Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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Stella Capital 50 Plus
(135195328)

Created by: StellaCapital StellaCapital
Started: 04/2021
Futures
Last trade: 682 days ago
Trading style: Futures Macro / Fundamental

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 $98.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

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

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(100.0%)
Max Drawdown
109
Num Trades
52.3%
Win Trades
0.9 : 1
Profit Factor
28.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                     +22.3%(22.5%)+69.5%(17.6%)+0.2%+1.0%+17.5%+3.0%+8.2%+75.3%
2022+18.6%+2.2%+11.5%+18.1%(9.2%)+3.1%(5.7%)(9.9%)+0.7%(23.2%)(0.8%)(73.7%)(74.4%)
2023(36.3%)(140.8%)(11.2%)(10.1%)(9.2%)(8.4%)(7.7%)(7.2%)(6.7%)(6.3%)(5.9%)(5.6%)(155.2%)
2024(5.3%)(5%)(4.8%)(4.6%)(8.7%)  -  (4%)(3.9%)(3.7%)(3.6%)(3.5%)(3.3%)(63.4%)

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 212 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 698 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/8/23 5:20 @USH3 US T-BOND LONG 1 128 16/32 2/8 7:51 128 19/32 10.52%
Trade id #143501994
Max drawdown($125)
Time2/8/23 5:32
Quant open1
Worst price128 12/32
Drawdown as % of equity10.52%
 $86
Includes Typical Broker Commissions trade costs of $8.00
2/8/23 2:26 @USH3 US T-BOND LONG 1 128 22/32 2/8 5:19 128 15/32 38.7%
Trade id #143500927
Max drawdown($375)
Time2/8/23 3:37
Quant open1
Worst price128 10/32
Drawdown as % of equity38.70%
 ($227)
Includes Typical Broker Commissions trade costs of $8.00
2/8/23 0:58 @USH3 US T-BOND LONG 1 128 20/32 2/8 2:26 128 21/32 19.19%
Trade id #143500476
Max drawdown($187)
Time2/8/23 1:25
Quant open1
Worst price128 14/32
Drawdown as % of equity19.19%
 $23
Includes Typical Broker Commissions trade costs of $8.00
2/8/23 0:32 @USH3 US T-BOND LONG 1 128 20/32 2/8 0:56 128 19/32 6.4%
Trade id #143500387
Max drawdown($62)
Time2/8/23 0:35
Quant open1
Worst price128 18/32
Drawdown as % of equity6.40%
 ($39)
Includes Typical Broker Commissions trade costs of $8.00
2/7/23 21:48 @USH3 US T-BOND LONG 1 128 19/32 2/8 0:32 128 19/32 38.38%
Trade id #143499795
Max drawdown($375)
Time2/8/23 0:00
Quant open1
Worst price128 7/32
Drawdown as % of equity38.38%
 ($8)
Includes Typical Broker Commissions trade costs of $8.00
2/7/23 19:16 @USH3 US T-BOND LONG 1 128 15/32 2/7 21:47 128 18/32 2.78%
Trade id #143499204
Max drawdown($31)
Time2/7/23 19:23
Quant open1
Worst price128 14/32
Drawdown as % of equity2.78%
 $85
Includes Typical Broker Commissions trade costs of $8.00
2/7/23 16:48 @USH3 US T-BOND LONG 1 128 8/32 2/7 19:15 128 13/32 3.47%
Trade id #143498374
Max drawdown($31)
Time2/7/23 16:51
Quant open1
Worst price128 7/32
Drawdown as % of equity3.47%
 $148
Includes Typical Broker Commissions trade costs of $8.00
2/7/23 14:12 @USH3 US T-BOND LONG 1 128 15/32 2/7 16:47 128 7/32 34.68%
Trade id #143494584
Max drawdown($312)
Time2/7/23 16:02
Quant open1
Worst price128 5/32
Drawdown as % of equity34.68%
 ($258)
Includes Typical Broker Commissions trade costs of $8.00
2/7/23 9:26 @USH3 US T-BOND LONG 1 128 21/32 2/7 14:11 128 13/32 57.34%
Trade id #143485513
Max drawdown($250)
Time2/7/23 13:49
Quant open1
Worst price128 13/32
Drawdown as % of equity57.34%
 ($258)
Includes Typical Broker Commissions trade costs of $8.00
2/2/23 8:22 @USH3 US T-BOND LONG 1 132 2/7 9:24 128 18/32 963.47%
Trade id #143427361
Max drawdown($3,593)
Time2/7/23 8:38
Quant open1
Worst price128 13/32
Drawdown as % of equity963.47%
 ($3,446)
Includes Typical Broker Commissions trade costs of $8.00
2/2/23 8:21 @USH3 US T-BOND SHORT 1 132 2/2 8:22 132 n/a ($8)
Includes Typical Broker Commissions trade costs of $8.00
1/8/23 19:02 @USH3 US T-BOND LONG 6 130 2/32 1/23 8:50 130 56.74%
Trade id #143138794
Max drawdown($1,718)
Time1/17/23 0:00
Quant open2
Worst price128 24/32
Drawdown as % of equity-56.74%
 ($454)
Includes Typical Broker Commissions trade costs of $48.00
1/2/23 18:24 @USH3 US T-BOND SHORT 1 125 6/32 1/3 9:58 127 5/32 52.26%
Trade id #143064654
Max drawdown($1,999)
Time1/3/23 9:58
Quant open1
Worst price127 6/32
Drawdown as % of equity-52.26%
 ($1,976)
Includes Typical Broker Commissions trade costs of $8.00
12/26/22 18:02 @USH3 US T-BOND LONG 2 127 10/32 1/2/23 18:16 125 6/32 97.03%
Trade id #142999661
Max drawdown($5,936)
Time12/30/22 0:00
Quant open2
Worst price124 11/32
Drawdown as % of equity-97.03%
 ($4,264)
Includes Typical Broker Commissions trade costs of $16.00
12/19/22 2:28 @USH3 US T-BOND LONG 2 130 22/32 12/26 15:47 127 10/32 64.2%
Trade id #142919811
Max drawdown($7,188)
Time12/23/22 0:00
Quant open2
Worst price127 3/32
Drawdown as % of equity-64.20%
 ($6,768)
Includes Typical Broker Commissions trade costs of $16.00
12/11/22 18:00 @USH3 US T-BOND LONG 3 131 5/32 12/16 9:17 131 2/32 4.73%
Trade id #142840505
Max drawdown($802)
Time12/16/22 9:17
Quant open1
Worst price130 11/32
Drawdown as % of equity-4.73%
 ($306)
Includes Typical Broker Commissions trade costs of $24.00
12/15/22 13:36 @MESH3 MICRO E-MINI S&P 500 SHORT 1 3911.25 12/16 5:47 3871.75 0.7%
Trade id #142893061
Max drawdown($137)
Time12/15/22 15:34
Quant open1
Worst price3938.75
Drawdown as % of equity-0.70%
 $197
Includes Typical Broker Commissions trade costs of $0.94
12/14/22 15:13 @MESH3 MICRO E-MINI S&P 500 LONG 1 4067.25 12/14 15:27 4032.75 1%
Trade id #142880531
Max drawdown($181)
Time12/14/22 15:27
Quant open1
Worst price4031.00
Drawdown as % of equity-1.00%
 ($174)
Includes Typical Broker Commissions trade costs of $0.94
12/11/22 18:00 @MESZ2 MICRO E-MINI S&P 500 SHORT 1 3935.38 12/12 15:00 3973.25 1.14%
Trade id #142840431
Max drawdown($191)
Time12/12/22 15:00
Quant open1
Worst price3973.75
Drawdown as % of equity-1.14%
 ($190)
Includes Typical Broker Commissions trade costs of $0.94
11/30/22 9:30 @MESZ2 MICRO E-MINI S&P 500 LONG 10 3963.21 11/30 9:30 3964.98 n/a $79
Includes Typical Broker Commissions trade costs of $9.40
11/29/22 9:30 @MESZ2 MICRO E-MINI S&P 500 LONG 10 3968.17 11/29 9:31 3967.75 0.12%
Trade id #142705328
Max drawdown($21)
Time11/29/22 9:31
Quant open10
Worst price3967.75
Drawdown as % of equity-0.12%
 ($30)
Includes Typical Broker Commissions trade costs of $9.40
11/28/22 9:30 @MESZ2 MICRO E-MINI S&P 500 LONG 10 4002.17 11/28 9:30 4002.29 n/a ($3)
Includes Typical Broker Commissions trade costs of $9.40
11/25/22 9:30 @MESZ2 MICRO E-MINI S&P 500 LONG 10 4029.49 11/25 9:30 4029.49 n/a ($9)
Includes Typical Broker Commissions trade costs of $9.40
11/24/22 9:30 @MESZ2 MICRO E-MINI S&P 500 LONG 10 4043.75 11/24 9:31 4043.25 0.15%
Trade id #142669624
Max drawdown($25)
Time11/24/22 9:31
Quant open10
Worst price4043.25
Drawdown as % of equity-0.15%
 ($34)
Includes Typical Broker Commissions trade costs of $9.40
11/23/22 9:30 @MESZ2 MICRO E-MINI S&P 500 LONG 10 4006.19 11/23 9:30 4006.09 0.03%
Trade id #142657832
Max drawdown($5)
Time11/23/22 9:30
Quant open10
Worst price4006.09
Drawdown as % of equity-0.03%
 ($14)
Includes Typical Broker Commissions trade costs of $9.40
11/22/22 9:30 @MESZ2 MICRO E-MINI S&P 500 LONG 2 3977.00 11/22 9:30 3978.00 n/a $8
Includes Typical Broker Commissions trade costs of $1.88
10/23/22 18:03 @MESZ2 MICRO E-MINI S&P 500 LONG 4 3800.93 10/23 23:11 3765.48 4.19%
Trade id #142276660
Max drawdown($728)
Time10/23/22 23:11
Quant open4
Worst price3764.50
Drawdown as % of equity-4.19%
 ($713)
Includes Typical Broker Commissions trade costs of $3.76
10/20/22 20:11 @MESZ2 MICRO E-MINI S&P 500 SHORT 6 3656.19 10/20 23:13 3675.35 3.24%
Trade id #142254184
Max drawdown($586)
Time10/20/22 23:13
Quant open6
Worst price3675.75
Drawdown as % of equity-3.24%
 ($581)
Includes Typical Broker Commissions trade costs of $5.64
10/20/22 14:30 @MESZ2 MICRO E-MINI S&P 500 SHORT 6 3667.47 10/20 16:30 3675.76 3.09%
Trade id #142250572
Max drawdown($578)
Time10/20/22 15:09
Quant open6
Worst price3686.75
Drawdown as % of equity-3.09%
 ($255)
Includes Typical Broker Commissions trade costs of $5.64
10/19/22 13:02 @MESZ2 MICRO E-MINI S&P 500 SHORT 6 3687.52 10/19 13:20 3684.42 0.02%
Trade id #142231398
Max drawdown($4)
Time10/19/22 13:20
Quant open-4
Worst price3687.75
Drawdown as % of equity-0.02%
 $87
Includes Typical Broker Commissions trade costs of $5.64
Next

Statistics

  • Strategy began
    4/16/2021
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    1339.49
  • Age
    45 months ago
  • What it trades
    Futures
  • # Trades
    109
  • # Profitable
    57
  • % Profitable
    52.30%
  • Avg trade duration
    1.2 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Feb 06, 2023 - Feb 08, 2023
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $774.82
  • Avg loss
    $993.21
  • Model Account Values (Raw)
  • Cash
    $2,515
  • Margin Used
    $0
  • Buying Power
    $2,515
  • Ratios
  • W:L ratio
    0.86:1
  • Sharpe Ratio
    -0.77
  • Sortino Ratio
    -0.99
  • Calmar Ratio
    -0.553
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -185.09%
  • Correlation to SP500
    -0.01940
  • Return Percent SP500 (cumu) during strategy life
    41.70%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.72%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -31.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    54.50%
  • Chance of 90% account loss (Monte Carlo)
    4.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    74.09%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    73
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $993
  • Avg Win
    $775
  • Sum Trade PL (losers)
    $51,647.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $44,165.000
  • # Winners
    57
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    52
  • % Winners
    52.3%
  • Frequency
  • Avg Position Time (mins)
    1798.73
  • Avg Position Time (hrs)
    29.98
  • Avg Trade Length
    1.2 days
  • Last Trade Ago
    677
  • Leverage
  • Daily leverage (average)
    16.80
  • Daily leverage (max)
    263.47
  • Regression
  • Alpha
    0.00
  • Beta
    -0.12
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.09
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.10
  • Avg(MAE) / Avg(PL) - All trades
    -9.460
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.510
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.139
  • Hold-and-Hope Ratio
    -0.105
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02497
  • SD
    1.22380
  • Sharpe ratio (Glass type estimate)
    -0.02040
  • Sharpe ratio (Hedges UMVUE)
    -0.01970
  • df
    22.00000
  • t
    -0.02825
  • p
    0.51114
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43591
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43542
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39603
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.03524
  • Upside Potential Ratio
    1.54826
  • Upside part of mean
    1.09710
  • Downside part of mean
    -1.12207
  • Upside SD
    0.96463
  • Downside SD
    0.70860
  • N nonnegative terms
    10.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.11629
  • Mean of criterion
    -0.02497
  • SD of predictor
    0.21963
  • SD of criterion
    1.22380
  • Covariance
    -0.01012
  • r
    -0.03766
  • b (slope, estimate of beta)
    -0.20986
  • a (intercept, estimate of alpha)
    -0.00056
  • Mean Square Error
    1.56678
  • DF error
    21.00000
  • t(b)
    -0.17271
  • p(b)
    0.52397
  • t(a)
    -0.00062
  • p(a)
    0.50009
  • Lowerbound of 95% confidence interval for beta
    -2.73669
  • Upperbound of 95% confidence interval for beta
    2.31698
  • Lowerbound of 95% confidence interval for alpha
    -1.90363
  • Upperbound of 95% confidence interval for alpha
    1.90250
  • Treynor index (mean / b)
    0.11898
  • Jensen alpha (a)
    -0.00056
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.74786
  • SD
    1.29874
  • Sharpe ratio (Glass type estimate)
    -0.57584
  • Sharpe ratio (Hedges UMVUE)
    -0.55594
  • df
    22.00000
  • t
    -0.79721
  • p
    0.78307
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.99522
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.85636
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98115
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.86927
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.66925
  • Upside Potential Ratio
    0.73935
  • Upside part of mean
    0.82620
  • Downside part of mean
    -1.57407
  • Upside SD
    0.64130
  • Downside SD
    1.11747
  • N nonnegative terms
    10.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.09305
  • Mean of criterion
    -0.74786
  • SD of predictor
    0.21630
  • SD of criterion
    1.29874
  • Covariance
    -0.02683
  • r
    -0.09550
  • b (slope, estimate of beta)
    -0.57344
  • a (intercept, estimate of alpha)
    -0.69450
  • Mean Square Error
    1.75093
  • DF error
    21.00000
  • t(b)
    -0.43967
  • p(b)
    0.56071
  • t(a)
    -0.72084
  • p(a)
    0.59852
  • Lowerbound of 95% confidence interval for beta
    -3.28579
  • Upperbound of 95% confidence interval for beta
    2.13891
  • Lowerbound of 95% confidence interval for alpha
    -2.69813
  • Upperbound of 95% confidence interval for alpha
    1.30912
  • Treynor index (mean / b)
    1.30417
  • Jensen alpha (a)
    -0.69450
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.49288
  • Expected Shortfall on VaR
    0.56246
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.23143
  • Expected Shortfall on VaR
    0.45965
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.27775
  • Quartile 1
    0.92455
  • Median
    1.00000
  • Quartile 3
    1.04713
  • Maximum
    2.28913
  • Mean of quarter 1
    0.68625
  • Mean of quarter 2
    0.96036
  • Mean of quarter 3
    1.02391
  • Mean of quarter 4
    1.33441
  • Inter Quartile Range
    0.12258
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.13043
  • Mean of outliers low
    0.46823
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    1.77092
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52324
  • VaR(95%) (moments method)
    0.29163
  • Expected Shortfall (moments method)
    0.73135
  • Extreme Value Index (regression method)
    0.66927
  • VaR(95%) (regression method)
    0.36557
  • Expected Shortfall (regression method)
    1.25212
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00653
  • Quartile 1
    0.01957
  • Median
    0.20149
  • Quartile 3
    0.51239
  • Maximum
    0.91237
  • Mean of quarter 1
    0.00653
  • Mean of quarter 2
    0.02392
  • Mean of quarter 3
    0.37907
  • Mean of quarter 4
    0.91237
  • Inter Quartile Range
    0.49282
  • 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)
    -0.39047
  • Compounded annual return (geometric extrapolation)
    -0.51323
  • Calmar ratio (compounded annual return / max draw down)
    -0.56252
  • Compounded annual return / average of 25% largest draw downs
    -0.56252
  • Compounded annual return / Expected Shortfall lognormal
    -0.91247
  • 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
    -0.42652
  • SD
    0.79134
  • Sharpe ratio (Glass type estimate)
    -0.53898
  • Sharpe ratio (Hedges UMVUE)
    -0.53819
  • df
    511.00000
  • t
    -0.75346
  • p
    0.77424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.94118
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.86370
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.94063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.86425
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.76427
  • Upside Potential Ratio
    3.71808
  • Upside part of mean
    2.07497
  • Downside part of mean
    -2.50149
  • Upside SD
    0.56057
  • Downside SD
    0.55808
  • N nonnegative terms
    126.00000
  • N negative terms
    386.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    512.00000
  • Mean of predictor
    0.18903
  • Mean of criterion
    -0.42652
  • SD of predictor
    0.22367
  • SD of criterion
    0.79134
  • Covariance
    0.00010
  • r
    0.00054
  • b (slope, estimate of beta)
    0.00192
  • a (intercept, estimate of alpha)
    -0.42700
  • Mean Square Error
    0.62745
  • DF error
    510.00000
  • t(b)
    0.01229
  • p(b)
    0.49510
  • t(a)
    -0.75234
  • p(a)
    0.77390
  • Lowerbound of 95% confidence interval for beta
    -0.30586
  • Upperbound of 95% confidence interval for beta
    0.30971
  • Lowerbound of 95% confidence interval for alpha
    -1.54163
  • Upperbound of 95% confidence interval for alpha
    0.68786
  • Treynor index (mean / b)
    -221.57700
  • Jensen alpha (a)
    -0.42688
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.73403
  • SD
    0.78529
  • Sharpe ratio (Glass type estimate)
    -0.93473
  • Sharpe ratio (Hedges UMVUE)
    -0.93335
  • df
    511.00000
  • t
    -1.30668
  • p
    0.90404
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.33751
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.46893
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.33657
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46986
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.18743
  • Upside Potential Ratio
    3.14714
  • Upside part of mean
    1.94547
  • Downside part of mean
    -2.67950
  • Upside SD
    0.48519
  • Downside SD
    0.61817
  • N nonnegative terms
    126.00000
  • N negative terms
    386.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    512.00000
  • Mean of predictor
    0.16403
  • Mean of criterion
    -0.73403
  • SD of predictor
    0.22343
  • SD of criterion
    0.78529
  • Covariance
    0.00161
  • r
    0.00917
  • b (slope, estimate of beta)
    0.03223
  • a (intercept, estimate of alpha)
    -0.73932
  • Mean Square Error
    0.61784
  • DF error
    510.00000
  • t(b)
    0.20710
  • p(b)
    0.41801
  • t(a)
    -1.31350
  • p(a)
    0.90520
  • Lowerbound of 95% confidence interval for beta
    -0.27352
  • Upperbound of 95% confidence interval for beta
    0.33798
  • Lowerbound of 95% confidence interval for alpha
    -1.84514
  • Upperbound of 95% confidence interval for alpha
    0.36649
  • Treynor index (mean / b)
    -22.77400
  • Jensen alpha (a)
    -0.73932
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07928
  • Expected Shortfall on VaR
    0.09762
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02785
  • Expected Shortfall on VaR
    0.06097
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    512.00000
  • Minimum
    0.68112
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00005
  • Maximum
    1.48985
  • Mean of quarter 1
    0.96213
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.03179
  • Inter Quartile Range
    0.00005
  • Number outliers low
    112.00000
  • Percentage of outliers low
    0.21875
  • Mean of outliers low
    0.95672
  • Number of outliers high
    126.00000
  • Percentage of outliers high
    0.24609
  • Mean of outliers high
    1.03229
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49119
  • VaR(95%) (moments method)
    0.00569
  • Expected Shortfall (moments method)
    0.01529
  • Extreme Value Index (regression method)
    0.33464
  • VaR(95%) (regression method)
    0.03335
  • Expected Shortfall (regression method)
    0.07677
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00161
  • Quartile 1
    0.03303
  • Median
    0.03704
  • Quartile 3
    0.13362
  • Maximum
    0.91654
  • Mean of quarter 1
    0.01815
  • Mean of quarter 2
    0.03523
  • Mean of quarter 3
    0.07334
  • Mean of quarter 4
    0.55883
  • Inter Quartile Range
    0.10059
  • 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
    0.15385
  • Mean of outliers high
    0.74656
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.06800
  • VaR(95%) (moments method)
    0.39953
  • Expected Shortfall (moments method)
    0.59596
  • Extreme Value Index (regression method)
    0.53824
  • VaR(95%) (regression method)
    0.77936
  • Expected Shortfall (regression method)
    2.01604
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.38297
  • Compounded annual return (geometric extrapolation)
    -0.50645
  • Calmar ratio (compounded annual return / max draw down)
    -0.55257
  • Compounded annual return / average of 25% largest draw downs
    -0.90627
  • Compounded annual return / Expected Shortfall lognormal
    -5.18820
  • 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
    -3.51681
  • SD
    1.11712
  • Sharpe ratio (Glass type estimate)
    -3.14811
  • Sharpe ratio (Hedges UMVUE)
    -3.12992
  • df
    130.00000
  • t
    -2.22605
  • p
    0.59581
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.94024
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.34417
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.92771
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33212
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.82173
  • Upside Potential Ratio
    1.87297
  • Upside part of mean
    1.72353
  • Downside part of mean
    -5.24034
  • Upside SD
    0.66244
  • Downside SD
    0.92022
  • N nonnegative terms
    18.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.92402
  • Mean of criterion
    -3.51681
  • SD of predictor
    0.27126
  • SD of criterion
    1.11712
  • Covariance
    0.00722
  • r
    0.02383
  • b (slope, estimate of beta)
    0.09813
  • a (intercept, estimate of alpha)
    -3.60748
  • Mean Square Error
    1.25691
  • DF error
    129.00000
  • t(b)
    0.27070
  • p(b)
    0.48483
  • t(a)
    -2.22616
  • p(a)
    0.62169
  • Lowerbound of 95% confidence interval for beta
    -0.61906
  • Upperbound of 95% confidence interval for beta
    0.81532
  • Lowerbound of 95% confidence interval for alpha
    -6.81368
  • Upperbound of 95% confidence interval for alpha
    -0.40129
  • Treynor index (mean / b)
    -35.83930
  • Jensen alpha (a)
    -3.60748
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -4.18351
  • SD
    1.14818
  • Sharpe ratio (Glass type estimate)
    -3.64361
  • Sharpe ratio (Hedges UMVUE)
    -3.62255
  • df
    130.00000
  • t
    -2.57642
  • p
    0.61020
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.44373
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.82992
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.42911
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81598
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.06718
  • Upside Potential Ratio
    1.50387
  • Upside part of mean
    1.54688
  • Downside part of mean
    -5.73039
  • Upside SD
    0.56305
  • Downside SD
    1.02860
  • N nonnegative terms
    18.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.88616
  • Mean of criterion
    -4.18351
  • SD of predictor
    0.26967
  • SD of criterion
    1.14818
  • Covariance
    0.01271
  • r
    0.04106
  • b (slope, estimate of beta)
    0.17481
  • a (intercept, estimate of alpha)
    -4.33842
  • Mean Square Error
    1.32629
  • DF error
    129.00000
  • t(b)
    0.46671
  • p(b)
    0.47387
  • t(a)
    -2.61012
  • p(a)
    0.64138
  • VAR (95 Confidence Intrvl)
    0.07900
  • Lowerbound of 95% confidence interval for beta
    -0.56626
  • Upperbound of 95% confidence interval for beta
    0.91588
  • Lowerbound of 95% confidence interval for alpha
    -7.62703
  • Upperbound of 95% confidence interval for alpha
    -1.04981
  • Treynor index (mean / b)
    -23.93170
  • Jensen alpha (a)
    -4.33842
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12422
  • Expected Shortfall on VaR
    0.14951
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06371
  • Expected Shortfall on VaR
    0.13165
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.68112
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.43095
  • Mean of quarter 1
    0.92097
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02617
  • Inter Quartile Range
    0.00000
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.19847
  • Mean of outliers low
    0.89969
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.04798
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.16935
  • VaR(95%) (moments method)
    0.00461
  • Expected Shortfall (moments method)
    0.00461
  • Extreme Value Index (regression method)
    -0.38460
  • VaR(95%) (regression method)
    0.09052
  • Expected Shortfall (regression method)
    0.12931
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00159
  • Quartile 1
    0.22243
  • Median
    0.44328
  • Quartile 3
    0.66412
  • Maximum
    0.88496
  • Mean of quarter 1
    0.00159
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.88496
  • Inter Quartile Range
    0.44168
  • 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
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -399461000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.74959
  • Compounded annual return (geometric extrapolation)
    -0.98432
  • Calmar ratio (compounded annual return / max draw down)
    -1.11228
  • Compounded annual return / average of 25% largest draw downs
    -1.11228
  • Compounded annual return / Expected Shortfall lognormal
    -6.58367

Strategy Description

[Published on 16 September 2022]
Dear Fellow Investors. Firstly, thank you to all Investors who have subscribed to my strategies.

As a Trade Leader, I am an investor first and foremost and trade my strategies. Therefore, the objective to profit from trading aligns with that of fellow Investors. I use this strategy as part of my portfolio equities overlay to provide execution and market diversification.

The strategies I manage have over 23 years of development and continue to be a work-in-progress.

COMMUNICATION
As a subscriber, you will receive periodic messages regarding POSITION SIZING and TRADE CLOSES. You will also receive occasional strategy development updates and observation messages. Hopefully, you will find these messages interesting and please understand that none of these general messages is personal advice.

STRATEGY
The Stella Capital 50 Plus strategy trades long or short positions in futures markets using the MES micro e-mini futures contract and seeks to enter one high probability trade a day. The strategy is suitable for account balances between US$15,000 and US$100,000. For account balances above US$100,000, please see the Stella Capital 500 Plus strategy (https://collective2.com/details/135199024).

Stops and Targets cover all trades. My strategy goals are to limit uncontrolled drawdowns and consecutive losses and maximize successive wins.

POSITION SIZING
Position sizing is a significant risk/cash management element of the strategy's performance, which can vary.

The strategy's 1X position sizing per trade is 3 X 1 MES micro e-mini futures contract per US$10,000 in the account balance, risking approximately US$100 per MES micro e-mini futures contract or US$300 per trade.

Please understand that under sizing, your trade position is more conservative.

Thank you for your interest and prosperous trading!

IMPORTANT NOTICES
Though the above information was current when published, it does change daily. The Trade Leader does not assume responsibility for updating the above information.

The Trade Leader has not verified and does not assume responsibility for any simulated or hypothetical performance results published by C2. The Trade Leader does not make any representations or warranties regarding their accuracy, fairness, or completeness.

By subscribing to the C2 platform and copying the Trade Leader's strategy, you acknowledge that:
(1) You have read and understood the important notices published on the C2 website and at the bottom of the strategy description page;
(2) The Trade Leader does not provide individual advice to Investors, and nothing the Trade Leader publishes is considered personal advice or is acted on by you as individual advice;
(3) You are trading with money you can afford to lose and that you have received individual professional advice regarding the appropriateness to your circumstances of subscribing to the C2 platform and copying the Trade Leader's strategy;
(4) The Trade Leader does not assume any responsibility for any risks or losses you sustain by subscribing to the C2 platform or copying the Trade Leader's strategy; and
(5) The Trade Leader is publishing non-personalized information via the C2 website, which you can choose to act upon or not.

Please read the important notices posted on the C2 website and at the bottom of this strategy description page.

Summary Statistics

Strategy began
2021-04-16
Suggested Minimum Capital
$25,000
# Trades
109
# Profitable
57
% Profitable
52.3%
Correlation S&P500
-0.019
Sharpe Ratio
-0.77
Sortino Ratio
-0.99
Beta
-0.12
Alpha
0.00
Leverage
16.80 Average
263.47 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.