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Schulenberg C2Star SP500
(134370531)

Created by: CraigSchulenberg CraigSchulenberg
Started: 03/2021
Stocks
Last trade: 5 days ago

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.

12.0%
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.

(10.1%)
Max Drawdown
82
Num Trades
56.1%
Win Trades
1.6 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021              +5.2%(1.2%)+6.5%+2.2%+1.5%+3.1%(7.4%)+2.3%            +12.0%

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.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 142 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/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/20/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,431 7.98 10/20 15:57 7.96 0.25%
Trade id #137884771
Max drawdown($121)
Time10/20/21 10:32
Quant open2,431
Worst price7.93
Drawdown as % of equity-0.25%
($66)
Includes Typical Broker Commissions trade costs of $5.00
10/19/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 261 130.98 10/19 15:57 131.72 0.23%
Trade id #137869803
Max drawdown($112)
Time10/19/21 9:45
Quant open261
Worst price130.55
Drawdown as % of equity-0.23%
$188
Includes Typical Broker Commissions trade costs of $5.22
10/18/21 9:50 SSO PROSHARES ULTRA S&P500 LONG 261 128.84 10/18 15:57 129.94 0.11%
Trade id #137853599
Max drawdown($52)
Time10/18/21 9:53
Quant open261
Worst price128.64
Drawdown as % of equity-0.11%
$283
Includes Typical Broker Commissions trade costs of $5.22
10/14/21 9:38 SDS PROSHARES ULTRASHORT S&P500 LONG 2,257 8.45 10/14 15:57 8.31 0.7%
Trade id #137802592
Max drawdown($338)
Time10/14/21 13:57
Quant open2,257
Worst price8.30
Drawdown as % of equity-0.70%
($321)
Includes Typical Broker Commissions trade costs of $5.00
10/13/21 10:00 SSO PROSHARES ULTRA S&P500 LONG 276 121.97 10/13 15:57 122.96 0.52%
Trade id #137786475
Max drawdown($252)
Time10/13/21 10:14
Quant open276
Worst price121.05
Drawdown as % of equity-0.52%
$269
Includes Typical Broker Commissions trade costs of $5.52
10/12/21 10:03 SSO PROSHARES ULTRA S&P500 LONG 275 122.66 10/12 15:57 122.30 0.51%
Trade id #137770129
Max drawdown($246)
Time10/12/21 15:51
Quant open275
Worst price121.77
Drawdown as % of equity-0.51%
($104)
Includes Typical Broker Commissions trade costs of $5.50
10/11/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,272 8.52 10/11 15:57 8.60 0.59%
Trade id #137749318
Max drawdown($284)
Time10/11/21 10:20
Quant open2,272
Worst price8.39
Drawdown as % of equity-0.59%
$188
Includes Typical Broker Commissions trade costs of $5.00
10/8/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 271 125.60 10/11 9:30 124.26 0.81%
Trade id #137725812
Max drawdown($392)
Time10/11/21 9:30
Quant open271
Worst price124.15
Drawdown as % of equity-0.81%
($368)
Includes Typical Broker Commissions trade costs of $5.42
10/6/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 378 119.72 10/7 9:30 124.98 0.71%
Trade id #137688827
Max drawdown($327)
Time10/6/21 10:06
Quant open378
Worst price118.85
Drawdown as % of equity-0.71%
$1,981
Includes Typical Broker Commissions trade costs of $7.56
10/5/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,083 8.80 10/6 9:30 8.84 1%
Trade id #137667164
Max drawdown($458)
Time10/5/21 14:48
Quant open2,083
Worst price8.58
Drawdown as % of equity-1.00%
$78
Includes Typical Broker Commissions trade costs of $5.00
10/4/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 268 121.96 10/5 9:30 120.37 2.14%
Trade id #137642913
Max drawdown($1,002)
Time10/4/21 11:41
Quant open268
Worst price118.22
Drawdown as % of equity-2.14%
($431)
Includes Typical Broker Commissions trade costs of $5.36
9/29/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 276 123.23 10/1 10:24 118.88 2.59%
Trade id #137578486
Max drawdown($1,225)
Time10/1/21 10:23
Quant open276
Worst price118.79
Drawdown as % of equity-2.59%
($1,205)
Includes Typical Broker Commissions trade costs of $5.52
9/28/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,320 8.46 9/29 9:30 8.61 0.03%
Trade id #137557793
Max drawdown($13)
Time9/28/21 9:33
Quant open2,320
Worst price8.45
Drawdown as % of equity-0.03%
$353
Includes Typical Broker Commissions trade costs of $5.00
9/27/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 264 127.89 9/28 9:30 125.85 1.38%
Trade id #137539854
Max drawdown($667)
Time9/28/21 0:00
Quant open264
Worst price125.36
Drawdown as % of equity-1.38%
($543)
Includes Typical Broker Commissions trade costs of $5.28
9/23/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,240 8.45 9/27 9:30 8.33 0.92%
Trade id #137494443
Max drawdown($445)
Time9/23/21 13:40
Quant open2,240
Worst price8.25
Drawdown as % of equity-0.92%
($271)
Includes Typical Broker Commissions trade costs of $5.00
9/21/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 274 124.15 9/23 9:30 126.02 1.09%
Trade id #137458558
Max drawdown($526)
Time9/21/21 10:54
Quant open274
Worst price122.23
Drawdown as % of equity-1.09%
$507
Includes Typical Broker Commissions trade costs of $5.48
9/17/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 271 128.92 9/20 12:08 121.71 4.04%
Trade id #137413238
Max drawdown($1,956)
Time9/20/21 12:08
Quant open271
Worst price121.70
Drawdown as % of equity-4.04%
($1,958)
Includes Typical Broker Commissions trade costs of $5.42
9/16/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,442 8.23 9/17 9:30 8.26 0.19%
Trade id #137396109
Max drawdown($94)
Time9/16/21 9:34
Quant open2,442
Worst price8.19
Drawdown as % of equity-0.19%
$72
Includes Typical Broker Commissions trade costs of $5.00
9/13/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 273 130.43 9/16 9:30 129.61 1.71%
Trade id #137344846
Max drawdown($854)
Time9/14/21 0:00
Quant open273
Worst price127.30
Drawdown as % of equity-1.71%
($229)
Includes Typical Broker Commissions trade costs of $5.46
9/10/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 274 131.94 9/10 15:20 129.64 1.31%
Trade id #137318897
Max drawdown($662)
Time9/10/21 15:19
Quant open274
Worst price129.52
Drawdown as % of equity-1.31%
($634)
Includes Typical Broker Commissions trade costs of $5.48
9/7/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,535 8.05 9/10 9:30 8.09 n/a $96
Includes Typical Broker Commissions trade costs of $5.00
9/1/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 270 132.74 9/7 9:30 132.85 0.28%
Trade id #137207045
Max drawdown($142)
Time9/3/21 0:00
Quant open270
Worst price132.21
Drawdown as % of equity-0.28%
$25
Includes Typical Broker Commissions trade costs of $5.40
8/31/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,258 8.07 9/1 9:30 8.04 0.13%
Trade id #137190246
Max drawdown($63)
Time9/1/21 0:00
Quant open2,258
Worst price8.04
Drawdown as % of equity-0.13%
($69)
Includes Typical Broker Commissions trade costs of $5.00
8/27/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 270 130.02 8/31 9:30 132.59 0.03%
Trade id #137147160
Max drawdown($14)
Time8/27/21 10:00
Quant open235
Worst price129.68
Drawdown as % of equity-0.03%
$690
Includes Typical Broker Commissions trade costs of $5.40
8/26/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,450 8.20 8/27 9:30 8.24 0.24%
Trade id #137132116
Max drawdown($122)
Time8/27/21 0:00
Quant open2,450
Worst price8.15
Drawdown as % of equity-0.24%
$93
Includes Typical Broker Commissions trade costs of $5.00
8/17/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 233 128.31 8/26 9:30 130.62 1.22%
Trade id #136995840
Max drawdown($600)
Time8/19/21 0:00
Quant open128
Worst price123.41
Drawdown as % of equity-1.22%
$534
Includes Typical Broker Commissions trade costs of $4.66
8/16/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,403 8.36 8/17 9:30 8.37 0.46%
Trade id #136977675
Max drawdown($228)
Time8/16/21 15:56
Quant open2,403
Worst price8.26
Drawdown as % of equity-0.46%
$31
Includes Typical Broker Commissions trade costs of $5.00
8/6/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 234 126.97 8/16 9:30 128.25 0.25%
Trade id #136855805
Max drawdown($121)
Time8/9/21 0:00
Quant open234
Worst price126.45
Drawdown as % of equity-0.25%
$295
Includes Typical Broker Commissions trade costs of $4.68
8/5/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,308 8.54 8/6 9:30 8.44 0.56%
Trade id #136839544
Max drawdown($276)
Time8/6/21 0:00
Quant open2,308
Worst price8.42
Drawdown as % of equity-0.56%
($236)
Includes Typical Broker Commissions trade costs of $5.00
8/4/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 235 125.58 8/5 9:30 125.85 0.27%
Trade id #136820203
Max drawdown($133)
Time8/4/21 11:42
Quant open235
Worst price125.01
Drawdown as % of equity-0.27%
$59
Includes Typical Broker Commissions trade costs of $4.70

Statistics

  • Strategy began
    3/2/2021
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    237.87
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    82
  • # Profitable
    46
  • % Profitable
    56.10%
  • Avg trade duration
    2.6 days
  • Max peak-to-valley drawdown
    10.13%
  • drawdown period
    Sept 09, 2021 - Oct 04, 2021
  • Cumul. Return
    12.0%
  • Avg win
    $395.35
  • Avg loss
    $317.25
  • Model Account Values (Raw)
  • Cash
    $32,736
  • Margin Used
    $0
  • Buying Power
    $32,842
  • Ratios
  • W:L ratio
    1.60:1
  • Sharpe Ratio
    1.46
  • Sortino Ratio
    2.36
  • Calmar Ratio
    2.887
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -6.72%
  • Correlation to SP500
    0.31150
  • Return Percent SP500 (cumu) during strategy life
    17.99%
  • Verified
  • C2Star
    1
  • Return Statistics
  • Ann Return (w trading costs)
    18.8%
  • Slump
  • Current Slump as Pcnt Equity
    5.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.120%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    25.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    4.05%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    695
  • Popularity (Last 6 weeks)
    931
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    819
  • Popularity (7 days, Percentile 1000 scale)
    815
  • 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
    $317
  • Avg Win
    $396
  • Sum Trade PL (losers)
    $11,421.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $18,229.000
  • # Winners
    46
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    40
  • AUM
  • AUM (AutoTrader live capital)
    49358
  • Win / Loss
  • # Losers
    36
  • % Winners
    56.1%
  • Frequency
  • Avg Position Time (mins)
    3780.62
  • Avg Position Time (hrs)
    63.01
  • Avg Trade Length
    2.6 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.11
  • Daily leverage (max)
    2.22
  • Regression
  • Alpha
    0.03
  • Beta
    0.26
  • Treynor Index
    0.18
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.22
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.631
  • 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
    0.529
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.216
  • Hold-and-Hope Ratio
    0.269
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19113
  • SD
    0.15263
  • Sharpe ratio (Glass type estimate)
    1.25229
  • Sharpe ratio (Hedges UMVUE)
    1.08777
  • df
    6.00000
  • t
    0.95645
  • p
    0.18789
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45292
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.86311
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55119
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72674
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00938
  • Upside Potential Ratio
    3.34869
  • Upside part of mean
    0.31853
  • Downside part of mean
    -0.12740
  • Upside SD
    0.11817
  • Downside SD
    0.09512
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.18076
  • Mean of criterion
    0.19113
  • SD of predictor
    0.09512
  • SD of criterion
    0.15263
  • Covariance
    0.00951
  • r
    0.65493
  • b (slope, estimate of beta)
    1.05092
  • a (intercept, estimate of alpha)
    0.00117
  • Mean Square Error
    0.01596
  • DF error
    5.00000
  • t(b)
    1.93790
  • p(b)
    0.05518
  • t(a)
    0.00609
  • p(a)
    0.49769
  • Lowerbound of 95% confidence interval for beta
    -0.34316
  • Upperbound of 95% confidence interval for beta
    2.44499
  • Lowerbound of 95% confidence interval for alpha
    -0.49314
  • Upperbound of 95% confidence interval for alpha
    0.49548
  • Treynor index (mean / b)
    0.18187
  • Jensen alpha (a)
    0.00117
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17923
  • SD
    0.15379
  • Sharpe ratio (Glass type estimate)
    1.16543
  • Sharpe ratio (Hedges UMVUE)
    1.01233
  • df
    6.00000
  • t
    0.89011
  • p
    0.20384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52479
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.76697
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61701
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64166
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81935
  • Upside Potential Ratio
    3.15759
  • Upside part of mean
    0.31106
  • Downside part of mean
    -0.13183
  • Upside SD
    0.11508
  • Downside SD
    0.09851
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.17517
  • Mean of criterion
    0.17923
  • SD of predictor
    0.09491
  • SD of criterion
    0.15379
  • Covariance
    0.00984
  • r
    0.67437
  • b (slope, estimate of beta)
    1.09267
  • a (intercept, estimate of alpha)
    -0.01218
  • Mean Square Error
    0.01547
  • DF error
    5.00000
  • t(b)
    2.04221
  • p(b)
    0.04830
  • t(a)
    -0.06482
  • p(a)
    0.52459
  • Lowerbound of 95% confidence interval for beta
    -0.28276
  • Upperbound of 95% confidence interval for beta
    2.46810
  • Lowerbound of 95% confidence interval for alpha
    -0.49524
  • Upperbound of 95% confidence interval for alpha
    0.47087
  • Treynor index (mean / b)
    0.16403
  • Jensen alpha (a)
    -0.01218
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05643
  • Expected Shortfall on VaR
    0.07365
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01592
  • Expected Shortfall on VaR
    0.03769
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.92970
  • Quartile 1
    1.01343
  • Median
    1.02643
  • Quartile 3
    1.04178
  • Maximum
    1.06125
  • Mean of quarter 1
    0.96517
  • Mean of quarter 2
    1.02632
  • Mean of quarter 3
    1.02747
  • Mean of quarter 4
    1.05867
  • Inter Quartile Range
    0.02835
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.92970
  • 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
    1.00000
  • Minimum
    0.07030
  • Quartile 1
    0.07030
  • Median
    0.07030
  • Quartile 3
    0.07030
  • Maximum
    0.07030
  • 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)
    0.22017
  • Compounded annual return (geometric extrapolation)
    0.23015
  • Calmar ratio (compounded annual return / max draw down)
    3.27371
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.12494
  • 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
    0.20615
  • SD
    0.09964
  • Sharpe ratio (Glass type estimate)
    2.06907
  • Sharpe ratio (Hedges UMVUE)
    2.05988
  • df
    169.00000
  • t
    1.66667
  • p
    0.41926
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37707
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.50924
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38319
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.50294
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.28512
  • Upside Potential Ratio
    10.45990
  • Upside part of mean
    0.65640
  • Downside part of mean
    -0.45024
  • Upside SD
    0.07806
  • Downside SD
    0.06275
  • N nonnegative terms
    93.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    170.00000
  • Mean of predictor
    0.24420
  • Mean of criterion
    0.20615
  • SD of predictor
    0.11816
  • SD of criterion
    0.09964
  • Covariance
    0.00364
  • r
    0.30883
  • b (slope, estimate of beta)
    0.26041
  • a (intercept, estimate of alpha)
    0.14300
  • Mean Square Error
    0.00903
  • DF error
    168.00000
  • t(b)
    4.20862
  • p(b)
    0.34558
  • t(a)
    1.19841
  • p(a)
    0.45397
  • Lowerbound of 95% confidence interval for beta
    0.13825
  • Upperbound of 95% confidence interval for beta
    0.38256
  • Lowerbound of 95% confidence interval for alpha
    -0.09228
  • Upperbound of 95% confidence interval for alpha
    0.37741
  • Treynor index (mean / b)
    0.79166
  • Jensen alpha (a)
    0.14256
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20113
  • SD
    0.09952
  • Sharpe ratio (Glass type estimate)
    2.02097
  • Sharpe ratio (Hedges UMVUE)
    2.01199
  • df
    169.00000
  • t
    1.62792
  • p
    0.42110
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42463
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.46078
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.45460
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.18430
  • Upside Potential Ratio
    10.34340
  • Upside part of mean
    0.65331
  • Downside part of mean
    -0.45218
  • Upside SD
    0.07753
  • Downside SD
    0.06316
  • N nonnegative terms
    93.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    170.00000
  • Mean of predictor
    0.23713
  • Mean of criterion
    0.20113
  • SD of predictor
    0.11817
  • SD of criterion
    0.09952
  • Covariance
    0.00365
  • r
    0.30997
  • b (slope, estimate of beta)
    0.26104
  • a (intercept, estimate of alpha)
    0.13923
  • Mean Square Error
    0.00901
  • DF error
    168.00000
  • t(b)
    4.22581
  • p(b)
    0.34502
  • t(a)
    1.17274
  • p(a)
    0.45494
  • Lowerbound of 95% confidence interval for beta
    0.13909
  • Upperbound of 95% confidence interval for beta
    0.38299
  • Lowerbound of 95% confidence interval for alpha
    -0.09515
  • Upperbound of 95% confidence interval for alpha
    0.37360
  • Treynor index (mean / b)
    0.77047
  • Jensen alpha (a)
    0.13923
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00930
  • Expected Shortfall on VaR
    0.01184
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00368
  • Expected Shortfall on VaR
    0.00763
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    170.00000
  • Minimum
    0.97862
  • Quartile 1
    0.99819
  • Median
    1.00051
  • Quartile 3
    1.00406
  • Maximum
    1.02379
  • Mean of quarter 1
    0.99401
  • Mean of quarter 2
    0.99943
  • Mean of quarter 3
    1.00188
  • Mean of quarter 4
    1.00825
  • Inter Quartile Range
    0.00587
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.04118
  • Mean of outliers low
    0.98507
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.04118
  • Mean of outliers high
    1.01724
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37612
  • VaR(95%) (moments method)
    0.00570
  • Expected Shortfall (moments method)
    0.01089
  • Extreme Value Index (regression method)
    0.31748
  • VaR(95%) (regression method)
    0.00550
  • Expected Shortfall (regression method)
    0.00976
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00438
  • Median
    0.00562
  • Quartile 3
    0.01070
  • Maximum
    0.08917
  • Mean of quarter 1
    0.00204
  • Mean of quarter 2
    0.00515
  • Mean of quarter 3
    0.00690
  • Mean of quarter 4
    0.03444
  • Inter Quartile Range
    0.00632
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.04926
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.41973
  • VaR(95%) (moments method)
    0.03548
  • Expected Shortfall (moments method)
    0.07289
  • Extreme Value Index (regression method)
    1.09567
  • VaR(95%) (regression method)
    0.04706
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24693
  • Compounded annual return (geometric extrapolation)
    0.25738
  • Calmar ratio (compounded annual return / max draw down)
    2.88657
  • Compounded annual return / average of 25% largest draw downs
    7.47390
  • Compounded annual return / Expected Shortfall lognormal
    21.73600
  • 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
    0.18001
  • SD
    0.10286
  • Sharpe ratio (Glass type estimate)
    1.75010
  • Sharpe ratio (Hedges UMVUE)
    1.73998
  • df
    130.00000
  • t
    1.23751
  • p
    0.44605
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03313
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.52679
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03988
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.51984
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.67488
  • Upside Potential Ratio
    9.68005
  • Upside part of mean
    0.65143
  • Downside part of mean
    -0.47142
  • Upside SD
    0.07806
  • Downside SD
    0.06730
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16481
  • Mean of criterion
    0.18001
  • SD of predictor
    0.11282
  • SD of criterion
    0.10286
  • Covariance
    0.00395
  • r
    0.34033
  • b (slope, estimate of beta)
    0.31027
  • a (intercept, estimate of alpha)
    0.12887
  • Mean Square Error
    0.00943
  • DF error
    129.00000
  • t(b)
    4.11079
  • p(b)
    0.28760
  • t(a)
    0.93475
  • p(a)
    0.44784
  • Lowerbound of 95% confidence interval for beta
    0.16093
  • Upperbound of 95% confidence interval for beta
    0.45960
  • Lowerbound of 95% confidence interval for alpha
    -0.14391
  • Upperbound of 95% confidence interval for alpha
    0.40165
  • Treynor index (mean / b)
    0.58017
  • Jensen alpha (a)
    0.12887
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17469
  • SD
    0.10278
  • Sharpe ratio (Glass type estimate)
    1.69955
  • Sharpe ratio (Hedges UMVUE)
    1.68972
  • df
    130.00000
  • t
    1.20176
  • p
    0.44759
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08309
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47590
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08968
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.46913
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57792
  • Upside Potential Ratio
    9.56783
  • Upside part of mean
    0.64834
  • Downside part of mean
    -0.47365
  • Upside SD
    0.07752
  • Downside SD
    0.06776
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15842
  • Mean of criterion
    0.17469
  • SD of predictor
    0.11293
  • SD of criterion
    0.10278
  • Covariance
    0.00397
  • r
    0.34184
  • b (slope, estimate of beta)
    0.31113
  • a (intercept, estimate of alpha)
    0.12540
  • Mean Square Error
    0.00940
  • DF error
    129.00000
  • t(b)
    4.13147
  • p(b)
    0.28669
  • t(a)
    0.91099
  • p(a)
    0.44916
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    0.16213
  • Upperbound of 95% confidence interval for beta
    0.46013
  • Lowerbound of 95% confidence interval for alpha
    -0.14694
  • Upperbound of 95% confidence interval for alpha
    0.39774
  • Treynor index (mean / b)
    0.56146
  • Jensen alpha (a)
    0.12540
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00973
  • Expected Shortfall on VaR
    0.01235
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00383
  • Expected Shortfall on VaR
    0.00802
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97862
  • Quartile 1
    0.99819
  • Median
    1.00050
  • Quartile 3
    1.00410
  • Maximum
    1.02379
  • Mean of quarter 1
    0.99364
  • Mean of quarter 2
    0.99947
  • Mean of quarter 3
    1.00194
  • Mean of quarter 4
    1.00817
  • Inter Quartile Range
    0.00591
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98507
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.01816
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51829
  • VaR(95%) (moments method)
    0.00631
  • Expected Shortfall (moments method)
    0.01495
  • Extreme Value Index (regression method)
    0.47675
  • VaR(95%) (regression method)
    0.00494
  • Expected Shortfall (regression method)
    0.01026
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00341
  • Median
    0.00558
  • Quartile 3
    0.01070
  • Maximum
    0.08917
  • Mean of quarter 1
    0.00179
  • Mean of quarter 2
    0.00489
  • Mean of quarter 3
    0.00681
  • Mean of quarter 4
    0.03527
  • Inter Quartile Range
    0.00728
  • 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
    0.14286
  • Mean of outliers high
    0.05833
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.69093
  • VaR(95%) (moments method)
    0.04067
  • Expected Shortfall (moments method)
    0.14379
  • Extreme Value Index (regression method)
    2.19943
  • VaR(95%) (regression method)
    0.07474
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -296281000
  • Max Equity Drawdown (num days)
    25
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21321
  • Compounded annual return (geometric extrapolation)
    0.22457
  • Calmar ratio (compounded annual return / max draw down)
    2.51861
  • Compounded annual return / average of 25% largest draw downs
    6.36756
  • Compounded annual return / Expected Shortfall lognormal
    18.18150

Strategy Description

Based upon our most accurate S&P Model, this strategy will trade the S&P using SSO (when Long) and SDS (when Short), slightly over-leveraged when Long, and under-leveraged when Short. It is reasonable to apply some leverage when Long because our Model's BUY signals are inherently more accurate than its SHORT signals. Thus, in order to strive for the lowest possible drawdown, Shorts (via SDS) are used, but they use a reduced amount of equity for these trades.

Summary Statistics

Strategy began
2021-03-02
Suggested Minimum Capital
$35,000
Rank at C2 
#145
# Trades
82
# Profitable
46
% Profitable
56.1%
Net Dividends
Correlation S&P500
0.311
Sharpe Ratio
1.46
Sortino Ratio
2.36
Beta
0.26
Alpha
0.03
Leverage
1.11 Average
2.22 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.