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

Schulenberg C2Star SP500
(134370531)

Created by: CraigSchulenberg CraigSchulenberg
Started: 03/2021
Stocks
Last trade: 2 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.

7.2%
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.

(3.9%)
Max Drawdown
28
Num Trades
60.7%
Win Trades
2.3 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021              +5.3%(1.1%)+3.0%                                          +7.2%

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.

Trading Record

This strategy has placed 31 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
5/12/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,202 9.94 5/14 9:30 9.82 0.62%
Trade id #135574603
Max drawdown($330)
Time5/14/21 9:30
Quant open2,202
Worst price9.79
Drawdown as % of equity-0.62%
($269)
Includes Typical Broker Commissions trade costs of $5.00
5/11/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 257 110.61 5/12 9:30 109.78 0.71%
Trade id #135555331
Max drawdown($376)
Time5/11/21 10:46
Quant open257
Worst price109.14
Drawdown as % of equity-0.71%
($218)
Includes Typical Broker Commissions trade costs of $5.14
5/10/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,230 9.43 5/11 9:30 9.85 0.06%
Trade id #135533772
Max drawdown($33)
Time5/10/21 12:24
Quant open2,230
Worst price9.41
Drawdown as % of equity-0.06%
$932
Includes Typical Broker Commissions trade costs of $5.00
5/7/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 252 114.55 5/10 9:30 115.91 0.16%
Trade id #135504118
Max drawdown($82)
Time5/7/21 9:34
Quant open252
Worst price114.22
Drawdown as % of equity-0.16%
$338
Includes Typical Broker Commissions trade costs of $5.04
5/3/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,145 9.57 5/7 9:30 9.55 0.16%
Trade id #135418517
Max drawdown($85)
Time5/7/21 9:30
Quant open2,145
Worst price9.53
Drawdown as % of equity-0.16%
($48)
Includes Typical Broker Commissions trade costs of $5.00
4/30/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 450 113.25 5/3 9:30 114.28 0.53%
Trade id #135394914
Max drawdown($273)
Time4/30/21 15:47
Quant open450
Worst price112.64
Drawdown as % of equity-0.53%
$456
Includes Typical Broker Commissions trade costs of $9.00
4/28/21 9:31 SDS PROSHARES ULTRASHORT S&P500 LONG 2,160 9.65 4/30 9:30 9.66 0.58%
Trade id #135348967
Max drawdown($302)
Time4/29/21 0:00
Quant open2,160
Worst price9.51
Drawdown as % of equity-0.58%
$17
Includes Typical Broker Commissions trade costs of $5.00
4/22/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 253 112.41 4/27 9:31 113.50 1.24%
Trade id #135265716
Max drawdown($639)
Time4/22/21 14:02
Quant open253
Worst price109.88
Drawdown as % of equity-1.24%
$272
Includes Typical Broker Commissions trade costs of $5.06
4/21/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,100 9.96 4/22 9:30 9.73 0.95%
Trade id #135247386
Max drawdown($493)
Time4/21/21 15:50
Quant open2,100
Worst price9.72
Drawdown as % of equity-0.95%
($478)
Includes Typical Broker Commissions trade costs of $5.00
4/16/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 260 113.28 4/21 9:30 110.11 1.79%
Trade id #135183497
Max drawdown($944)
Time4/20/21 0:00
Quant open260
Worst price109.65
Drawdown as % of equity-1.79%
($830)
Includes Typical Broker Commissions trade costs of $5.20
4/15/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,130 9.85 4/16 9:30 9.69 0.72%
Trade id #135163031
Max drawdown($383)
Time4/16/21 0:00
Quant open2,130
Worst price9.67
Drawdown as % of equity-0.72%
($346)
Includes Typical Broker Commissions trade costs of $5.00
4/13/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 265 110.19 4/15 9:30 111.34 0.19%
Trade id #135121124
Max drawdown($99)
Time4/14/21 0:00
Quant open265
Worst price109.81
Drawdown as % of equity-0.19%
$301
Includes Typical Broker Commissions trade costs of $5.30
4/12/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,140 9.99 4/13 9:30 9.96 0.2%
Trade id #135101227
Max drawdown($104)
Time4/12/21 15:51
Quant open2,140
Worst price9.94
Drawdown as % of equity-0.20%
($67)
Includes Typical Broker Commissions trade costs of $5.00
4/9/21 9:30 SSO PROSHARES ULTRA S&P500 LONG 220 108.54 4/12 9:30 109.81 0%
Trade id #135077381
Max drawdown($2)
Time4/9/21 10:45
Quant open220
Worst price108.53
Drawdown as % of equity-0.00%
$275
Includes Typical Broker Commissions trade costs of $4.40
4/7/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,080 10.23 4/9 9:30 10.10 0.53%
Trade id #135041126
Max drawdown($280)
Time4/8/21 0:00
Quant open2,080
Worst price10.10
Drawdown as % of equity-0.53%
($286)
Includes Typical Broker Commissions trade costs of $5.00
4/1/21 9:40 SSO PROSHARES ULTRA S&P500 LONG 235 103.44 4/7 9:30 107.25 0.08%
Trade id #134965872
Max drawdown($39)
Time4/1/21 10:00
Quant open235
Worst price103.27
Drawdown as % of equity-0.08%
$890
Includes Typical Broker Commissions trade costs of $4.70
3/30/21 9:31 SDS PROSHARES ULTRASHORT S&P500 LONG 1,475 10.85 4/1 9:40 10.64 0.64%
Trade id #134926727
Max drawdown($339)
Time4/1/21 9:36
Quant open1,475
Worst price10.62
Drawdown as % of equity-0.64%
($315)
Includes Typical Broker Commissions trade costs of $5.00
3/25/21 9:32 SSO PROSHARES ULTRA S&P500 LONG 315 97.18 3/30 9:31 101.28 0.72%
Trade id #134857071
Max drawdown($368)
Time3/25/21 10:55
Quant open315
Worst price96.01
Drawdown as % of equity-0.72%
$1,286
Includes Typical Broker Commissions trade costs of $6.30
3/24/21 9:31 SDS PROSHARES ULTRASHORT S&P500 LONG 1,150 11.04 3/25 9:32 11.34 0.18%
Trade id #134831294
Max drawdown($92)
Time3/24/21 11:07
Quant open1,150
Worst price10.96
Drawdown as % of equity-0.18%
$340
Includes Typical Broker Commissions trade costs of $5.00
3/19/21 9:32 SSO PROSHARES ULTRA S&P500 LONG 310 99.15 3/24 9:31 99.61 0.85%
Trade id #134729583
Max drawdown($434)
Time3/19/21 10:08
Quant open310
Worst price97.75
Drawdown as % of equity-0.85%
$137
Includes Typical Broker Commissions trade costs of $6.20
3/18/21 9:33 SDS PROSHARES ULTRASHORT S&P500 LONG 1,400 10.94 3/19 9:32 11.13 0.32%
Trade id #134696898
Max drawdown($161)
Time3/18/21 12:15
Quant open1,400
Worst price10.82
Drawdown as % of equity-0.32%
$261
Includes Typical Broker Commissions trade costs of $5.00
3/15/21 9:32 SSO PROSHARES ULTRA S&P500 LONG 300 100.80 3/16 9:32 102.23 0.69%
Trade id #134615323
Max drawdown($345)
Time3/15/21 11:38
Quant open300
Worst price99.65
Drawdown as % of equity-0.69%
$423
Includes Typical Broker Commissions trade costs of $6.00
3/11/21 9:32 SSO PROSHARES ULTRA S&P500 LONG 308 99.76 3/12 9:33 99.72 0.3%
Trade id #134559045
Max drawdown($154)
Time3/12/21 0:00
Quant open308
Worst price99.26
Drawdown as % of equity-0.30%
($18)
Includes Typical Broker Commissions trade costs of $6.16
3/9/21 9:32 SDS PROSHARES ULTRASHORT S&P500 LONG 1,290 11.44 3/11 9:32 11.07 0.95%
Trade id #134509436
Max drawdown($477)
Time3/11/21 9:30
Quant open1,290
Worst price11.07
Drawdown as % of equity-0.95%
($482)
Includes Typical Broker Commissions trade costs of $5.00
3/8/21 9:32 SSO PROSHARES ULTRA S&P500 LONG 315 95.56 3/9 9:32 96.54 0.75%
Trade id #134481175
Max drawdown($378)
Time3/8/21 15:59
Quant open315
Worst price94.36
Drawdown as % of equity-0.75%
$303
Includes Typical Broker Commissions trade costs of $6.30
3/4/21 9:32 SPY SPDR S&P 500 LONG 118 381.22 3/8 9:32 384.66 2.23%
Trade id #134412938
Max drawdown($1,102)
Time3/4/21 13:59
Quant open118
Worst price371.88
Drawdown as % of equity-2.23%
$404
Includes Typical Broker Commissions trade costs of $2.36
3/3/21 9:31 SPY SPDR S&P 500 SHORT 65 385.79 3/4 9:32 381.22 0.13%
Trade id #134385666
Max drawdown($63)
Time3/3/21 9:34
Quant open65
Worst price386.77
Drawdown as % of equity-0.13%
$296
Includes Typical Broker Commissions trade costs of $1.30

Statistics

  • Strategy began
    3/2/2021
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    74.37
  • Age
    74 days ago
  • What it trades
    Stocks
  • # Trades
    28
  • # Profitable
    17
  • % Profitable
    60.70%
  • Avg trade duration
    2.4 days
  • Max peak-to-valley drawdown
    3.9%
  • drawdown period
    April 15, 2021 - April 22, 2021
  • Cumul. Return
    7.2%
  • Avg win
    $440.82
  • Avg loss
    $300.09
  • Model Account Values (Raw)
  • Cash
    $38,779
  • Margin Used
    $0
  • Buying Power
    $39,262
  • Ratios
  • W:L ratio
    2.28:1
  • Sharpe Ratio
    3.15
  • Sortino Ratio
    6.4
  • Calmar Ratio
    15.696
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -0.65%
  • Correlation to SP500
    0.01170
  • Return Percent SP500 (cumu) during strategy life
    7.84%
  • Verified
  • C2Star
    1
  • Return Statistics
  • Ann Return (w trading costs)
    38.6%
  • Slump
  • Current Slump as Pcnt Equity
    0.90%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.072%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Short Options - Percent Covered
    100.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    48.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    540
  • Popularity (Last 6 weeks)
    944
  • Popularity (7 days, Percentile 1000 scale)
    886
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    703
  • 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 Win
    $441
  • Avg Loss
    $300
  • Sum Trade PL (losers)
    $3,301.000
  • # Winners
    17
  • Num Months Winners
    2
  • Age
  • Num Months filled monthly returns table
    3
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Win / Loss
  • Sum Trade PL (winners)
    $7,494.000
  • Dividends
  • Dividends Received in Model Acct
    22
  • AUM
  • AUM (AutoTrader live capital)
    54079
  • Win / Loss
  • # Losers
    11
  • % Winners
    60.7%
  • Frequency
  • Avg Position Time (mins)
    3475.87
  • Avg Position Time (hrs)
    57.93
  • Avg Trade Length
    2.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.00
  • Daily leverage (max)
    1.97
  • Regression
  • Alpha
    0.09
  • Beta
    0.01
  • Treynor Index
    12.20
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.005
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.590
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.203
  • Hold-and-Hope Ratio
    0.442
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.38000
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.00700
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -300950000
  • Max Equity Drawdown (num days)
    7
  • Last 4 Months - Pcnt Negative
    0.25%

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
# Trades
28
# Profitable
17
% Profitable
60.7%
Net Dividends
Correlation S&P500
0.012
Sharpe Ratio
3.15
Sortino Ratio
6.40
Beta
0.01
Alpha
0.09
Leverage
1.00 Average
1.97 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.

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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.