Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

Capstone Strategic
(121285788)

Created by: David_Bean David_Bean
Started: 11/2018
Futures
Last trade: Yesterday
Trading style: Futures Short Term Commodities

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 $199.00 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
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
2.7%
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.

(30.3%)
Max Drawdown
361
Num Trades
50.4%
Win Trades
1.1 : 1
Profit Factor
30.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                      (0.4%)  -  (0.4%)
2019+9.1%(0.4%)(3.2%)+1.0%(1.2%)(0.5%)(19.8%)+23.2%                        +3.1%

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 8 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/16/19 15:46 @ESU9 E-MINI S&P 500 LONG 2 2889.88 8/16 15:58 2890.50 0.27%
Trade id #124971590
Max drawdown($137)
Time8/16/19 15:46
Quant open2
Worst price2888.50
Drawdown as % of equity-0.27%
$47
Includes Typical Broker Commissions trade costs of $16.00
8/16/19 12:18 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 7595.50 8/16 15:44 7618.75 1.17%
Trade id #124967603
Max drawdown($605)
Time8/16/19 12:18
Quant open1
Worst price7625.75
Drawdown as % of equity-1.17%
($473)
Includes Typical Broker Commissions trade costs of $8.00
8/16/19 11:07 QGCZ9 Gold 100 oz LONG 1 1516.3 8/16 11:48 1519.4 0.04%
Trade id #124965660
Max drawdown($20)
Time8/16/19 11:07
Quant open1
Worst price1516.1
Drawdown as % of equity-0.04%
$302
Includes Typical Broker Commissions trade costs of $8.00
8/16/19 10:54 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 7610.00 8/16 11:47 7604.50 0.88%
Trade id #124965340
Max drawdown($450)
Time8/16/19 10:54
Quant open1
Worst price7632.50
Drawdown as % of equity-0.88%
$102
Includes Typical Broker Commissions trade costs of $8.00
8/16/19 10:06 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 7569.50 8/16 10:25 7598.25 1.4%
Trade id #124964369
Max drawdown($730)
Time8/16/19 10:06
Quant open1
Worst price7606.00
Drawdown as % of equity-1.40%
($583)
Includes Typical Broker Commissions trade costs of $8.00
8/16/19 9:44 @USU9 US T-BOND SHORT 1 165 8/32 8/16 9:45 165 9/32 0.06%
Trade id #124963758
Max drawdown($31)
Time8/16/19 9:44
Quant open1
Worst price165 9/32
Drawdown as % of equity-0.06%
($39)
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 15:40 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7501.25 8/15 15:51 7507.50 0.38%
Trade id #124955711
Max drawdown($195)
Time8/15/19 15:40
Quant open1
Worst price7491.50
Drawdown as % of equity-0.38%
$117
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 15:02 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7495.00 8/15 15:22 7497.00 0.11%
Trade id #124955071
Max drawdown($55)
Time8/15/19 15:02
Quant open1
Worst price7492.25
Drawdown as % of equity-0.11%
$32
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 14:49 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 2 7483.38 8/15 14:52 7471.00 0.45%
Trade id #124954887
Max drawdown($235)
Time8/15/19 14:49
Quant open1
Worst price7472.25
Drawdown as % of equity-0.45%
($511)
Includes Typical Broker Commissions trade costs of $16.00
8/15/19 14:26 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7481.50 8/15 14:35 7473.75 0.77%
Trade id #124954640
Max drawdown($405)
Time8/15/19 14:26
Quant open1
Worst price7461.25
Drawdown as % of equity-0.77%
($163)
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 13:18 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7504.50 8/15 13:23 7501.00 0.09%
Trade id #124953445
Max drawdown($45)
Time8/15/19 13:18
Quant open1
Worst price7502.25
Drawdown as % of equity-0.09%
($78)
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 9:39 @ESU9 E-MINI S&P 500 LONG 1 2842.50 8/15 9:40 2838.00 0.19%
Trade id #124948668
Max drawdown($100)
Time8/15/19 9:39
Quant open1
Worst price2840.50
Drawdown as % of equity-0.19%
($233)
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 9:20 @ESU9 E-MINI S&P 500 SHORT 1 2852.75 8/15 9:24 2852.25 0.59%
Trade id #124947894
Max drawdown($312)
Time8/15/19 9:20
Quant open1
Worst price2859.00
Drawdown as % of equity-0.59%
$17
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 8:59 @ESU9 E-MINI S&P 500 SHORT 1 2858.00 8/15 9:05 2858.00 0.14%
Trade id #124947618
Max drawdown($75)
Time8/15/19 8:59
Quant open1
Worst price2859.50
Drawdown as % of equity-0.14%
($8)
Includes Typical Broker Commissions trade costs of $8.00
8/14/19 13:39 QGCZ9 Gold 100 oz LONG 1 1524.1 8/14 14:05 1529.5 0.31%
Trade id #124935078
Max drawdown($160)
Time8/14/19 13:39
Quant open1
Worst price1522.5
Drawdown as % of equity-0.31%
$532
Includes Typical Broker Commissions trade costs of $8.00
8/14/19 10:47 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 7580.00 8/14 11:01 7561.25 0.57%
Trade id #124930506
Max drawdown($295)
Time8/14/19 11:01
Quant open-1
Worst price7565.25
Drawdown as % of equity-0.57%
$367
Includes Typical Broker Commissions trade costs of $8.00
8/14/19 10:15 @ESU9 E-MINI S&P 500 LONG 1 2875.75 8/14 10:31 2878.25 0.19%
Trade id #124929458
Max drawdown($100)
Time8/14/19 10:15
Quant open1
Worst price2873.75
Drawdown as % of equity-0.19%
$117
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 23:13 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7737.00 8/13 23:34 7729.75 0.26%
Trade id #124921265
Max drawdown($135)
Time8/13/19 23:13
Quant open1
Worst price7730.25
Drawdown as % of equity-0.26%
($153)
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 21:19 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 2 7750.38 8/13 21:31 7744.75 0.41%
Trade id #124920388
Max drawdown($215)
Time8/13/19 21:19
Quant open2
Worst price7745.00
Drawdown as % of equity-0.41%
($241)
Includes Typical Broker Commissions trade costs of $16.00
8/13/19 18:04 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 7745.50 8/13 21:09 7746.25 0.54%
Trade id #124919103
Max drawdown($280)
Time8/13/19 18:04
Quant open1
Worst price7759.50
Drawdown as % of equity-0.54%
($23)
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 11:46 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 7727.25 8/13 14:04 7741.75 0.94%
Trade id #124909884
Max drawdown($495)
Time8/13/19 11:46
Quant open1
Worst price7752.00
Drawdown as % of equity-0.94%
($298)
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 10:16 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 7742.00 8/13 11:26 7701.00 1.84%
Trade id #124906843
Max drawdown($950)
Time8/13/19 10:16
Quant open1
Worst price7789.50
Drawdown as % of equity-1.84%
$812
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 9:58 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 2 7752.00 8/13 10:05 7747.25 1.24%
Trade id #124906122
Max drawdown($640)
Time8/13/19 9:58
Quant open2
Worst price7768.00
Drawdown as % of equity-1.24%
$174
Includes Typical Broker Commissions trade costs of $16.00
8/13/19 9:50 QGCZ9 Gold 100 oz LONG 1 1518.5 8/13 9:51 1511.4 1.4%
Trade id #124905765
Max drawdown($720)
Time8/13/19 9:50
Quant open1
Worst price1511.3
Drawdown as % of equity-1.40%
($718)
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 9:31 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7563.75 8/13 9:37 7605.25 0.33%
Trade id #124904653
Max drawdown($170)
Time8/13/19 9:31
Quant open1
Worst price7555.25
Drawdown as % of equity-0.33%
$822
Includes Typical Broker Commissions trade costs of $8.00
8/12/19 10:02 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 2 7618.38 8/12 12:56 7610.00 0.97%
Trade id #124881452
Max drawdown($490)
Time8/12/19 10:02
Quant open1
Worst price7633.25
Drawdown as % of equity-0.97%
$319
Includes Typical Broker Commissions trade costs of $16.00
8/12/19 10:12 @ESU9 E-MINI S&P 500 LONG 2 2896.75 8/12 10:25 2907.25 0.45%
Trade id #124881760
Max drawdown($225)
Time8/12/19 10:12
Quant open2
Worst price2894.50
Drawdown as % of equity-0.45%
$1,034
Includes Typical Broker Commissions trade costs of $16.00
8/12/19 9:37 @ESU9 E-MINI S&P 500 LONG 1 2899.00 8/12 10:05 2895.75 0.52%
Trade id #124880617
Max drawdown($262)
Time8/12/19 9:37
Quant open1
Worst price2893.75
Drawdown as % of equity-0.52%
($171)
Includes Typical Broker Commissions trade costs of $8.00
8/8/19 11:04 QCLU9 CRUDE OIL SHORT 1 52.67 8/8 11:05 52.88 0.18%
Trade id #124837176
Max drawdown($90)
Time8/8/19 11:04
Quant open1
Worst price52.76
Drawdown as % of equity-0.18%
($218)
Includes Typical Broker Commissions trade costs of $8.00
8/8/19 10:46 @ESU9 E-MINI S&P 500 SHORT 1 2912.00 8/8 10:55 2915.75 0.34%
Trade id #124836748
Max drawdown($175)
Time8/8/19 10:46
Quant open1
Worst price2915.50
Drawdown as % of equity-0.34%
($196)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    11/30/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    259.96
  • Age
    9 months ago
  • What it trades
    Futures
  • # Trades
    361
  • # Profitable
    182
  • % Profitable
    50.40%
  • Avg trade duration
    1.9 hours
  • Max peak-to-valley drawdown
    30.28%
  • drawdown period
    Jan 07, 2019 - Aug 01, 2019
  • Cumul. Return
    2.8%
  • Avg win
    $412.98
  • Avg loss
    $379.95
  • Model Account Values (Raw)
  • Cash
    $57,151
  • Margin Used
    $0
  • Buying Power
    $57,151
  • Ratios
  • W:L ratio
    1.11:1
  • Sharpe Ratio
    0.22
  • Sortino Ratio
    0.32
  • Calmar Ratio
    1.168
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.17020
  • Return Statistics
  • Ann Return (w trading costs)
    3.8%
  • Ann Return (Compnd, No Fees)
    20.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.50%
  • Chance of 20% account loss
    10.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    391
  • Popularity (Last 6 weeks)
    515
  • C2 Score
    243
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $380
  • Avg Win
    $413
  • # Winners
    182
  • # Losers
    179
  • % Winners
    50.4%
  • Frequency
  • Avg Position Time (mins)
    112.35
  • Avg Position Time (hrs)
    1.87
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    5.58
  • Daily leverage (max)
    27.86
  • Regression
  • Alpha
    0.02
  • Beta
    0.30
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    45.278
  • Avg(MAE) / Avg(PL) - Winning trades
    0.546
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.385
  • Hold-and-Hope Ratio
    0.022
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06476
  • SD
    0.29323
  • Sharpe ratio (Glass type estimate)
    -0.22085
  • Sharpe ratio (Hedges UMVUE)
    -0.19184
  • df
    6.00000
  • t
    -0.16868
  • p
    0.56420
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.78101
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35715
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.76033
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37665
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.33491
  • Upside Potential Ratio
    1.52813
  • Upside part of mean
    0.29549
  • Downside part of mean
    -0.36025
  • Upside SD
    0.19146
  • Downside SD
    0.19337
  • N nonnegative terms
    2.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.10121
  • Mean of criterion
    -0.06476
  • SD of predictor
    0.24067
  • SD of criterion
    0.29323
  • Covariance
    0.03861
  • r
    0.54710
  • b (slope, estimate of beta)
    0.66656
  • a (intercept, estimate of alpha)
    -0.13222
  • Mean Square Error
    0.07230
  • DF error
    5.00000
  • t(b)
    1.46147
  • p(b)
    0.10187
  • t(a)
    -0.37240
  • p(a)
    0.63757
  • Lowerbound of 95% confidence interval for beta
    -0.50591
  • Upperbound of 95% confidence interval for beta
    1.83903
  • Lowerbound of 95% confidence interval for alpha
    -1.04497
  • Upperbound of 95% confidence interval for alpha
    0.78052
  • Treynor index (mean / b)
    -0.09715
  • Jensen alpha (a)
    -0.13222
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10184
  • SD
    0.29425
  • Sharpe ratio (Glass type estimate)
    -0.34609
  • Sharpe ratio (Hedges UMVUE)
    -0.30062
  • df
    6.00000
  • t
    -0.26433
  • p
    0.59981
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.90545
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24114
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.87245
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.27120
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.49076
  • Upside Potential Ratio
    1.34010
  • Upside part of mean
    0.27808
  • Downside part of mean
    -0.37992
  • Upside SD
    0.17893
  • Downside SD
    0.20751
  • N nonnegative terms
    2.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.07566
  • Mean of criterion
    -0.10184
  • SD of predictor
    0.24258
  • SD of criterion
    0.29425
  • Covariance
    0.03584
  • r
    0.50214
  • b (slope, estimate of beta)
    0.60909
  • a (intercept, estimate of alpha)
    -0.14792
  • Mean Square Error
    0.07770
  • DF error
    5.00000
  • t(b)
    1.29837
  • p(b)
    0.12541
  • t(a)
    -0.40339
  • p(a)
    0.64833
  • Lowerbound of 95% confidence interval for beta
    -0.59687
  • Upperbound of 95% confidence interval for beta
    1.81504
  • Lowerbound of 95% confidence interval for alpha
    -1.09057
  • Upperbound of 95% confidence interval for alpha
    0.79473
  • Treynor index (mean / b)
    -0.16720
  • Jensen alpha (a)
    -0.14792
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13775
  • Expected Shortfall on VaR
    0.16740
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08548
  • Expected Shortfall on VaR
    0.15153
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.85871
  • Quartile 1
    0.98145
  • Median
    0.98806
  • Quartile 3
    1.01160
  • Maximum
    1.14565
  • Mean of quarter 1
    0.91999
  • Mean of quarter 2
    0.98484
  • Mean of quarter 3
    0.99182
  • Mean of quarter 4
    1.08851
  • Inter Quartile Range
    0.03015
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.85871
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    1.14565
  • 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
    3.00000
  • Minimum
    0.01194
  • Quartile 1
    0.01934
  • Median
    0.02675
  • Quartile 3
    0.09191
  • Maximum
    0.15707
  • Mean of quarter 1
    0.01194
  • Mean of quarter 2
    0.02675
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15707
  • Inter Quartile Range
    0.07256
  • 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)
    -0.07236
  • Compounded annual return (geometric extrapolation)
    -0.07126
  • Calmar ratio (compounded annual return / max draw down)
    -0.45371
  • Compounded annual return / average of 25% largest draw downs
    -0.45371
  • Compounded annual return / Expected Shortfall lognormal
    -0.42569
  • 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
    0.22739
  • SD
    0.27209
  • Sharpe ratio (Glass type estimate)
    0.83571
  • Sharpe ratio (Hedges UMVUE)
    0.83184
  • df
    162.00000
  • t
    0.65917
  • p
    0.47414
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65209
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32099
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65469
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31836
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36135
  • Upside Potential Ratio
    7.13647
  • Upside part of mean
    1.19202
  • Downside part of mean
    -0.96463
  • Upside SD
    0.21419
  • Downside SD
    0.16703
  • N nonnegative terms
    73.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    163.00000
  • Mean of predictor
    0.05962
  • Mean of criterion
    0.22739
  • SD of predictor
    0.17002
  • SD of criterion
    0.27209
  • Covariance
    0.00716
  • r
    0.15483
  • b (slope, estimate of beta)
    0.24778
  • a (intercept, estimate of alpha)
    0.21300
  • Mean Square Error
    0.07271
  • DF error
    161.00000
  • t(b)
    1.98857
  • p(b)
    0.40183
  • t(a)
    0.62180
  • p(a)
    0.46885
  • Lowerbound of 95% confidence interval for beta
    0.00171
  • Upperbound of 95% confidence interval for beta
    0.49384
  • Lowerbound of 95% confidence interval for alpha
    -0.46265
  • Upperbound of 95% confidence interval for alpha
    0.88788
  • Treynor index (mean / b)
    0.91771
  • Jensen alpha (a)
    0.21262
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19095
  • SD
    0.26970
  • Sharpe ratio (Glass type estimate)
    0.70800
  • Sharpe ratio (Hedges UMVUE)
    0.70472
  • df
    162.00000
  • t
    0.55844
  • p
    0.47808
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77914
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19301
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.78134
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19078
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.11392
  • Upside Potential Ratio
    6.82492
  • Upside part of mean
    1.16991
  • Downside part of mean
    -0.97897
  • Upside SD
    0.20747
  • Downside SD
    0.17142
  • N nonnegative terms
    73.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    163.00000
  • Mean of predictor
    0.04525
  • Mean of criterion
    0.19095
  • SD of predictor
    0.17002
  • SD of criterion
    0.26970
  • Covariance
    0.00714
  • r
    0.15576
  • b (slope, estimate of beta)
    0.24708
  • a (intercept, estimate of alpha)
    0.17977
  • Mean Square Error
    0.07141
  • DF error
    161.00000
  • t(b)
    2.00079
  • p(b)
    0.40124
  • t(a)
    0.53053
  • p(a)
    0.47341
  • Lowerbound of 95% confidence interval for beta
    0.00321
  • Upperbound of 95% confidence interval for beta
    0.49095
  • Lowerbound of 95% confidence interval for alpha
    -0.48939
  • Upperbound of 95% confidence interval for alpha
    0.84893
  • Treynor index (mean / b)
    0.77282
  • Jensen alpha (a)
    0.17977
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02633
  • Expected Shortfall on VaR
    0.03306
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00884
  • Expected Shortfall on VaR
    0.01911
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    163.00000
  • Minimum
    0.91714
  • Quartile 1
    0.99762
  • Median
    1.00000
  • Quartile 3
    1.00394
  • Maximum
    1.09531
  • Mean of quarter 1
    0.98620
  • Mean of quarter 2
    0.99940
  • Mean of quarter 3
    1.00145
  • Mean of quarter 4
    1.01686
  • Inter Quartile Range
    0.00632
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.08589
  • Mean of outliers low
    0.97061
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.07975
  • Mean of outliers high
    1.03742
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65203
  • VaR(95%) (moments method)
    0.01184
  • Expected Shortfall (moments method)
    0.03878
  • Extreme Value Index (regression method)
    0.26473
  • VaR(95%) (regression method)
    0.01224
  • Expected Shortfall (regression method)
    0.02229
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00005
  • Quartile 1
    0.01293
  • Median
    0.03472
  • Quartile 3
    0.06044
  • Maximum
    0.20945
  • Mean of quarter 1
    0.00604
  • Mean of quarter 2
    0.02428
  • Mean of quarter 3
    0.05763
  • Mean of quarter 4
    0.13635
  • Inter Quartile Range
    0.04751
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.20945
  • 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)
    0.23445
  • Compounded annual return (geometric extrapolation)
    0.24465
  • Calmar ratio (compounded annual return / max draw down)
    1.16806
  • Compounded annual return / average of 25% largest draw downs
    1.79426
  • Compounded annual return / Expected Shortfall lognormal
    7.39969
  • 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
    0.18477
  • SD
    0.25162
  • Sharpe ratio (Glass type estimate)
    0.73434
  • Sharpe ratio (Hedges UMVUE)
    0.73010
  • df
    130.00000
  • t
    0.51926
  • p
    0.47725
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04023
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.50626
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.04313
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.50332
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07772
  • Upside Potential Ratio
    6.25855
  • Upside part of mean
    1.07302
  • Downside part of mean
    -0.88825
  • Upside SD
    0.18321
  • Downside SD
    0.17145
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16414
  • Mean of criterion
    0.18477
  • SD of predictor
    0.13355
  • SD of criterion
    0.25162
  • Covariance
    0.00612
  • r
    0.18208
  • b (slope, estimate of beta)
    0.34305
  • a (intercept, estimate of alpha)
    0.12846
  • Mean Square Error
    0.06169
  • DF error
    129.00000
  • t(b)
    2.10324
  • p(b)
    0.38473
  • t(a)
    0.36468
  • p(a)
    0.47957
  • Lowerbound of 95% confidence interval for beta
    0.02034
  • Upperbound of 95% confidence interval for beta
    0.66576
  • Lowerbound of 95% confidence interval for alpha
    -0.56850
  • Upperbound of 95% confidence interval for alpha
    0.82543
  • Treynor index (mean / b)
    0.53862
  • Jensen alpha (a)
    0.12846
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15329
  • SD
    0.25168
  • Sharpe ratio (Glass type estimate)
    0.60909
  • Sharpe ratio (Hedges UMVUE)
    0.60557
  • df
    130.00000
  • t
    0.43069
  • p
    0.48113
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.16479
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.16721
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37835
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.86896
  • Upside Potential Ratio
    5.99010
  • Upside part of mean
    1.05671
  • Downside part of mean
    -0.90342
  • Upside SD
    0.17840
  • Downside SD
    0.17641
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15520
  • Mean of criterion
    0.15329
  • SD of predictor
    0.13389
  • SD of criterion
    0.25168
  • Covariance
    0.00613
  • r
    0.18201
  • b (slope, estimate of beta)
    0.34212
  • a (intercept, estimate of alpha)
    0.10020
  • Mean Square Error
    0.06172
  • DF error
    129.00000
  • t(b)
    2.10233
  • p(b)
    0.38477
  • t(a)
    0.28446
  • p(a)
    0.48406
  • Lowerbound of 95% confidence interval for beta
    0.02015
  • Upperbound of 95% confidence interval for beta
    0.66409
  • Lowerbound of 95% confidence interval for alpha
    -0.59672
  • Upperbound of 95% confidence interval for alpha
    0.79712
  • Treynor index (mean / b)
    0.44807
  • Jensen alpha (a)
    0.10020
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02468
  • Expected Shortfall on VaR
    0.03098
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00799
  • Expected Shortfall on VaR
    0.01773
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91714
  • Quartile 1
    0.99862
  • Median
    1.00000
  • Quartile 3
    1.00399
  • Maximum
    1.07937
  • Mean of quarter 1
    0.98711
  • Mean of quarter 2
    0.99966
  • Mean of quarter 3
    1.00150
  • Mean of quarter 4
    1.01499
  • Inter Quartile Range
    0.00537
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.97167
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.03128
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.86514
  • VaR(95%) (moments method)
    0.00938
  • Expected Shortfall (moments method)
    0.07792
  • Extreme Value Index (regression method)
    0.55478
  • VaR(95%) (regression method)
    0.01146
  • Expected Shortfall (regression method)
    0.03267
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00261
  • Median
    0.01383
  • Quartile 3
    0.03472
  • Maximum
    0.20945
  • Mean of quarter 1
    0.00133
  • Mean of quarter 2
    0.01383
  • Mean of quarter 3
    0.03472
  • Mean of quarter 4
    0.20945
  • Inter Quartile Range
    0.03212
  • 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
    0.20945
  • 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)
    0.18966
  • Compounded annual return (geometric extrapolation)
    0.19866
  • Calmar ratio (compounded annual return / max draw down)
    0.94847
  • Compounded annual return / average of 25% largest draw downs
    0.94847
  • Compounded annual return / Expected Shortfall lognormal
    6.41225

Strategy Description

Selection of trades from a list of trading systems from Capstone Trading Systems managed with discretion based on inter market analysis, news events, market sentiment, strategy performance, and support and resistance points, adjusted for market volatility, that align with the trading system.

Summary Statistics

Strategy began
2018-11-30
Suggested Minimum Capital
$50,000
# Trades
361
# Profitable
182
% Profitable
50.4%
Correlation S&P500
0.170
Sharpe Ratio
0.22
Sortino Ratio
0.32
Beta
0.30
Alpha
0.02
Leverage
5.58 Average
27.86 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.