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

Balance Commodity Basket
(144479289)

Created by: AEMur AEMur
Started: 04/2023
Futures
Last trade: 489 days ago
Trading style: Futures Macro / Fundamental 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 $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
50.2%
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.

(64.8%)
Max Drawdown
31
Num Trades
48.4%
Win Trades
1.1 : 1
Profit Factor
53.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                     (0.2%)+71.2%+5.0%+1.0%+0.7%(3.7%)+6.3%+8.5%  -  0.0
2024  -  (19.4%)  -    -    -    -        

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 46 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/4/23 1:16 @CU3 CORN SHORT 25 531 3/4 8/10 13:20 486 52.9%
Trade id #144521669
Max drawdown($93,000)
Time6/21/23 0:00
Quant open20
Worst price624 3/4
Drawdown as % of equity-52.90%
$56,913
Includes Typical Broker Commissions trade costs of $200.00
5/4/23 1:10 @CZ3 CORN LONG 25 530 1/4 8/10 13:20 497 1/4 36.77%
Trade id #144521650
Max drawdown($49,375)
Time5/18/23 0:00
Quant open25
Worst price490 3/4
Drawdown as % of equity-36.77%
($41,313)
Includes Typical Broker Commissions trade costs of $200.00
6/9/23 13:27 @HEV3 LEAN HOGS LONG 3 75.133 8/10 10:25 80.450 n/a $6,356
Includes Typical Broker Commissions trade costs of $24.00
6/9/23 13:27 @HEZ3 LEAN HOGS SHORT 6 72.883 8/10 10:25 73.950 7.13%
Trade id #144884951
Max drawdown($12,520)
Time6/27/23 0:00
Quant open6
Worst price78.100
Drawdown as % of equity-7.13%
($2,608)
Includes Typical Broker Commissions trade costs of $48.00
6/9/23 13:27 @HEG4 LEAN HOGS LONG 3 78.733 8/10 10:25 78.050 0.78%
Trade id #144884949
Max drawdown($1,419)
Time8/3/23 0:00
Quant open3
Worst price77.550
Drawdown as % of equity-0.78%
($844)
Includes Typical Broker Commissions trade costs of $24.00
6/20/23 8:18 LRCX3 Coffee Robusta Liffe LONG 5 2664 7/31 10:29 2461 7.82%
Trade id #144966894
Max drawdown($13,950)
Time6/30/23 0:00
Quant open5
Worst price2385
Drawdown as % of equity-7.82%
($10,198)
Includes Typical Broker Commissions trade costs of $40.00
6/20/23 8:18 LRCF4 Coffee Robusta Liffe SHORT 5 2589 7/31 10:29 2393 0.94%
Trade id #144966892
Max drawdown($1,650)
Time6/21/23 0:00
Quant open5
Worst price2622
Drawdown as % of equity-0.94%
$9,740
Includes Typical Broker Commissions trade costs of $40.00
5/11/23 7:29 @CCZ3 COCOA LONG 15 3026 7/31 10:24 3553 8.69%
Trade id #144586277
Max drawdown($11,700)
Time5/15/23 0:00
Quant open15
Worst price2948
Drawdown as % of equity-8.69%
$78,930
Includes Typical Broker Commissions trade costs of $120.00
5/4/23 4:06 @CCU3 COCOA SHORT 15 2880 7/31 10:24 3557 59.69%
Trade id #144522332
Max drawdown($108,300)
Time7/27/23 0:00
Quant open15
Worst price3602
Drawdown as % of equity-59.69%
($101,670)
Includes Typical Broker Commissions trade costs of $120.00
5/30/23 12:23 @VXQ3 CBOE Volatility Index VIX SHORT 5 21.56 7/24 10:19 15.59 0.71%
Trade id #144781623
Max drawdown($1,200)
Time5/30/23 14:01
Quant open5
Worst price21.80
Drawdown as % of equity-0.71%
$29,830
Includes Typical Broker Commissions trade costs of $40.00
5/30/23 12:23 @VXU3 CBOE Volatility Index VIX LONG 5 22.43 7/24 10:19 16.87 15.84%
Trade id #144781621
Max drawdown($28,650)
Time7/13/23 0:00
Quant open5
Worst price16.70
Drawdown as % of equity-15.84%
($27,840)
Includes Typical Broker Commissions trade costs of $40.00
6/15/23 11:54 QGCQ3 Gold 100 oz SHORT 1 1969.1 6/15 11:57 1968.9 n/a $12
Includes Typical Broker Commissions trade costs of $8.00
6/15/23 11:54 QGCZ3 Gold 100 oz LONG 1 2008.0 6/15 11:57 2007.4 0.02%
Trade id #144934908
Max drawdown($40)
Time6/15/23 11:57
Quant open1
Worst price2007.6
Drawdown as % of equity-0.02%
($68)
Includes Typical Broker Commissions trade costs of $8.00
5/18/23 13:49 @BON3 SOYBEAN OIL SHORT 5 47.20 6/14 10:57 55.07 14.42%
Trade id #144666238
Max drawdown($25,230)
Time6/14/23 3:44
Quant open5
Worst price55.61
Drawdown as % of equity-14.42%
($23,650)
Includes Typical Broker Commissions trade costs of $40.00
5/18/23 13:49 @BOZ3 SOYBEAN OIL LONG 5 47.14 6/14 10:57 53.11 4.67%
Trade id #144666236
Max drawdown($8,010)
Time5/31/23 0:00
Quant open5
Worst price44.47
Drawdown as % of equity-4.67%
$17,870
Includes Typical Broker Commissions trade costs of $40.00
5/4/23 1:14 @SF4 SOYBEANS LONG 5 1278 3/4 6/9 12:47 1210 1/4 20.01%
Trade id #144521665
Max drawdown($34,312)
Time5/31/23 0:00
Quant open5
Worst price1141 2/4
Drawdown as % of equity-20.01%
($17,165)
Includes Typical Broker Commissions trade costs of $40.00
5/4/23 1:12 @SU3 SOYBEANS SHORT 5 1288 1/4 6/9 12:47 1217 1/4 5.21%
Trade id #144521657
Max drawdown($4,562)
Time5/8/23 0:00
Quant open5
Worst price1306 2/4
Drawdown as % of equity-5.21%
$17,710
Includes Typical Broker Commissions trade costs of $40.00
5/4/23 1:10 @SMV3 SOYBEAN MEAL LONG 4 400.2 6/7 10:53 369.3 8.35%
Trade id #144521646
Max drawdown($14,320)
Time5/31/23 0:00
Quant open4
Worst price364.4
Drawdown as % of equity-8.35%
($12,382)
Includes Typical Broker Commissions trade costs of $32.00
5/4/23 1:12 @SMU3 SOYBEAN MEAL SHORT 4 408.7 6/7 10:53 380.1 2.11%
Trade id #144521659
Max drawdown($2,840)
Time5/15/23 0:00
Quant open4
Worst price415.8
Drawdown as % of equity-2.11%
$11,398
Includes Typical Broker Commissions trade costs of $32.00
5/4/23 9:37 @LEV3 LIVE CATTLE SHORT 12 164.050 6/6 10:48 177.010 37.38%
Trade id #144524477
Max drawdown($63,120)
Time6/5/23 0:00
Quant open12
Worst price177.200
Drawdown as % of equity-37.38%
($62,306)
Includes Typical Broker Commissions trade costs of $96.00
5/4/23 9:37 @LEZ3 LIVE CATTLE LONG 12 168.500 6/6 10:48 180.160 2.12%
Trade id #144524475
Max drawdown($2,280)
Time5/5/23 0:00
Quant open12
Worst price168.025
Drawdown as % of equity-2.12%
$55,874
Includes Typical Broker Commissions trade costs of $96.00
5/4/23 1:12 QHGN3 Copper SHORT 15 389.80 5/29 9:54 367.21 26.36%
Trade id #144521655
Max drawdown($23,062)
Time5/8/23 0:00
Quant open15
Worst price395.95
Drawdown as % of equity-26.36%
$84,593
Includes Typical Broker Commissions trade costs of $120.00
5/11/23 14:01 @VXQ3 CBOE Volatility Index VIX SHORT 5 23.12 5/29 9:40 21.49 0.11%
Trade id #144591777
Max drawdown($150)
Time5/12/23 0:00
Quant open5
Worst price23.15
Drawdown as % of equity-0.11%
$8,110
Includes Typical Broker Commissions trade costs of $40.00
5/11/23 14:01 @VXU3 CBOE Volatility Index VIX LONG 5 23.87 5/29 9:40 22.36 4.72%
Trade id #144591775
Max drawdown($7,850)
Time5/29/23 2:37
Quant open5
Worst price22.30
Drawdown as % of equity-4.72%
($7,590)
Includes Typical Broker Commissions trade costs of $40.00
5/4/23 1:14 @BOU3 SOYBEAN OIL SHORT 17 51.94 5/17 14:04 46.78 27.28%
Trade id #144521663
Max drawdown($23,868)
Time5/8/23 0:00
Quant open17
Worst price54.28
Drawdown as % of equity-27.28%
$52,520
Includes Typical Broker Commissions trade costs of $136.00
5/4/23 1:10 @BOZ3 SOYBEAN OIL LONG 17 51.23 5/17 14:04 46.50 40.35%
Trade id #144521648
Max drawdown($56,712)
Time5/17/23 10:59
Quant open17
Worst price45.67
Drawdown as % of equity-40.35%
($48,406)
Includes Typical Broker Commissions trade costs of $136.00

Statistics

  • Strategy began
    4/30/2023
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    585.33
  • Age
    20 months ago
  • What it trades
    Futures
  • # Trades
    31
  • # Profitable
    15
  • % Profitable
    48.40%
  • Avg trade duration
    122.0 days
  • Max peak-to-valley drawdown
    64.85%
  • drawdown period
    April 01, 2024 - July 19, 2024
  • Annual Return (Compounded)
    50.2%
  • Avg win
    $92,194
  • Avg loss
    $80,476
  • Model Account Values (Raw)
  • Cash
    $175,616
  • Margin Used
    $188,520
  • Buying Power
    $6,776
  • Ratios
  • W:L ratio
    1.07:1
  • Sharpe Ratio
    0.67
  • Sortino Ratio
    1.68
  • Calmar Ratio
    15.603
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    46.78%
  • Correlation to SP500
    0.01860
  • Return Percent SP500 (cumu) during strategy life
    44.74%
  • Return Statistics
  • Ann Return (w trading costs)
    50.2%
  • Slump
  • Current Slump as Pcnt Equity
    184.50%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.34%
  • 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)
    0.502%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    51.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    75.50%
  • Chance of 20% account loss
    54.50%
  • Chance of 30% account loss
    38.50%
  • Chance of 40% account loss
    18.50%
  • Chance of 60% account loss (Monte Carlo)
    1.50%
  • 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
    9.00%
  • 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
    $80,476
  • Avg Win
    $92,194
  • Sum Trade PL (losers)
    $1,287,620.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $1,382,910.000
  • # Winners
    15
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    16
  • % Winners
    48.4%
  • Frequency
  • Avg Position Time (mins)
    175711.00
  • Avg Position Time (hrs)
    2928.52
  • Avg Trade Length
    122.0 days
  • Last Trade Ago
    483
  • Leverage
  • Daily leverage (average)
    41.28
  • Daily leverage (max)
    92.19
  • Regression
  • Alpha
    0.29
  • Beta
    0.22
  • Treynor Index
    1.39
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.18
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.45
  • MAE:Equity, average, winning trades
    0.16
  • MAE:Equity, average, losing trades
    0.20
  • Avg(MAE) / Avg(PL) - All trades
    6.056
  • 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
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    0.640
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.288
  • Hold-and-Hope Ratio
    0.123
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.13859
  • SD
    1.39154
  • Sharpe ratio (Glass type estimate)
    2.25548
  • Sharpe ratio (Hedges UMVUE)
    1.27252
  • df
    2.00000
  • t
    1.12774
  • p
    0.18826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.35682
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.49009
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.84099
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.38602
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    3.13859
  • Downside part of mean
    0.00000
  • Upside SD
    1.45321
  • 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
    0.13226
  • Mean of criterion
    3.13859
  • SD of predictor
    0.16289
  • SD of criterion
    1.39154
  • Covariance
    -0.03733
  • r
    -0.16469
  • b (slope, estimate of beta)
    -1.40696
  • a (intercept, estimate of alpha)
    3.32467
  • Mean Square Error
    3.76773
  • DF error
    1.00000
  • t(b)
    -0.16697
  • p(b)
    0.55266
  • t(a)
    0.82316
  • p(a)
    0.28078
  • Lowerbound of 95% confidence interval for beta
    -108.47200
  • Upperbound of 95% confidence interval for beta
    105.65800
  • Lowerbound of 95% confidence interval for alpha
    -47.99460
  • Upperbound of 95% confidence interval for alpha
    54.64390
  • Treynor index (mean / b)
    -2.23076
  • Jensen alpha (a)
    3.32467
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.41074
  • SD
    1.03115
  • Sharpe ratio (Glass type estimate)
    2.33792
  • Sharpe ratio (Hedges UMVUE)
    1.31903
  • df
    2.00000
  • t
    1.16896
  • p
    0.18145
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.31234
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.60483
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.80852
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.44658
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    2.41074
  • Downside part of mean
    0.00000
  • Upside SD
    1.09232
  • 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
    0.12269
  • Mean of criterion
    2.41074
  • SD of predictor
    0.15968
  • SD of criterion
    1.03115
  • Covariance
    -0.02384
  • r
    -0.14480
  • b (slope, estimate of beta)
    -0.93508
  • a (intercept, estimate of alpha)
    2.52547
  • Mean Square Error
    2.08195
  • DF error
    1.00000
  • t(b)
    -0.14635
  • p(b)
    0.54626
  • t(a)
    0.84453
  • p(a)
    0.27677
  • Lowerbound of 95% confidence interval for beta
    -82.12080
  • Upperbound of 95% confidence interval for beta
    80.25070
  • Lowerbound of 95% confidence interval for alpha
    -35.47090
  • Upperbound of 95% confidence interval for alpha
    40.52180
  • Treynor index (mean / b)
    -2.57811
  • Jensen alpha (a)
    2.52547
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.25078
  • Expected Shortfall on VaR
    0.33456
  • 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
    1.02049
  • Quartile 1
    1.03205
  • Median
    1.04361
  • Quartile 3
    1.38557
  • Maximum
    1.72753
  • Mean of quarter 1
    1.02049
  • Mean of quarter 2
    1.04361
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.72753
  • Inter Quartile Range
    0.35352
  • 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)
    3.35924
  • Compounded annual return (geometric extrapolation)
    10.45760
  • 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
    31.25770
  • 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
    6.72963
  • SD
    3.43244
  • Sharpe ratio (Glass type estimate)
    1.96060
  • Sharpe ratio (Hedges UMVUE)
    1.94010
  • df
    72.00000
  • t
    1.03490
  • p
    0.15209
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77292
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.68075
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.78650
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.66670
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.95657
  • Upside Potential Ratio
    9.14517
  • Upside part of mean
    12.41660
  • Downside part of mean
    -5.68695
  • Upside SD
    3.15432
  • Downside SD
    1.35772
  • N nonnegative terms
    37.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    1.01630
  • Mean of criterion
    6.72963
  • SD of predictor
    0.30298
  • SD of criterion
    3.43244
  • Covariance
    -0.01310
  • r
    -0.01259
  • b (slope, estimate of beta)
    -0.14267
  • a (intercept, estimate of alpha)
    6.87500
  • Mean Square Error
    11.94570
  • DF error
    71.00000
  • t(b)
    -0.10613
  • p(b)
    0.54211
  • t(a)
    1.02778
  • p(a)
    0.15377
  • Lowerbound of 95% confidence interval for beta
    -2.82328
  • Upperbound of 95% confidence interval for beta
    2.53793
  • Lowerbound of 95% confidence interval for alpha
    -6.46250
  • Upperbound of 95% confidence interval for alpha
    20.21180
  • Treynor index (mean / b)
    -47.16750
  • Jensen alpha (a)
    6.87463
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.37440
  • SD
    2.91758
  • Sharpe ratio (Glass type estimate)
    0.81383
  • Sharpe ratio (Hedges UMVUE)
    0.80532
  • df
    72.00000
  • t
    0.42958
  • p
    0.33439
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.90437
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.52649
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.91011
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52075
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15131
  • Upside Potential Ratio
    4.68205
  • Upside part of mean
    9.65602
  • Downside part of mean
    -7.28161
  • Upside SD
    2.04057
  • Downside SD
    2.06235
  • N nonnegative terms
    37.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.97075
  • Mean of criterion
    2.37440
  • SD of predictor
    0.29455
  • SD of criterion
    2.91758
  • Covariance
    -0.24707
  • r
    -0.28750
  • b (slope, estimate of beta)
    -2.84772
  • a (intercept, estimate of alpha)
    5.13883
  • Mean Square Error
    7.91867
  • DF error
    71.00000
  • t(b)
    -2.52929
  • p(b)
    0.99317
  • t(a)
    0.94430
  • p(a)
    0.17411
  • Lowerbound of 95% confidence interval for beta
    -5.09270
  • Upperbound of 95% confidence interval for beta
    -0.60274
  • Lowerbound of 95% confidence interval for alpha
    -5.71215
  • Upperbound of 95% confidence interval for alpha
    15.98980
  • Treynor index (mean / b)
    -0.83379
  • Jensen alpha (a)
    5.13883
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24980
  • Expected Shortfall on VaR
    0.30272
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04744
  • Expected Shortfall on VaR
    0.11023
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    73.00000
  • Minimum
    0.35597
  • Quartile 1
    0.98920
  • Median
    1.00069
  • Quartile 3
    1.01815
  • Maximum
    2.54741
  • Mean of quarter 1
    0.91908
  • Mean of quarter 2
    0.99764
  • Mean of quarter 3
    1.00668
  • Mean of quarter 4
    1.18570
  • Inter Quartile Range
    0.02896
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.09589
  • Mean of outliers low
    0.81265
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.15069
  • Mean of outliers high
    1.28083
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.14824
  • VaR(95%) (moments method)
    0.07347
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.42994
  • VaR(95%) (regression method)
    0.06435
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.04335
  • Quartile 1
    0.07855
  • Median
    0.25187
  • Quartile 3
    0.28227
  • Maximum
    0.64403
  • Mean of quarter 1
    0.06095
  • Mean of quarter 2
    0.25187
  • Mean of quarter 3
    0.28227
  • Mean of quarter 4
    0.64403
  • Inter Quartile Range
    0.20372
  • 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
    0.20000
  • Mean of outliers high
    0.64403
  • 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)
    3.42021
  • Compounded annual return (geometric extrapolation)
    10.04870
  • Calmar ratio (compounded annual return / max draw down)
    15.60290
  • Compounded annual return / average of 25% largest draw downs
    15.60290
  • Compounded annual return / Expected Shortfall lognormal
    33.19470
  • 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)
    0.25000
  • 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
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -479928000
  • Max Equity Drawdown (num days)
    109

Strategy Description

Summary Statistics

Strategy began
2023-04-30
Suggested Minimum Capital
$200,000
# Trades
31
# Profitable
15
% Profitable
48.4%
Correlation S&P500
0.019
Sharpe Ratio
0.67
Sortino Ratio
1.68
Beta
0.22
Alpha
0.29
Leverage
41.28 Average
92.19 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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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.