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All performance results are hypothetical. Trading is risky and you can lose money. Learn more

Leader Board

Maximum drawdown

This is worst peak-to-valley drawdown % experienced by the hypothetical Model Account for this trading strategy.

This is considered useful information by some people, but it does not suggest that future drawdowns will be smaller than this. It is always possible that futures drawdowns will be larger than this amount.

This is the smallest possible starting capital with which you may trade this strategy.

This number is based on the strategy's historical trading pattern. If the strategy doesn't change the way it trades, it is possible to trade the strategy in a broker account using this amount of capital, as long as you set your AutoTrade "Scaling Factor" appropriately. (You'll be able to specify your Scaling Factor -- how big or small to make trades -- when you set up AutoTrading in a broker account.)

In some cases, it is possible to trade a system with less than this amount, but this will increase risk, since it increases the chance that a "expected" drawdown will cause your account to go to zero, preventing any participation in any subsequent profits.

Remember that all trading is risky, that there is no guarantee of profits, and that drawdowns in the future may be higher than drawdowns that occurred in the past.

C2 Heart Attack Index

C2's Heart-Attack Index is a completely scientific measurement of the probability of your having a heart attack if you follow this strategy with real money.

Just kidding.

Here's what it really is. The Heart-Attack Index is a relative ranking of the strategy's performance during Monte Carlo simulations run by C2's servers, in which thousands of simulations are run, again and again, and C2 tries to measure the probability of substantial drawdowns based on past performance.

Low numbers are good. High numbers are bad. (Unless you are a cardiologist, in which case high numbers will mean brisk business for you.)

Remember that even a low number here does not mean that the strategy is "low-risk." All trading is inherently risky, and you can lose all your money at any time, despite what a number on a computer screen indicates.

Win:Loss Ratio

The Win:Loss Ratio is sometimes called the "Profit Factor." It is the ratio of the total dollars gained in winning trades divided by the total dollars lost in losing trades.

Like all statistics on C2, this statistic includes both closed trades and trades that are still open and not yet complete.

The Win:Loss Ratio is just one tool in a trader's arsenal. The level that is considered "good" or "bad" depends, for many people, on how frequently a strategy trades. Many people believe a Win:Loss Ratio of 2:1 or higher is mark of excellence for strategies that do not trade often. However, a lower number is generally expected when a strategy trades more frequently, and tries to gain a small edge over a large number of trades.

Sharpe Ratio

The Sharpe Ratio measures an investment's "excess" return versus the risk it took.

There's a lot to parse here. The first thing to notice is that we're analyzing the investment's excess return — which inevitably leads to the question: "Excess versus what?"

The answer is: Excess over what you can earn in a so-called "risk-free" investment. Generally, people calculate the Sharpe Ratio using the return on U.S. Treasury Bills as the preferred "risk-free" rate.

So, that's part one of a two-part equation: We measure the excess return of the investment over a risk-free investment.

How risk is measured

Now comes the second part of the analysis. We need to divide the excess return by the amount of risk taken by the investment.

"Risk" in this context means something precise and mathematical — it is not a value judgment about an investment manager's personality, or her strategy. It is simply the mathematical measurement of historical volatility — how quickly and often the investment has moved up or down. (In the context of C2 it is the mathematical measurement of the "choppiness" of a strategy's equity chart.)

Putting it together

Putting this all together, the Sharpe Ratio says something like this: "I see a trading strategy has offered nice returns so far. Those returns seem higher than the returns I could have achieved buying Treasury Bills. But wait a second... how much extra risk did we take to earn those extra returns?"

So, the Sharpe number is a ratio — of excess returns per risk-unit taken.

The insight behind the number is: Of course it's possible to earn excess returns. Generally this is done by taking on more risk. So it can be useful to measure how much extra return we get for each extra unit of risk we take. This makes it possible to do apples-to-apples comparisons among investments.

Some kinds of risk are hidden

One more insight: Notice how "risk" in this case is a mathematical measurement of how volatile a strategy has been so far. The implication of this is that investments which take risks that have not yet revealed themselves in a performance chart will have a higher Sharpe Ratio than perhaps they ought to. Strategies with high "tail risks" — that is, risk of something really bad happening, but very rarely — will have high Sharpe Ratios... even though they are potentially more risky than they seem.

The Sharpe Ratio was developed by Nobel laureate William F. Sharpe. As of this writing, no one affiliated with Collective2 has won a Nobel Prize. Working on it.

% Profitable

This is the percentage of trades that are profitable. This includes both open and closed trades.

Many people use this statistic to try to figure out how often a strategy is "right." However, keep in mind that many highly successful strategies are right less than half the time... but when they are right, they let their profits run, and when they are wrong, they close a trade quickly.

Similarly, strategies with high Winning Percentages can be trying to "game" the statistics by leaving losing positions open, and hoping (praying!) that the trade turns around to become profitable.

For this reason, we strongly encourage you to use this statistic with care, and use it in conjunction with other measurements of a strategy.

Strategy age

How long is the track record of this strategy available on C2.

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.

About C2Star

C2Star is a certification program for trading strategies. C2Star places high value on tight risk control and low drawdowns.

You can read more about C2Star certification requirements here.

Leverage

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.

All results are hypothetical data. Learn what this means. Remember: trading is risky. You can lose money.

About these results

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

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.

Trade Speed

Technically, this is actually the average trade duration. When positions are legged-in and legged-out (i.e. incrementally or partially opened or closed) we measure the time from first being flat to ultimately being flat again for the instrument in question.

About C2Star Certification

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.