This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
04/24/2018
Most recent certification approved
4/24/18 13:06 ET
Trades at broker
Interactive Brokers (Direct Connection)
Scaling percentage used
100%
# trading signals issued by system since certification
143
# trading signals executed in manager's Interactive Brokers (Direct Connection) account
143
Percent signals followed since 04/24/2018
100%
This information was last updated
7/18/18 0:54 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 04/24/2018,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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.
You may be interested to learn more technical details about
how Collective2 calculates the hypothetical results you see on this web site.
IGL CTA
(116324665)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  04/24/2018 
Most recent certification approved  4/24/18 13:06 ET 
Trades at broker  Interactive Brokers (Direct Connection) 
Scaling percentage used  100% 
# trading signals issued by system since certification  143 
# trading signals executed in manager's Interactive Brokers (Direct Connection) account  143 
Percent signals followed since 04/24/2018  100% 
This information was last updated  7/18/18 0:54 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/24/2018, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $499.00 per month.
Short Term
Makes shortterm trades or bases analysis on shortterm market movements.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  

2018  +25.2%  +9.8%  (8.2%)  +10.6%  +2.9%  (11.1%)  +27.6% 
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  $200,000  
Buy Power  $265,212  
Cash  $1  
Equity  $1  
Cumulative $  $65,212  
Total System Equity  $265,212  
Margined  $1  
Open P/L  $0  
Data has been delayed by 24 hours for nonsubscribers 
System developer has asked us to delay this information by 24 hours.
Trading Record
Statistics

Strategy began2/6/2018

Suggested Minimum Cap$260,000

Strategy Age (days)161.94

Age162 days ago

What it tradesFutures

# Trades117

# Profitable95

% Profitable81.20%

Avg trade duration1.2 days

Max peaktovalley drawdown16.32%

drawdown periodApril 16, 2018  May 04, 2018

Cumul. Return27.6%

Avg win$1,636

Avg loss$4,103
 Model Account Values (Raw)

Cash$265,212

Margin Used$0

Buying Power$265,212
 Ratios

W:L ratio1.72:1

Sharpe Ratio1.983

Sortino Ratio3.107

Calmar Ratio4.035
 CORRELATION STATISTICS

Correlation to SP5000.09400
 Return Statistics

Ann Return (w trading costs)71.8%

Ann Return (Compnd, No Fees)88.2%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss15.00%

Chance of 20% account loss1.00%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)786

Popularity (Last 6 weeks)951

C2 Score76.5
 TradesOwnSystem Certification

Trades Own System?184386

TOS percent100%
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$4,103

Avg Win$1,637

# Winners95

# Losers22

% Winners81.2%
 Frequency

Avg Position Time (mins)1751.62

Avg Position Time (hrs)29.19

Avg Trade Length1.2 days

Last Trade Ago5
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.74756

SD0.31327

Sharpe ratio (Glass type estimate)2.38634

Sharpe ratio (Hedges UMVUE)1.90402

df4.00000

t1.54037

p0.09916

Lowerbound of 95% confidence interval for Sharpe Ratio1.15287

Upperbound of 95% confidence interval for Sharpe Ratio5.70742

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.40661

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.21465
 Statistics related to Sortino ratio

Sortino ratio6.76691

Upside Potential Ratio8.31610

Upside part of mean0.91870

Downside part of mean0.17114

Upside SD0.33597

Downside SD0.11047

N nonnegative terms4.00000

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

N of observations5.00000

Mean of predictor0.05510

Mean of criterion0.74756

SD of predictor0.10862

SD of criterion0.31327

Covariance0.01392

r0.40900

b (slope, estimate of beta)1.17965

a (intercept, estimate of alpha)0.81256

Mean Square Error0.10896

DF error3.00000

t(b)0.77631

p(b)0.75293

t(a)1.56810

p(a)0.10743

Lowerbound of 95% confidence interval for beta6.01553

Upperbound of 95% confidence interval for beta3.65623

Lowerbound of 95% confidence interval for alpha0.83653

Upperbound of 95% confidence interval for alpha2.46165

Treynor index (mean / b)0.63372

Jensen alpha (a)0.81256
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.68781

SD0.30137

Sharpe ratio (Glass type estimate)2.28229

Sharpe ratio (Hedges UMVUE)1.82100

df4.00000

t1.47321

p0.10734

Lowerbound of 95% confidence interval for Sharpe Ratio1.22260

Upperbound of 95% confidence interval for Sharpe Ratio5.57415

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.46713

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.10913
 Statistics related to Sortino ratio

Sortino ratio6.01586

Upside Potential Ratio7.56505

Upside part of mean0.86494

Downside part of mean0.17712

Upside SD0.31466

Downside SD0.11433

N nonnegative terms4.00000

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

N of observations5.00000

Mean of predictor0.05009

Mean of criterion0.68781

SD of predictor0.10962

SD of criterion0.30137

Covariance0.01370

r0.41460

b (slope, estimate of beta)1.13985

a (intercept, estimate of alpha)0.74491

Mean Square Error0.10028

DF error3.00000

t(b)0.78913

p(b)0.75617

t(a)1.50215

p(a)0.11503

Lowerbound of 95% confidence interval for beta5.73671

Upperbound of 95% confidence interval for beta3.45700

Lowerbound of 95% confidence interval for alpha0.83325

Upperbound of 95% confidence interval for alpha2.32307

Treynor index (mean / b)0.60342

Jensen alpha (a)0.74491
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08221

Expected Shortfall on VaR0.11452
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01621

Expected Shortfall on VaR0.04019
 ORDER STATISTICS
 Quartiles of return rates

Number of observations5.00000

Minimum0.93102

Quartile 11.02158

Median1.09116

Quartile 31.11692

Maximum1.16245

Mean of quarter 10.97630

Mean of quarter 21.09116

Mean of quarter 31.11692

Mean of quarter 41.16245

Inter Quartile Range0.09535

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 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

Minimum0.06898

Quartile 10.06898

Median0.06898

Quartile 30.06898

Maximum0.06898

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)0.83389

Compounded annual return (geometric extrapolation)1.04566

Calmar ratio (compounded annual return / max draw down)15.15850

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

Compounded annual return / Expected Shortfall lognormal9.13120

0.00000

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

Mean0.44876

SD0.22482

Sharpe ratio (Glass type estimate)1.99608

Sharpe ratio (Hedges UMVUE)1.98292

df114.00000

t1.32244

p0.43854

Lowerbound of 95% confidence interval for Sharpe Ratio0.97787

Upperbound of 95% confidence interval for Sharpe Ratio4.96148

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.98660

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.95245
 Statistics related to Sortino ratio

Sortino ratio3.10682

Upside Potential Ratio8.01361

Upside part of mean1.15751

Downside part of mean0.70875

Upside SD0.17323

Downside SD0.14444

N nonnegative terms60.00000

N negative terms55.00000
 Statistics related to linear regression on benchmark

N of observations115.00000

Mean of predictor0.07881

Mean of criterion0.44876

SD of predictor0.15519

SD of criterion0.22482

Covariance0.00312

r0.08943

b (slope, estimate of beta)0.12955

a (intercept, estimate of alpha)0.45900

Mean Square Error0.05058

DF error113.00000

t(b)0.95442

p(b)0.55685

t(a)1.35133

p(a)0.41993

Lowerbound of 95% confidence interval for beta0.39847

Upperbound of 95% confidence interval for beta0.13937

Lowerbound of 95% confidence interval for alpha0.21392

Upperbound of 95% confidence interval for alpha1.13185

Treynor index (mean / b)3.46398

Jensen alpha (a)0.45897
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.42344

SD0.22391

Sharpe ratio (Glass type estimate)1.89117

Sharpe ratio (Hedges UMVUE)1.87870

df114.00000

t1.25294

p0.44173

Lowerbound of 95% confidence interval for Sharpe Ratio1.08135

Upperbound of 95% confidence interval for Sharpe Ratio4.85555

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.08968

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.84708
 Statistics related to Sortino ratio

Sortino ratio2.87051

Upside Potential Ratio7.74731

Upside part of mean1.14285

Downside part of mean0.71940

Upside SD0.16918

Downside SD0.14752

N nonnegative terms60.00000

N negative terms55.00000
 Statistics related to linear regression on benchmark

N of observations115.00000

Mean of predictor0.06681

Mean of criterion0.42344

SD of predictor0.15566

SD of criterion0.22391

Covariance0.00314

r0.09018

b (slope, estimate of beta)0.12971

a (intercept, estimate of alpha)0.43211

Mean Square Error0.05017

DF error113.00000

t(b)0.96253

p(b)0.55733

t(a)1.27771

p(a)0.42421

Lowerbound of 95% confidence interval for beta0.39670

Upperbound of 95% confidence interval for beta0.13728

Lowerbound of 95% confidence interval for alpha0.23791

Upperbound of 95% confidence interval for alpha1.10213

Treynor index (mean / b)3.26451

Jensen alpha (a)0.43211
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02092

Expected Shortfall on VaR0.02655
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00583

Expected Shortfall on VaR0.01329
 ORDER STATISTICS
 Quartiles of return rates

Number of observations115.00000

Minimum0.93856

Quartile 11.00000

Median1.00066

Quartile 31.00489

Maximum1.07678

Mean of quarter 10.98947

Mean of quarter 21.00005

Mean of quarter 31.00253

Mean of quarter 41.01525

Inter Quartile Range0.00489

Number outliers low12.00000

Percentage of outliers low0.10435

Mean of outliers low0.97703

Number of outliers high10.00000

Percentage of outliers high0.08696

Mean of outliers high1.02929
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.84928

VaR(95%) (moments method)0.00569

Expected Shortfall (moments method)0.04589

Extreme Value Index (regression method)0.33639

VaR(95%) (regression method)0.01084

Expected Shortfall (regression method)0.02475
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00048

Quartile 10.00115

Median0.00530

Quartile 30.08013

Maximum0.14138

Mean of quarter 10.00081

Mean of quarter 20.00117

Mean of quarter 30.00944

Mean of quarter 40.12254

Inter Quartile Range0.07898

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)0.49917

Compounded annual return (geometric extrapolation)0.57043

Calmar ratio (compounded annual return / max draw down)4.03465

Compounded annual return / average of 25% largest draw downs4.65503

Compounded annual return / Expected Shortfall lognormal21.48900
Strategy Description
 Who should subscribe to IGL? The system is designed for highnetworth individuals allocating no more than 25% of their liquid wealth in an agressive, decorrelated CTA' strategy exploiting short term technical arbitrages.
 C2 Recommended Replication? It is recommended that you match the replication's rate to your desired amount allocation (i.e. the system's size is 200k and you want to allocate 100k then replicate IGL CTA at 50% in your C2 parameters). If you constraint the number of futures traded, you are de facto changing the strategy.
 Building a Postion: A full size position is 1416x the system size. We are usually starting a position at 50% or 24X. You should always expect an initial position to be built up.
 Managing Losses: We are focusing on drawdowns with a maximum range of 20%. We are watching technical points that are used as either soft stop losses when the trader is in front of the screens or stop losses orders when he is not and when the market is expecting economical data.
IGL CTA performs better in a highvolatility market environment.
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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Finally, please note that you can restore public visibility at any time.
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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.