TEST Cmdty
(113129727)
Subscription terms. You can subscribe to this system for free.
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.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2017  +16.3%  +5.6%  +11.8%  +17.8%  +5.8%  +71.1%  
2018  +0.5%  +2.8%  +1.6%  (1.1%)  (2.5%)  +1.8%  (3.5%)      +0.1%      (0.7%) 
2019              (0.2%) 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $100,000  
Buy Power  $176,374  
Cash  $1  
Equity  $1  
Cumulative $  $76,374  
Total System Equity  $176,374  
Margined  $1  
Open P/L  $0  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began8/14/2017

Suggested Minimum Cap$100,000

Strategy Age (days)671.91

Age22 months ago

What it tradesOptions, Futures

# Trades62

# Profitable41

% Profitable66.10%

Avg trade duration14.5 days

Max peaktovalley drawdown10.09%

drawdown periodNov 28, 2017  Dec 14, 2017

Annual Return (Compounded)33.7%

Avg win$2,669

Avg loss$1,575
 Model Account Values (Raw)

Cash$176,374

Margin Used$0

Buying Power$176,374
 Ratios

W:L ratio3.31:1

Sharpe Ratio1.93

Sortino Ratio3.98

Calmar Ratio4.792
 CORRELATION STATISTICS

Correlation to SP5000.02780
 Return Statistics

Ann Return (w trading costs)33.7%

Ann Return (Compnd, No Fees)36.0%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss5.00%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)374

Popularity (Last 6 weeks)779

C2 Score62.1
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$1,575

Avg Win$2,670

# Winners41

# Losers21

% Winners66.1%
 Frequency

Avg Position Time (mins)20879.80

Avg Position Time (hrs)348.00

Avg Trade Length14.5 days

Last Trade Ago327
 Leverage

Daily leverage (average)2.21

Daily leverage (max)12.98
 Unknown

Alpha0.08

Beta0.02

Treynor Index3.14
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.33819

SD0.21873

Sharpe ratio (Glass type estimate)1.54615

Sharpe ratio (Hedges UMVUE)1.48416

df19.00000

t1.99607

p0.24281

Lowerbound of 95% confidence interval for Sharpe Ratio0.06693

Upperbound of 95% confidence interval for Sharpe Ratio3.12260

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.10566

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.07399
 Statistics related to Sortino ratio

Sortino ratio14.64700

Upside Potential Ratio16.52100

Upside part of mean0.38146

Downside part of mean0.04327

Upside SD0.23334

Downside SD0.02309

N nonnegative terms7.00000

N negative terms13.00000
 Statistics related to linear regression on benchmark

N of observations20.00000

Mean of predictor0.06961

Mean of criterion0.33819

SD of predictor0.10694

SD of criterion0.21873

Covariance0.00418

r0.17887

b (slope, estimate of beta)0.36583

a (intercept, estimate of alpha)0.31272

Mean Square Error0.04888

DF error18.00000

t(b)0.77130

p(b)0.41057

t(a)1.79298

p(a)0.30536

Lowerbound of 95% confidence interval for beta0.63064

Upperbound of 95% confidence interval for beta1.36230

Lowerbound of 95% confidence interval for alpha0.05371

Upperbound of 95% confidence interval for alpha0.67916

Treynor index (mean / b)0.92444

Jensen alpha (a)0.31272
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.31256

SD0.20319

Sharpe ratio (Glass type estimate)1.53826

Sharpe ratio (Hedges UMVUE)1.47660

df19.00000

t1.98589

p0.24383

Lowerbound of 95% confidence interval for Sharpe Ratio0.07399

Upperbound of 95% confidence interval for Sharpe Ratio3.11400

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.11252

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.06571
 Statistics related to Sortino ratio

Sortino ratio13.45780

Upside Potential Ratio15.32800

Upside part of mean0.35599

Downside part of mean0.04344

Upside SD0.21638

Downside SD0.02322

N nonnegative terms7.00000

N negative terms13.00000
 Statistics related to linear regression on benchmark

N of observations20.00000

Mean of predictor0.06386

Mean of criterion0.31256

SD of predictor0.10671

SD of criterion0.20319

Covariance0.00399

r0.18394

b (slope, estimate of beta)0.35024

a (intercept, estimate of alpha)0.29019

Mean Square Error0.04210

DF error18.00000

t(b)0.79393

p(b)0.40803

t(a)1.79774

p(a)0.30493

Lowerbound of 95% confidence interval for beta0.57658

Upperbound of 95% confidence interval for beta1.27707

Lowerbound of 95% confidence interval for alpha0.04894

Upperbound of 95% confidence interval for alpha0.62932

Treynor index (mean / b)0.89239

Jensen alpha (a)0.29019
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.06801

Expected Shortfall on VaR0.09036
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00975

Expected Shortfall on VaR0.01739
 ORDER STATISTICS
 Quartiles of return rates

Number of observations20.00000

Minimum0.98285

Quartile 11.00000

Median1.00000

Quartile 31.01880

Maximum1.18475

Mean of quarter 10.99121

Mean of quarter 21.00000

Mean of quarter 31.00526

Mean of quarter 41.12557

Inter Quartile Range0.01880

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high4.00000

Percentage of outliers high0.20000

Mean of outliers high1.14924
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.95294

VaR(95%) (regression method)0.01323

Expected Shortfall (regression method)0.01512
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.02916

Quartile 10.02916

Median0.02916

Quartile 30.02916

Maximum0.02916

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.45824

Compounded annual return (geometric extrapolation)0.40560

Calmar ratio (compounded annual return / max draw down)13.91080

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

Compounded annual return / Expected Shortfall lognormal4.48864

0.00000

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

Mean0.31587

SD0.12721

Sharpe ratio (Glass type estimate)2.48301

Sharpe ratio (Hedges UMVUE)2.47880

df442.00000

t3.22872

p0.00067

Lowerbound of 95% confidence interval for Sharpe Ratio0.96550

Upperbound of 95% confidence interval for Sharpe Ratio3.99780

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.96268

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.99492
 Statistics related to Sortino ratio

Sortino ratio5.41600

Upside Potential Ratio9.97900

Upside part of mean0.58199

Downside part of mean0.26612

Upside SD0.11457

Downside SD0.05832

N nonnegative terms129.00000

N negative terms314.00000
 Statistics related to linear regression on benchmark

N of observations443.00000

Mean of predictor0.07558

Mean of criterion0.31587

SD of predictor0.14274

SD of criterion0.12721

Covariance0.00054

r0.02996

b (slope, estimate of beta)0.02670

a (intercept, estimate of alpha)0.31800

Mean Square Error0.01620

DF error441.00000

t(b)0.62951

p(b)0.73533

t(a)3.24539

p(a)0.00063

Lowerbound of 95% confidence interval for beta0.11007

Upperbound of 95% confidence interval for beta0.05667

Lowerbound of 95% confidence interval for alpha0.12538

Upperbound of 95% confidence interval for alpha0.51039

Treynor index (mean / b)11.82890

Jensen alpha (a)0.31789
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.30769

SD0.12592

Sharpe ratio (Glass type estimate)2.44359

Sharpe ratio (Hedges UMVUE)2.43945

df442.00000

t3.17746

p0.00079

Lowerbound of 95% confidence interval for Sharpe Ratio0.92639

Upperbound of 95% confidence interval for Sharpe Ratio3.95810

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.92360

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.95529
 Statistics related to Sortino ratio

Sortino ratio5.20113

Upside Potential Ratio9.72841

Upside part of mean0.57551

Downside part of mean0.26782

Upside SD0.11261

Downside SD0.05916

N nonnegative terms129.00000

N negative terms314.00000
 Statistics related to linear regression on benchmark

N of observations443.00000

Mean of predictor0.06535

Mean of criterion0.30769

SD of predictor0.14329

SD of criterion0.12592

Covariance0.00052

r0.02882

b (slope, estimate of beta)0.02533

a (intercept, estimate of alpha)0.30934

Mean Square Error0.01588

DF error441.00000

t(b)0.60548

p(b)0.72741

t(a)3.19099

p(a)0.00076

Lowerbound of 95% confidence interval for beta0.10753

Upperbound of 95% confidence interval for beta0.05688

Lowerbound of 95% confidence interval for alpha0.11882

Upperbound of 95% confidence interval for alpha0.49987

Treynor index (mean / b)12.14930

Jensen alpha (a)0.30934
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01155

Expected Shortfall on VaR0.01476
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00285

Expected Shortfall on VaR0.00626
 ORDER STATISTICS
 Quartiles of return rates

Number of observations443.00000

Minimum0.95109

Quartile 11.00000

Median1.00000

Quartile 31.00075

Maximum1.05673

Mean of quarter 10.99625

Mean of quarter 21.00000

Mean of quarter 31.00008

Mean of quarter 41.00891

Inter Quartile Range0.00075

Number outliers low70.00000

Percentage of outliers low0.15801

Mean of outliers low0.99426

Number of outliers high86.00000

Percentage of outliers high0.19413

Mean of outliers high1.01112
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.42106

VaR(95%) (moments method)0.00290

Expected Shortfall (moments method)0.00660

Extreme Value Index (regression method)0.35372

VaR(95%) (regression method)0.00338

Expected Shortfall (regression method)0.00731
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations14.00000

Minimum0.00005

Quartile 10.00236

Median0.01062

Quartile 30.02166

Maximum0.08321

Mean of quarter 10.00110

Mean of quarter 20.00531

Mean of quarter 30.01711

Mean of quarter 40.05188

Inter Quartile Range0.01929

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.14286

Mean of outliers high0.06826
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)7.72226

VaR(95%) (moments method)0.04707

Expected Shortfall (moments method)0.04707

Extreme Value Index (regression method)0.61357

VaR(95%) (regression method)0.06906

Expected Shortfall (regression method)0.07902
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.45169

Compounded annual return (geometric extrapolation)0.39877

Calmar ratio (compounded annual return / max draw down)4.79241

Compounded annual return / average of 25% largest draw downs7.68576

Compounded annual return / Expected Shortfall lognormal27.02150

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

Mean0.02604

SD0.00093

Sharpe ratio (Glass type estimate)27.91890

Sharpe ratio (Hedges UMVUE)27.75750

df130.00000

t19.74170

p0.93298

Lowerbound of 95% confidence interval for Sharpe Ratio0.00000

Upperbound of 95% confidence interval for Sharpe Ratio0.00000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation32.12410

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation23.39100
 Statistics related to Sortino ratio

Sortino ratio15.21710

Upside Potential Ratio0.84528

Upside part of mean0.00145

Downside part of mean0.02748

Upside SD0.00072

Downside SD0.00171

N nonnegative terms2.00000

N negative terms129.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15102

Mean of criterion0.02604

SD of predictor0.16840

SD of criterion0.00093

Covariance0.00002

r0.12040

b (slope, estimate of beta)0.00067

a (intercept, estimate of alpha)0.02614

Mean Square Error0.00000

DF error129.00000

t(b)1.37750

p(b)0.42354

t(a)19.85560

p(a)0.97180

Lowerbound of 95% confidence interval for beta0.00029

Upperbound of 95% confidence interval for beta0.00162

Lowerbound of 95% confidence interval for alpha0.02874

Upperbound of 95% confidence interval for alpha0.02353

Treynor index (mean / b)39.05020

Jensen alpha (a)0.02614
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.02604

SD0.00093

Sharpe ratio (Glass type estimate)27.92430

Sharpe ratio (Hedges UMVUE)27.76290

df130.00000

t19.74550

p0.93300

Lowerbound of 95% confidence interval for Sharpe Ratio0.00000

Upperbound of 95% confidence interval for Sharpe Ratio0.00000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation32.13000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation23.39590
 Statistics related to Sortino ratio

Sortino ratio15.21730

Upside Potential Ratio0.84508

Upside part of mean0.00145

Downside part of mean0.02748

Upside SD0.00072

Downside SD0.00171

N nonnegative terms2.00000

N negative terms129.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.13685

Mean of criterion0.02604

SD of predictor0.16880

SD of criterion0.00093

Covariance0.00002

r0.12008

b (slope, estimate of beta)0.00066

a (intercept, estimate of alpha)0.02613

Mean Square Error0.00000

DF error129.00000

t(b)1.37382

p(b)0.42374

t(a)19.85670

p(a)0.97180

Lowerbound of 95% confidence interval for beta0.00029

Upperbound of 95% confidence interval for beta0.00162

Lowerbound of 95% confidence interval for alpha0.02873

Upperbound of 95% confidence interval for alpha0.02352

Treynor index (mean / b)39.25300

Jensen alpha (a)0.02613
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00019

Expected Shortfall on VaR0.00022
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00011

Expected Shortfall on VaR0.00011
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum1.00000

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.00047

Mean of quarter 11.00000

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00003

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.01527

Mean of outliers high1.00047
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations0.00000

Minimum0.00000

Quartile 10.00000

Median0.00000

Quartile 30.00000

Maximum0.00000

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.00187

Compounded annual return (geometric extrapolation)0.00187

Calmar ratio (compounded annual return / max draw down)0.00000

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

Compounded annual return / Expected Shortfall lognormal8.58846
Strategy Description
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
 Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
 Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been rescaled downward to make current goforward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
 All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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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.