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

OPN C 8868
(129600728)

Created by: OPNTrader OPNTrader
Started: 06/2020
Futures
Last trade: Today

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 $288.00 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.

31.5%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(8.0%)
Max Drawdown
80
Num Trades
48.8%
Win Trades
2.3 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   +1.6%(1.4%)+29.5%+1.3%                  +31.5%

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
9/21/20 9:30 @CZ0 CORN SHORT 2 376 9/21 12:31 369 2/4 n/a $634
Includes Typical Broker Commissions trade costs of $16.00
9/21/20 9:30 @SMZ0 SOYBEAN MEAL SHORT 2 341.2 9/21 12:31 339.1 0.39%
Trade id #131267758
Max drawdown($240)
Time9/21/20 9:33
Quant open2
Worst price342.4
Drawdown as % of equity-0.39%
$404
Includes Typical Broker Commissions trade costs of $16.00
9/21/20 9:30 @SX0 SOYBEANS SHORT 2 1037 2/4 9/21 12:31 1026 2/4 0.28%
Trade id #131267295
Max drawdown($175)
Time9/21/20 9:33
Quant open2
Worst price1039 1/4
Drawdown as % of equity-0.28%
$1,084
Includes Typical Broker Commissions trade costs of $16.00
9/21/20 9:30 @WZ0 WHEAT SHORT 2 572 9/21 12:30 555 0.24%
Trade id #131267690
Max drawdown($150)
Time9/21/20 9:33
Quant open2
Worst price573 2/4
Drawdown as % of equity-0.24%
$1,684
Includes Typical Broker Commissions trade costs of $16.00
9/21/20 9:44 @KCZ0 COFFEE SHORT 1 111.10 9/21 10:16 112.00 0.59%
Trade id #131269042
Max drawdown($375)
Time9/21/20 10:16
Quant open1
Worst price112.10
Drawdown as % of equity-0.59%
($346)
Includes Typical Broker Commissions trade costs of $8.00
9/18/20 12:01 @KCZ0 COFFEE SHORT 1 115.30 9/18 12:43 114.10 0.06%
Trade id #131245240
Max drawdown($37)
Time9/18/20 12:04
Quant open1
Worst price115.40
Drawdown as % of equity-0.06%
$442
Includes Typical Broker Commissions trade costs of $8.00
9/18/20 9:46 @SMZ0 SOYBEAN MEAL SHORT 2 336.8 9/18 10:00 338.8 0.65%
Trade id #131241066
Max drawdown($400)
Time9/18/20 10:00
Quant open2
Worst price338.8
Drawdown as % of equity-0.65%
($416)
Includes Typical Broker Commissions trade costs of $16.00
9/17/20 13:00 @BOZ0 SOYBEAN OIL LONG 3 34.99 9/18 8:28 35.20 0.58%
Trade id #131226305
Max drawdown($360)
Time9/18/20 0:00
Quant open3
Worst price34.79
Drawdown as % of equity-0.58%
$354
Includes Typical Broker Commissions trade costs of $24.00
9/16/20 12:32 @SBV0 Sugar #11 SHORT 3 12.43 9/17 10:41 12.53 0.59%
Trade id #131204032
Max drawdown($369)
Time9/17/20 10:41
Quant open3
Worst price12.54
Drawdown as % of equity-0.59%
($360)
Includes Typical Broker Commissions trade costs of $24.00
9/17/20 3:47 @WZ0 WHEAT LONG 2 541 9/17 8:31 542 2/4 0.12%
Trade id #131215779
Max drawdown($75)
Time9/17/20 3:51
Quant open2
Worst price540 1/4
Drawdown as % of equity-0.12%
$134
Includes Typical Broker Commissions trade costs of $16.00
9/16/20 2:33 @CZ0 CORN LONG 6 366 1/4 9/17 8:31 368 3/4 0.06%
Trade id #131193688
Max drawdown($37)
Time9/16/20 2:36
Quant open3
Worst price363
Drawdown as % of equity-0.06%
$702
Includes Typical Broker Commissions trade costs of $48.00
9/16/20 10:40 @SX0 SOYBEANS LONG 2 1010 3/4 9/17 8:31 1007 1/4 0.69%
Trade id #131200573
Max drawdown($425)
Time9/16/20 11:47
Quant open2
Worst price1006 2/4
Drawdown as % of equity-0.69%
($366)
Includes Typical Broker Commissions trade costs of $16.00
9/16/20 9:42 @BOZ0 SOYBEAN OIL LONG 6 34.60 9/17 8:12 34.87 0.03%
Trade id #131198771
Max drawdown($18)
Time9/16/20 9:45
Quant open3
Worst price34.30
Drawdown as % of equity-0.03%
$924
Includes Typical Broker Commissions trade costs of $48.00
9/16/20 10:39 @WZ0 WHEAT LONG 3 541 2/4 9/17 1:25 537 3/4 0.94%
Trade id #131200558
Max drawdown($600)
Time9/17/20 1:25
Quant open3
Worst price537 2/4
Drawdown as % of equity-0.94%
($587)
Includes Typical Broker Commissions trade costs of $24.00
9/16/20 10:46 @SMZ0 SOYBEAN MEAL LONG 2 325.6 9/16 12:28 323.6 0.68%
Trade id #131200754
Max drawdown($420)
Time9/16/20 12:28
Quant open2
Worst price323.5
Drawdown as % of equity-0.68%
($416)
Includes Typical Broker Commissions trade costs of $16.00
9/14/20 2:46 @BOZ0 SOYBEAN OIL LONG 3 34.30 9/15 10:10 34.20 0.54%
Trade id #131153172
Max drawdown($342)
Time9/14/20 6:01
Quant open3
Worst price34.11
Drawdown as % of equity-0.54%
($204)
Includes Typical Broker Commissions trade costs of $24.00
9/15/20 3:46 @SMZ0 SOYBEAN MEAL LONG 2 323.8 9/15 9:31 321.4 0.89%
Trade id #131174648
Max drawdown($560)
Time9/15/20 9:31
Quant open2
Worst price321.0
Drawdown as % of equity-0.89%
($496)
Includes Typical Broker Commissions trade costs of $16.00
9/14/20 10:17 @WZ0 WHEAT LONG 3 544 3/4 9/15 9:30 541 1/4 1.02%
Trade id #131160025
Max drawdown($637)
Time9/15/20 9:30
Quant open3
Worst price540 2/4
Drawdown as % of equity-1.02%
($549)
Includes Typical Broker Commissions trade costs of $24.00
9/14/20 4:29 @WZ0 WHEAT LONG 3 545 9/14 7:37 542 0.7%
Trade id #131154199
Max drawdown($450)
Time9/14/20 7:37
Quant open3
Worst price542
Drawdown as % of equity-0.70%
($474)
Includes Typical Broker Commissions trade costs of $24.00
9/10/20 3:41 @WZ0 WHEAT LONG 1 547 3/4 9/10 12:24 548 3/4 0.16%
Trade id #131100235
Max drawdown($100)
Time9/10/20 4:09
Quant open1
Worst price545 3/4
Drawdown as % of equity-0.16%
$42
Includes Typical Broker Commissions trade costs of $8.00
9/9/20 4:41 @SMZ0 SOYBEAN MEAL LONG 2 315.2 9/10 12:24 318.0 0.1%
Trade id #131080956
Max drawdown($60)
Time9/9/20 6:02
Quant open2
Worst price314.9
Drawdown as % of equity-0.10%
$544
Includes Typical Broker Commissions trade costs of $16.00
9/9/20 4:18 @CZ0 CORN LONG 5 361 1/4 9/10 12:24 364 3/4 0.28%
Trade id #131080752
Max drawdown($175)
Time9/9/20 10:17
Quant open2
Worst price358
Drawdown as % of equity-0.28%
$835
Includes Typical Broker Commissions trade costs of $40.00
9/9/20 9:55 @WZ0 WHEAT LONG 2 548 1/4 9/9 14:14 544 0.83%
Trade id #131085722
Max drawdown($525)
Time9/9/20 14:14
Quant open2
Worst price543
Drawdown as % of equity-0.83%
($441)
Includes Typical Broker Commissions trade costs of $16.00
9/9/20 6:33 @KCZ0 COFFEE LONG 1 129.80 9/9 11:16 129.00 0.5%
Trade id #131081852
Max drawdown($318)
Time9/9/20 11:16
Quant open1
Worst price128.95
Drawdown as % of equity-0.50%
($308)
Includes Typical Broker Commissions trade costs of $8.00
9/9/20 4:18 @WZ0 WHEAT LONG 2 545 1/4 9/9 5:13 542 0.51%
Trade id #131080739
Max drawdown($325)
Time9/9/20 5:13
Quant open2
Worst price542
Drawdown as % of equity-0.51%
($341)
Includes Typical Broker Commissions trade costs of $16.00
9/9/20 4:23 @BOZ0 SOYBEAN OIL LONG 3 33.42 9/9 5:02 33.24 0.57%
Trade id #131080811
Max drawdown($360)
Time9/9/20 5:02
Quant open3
Worst price33.22
Drawdown as % of equity-0.57%
($348)
Includes Typical Broker Commissions trade costs of $24.00
9/8/20 3:51 @WZ0 WHEAT LONG 2 548 9/8 8:12 543 0.78%
Trade id #131050148
Max drawdown($500)
Time9/8/20 8:12
Quant open2
Worst price543
Drawdown as % of equity-0.78%
($516)
Includes Typical Broker Commissions trade costs of $16.00
9/8/20 2:28 @BOZ0 SOYBEAN OIL LONG 3 33.52 9/8 7:09 33.26 0.73%
Trade id #131048950
Max drawdown($468)
Time9/8/20 7:09
Quant open3
Worst price33.26
Drawdown as % of equity-0.73%
($492)
Includes Typical Broker Commissions trade costs of $24.00
9/8/20 2:51 @CZ0 CORN LONG 3 362 1/4 9/8 6:11 359 2/4 0.75%
Trade id #131049279
Max drawdown($487)
Time9/8/20 6:11
Quant open3
Worst price359
Drawdown as % of equity-0.75%
($437)
Includes Typical Broker Commissions trade costs of $24.00
9/8/20 2:31 @SMZ0 SOYBEAN MEAL LONG 3 317.2 9/8 6:11 315.8 0.73%
Trade id #131049005
Max drawdown($480)
Time9/8/20 6:11
Quant open3
Worst price315.6
Drawdown as % of equity-0.73%
($444)
Includes Typical Broker Commissions trade costs of $24.00

Statistics

  • Strategy began
    6/17/2020
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    98.92
  • Age
    99 days ago
  • What it trades
    Futures
  • # Trades
    80
  • # Profitable
    39
  • % Profitable
    48.80%
  • Avg trade duration
    15.7 hours
  • Max peak-to-valley drawdown
    8.02%
  • drawdown period
    Sept 03, 2020 - Sept 17, 2020
  • Cumul. Return
    31.5%
  • Avg win
    $832.41
  • Avg loss
    $341.49
  • Model Account Values (Raw)
  • Cash
    $68,463
  • Margin Used
    $1,664
  • Buying Power
    $66,799
  • Ratios
  • W:L ratio
    2.32:1
  • Sharpe Ratio
    4.35
  • Sortino Ratio
    13.23
  • Calmar Ratio
    54.044
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    27.54%
  • Correlation to SP500
    -0.09150
  • Return Percent SP500 (cumu) during strategy life
    3.96%
  • Return Statistics
  • Ann Return (w trading costs)
    167.3%
  • Slump
  • Current Slump as Pcnt Equity
    2.00%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.21%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.315%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    215.0%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    775
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    863
  • Popularity (7 days, Percentile 1000 scale)
    702
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $342
  • Avg Win
    $832
  • Sum Trade PL (losers)
    $14,011.000
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $32,464.000
  • # Winners
    39
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    41
  • % Winners
    48.8%
  • Frequency
  • Avg Position Time (mins)
    939.97
  • Avg Position Time (hrs)
    15.67
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.62
  • Daily leverage (max)
    7.55
  • Regression
  • Alpha
    0.29
  • Beta
    -0.10
  • Treynor Index
    -2.78
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.44
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.582
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.157
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.138
  • Hold-and-Hope Ratio
    0.630
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.16606
  • SD
    0.24462
  • Sharpe ratio (Glass type estimate)
    4.76687
  • Sharpe ratio (Hedges UMVUE)
    2.68942
  • df
    2.00000
  • t
    2.38343
  • p
    0.07000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22807
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.42610
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03415
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.41299
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.16606
  • Downside part of mean
    0.00000
  • Upside SD
    0.39141
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.30897
  • Mean of criterion
    1.16606
  • SD of predictor
    0.10957
  • SD of criterion
    0.24462
  • Covariance
    0.00470
  • r
    0.17529
  • b (slope, estimate of beta)
    0.39136
  • a (intercept, estimate of alpha)
    1.04514
  • Mean Square Error
    0.11600
  • DF error
    1.00000
  • t(b)
    0.17805
  • p(b)
    0.44391
  • t(a)
    1.08655
  • p(a)
    0.23680
  • Lowerbound of 95% confidence interval for beta
    -27.53740
  • Upperbound of 95% confidence interval for beta
    28.32010
  • Lowerbound of 95% confidence interval for alpha
    -11.17680
  • Upperbound of 95% confidence interval for alpha
    13.26700
  • Treynor index (mean / b)
    2.97950
  • Jensen alpha (a)
    1.04514
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.09614
  • SD
    0.22417
  • Sharpe ratio (Glass type estimate)
    4.88971
  • Sharpe ratio (Hedges UMVUE)
    2.75873
  • df
    2.00000
  • t
    2.44486
  • p
    0.06719
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18188
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.63520
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.00307
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.52052
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.09614
  • Downside part of mean
    0.00000
  • Upside SD
    0.36555
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.30123
  • Mean of criterion
    1.09614
  • SD of predictor
    0.10755
  • SD of criterion
    0.22417
  • Covariance
    0.00365
  • r
    0.15155
  • b (slope, estimate of beta)
    0.31587
  • a (intercept, estimate of alpha)
    1.00099
  • Mean Square Error
    0.09820
  • DF error
    1.00000
  • t(b)
    0.15332
  • p(b)
    0.45158
  • t(a)
    1.13491
  • p(a)
    0.22991
  • Lowerbound of 95% confidence interval for beta
    -25.86150
  • Upperbound of 95% confidence interval for beta
    26.49330
  • Lowerbound of 95% confidence interval for alpha
    -10.20580
  • Upperbound of 95% confidence interval for alpha
    12.20780
  • Treynor index (mean / b)
    3.47026
  • Jensen alpha (a)
    1.00099
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01499
  • Expected Shortfall on VaR
    0.04099
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.02386
  • Quartile 1
    1.06339
  • Median
    1.10292
  • Quartile 3
    1.13383
  • Maximum
    1.16473
  • Mean of quarter 1
    1.02386
  • Mean of quarter 2
    1.10292
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.16473
  • Inter Quartile Range
    0.07044
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    1.26104
  • Compounded annual return (geometric extrapolation)
    1.99258
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    48.61160
  • 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
    1.20393
  • SD
    0.19936
  • Sharpe ratio (Glass type estimate)
    6.03909
  • Sharpe ratio (Hedges UMVUE)
    5.97415
  • df
    70.00000
  • t
    3.14376
  • p
    0.00122
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.12372
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.91414
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08123
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.86707
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.26970
  • Upside Potential Ratio
    25.45190
  • Upside part of mean
    1.51173
  • Downside part of mean
    -0.30780
  • Upside SD
    0.20295
  • Downside SD
    0.05940
  • N nonnegative terms
    56.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.15937
  • Mean of criterion
    1.20393
  • SD of predictor
    0.17878
  • SD of criterion
    0.19936
  • Covariance
    -0.00230
  • r
    -0.06453
  • b (slope, estimate of beta)
    -0.07196
  • a (intercept, estimate of alpha)
    1.21500
  • Mean Square Error
    0.04015
  • DF error
    69.00000
  • t(b)
    -0.53716
  • p(b)
    0.70356
  • t(a)
    3.15269
  • p(a)
    0.00120
  • Lowerbound of 95% confidence interval for beta
    -0.33921
  • Upperbound of 95% confidence interval for beta
    0.19529
  • Lowerbound of 95% confidence interval for alpha
    0.44633
  • Upperbound of 95% confidence interval for alpha
    1.98448
  • Treynor index (mean / b)
    -16.73050
  • Jensen alpha (a)
    1.21540
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.18201
  • SD
    0.19653
  • Sharpe ratio (Glass type estimate)
    6.01456
  • Sharpe ratio (Hedges UMVUE)
    5.94989
  • df
    70.00000
  • t
    3.13099
  • p
    0.00127
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.10035
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.88869
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05799
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.84178
  • Statistics related to Sortino ratio
  • Sortino ratio
    19.72520
  • Upside Potential Ratio
    24.89150
  • Upside part of mean
    1.49160
  • Downside part of mean
    -0.30958
  • Upside SD
    0.19955
  • Downside SD
    0.05992
  • N nonnegative terms
    56.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.14347
  • Mean of criterion
    1.18201
  • SD of predictor
    0.17972
  • SD of criterion
    0.19653
  • Covariance
    -0.00224
  • r
    -0.06351
  • b (slope, estimate of beta)
    -0.06945
  • a (intercept, estimate of alpha)
    1.19198
  • Mean Square Error
    0.03902
  • DF error
    69.00000
  • t(b)
    -0.52860
  • p(b)
    0.70061
  • t(a)
    3.13722
  • p(a)
    0.00125
  • Lowerbound of 95% confidence interval for beta
    -0.33153
  • Upperbound of 95% confidence interval for beta
    0.19264
  • Lowerbound of 95% confidence interval for alpha
    0.43400
  • Upperbound of 95% confidence interval for alpha
    1.94995
  • Treynor index (mean / b)
    -17.02080
  • Jensen alpha (a)
    1.19198
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01534
  • Expected Shortfall on VaR
    0.02031
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00132
  • Expected Shortfall on VaR
    0.00354
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    71.00000
  • Minimum
    0.97601
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00473
  • Maximum
    1.04978
  • Mean of quarter 1
    0.99537
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00128
  • Mean of quarter 4
    1.02155
  • Inter Quartile Range
    0.00473
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.04225
  • Mean of outliers low
    0.98529
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.19718
  • Mean of outliers high
    1.02558
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.75372
  • VaR(95%) (moments method)
    0.00118
  • Expected Shortfall (moments method)
    0.00118
  • Extreme Value Index (regression method)
    -0.06208
  • VaR(95%) (regression method)
    0.00603
  • Expected Shortfall (regression method)
    0.00987
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00084
  • Median
    0.00234
  • Quartile 3
    0.00923
  • Maximum
    0.04184
  • Mean of quarter 1
    0.00015
  • Mean of quarter 2
    0.00188
  • Mean of quarter 3
    0.00860
  • Mean of quarter 4
    0.02585
  • Inter Quartile Range
    0.00839
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.04184
  • 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)
    1.39327
  • Compounded annual return (geometric extrapolation)
    2.26094
  • Calmar ratio (compounded annual return / max draw down)
    54.04400
  • Compounded annual return / average of 25% largest draw downs
    87.47560
  • Compounded annual return / Expected Shortfall lognormal
    111.30300
  • 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)
    0.01500
  • 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 Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -254339000
  • Max Equity Drawdown (num days)
    14

Strategy Description

On this system we trade a positions from % levels from closing a month by selected futures of Grains and Softs. Using stops and limits orders. This system a using algo rules and rules of money management. Trading manually.
If You Have a some quetions - You can ask me in messages. Thanks
Paul
Best Regards.

Summary Statistics

Strategy began
2020-06-17
Suggested Minimum Capital
$70,000
Rank at C2 
#90
# Trades
80
# Profitable
39
% Profitable
48.8%
Correlation S&P500
-0.091
Sharpe Ratio
4.35
Sortino Ratio
13.23
Beta
-0.10
Alpha
0.29
Leverage
2.62 Average
7.55 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.