIL SHORT 3 61.93 11/15 9:55 58.01 0.9%
Trade id #138036247
Max drawdown($912)
Time11/3/21 0:00
Quant open3
Worst price62.44
Drawdown as % of equity-0.90%
$7,038
Includes Typical Broker Commissions trade costs of $24.00
11/1/21 20:00 @SF2 SOYBEANS LONG 2 1251 1/4 11/15 9:55 1226 1/4 6.29%
Trade id #138036244
Max drawdown($6,412)
Time11/8/21 0:00
Quant open2
Worst price1187
Drawdown as % of equity-6.29%
($2,516)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    10/29/2021
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    874.81
  • Age
    29 months ago
  • What it trades
    Futures
  • # Trades
    26
  • # Profitable
    17
  • % Profitable
    65.40%
  • Avg trade duration
    48.8 days
  • Max peak-to-valley drawdown
    37.83%
  • drawdown period
    Jan 17, 2022 - June 07, 2022
  • Annual Return (Compounded)
    18.1%
  • Avg win
    $8,131
  • Avg loss
    $9,336
  • Model Account Values (Raw)
  • Cash
    $154,198
  • Margin Used
    $0
  • Buying Power
    $154,198
  • Ratios
  • W:L ratio
    1.64:1
  • Sharpe Ratio
    0.49
  • Sortino Ratio
    1.06
  • Calmar Ratio
    1.501
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    35.21%
  • Correlation to SP500
    -0.11260
  • Return Percent SP500 (cumu) during strategy life
    14.09%
  • Return Statistics
  • Ann Return (w trading costs)
    18.1%
  • Slump
  • Current Slump as Pcnt Equity
    38.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.68%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.180%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    19.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.00%
  • Chance of 20% account loss
    31.00%
  • Chance of 30% account loss
    11.50%
  • Chance of 40% account loss
    3.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $9,337
  • Avg Win
    $8,131
  • Sum Trade PL (losers)
    $84,029.000
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $138,227.000
  • # Winners
    17
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    9
  • % Winners
    65.4%
  • Frequency
  • Avg Position Time (mins)
    70301.10
  • Avg Position Time (hrs)
    1171.69
  • Avg Trade Length
    48.8 days
  • Last Trade Ago
    596
  • Leverage
  • Daily leverage (average)
    2.73
  • Daily leverage (max)
    4.74
  • Regression
  • Alpha
    0.06
  • Beta
    -0.21
  • Treynor Index
    -0.27
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.59
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.11
  • Avg(MAE) / Avg(PL) - All trades
    4.800
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.425
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.423
  • Hold-and-Hope Ratio
    0.208
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.74012
  • SD
    1.00161
  • Sharpe ratio (Glass type estimate)
    0.73893
  • Sharpe ratio (Hedges UMVUE)
    0.68717
  • df
    11.00000
  • t
    0.73893
  • p
    0.23771
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.26076
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70637
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29371
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66806
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.77890
  • Upside Potential Ratio
    4.84796
  • Upside part of mean
    1.29118
  • Downside part of mean
    -0.55106
  • Upside SD
    0.94569
  • Downside SD
    0.26633
  • N nonnegative terms
    3.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.01300
  • Mean of criterion
    0.74012
  • SD of predictor
    0.22112
  • SD of criterion
    1.00161
  • Covariance
    -0.01810
  • r
    -0.08174
  • b (slope, estimate of beta)
    -0.37024
  • a (intercept, estimate of alpha)
    0.73530
  • Mean Square Error
    1.09617
  • DF error
    10.00000
  • t(b)
    -0.25934
  • p(b)
    0.59968
  • t(a)
    0.70220
  • p(a)
    0.24929
  • Lowerbound of 95% confidence interval for beta
    -3.55124
  • Upperbound of 95% confidence interval for beta
    2.81076
  • Lowerbound of 95% confidence interval for alpha
    -1.59788
  • Upperbound of 95% confidence interval for alpha
    3.06849
  • Treynor index (mean / b)
    -1.99900
  • Jensen alpha (a)
    0.73530
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40516
  • SD
    0.77397
  • Sharpe ratio (Glass type estimate)
    0.52348
  • Sharpe ratio (Hedges UMVUE)
    0.48682
  • df
    11.00000
  • t
    0.52348
  • p
    0.30551
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45993
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.48377
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48367
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.45731
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.39085
  • Upside Potential Ratio
    3.41508
  • Upside part of mean
    0.99483
  • Downside part of mean
    -0.58967
  • Upside SD
    0.69133
  • Downside SD
    0.29130
  • N nonnegative terms
    3.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.03567
  • Mean of criterion
    0.40516
  • SD of predictor
    0.22338
  • SD of criterion
    0.77397
  • Covariance
    -0.00115
  • r
    -0.00667
  • b (slope, estimate of beta)
    -0.02310
  • a (intercept, estimate of alpha)
    0.40434
  • Mean Square Error
    0.65891
  • DF error
    10.00000
  • t(b)
    -0.02108
  • p(b)
    0.50820
  • t(a)
    0.49754
  • p(a)
    0.31478
  • Lowerbound of 95% confidence interval for beta
    -2.46435
  • Upperbound of 95% confidence interval for beta
    2.41816
  • Lowerbound of 95% confidence interval for alpha
    -1.40641
  • Upperbound of 95% confidence interval for alpha
    2.21508
  • Treynor index (mean / b)
    -17.54210
  • Jensen alpha (a)
    0.40434
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.28376
  • Expected Shortfall on VaR
    0.34544
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13267
  • Expected Shortfall on VaR
    0.21661
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.79017
  • Quartile 1
    0.94065
  • Median
    0.98457
  • Quartile 3
    1.03604
  • Maximum
    1.90389
  • Mean of quarter 1
    0.86656
  • Mean of quarter 2
    0.95674
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.43272
  • Inter Quartile Range
    0.09539
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.79017
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.57701
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.68263
  • VaR(95%) (moments method)
    0.15110
  • Expected Shortfall (moments method)
    0.17330
  • Extreme Value Index (regression method)
    0.85733
  • VaR(95%) (regression method)
    0.20548
  • Expected Shortfall (regression method)
    1.22657
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.20983
  • Quartile 1
    0.22822
  • Median
    0.24661
  • Quartile 3
    0.26500
  • Maximum
    0.28339
  • Mean of quarter 1
    0.20983
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.28339
  • Inter Quartile Range
    0.03678
  • 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)
    0.54198
  • Compounded annual return (geometric extrapolation)
    0.54198
  • Calmar ratio (compounded annual return / max draw down)
    1.91247
  • Compounded annual return / average of 25% largest draw downs
    1.91247
  • Compounded annual return / Expected Shortfall lognormal
    1.56896
  • 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
    0.50335
  • SD
    0.50361
  • Sharpe ratio (Glass type estimate)
    0.99949
  • Sharpe ratio (Hedges UMVUE)
    0.99671
  • df
    270.00000
  • t
    1.01651
  • p
    0.15515
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93037
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92760
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93227
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92569
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16780
  • Upside Potential Ratio
    7.58118
  • Upside part of mean
    1.76031
  • Downside part of mean
    -1.25696
  • Upside SD
    0.44692
  • Downside SD
    0.23220
  • N nonnegative terms
    89.00000
  • N negative terms
    182.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    271.00000
  • Mean of predictor
    0.11935
  • Mean of criterion
    0.50335
  • SD of predictor
    0.26982
  • SD of criterion
    0.50361
  • Covariance
    -0.01681
  • r
    -0.12370
  • b (slope, estimate of beta)
    -0.23089
  • a (intercept, estimate of alpha)
    0.53100
  • Mean Square Error
    0.25067
  • DF error
    269.00000
  • t(b)
    -2.04459
  • p(b)
    0.97907
  • t(a)
    1.07805
  • p(a)
    0.14099
  • Lowerbound of 95% confidence interval for beta
    -0.45322
  • Upperbound of 95% confidence interval for beta
    -0.00856
  • Lowerbound of 95% confidence interval for alpha
    -0.43868
  • Upperbound of 95% confidence interval for alpha
    1.50049
  • Treynor index (mean / b)
    -2.18007
  • Jensen alpha (a)
    0.53091
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39078
  • SD
    0.46199
  • Sharpe ratio (Glass type estimate)
    0.84586
  • Sharpe ratio (Hedges UMVUE)
    0.84350
  • df
    270.00000
  • t
    0.86026
  • p
    0.19520
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08337
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77356
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08495
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77196
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60921
  • Upside Potential Ratio
    6.90260
  • Upside part of mean
    1.67621
  • Downside part of mean
    -1.28544
  • Upside SD
    0.39276
  • Downside SD
    0.24284
  • N nonnegative terms
    89.00000
  • N negative terms
    182.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    271.00000
  • Mean of predictor
    0.08302
  • Mean of criterion
    0.39078
  • SD of predictor
    0.27000
  • SD of criterion
    0.46199
  • Covariance
    -0.01514
  • r
    -0.12134
  • b (slope, estimate of beta)
    -0.20762
  • a (intercept, estimate of alpha)
    0.40802
  • Mean Square Error
    0.21108
  • DF error
    269.00000
  • t(b)
    -2.00493
  • p(b)
    0.97701
  • t(a)
    0.90305
  • p(a)
    0.18365
  • Lowerbound of 95% confidence interval for beta
    -0.41151
  • Upperbound of 95% confidence interval for beta
    -0.00374
  • Lowerbound of 95% confidence interval for alpha
    -0.48153
  • Upperbound of 95% confidence interval for alpha
    1.29756
  • Treynor index (mean / b)
    -1.88214
  • Jensen alpha (a)
    0.40802
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04444
  • Expected Shortfall on VaR
    0.05571
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01305
  • Expected Shortfall on VaR
    0.02798
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    271.00000
  • Minimum
    0.86920
  • Quartile 1
    0.99788
  • Median
    1.00000
  • Quartile 3
    1.00375
  • Maximum
    1.39025
  • Mean of quarter 1
    0.98131
  • Mean of quarter 2
    0.99986
  • Mean of quarter 3
    1.00076
  • Mean of quarter 4
    1.02617
  • Inter Quartile Range
    0.00587
  • Number outliers low
    39.00000
  • Percentage of outliers low
    0.14391
  • Mean of outliers low
    0.97225
  • Number of outliers high
    44.00000
  • Percentage of outliers high
    0.16236
  • Mean of outliers high
    1.03676
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.23885
  • VaR(95%) (moments method)
    0.00885
  • Expected Shortfall (moments method)
    0.01158
  • Extreme Value Index (regression method)
    0.28176
  • VaR(95%) (regression method)
    0.01779
  • Expected Shortfall (regression method)
    0.03449
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00006
  • Quartile 1
    0.01110
  • Median
    0.02857
  • Quartile 3
    0.06550
  • Maximum
    0.34648
  • Mean of quarter 1
    0.00243
  • Mean of quarter 2
    0.01982
  • Mean of quarter 3
    0.04472
  • Mean of quarter 4
    0.22632
  • Inter Quartile Range
    0.05441
  • 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
    0.16667
  • Mean of outliers high
    0.29496
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -20.76560
  • VaR(95%) (moments method)
    0.19937
  • Expected Shortfall (moments method)
    0.19937
  • Extreme Value Index (regression method)
    -1.58374
  • VaR(95%) (regression method)
    0.42676
  • Expected Shortfall (regression method)
    0.44692
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.52398
  • Compounded annual return (geometric extrapolation)
    0.51996
  • Calmar ratio (compounded annual return / max draw down)
    1.50070
  • Compounded annual return / average of 25% largest draw downs
    2.29745
  • Compounded annual return / Expected Shortfall lognormal
    9.33268
  • 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
    0.81783
  • SD
    0.64301
  • Sharpe ratio (Glass type estimate)
    1.27188
  • Sharpe ratio (Hedges UMVUE)
    1.26453
  • df
    130.00000
  • t
    0.89936
  • p
    0.46068
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50665
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04558
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51153
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04060
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14794
  • Upside Potential Ratio
    6.24637
  • Upside part of mean
    1.62280
  • Downside part of mean
    -0.80497
  • Upside SD
    0.58767
  • Downside SD
    0.25980
  • N nonnegative terms
    28.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.58430
  • Mean of criterion
    0.81783
  • SD of predictor
    0.31842
  • SD of criterion
    0.64301
  • Covariance
    -0.03883
  • r
    -0.18963
  • b (slope, estimate of beta)
    -0.38294
  • a (intercept, estimate of alpha)
    1.04158
  • Mean Square Error
    0.40168
  • DF error
    129.00000
  • t(b)
    -2.19361
  • p(b)
    0.62000
  • t(a)
    1.15463
  • p(a)
    0.43572
  • Lowerbound of 95% confidence interval for beta
    -0.72833
  • Upperbound of 95% confidence interval for beta
    -0.03755
  • Lowerbound of 95% confidence interval for alpha
    -0.74323
  • Upperbound of 95% confidence interval for alpha
    2.82639
  • Treynor index (mean / b)
    -2.13568
  • Jensen alpha (a)
    1.04158
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64029
  • SD
    0.57620
  • Sharpe ratio (Glass type estimate)
    1.11124
  • Sharpe ratio (Hedges UMVUE)
    1.10482
  • df
    130.00000
  • t
    0.78577
  • p
    0.46562
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66591
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.88429
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.67024
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.87988
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31565
  • Upside Potential Ratio
    5.35914
  • Upside part of mean
    1.48184
  • Downside part of mean
    -0.84155
  • Upside SD
    0.50455
  • Downside SD
    0.27651
  • N nonnegative terms
    28.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.53337
  • Mean of criterion
    0.64029
  • SD of predictor
    0.31837
  • SD of criterion
    0.57620
  • Covariance
    -0.03544
  • r
    -0.19321
  • b (slope, estimate of beta)
    -0.34968
  • a (intercept, estimate of alpha)
    0.82680
  • Mean Square Error
    0.32209
  • DF error
    129.00000
  • t(b)
    -2.23661
  • p(b)
    0.62223
  • t(a)
    1.02464
  • p(a)
    0.44288
  • VAR (95 Confidence Intrvl)
    0.04400
  • Lowerbound of 95% confidence interval for beta
    -0.65901
  • Upperbound of 95% confidence interval for beta
    -0.04035
  • Lowerbound of 95% confidence interval for alpha
    -0.76971
  • Upperbound of 95% confidence interval for alpha
    2.42332
  • Treynor index (mean / b)
    -1.83108
  • Jensen alpha (a)
    0.82680
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05456
  • Expected Shortfall on VaR
    0.06844
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00916
  • Expected Shortfall on VaR
    0.02072
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86920
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.39025
  • Mean of quarter 1
    0.98814
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02468
  • Inter Quartile Range
    0.00000
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.96988
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.21374
  • Mean of outliers high
    1.02909
  • 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)
    0.20671
  • VaR(95%) (regression method)
    0.00862
  • Expected Shortfall (regression method)
    0.02423
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02419
  • Quartile 1
    0.05257
  • Median
    0.08094
  • Quartile 3
    0.16220
  • Maximum
    0.24345
  • Mean of quarter 1
    0.02419
  • Mean of quarter 2
    0.08094
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.24345
  • Inter Quartile Range
    0.10963
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -417898000
  • Max Equity Drawdown (num days)
    141
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.79337
  • Compounded annual return (geometric extrapolation)
    0.95072
  • Calmar ratio (compounded annual return / max draw down)
    3.90523
  • Compounded annual return / average of 25% largest draw downs
    3.90523
  • Compounded annual return / Expected Shortfall lognormal
    13.89100

Strategy Description

Advance Logic Solution believes that commodity market inefficiencies offer attractive opportunities for uncorrelated alpha, best captured by a systematic, scientific research and investment process.
Our team has worked together to build and manage quantitative investment strategies global commodity markets. We place a strong emphasis on our technology platform and teamwork. Our goal is to constantly develop and enhance this platform for the purpose of delivering consistent returns.
Advance Logic Solution’s custom technology platform supports a quantitative research framework, precise risk management, and process-driven implementation that aims to capture significant opportunities for excess return in global commodity markets. Our team shares extensive prior experience inside financial institutions and academia. Our senior management holds a lengthy track record of employing quantitative strategies in European markets with an emphasis on precise risk management, which we believe is the foundation of generating consistent excess return.

Summary Statistics

Strategy began
2021-10-29
Suggested Minimum Capital
$100,000
# Trades
26
# Profitable
17
% Profitable
65.4%
Correlation S&P500
-0.113
Sharpe Ratio
0.49
Sortino Ratio
1.06
Beta
-0.21
Alpha
0.06
Leverage
2.73 Average
4.74 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.