Collective2 Collective2
Featured Strategy TechSignal +170.1% Cumul. Return since Jul 3, 2024 Hypothetical

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


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Calicut Commodities
(146455121)

Creato da: Ernie_K Ernie_K
Started: 11/2023
Stocks
Last trade: 5 days ago
Trading style: Equity Trend-following Short-term Reversal

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 $50.00 per month.

C2Star

C2Star è un programma di certificazione per le strategie di trading. Per diventare "Certificato C2Star", una strategia deve applicare controlli di rischio rigorosi e deve mostrare caratteristiche di performance eccellenti, tra cui riduzioni limitate.

Puoi leggere di più sui requisiti di certificazione C2Star qui.

Nota che: tutte le strategie di trading comportano rischi e la certificazione C2Star non implica che una strategia sia a basso rischio.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).

43.0%
Annual Return (Compounded)

Calcolo del rendimento

Panoramica

Per conformarsi alle normative NFA, mostriamo il tasso di rendimento cumulativo per le strategie con un track record inferiore a un anno. Per le strategie con track record più lunghi, mostriamo il tasso di rendimento annuale (composto).

Come si calcola il tasso di rendimento annuale (composto)

= ((Patrimonio_finale / Patrimonio_iniziale) ^ (1 / anni)) - 1

Ricorda che, in base ai requisiti NFA, i costi di abbonamento alle strategie e le commissioni stimate sono inclusi nei calcoli del patrimonio valutato a mercato.

Tutti i risultati sono ipotetici.

(29.1%)
Max Drawdown
69
Num Trades
65.2%
Win Trades
4.1 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                                      +3.6%(1.5%)+2.1%
2024(1.3%)+0.1%+3.3%+8.9%+3.0%(1.8%)+0.5%(0.6%)+8.8%(1.9%)(2.9%)(5.7%)+9.9%
2025+20.9%+6.5%(4.2%)+8.6%+6.2%+11.0%                                    +57.9%


Dettagli Account Modello

Una strategia di trading su Collective2. Seguila nel tuo account di brokeraggio o utilizza un account di trading simulato gratuito.

Gli utenti avanzati potrebbero voler utilizzare queste informazioni per regolare il loro AutoTrade scaling o semplicemente per comprendere le grandezze del grafico vicino.

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/23/25 10:31 TDW TIDEWATER LONG 145 39.45 6/12 12:35 47.48 0.17%
Trade id #151813456
Max drawdown($68)
Time5/23/25 12:18
Quant open145
Worst price38.98
Drawdown as % of equity-0.17%
 $1,162
Includes Typical Broker Commissions trade costs of $2.90
5/9/25 10:07 PALL ABRDN PHYSICAL PALLADIUM SHARES ETF LONG 167 89.64 6/10 12:37 96.92 1.5%
Trade id #151676718
Max drawdown($596)
Time5/12/25 0:00
Quant open167
Worst price86.07
Drawdown as % of equity-1.50%
 $1,213
Includes Typical Broker Commissions trade costs of $3.34
5/27/25 14:23 UGL PROSHARES ULTRA GOLD LONG 71 139.11 6/9 9:32 140.07 0.44%
Trade id #151843369
Max drawdown($180)
Time5/30/25 0:00
Quant open71
Worst price136.57
Drawdown as % of equity-0.44%
 $67
Includes Typical Broker Commissions trade costs of $1.42
5/8/25 13:11 SPPP SPROTT PHYSICAL PLATINUM AND P LONG 1,521 9.86 5/23 10:29 10.35 0.17%
Trade id #151666547
Max drawdown($67)
Time5/12/25 0:00
Quant open521
Worst price9.47
Drawdown as % of equity-0.17%
 $744
Includes Typical Broker Commissions trade costs of $7.50
4/24/25 14:09 BTU PEABODY ENERGY CORP LONG 261 12.77 5/20 9:49 13.97 0.41%
Trade id #151518086
Max drawdown($153)
Time4/25/25 0:00
Quant open261
Worst price12.18
Drawdown as % of equity-0.41%
 $308
Includes Typical Broker Commissions trade costs of $5.22
5/7/25 12:49 QMGCM5 E-Micro Gold SHORT 1 3396.2 5/8 18:14 3318.3 0.67%
Trade id #151650005
Max drawdown($258)
Time5/7/25 22:01
Quant open1
Worst price3422.0
Drawdown as % of equity-0.67%
 $778
Includes Typical Broker Commissions trade costs of $0.70
5/1/25 11:05 XLE ENERGY SELECT SECTOR SPDR LONG 62 81.64 5/8 13:10 82.10 0.27%
Trade id #151590652
Max drawdown($105)
Time5/7/25 0:00
Quant open62
Worst price79.94
Drawdown as % of equity-0.27%
 $28
Includes Typical Broker Commissions trade costs of $1.24
2/26/25 11:09 URA GLOBAL X URANIUM ETF LONG 426 25.49 5/6 13:28 25.50 7.98%
Trade id #150958855
Max drawdown($2,552)
Time4/7/25 0:00
Quant open426
Worst price19.50
Drawdown as % of equity-7.98%
 ($6)
Includes Typical Broker Commissions trade costs of $8.52
4/17/25 15:18 TDW TIDEWATER LONG 145 34.43 4/30 9:41 35.73 0.89%
Trade id #151445679
Max drawdown($321)
Time4/21/25 0:00
Quant open145
Worst price32.21
Drawdown as % of equity-0.89%
 $186
Includes Typical Broker Commissions trade costs of $2.90
10/16/24 12:42 MEXX DIREXION DAILY MSCI MEXICO BULL 3X LONG 366 13.29 4/24/25 13:11 14.84 5.34%
Trade id #149675736
Max drawdown($1,775)
Time4/9/25 0:00
Quant open366
Worst price8.44
Drawdown as % of equity-5.34%
 $560
Includes Typical Broker Commissions trade costs of $7.32
4/7/25 18:50 @MESM5 MICRO E-MINI S&P 500 LONG 3 5137.00 4/8 10:04 5290.00 0.52%
Trade id #151310980
Max drawdown($165)
Time4/7/25 21:01
Quant open3
Worst price5126.00
Drawdown as % of equity-0.52%
 $2,292
Includes Typical Broker Commissions trade costs of $2.82
4/7/25 18:48 @ESM5 E-MINI S&P 500 LONG 1 5135.50 4/7 18:49 5134.50 0.16%
Trade id #151310963
Max drawdown($50)
Time4/7/25 18:49
Quant open1
Worst price5134.50
Drawdown as % of equity-0.16%
 ($58)
Includes Typical Broker Commissions trade costs of $8.00
3/18/25 9:58 @MESM5 MICRO E-MINI S&P 500 LONG 3 5669.25 4/1 21:27 5716.75 3.96%
Trade id #151124527
Max drawdown($1,355)
Time3/31/25 0:00
Quant open2
Worst price5533.75
Drawdown as % of equity-3.96%
 $710
Includes Typical Broker Commissions trade costs of $2.82
3/24/25 16:58 @ESM5 E-MINI S&P 500 SHORT 1 5813.00 3/24 16:59 5813.25 0.03%
Trade id #151177377
Max drawdown($13)
Time3/24/25 16:59
Quant open1
Worst price5813.25
Drawdown as % of equity-0.03%
 ($21)
Includes Typical Broker Commissions trade costs of $8.00
3/3/25 16:32 @MESH5 MICRO E-MINI S&P 500 LONG 4 5752.56 3/18 9:58 5656.88 10.78%
Trade id #151001364
Max drawdown($3,649)
Time3/13/25 0:00
Quant open3
Worst price5509.25
Drawdown as % of equity-10.78%
 ($1,918)
Includes Typical Broker Commissions trade costs of $3.76
10/16/24 12:38 SLV ISHARES SILVER TRUST LONG 667 28.78 3/18/25 9:30 29.54 2.02%
Trade id #149675678
Max drawdown($588)
Time1/14/25 0:00
Quant open332
Worst price27.01
Drawdown as % of equity-2.02%
 $495
Includes Typical Broker Commissions trade costs of $13.34
2/23/25 20:11 @ESH5 E-MINI S&P 500 SHORT 1 6053.00 2/23 20:12 6053.50 0.07%
Trade id #150934552
Max drawdown($25)
Time2/23/25 20:12
Quant open1
Worst price6053.50
Drawdown as % of equity-0.07%
 ($33)
Includes Typical Broker Commissions trade costs of $8.00
1/21/25 18:32 QSIH5 Silver 5000 oz LONG 1 31.475 2/23 20:11 32.785 26.93%
Trade id #150629228
Max drawdown($7,200)
Time1/27/25 0:00
Quant open1
Worst price30.035
Drawdown as % of equity-26.93%
 $6,542
Includes Typical Broker Commissions trade costs of $8.00
1/14/25 23:06 QMGCG5 E-Micro Gold LONG 1 2691.3 1/17 15:02 2739.6 0.2%
Trade id #150569692
Max drawdown($59)
Time1/15/25 0:00
Quant open1
Worst price2685.4
Drawdown as % of equity-0.20%
 $482
Includes Typical Broker Commissions trade costs of $0.70
12/13/24 13:16 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 185 27.07 1/13/25 10:13 30.24 1.2%
Trade id #150321894
Max drawdown($331)
Time12/20/24 0:00
Quant open185
Worst price25.28
Drawdown as % of equity-1.20%
 $582
Includes Typical Broker Commissions trade costs of $3.70
11/7/24 14:07 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 179 27.91 11/13 9:47 24.63 1.96%
Trade id #150031747
Max drawdown($587)
Time11/13/24 9:47
Quant open179
Worst price24.63
Drawdown as % of equity-1.96%
 ($591)
Includes Typical Broker Commissions trade costs of $3.58
10/10/24 9:46 PALL ABRDN PHYSICAL PALLADIUM SHARES ETF LONG 55 96.32 10/25 10:24 110.53 0.78%
Trade id #149627288
Max drawdown($244)
Time10/15/24 0:00
Quant open55
Worst price91.88
Drawdown as % of equity-0.78%
 $781
Includes Typical Broker Commissions trade costs of $1.10
9/30/24 14:04 MEXX DIREXION DAILY MSCI MEXICO BULL 3X LONG 366 13.91 10/16 9:36 12.89 1.22%
Trade id #149543188
Max drawdown($373)
Time10/16/24 9:36
Quant open366
Worst price12.89
Drawdown as % of equity-1.22%
 ($380)
Includes Typical Broker Commissions trade costs of $7.32
9/23/24 10:30 SSL SASOL LONG 350 7.15 10/15 9:30 6.48 0.8%
Trade id #149483085
Max drawdown($252)
Time10/15/24 9:30
Quant open350
Worst price6.43
Drawdown as % of equity-0.80%
 ($242)
Includes Typical Broker Commissions trade costs of $7.00
10/11/24 13:59 TDW TIDEWATER LONG 43 68.58 10/14 9:42 66.30 0.33%
Trade id #149641238
Max drawdown($104)
Time10/14/24 9:42
Quant open43
Worst price66.15
Drawdown as % of equity-0.33%
 ($99)
Includes Typical Broker Commissions trade costs of $0.86
9/27/24 9:53 PALL ABRDN PHYSICAL PALLADIUM SHARES ETF LONG 55 93.72 10/9 13:23 95.26 0.61%
Trade id #149523803
Max drawdown($190)
Time9/30/24 0:00
Quant open39
Worst price90.10
Drawdown as % of equity-0.61%
 $84
Includes Typical Broker Commissions trade costs of $1.10
9/16/24 15:07 SLV ISHARES SILVER TRUST LONG 356 28.12 10/8 10:57 27.86 0.57%
Trade id #149412913
Max drawdown($169)
Time9/18/24 0:00
Quant open178
Worst price27.09
Drawdown as % of equity-0.57%
 ($98)
Includes Typical Broker Commissions trade costs of $7.12
5/16/24 12:16 BIDU BAIDU LONG 89 101.97 9/27 9:57 105.04 4.52%
Trade id #148186197
Max drawdown($1,234)
Time8/5/24 0:00
Quant open45
Worst price79.68
Drawdown as % of equity-4.52%
 $271
Includes Typical Broker Commissions trade costs of $1.78
9/24/24 10:53 DQ DAQO NEW ENERGY LONG 141 17.74 9/27 9:40 19.34 0.47%
Trade id #149493389
Max drawdown($145)
Time9/25/24 0:00
Quant open141
Worst price16.71
Drawdown as % of equity-0.47%
 $223
Includes Typical Broker Commissions trade costs of $2.82
9/9/24 13:36 DBA INVESCO DB AGRICULTURE LONG 202 24.69 9/25 10:57 26.03 0.18%
Trade id #149326480
Max drawdown($48)
Time9/10/24 0:00
Quant open202
Worst price24.45
Drawdown as % of equity-0.18%
 $267
Includes Typical Broker Commissions trade costs of $4.04

Successivo

Statistics

  • Strategy began
    11/15/2023
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    580.05
  • Age
    19 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    69
  • # Profitable
    45
  • % Profitable
    65.20%
  • Avg trade duration
    25.1 days
  • Max peak-to-valley drawdown
    29.14%
  • drawdown period
    Oct 04, 2024 - Jan 27, 2025
  • Annual Return (Compounded)
    43.0%
  • Avg win
    $616.24
  • Avg loss
    $284.38
  • Model Account Values (Raw)
  • Cash
    $33,810
  • Margin Used
    $0
  • Buying Power
    $32,248
  • Ratios
  • W:L ratio
    4.15:1
  • Sharpe Ratio
    1.03
  • Sortino Ratio
    1.73
  • Calmar Ratio
    2.204
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    44.22%
  • Correlation to SP500
    0.24730
  • Return Percent SP500 (cumu) during strategy life
    32.86%
  • Return Statistics
  • Ann Return (w trading costs)
    43.0%
  • Slump
  • Current Slump as Pcnt Equity
    0.30%
  • Instruments
  • Percent Trades Futures
    0.23%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.430%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.77%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    47.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    52.50%
  • Chance of 20% account loss
    19.50%
  • Chance of 30% account loss
    9.00%
  • Chance of 40% account loss
    2.00%
  • 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)
    518
  • Popularity (Last 6 weeks)
    896
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    973
  • Popularity (7 days, Percentile 1000 scale)
    795
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $284
  • Avg Win
    $616
  • Sum Trade PL (losers)
    $6,825.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $27,731.000
  • # Winners
    45
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    285
  • Win / Loss
  • # Losers
    24
  • % Winners
    65.2%
  • Frequency
  • Avg Position Time (mins)
    36116.90
  • Avg Position Time (hrs)
    601.95
  • Avg Trade Length
    25.1 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    1.28
  • Daily leverage (max)
    12.86
  • Regression
  • Alpha
    0.09
  • Beta
    0.46
  • Treynor Index
    0.23
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    13.16
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.653
  • 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
    0.12
  • Avg(MAE) / Avg(PL) - Winning trades
    0.822
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.581
  • Hold-and-Hope Ratio
    0.606
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40719
  • SD
    0.29089
  • Sharpe ratio (Glass type estimate)
    1.39981
  • Sharpe ratio (Hedges UMVUE)
    1.33698
  • df
    17.00000
  • t
    1.71441
  • p
    0.26172
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28606
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04802
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32523
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99918
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.54577
  • Upside Potential Ratio
    6.47223
  • Upside part of mean
    0.57975
  • Downside part of mean
    -0.17256
  • Upside SD
    0.29276
  • Downside SD
    0.08958
  • N nonnegative terms
    10.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.18573
  • Mean of criterion
    0.40719
  • SD of predictor
    0.20586
  • SD of criterion
    0.29089
  • Covariance
    0.03498
  • r
    0.58411
  • b (slope, estimate of beta)
    0.82536
  • a (intercept, estimate of alpha)
    0.25389
  • Mean Square Error
    0.05923
  • DF error
    16.00000
  • t(b)
    2.87854
  • p(b)
    0.20794
  • t(a)
    1.23414
  • p(a)
    0.35259
  • Lowerbound of 95% confidence interval for beta
    0.21752
  • Upperbound of 95% confidence interval for beta
    1.43319
  • Lowerbound of 95% confidence interval for alpha
    -0.18222
  • Upperbound of 95% confidence interval for alpha
    0.69001
  • Treynor index (mean / b)
    0.49335
  • Jensen alpha (a)
    0.25389
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36384
  • SD
    0.27205
  • Sharpe ratio (Glass type estimate)
    1.33743
  • Sharpe ratio (Hedges UMVUE)
    1.27739
  • df
    17.00000
  • t
    1.63801
  • p
    0.27041
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34200
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98064
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93429
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.95709
  • Upside Potential Ratio
    5.87460
  • Upside part of mean
    0.54015
  • Downside part of mean
    -0.17631
  • Upside SD
    0.26921
  • Downside SD
    0.09195
  • N nonnegative terms
    10.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.16411
  • Mean of criterion
    0.36384
  • SD of predictor
    0.20592
  • SD of criterion
    0.27205
  • Covariance
    0.03334
  • r
    0.59505
  • b (slope, estimate of beta)
    0.78611
  • a (intercept, estimate of alpha)
    0.23484
  • Mean Square Error
    0.05079
  • DF error
    16.00000
  • t(b)
    2.96156
  • p(b)
    0.20248
  • t(a)
    1.24186
  • p(a)
    0.35175
  • Lowerbound of 95% confidence interval for beta
    0.22341
  • Upperbound of 95% confidence interval for beta
    1.34882
  • Lowerbound of 95% confidence interval for alpha
    -0.16604
  • Upperbound of 95% confidence interval for alpha
    0.63571
  • Treynor index (mean / b)
    0.46284
  • Jensen alpha (a)
    0.23484
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09413
  • Expected Shortfall on VaR
    0.12300
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03122
  • Expected Shortfall on VaR
    0.05751
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.92894
  • Quartile 1
    0.98026
  • Median
    1.01329
  • Quartile 3
    1.08873
  • Maximum
    1.23467
  • Mean of quarter 1
    0.95754
  • Mean of quarter 2
    0.99618
  • Mean of quarter 3
    1.02988
  • Mean of quarter 4
    1.15215
  • Inter Quartile Range
    0.10847
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.88327
  • VaR(95%) (moments method)
    0.04451
  • Expected Shortfall (moments method)
    0.04549
  • Extreme Value Index (regression method)
    -0.40322
  • VaR(95%) (regression method)
    0.06400
  • Expected Shortfall (regression method)
    0.07691
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01248
  • Quartile 1
    0.05642
  • Median
    0.07322
  • Quartile 3
    0.07606
  • Maximum
    0.07813
  • Mean of quarter 1
    0.01248
  • Mean of quarter 2
    0.07106
  • Mean of quarter 3
    0.07537
  • Mean of quarter 4
    0.07813
  • Inter Quartile Range
    0.01965
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.25000
  • Mean of outliers low
    0.01248
  • 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)
    0.53314
  • Compounded annual return (geometric extrapolation)
    0.47957
  • Calmar ratio (compounded annual return / max draw down)
    6.13810
  • Compounded annual return / average of 25% largest draw downs
    6.13810
  • Compounded annual return / Expected Shortfall lognormal
    3.89884
  • 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
    0.42356
  • SD
    0.31554
  • Sharpe ratio (Glass type estimate)
    1.34234
  • Sharpe ratio (Hedges UMVUE)
    1.33981
  • df
    398.00000
  • t
    1.65653
  • p
    0.04920
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24941
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.93251
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25114
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93076
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.18137
  • Upside Potential Ratio
    7.92863
  • Upside part of mean
    1.53952
  • Downside part of mean
    -1.11596
  • Upside SD
    0.24959
  • Downside SD
    0.19417
  • N nonnegative terms
    211.00000
  • N negative terms
    188.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    399.00000
  • Mean of predictor
    0.17362
  • Mean of criterion
    0.42356
  • SD of predictor
    0.17313
  • SD of criterion
    0.31554
  • Covariance
    0.01466
  • r
    0.26843
  • b (slope, estimate of beta)
    0.48923
  • a (intercept, estimate of alpha)
    0.33900
  • Mean Square Error
    0.09262
  • DF error
    397.00000
  • t(b)
    5.55209
  • p(b)
    0.00000
  • t(a)
    1.37043
  • p(a)
    0.08566
  • Lowerbound of 95% confidence interval for beta
    0.31600
  • Upperbound of 95% confidence interval for beta
    0.66246
  • Lowerbound of 95% confidence interval for alpha
    -0.14715
  • Upperbound of 95% confidence interval for alpha
    0.82439
  • Treynor index (mean / b)
    0.86577
  • Jensen alpha (a)
    0.33862
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37438
  • SD
    0.31193
  • Sharpe ratio (Glass type estimate)
    1.20021
  • Sharpe ratio (Hedges UMVUE)
    1.19795
  • df
    398.00000
  • t
    1.48113
  • p
    0.06968
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39092
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78991
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39246
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78835
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85580
  • Upside Potential Ratio
    7.48533
  • Upside part of mean
    1.51004
  • Downside part of mean
    -1.13567
  • Upside SD
    0.23852
  • Downside SD
    0.20173
  • N nonnegative terms
    211.00000
  • N negative terms
    188.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    399.00000
  • Mean of predictor
    0.15868
  • Mean of criterion
    0.37438
  • SD of predictor
    0.17243
  • SD of criterion
    0.31193
  • Covariance
    0.01493
  • r
    0.27752
  • b (slope, estimate of beta)
    0.50204
  • a (intercept, estimate of alpha)
    0.29471
  • Mean Square Error
    0.09003
  • DF error
    397.00000
  • t(b)
    5.75562
  • p(b)
    0.00000
  • t(a)
    1.21014
  • p(a)
    0.11347
  • Lowerbound of 95% confidence interval for beta
    0.33056
  • Upperbound of 95% confidence interval for beta
    0.67353
  • Lowerbound of 95% confidence interval for alpha
    -0.18407
  • Upperbound of 95% confidence interval for alpha
    0.77349
  • Treynor index (mean / b)
    0.74571
  • Jensen alpha (a)
    0.29471
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02982
  • Expected Shortfall on VaR
    0.03757
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00918
  • Expected Shortfall on VaR
    0.02030
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    399.00000
  • Minimum
    0.86996
  • Quartile 1
    0.99592
  • Median
    1.00046
  • Quartile 3
    1.00687
  • Maximum
    1.17401
  • Mean of quarter 1
    0.98440
  • Mean of quarter 2
    0.99884
  • Mean of quarter 3
    1.00333
  • Mean of quarter 4
    1.02034
  • Inter Quartile Range
    0.01095
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.05013
  • Mean of outliers low
    0.95856
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.04261
  • Mean of outliers high
    1.05661
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58989
  • VaR(95%) (moments method)
    0.01515
  • Expected Shortfall (moments method)
    0.04104
  • Extreme Value Index (regression method)
    0.32174
  • VaR(95%) (regression method)
    0.01375
  • Expected Shortfall (regression method)
    0.02502
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00027
  • Quartile 1
    0.00176
  • Median
    0.00560
  • Quartile 3
    0.03998
  • Maximum
    0.22465
  • Mean of quarter 1
    0.00073
  • Mean of quarter 2
    0.00303
  • Mean of quarter 3
    0.02701
  • Mean of quarter 4
    0.12899
  • Inter Quartile Range
    0.03821
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    0.17707
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.80650
  • VaR(95%) (moments method)
    0.11079
  • Expected Shortfall (moments method)
    0.11482
  • Extreme Value Index (regression method)
    -1.11689
  • VaR(95%) (regression method)
    0.20213
  • Expected Shortfall (regression method)
    0.22022
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55506
  • Compounded annual return (geometric extrapolation)
    0.49524
  • Calmar ratio (compounded annual return / max draw down)
    2.20446
  • Compounded annual return / average of 25% largest draw downs
    3.83936
  • Compounded annual return / Expected Shortfall lognormal
    13.18110
  • 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
    0.90306
  • SD
    0.50996
  • Sharpe ratio (Glass type estimate)
    1.77083
  • Sharpe ratio (Hedges UMVUE)
    1.76059
  • df
    130.00000
  • t
    1.25217
  • p
    0.44542
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01259
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.54759
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01946
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.54065
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.89472
  • Upside Potential Ratio
    9.30124
  • Upside part of mean
    2.90168
  • Downside part of mean
    -1.99862
  • Upside SD
    0.40480
  • Downside SD
    0.31197
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02096
  • Mean of criterion
    0.90306
  • SD of predictor
    0.24590
  • SD of criterion
    0.50996
  • Covariance
    0.03363
  • r
    0.26816
  • b (slope, estimate of beta)
    0.55614
  • a (intercept, estimate of alpha)
    0.91471
  • Mean Square Error
    0.24323
  • DF error
    129.00000
  • t(b)
    3.16156
  • p(b)
    0.33135
  • t(a)
    1.31146
  • p(a)
    0.42714
  • Lowerbound of 95% confidence interval for beta
    0.20810
  • Upperbound of 95% confidence interval for beta
    0.90417
  • Lowerbound of 95% confidence interval for alpha
    -0.46526
  • Upperbound of 95% confidence interval for alpha
    2.29469
  • Treynor index (mean / b)
    1.62381
  • Jensen alpha (a)
    0.91471
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77490
  • SD
    0.50375
  • Sharpe ratio (Glass type estimate)
    1.53826
  • Sharpe ratio (Hedges UMVUE)
    1.52936
  • df
    130.00000
  • t
    1.08771
  • p
    0.45252
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24275
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.31346
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24867
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.30740
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.37880
  • Upside Potential Ratio
    8.67173
  • Upside part of mean
    2.82484
  • Downside part of mean
    -2.04994
  • Upside SD
    0.38471
  • Downside SD
    0.32575
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05069
  • Mean of criterion
    0.77490
  • SD of predictor
    0.24427
  • SD of criterion
    0.50375
  • Covariance
    0.03426
  • r
    0.27839
  • b (slope, estimate of beta)
    0.57412
  • a (intercept, estimate of alpha)
    0.80400
  • Mean Square Error
    0.23591
  • DF error
    129.00000
  • t(b)
    3.29205
  • p(b)
    0.32509
  • t(a)
    1.17038
  • p(a)
    0.43486
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    0.22908
  • Upperbound of 95% confidence interval for beta
    0.91917
  • Lowerbound of 95% confidence interval for alpha
    -0.55515
  • Upperbound of 95% confidence interval for alpha
    2.16315
  • Treynor index (mean / b)
    1.34971
  • Jensen alpha (a)
    0.80400
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04709
  • Expected Shortfall on VaR
    0.05934
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01550
  • Expected Shortfall on VaR
    0.03378
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86996
  • Quartile 1
    0.99316
  • Median
    1.00292
  • Quartile 3
    1.01415
  • Maximum
    1.17401
  • Mean of quarter 1
    0.97218
  • Mean of quarter 2
    0.99821
  • Mean of quarter 3
    1.00768
  • Mean of quarter 4
    1.03627
  • Inter Quartile Range
    0.02099
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.93267
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.09993
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42872
  • VaR(95%) (moments method)
    0.02477
  • Expected Shortfall (moments method)
    0.05167
  • Extreme Value Index (regression method)
    0.52736
  • VaR(95%) (regression method)
    0.02569
  • Expected Shortfall (regression method)
    0.06197
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00027
  • Quartile 1
    0.00493
  • Median
    0.03982
  • Quartile 3
    0.07330
  • Maximum
    0.22465
  • Mean of quarter 1
    0.00304
  • Mean of quarter 2
    0.03345
  • Mean of quarter 3
    0.06723
  • Mean of quarter 4
    0.19090
  • Inter Quartile Range
    0.06837
  • 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
    0.11111
  • Mean of outliers high
    0.22465
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -12.43450
  • VaR(95%) (moments method)
    0.14784
  • Expected Shortfall (moments method)
    0.14784
  • Extreme Value Index (regression method)
    -1.31275
  • VaR(95%) (regression method)
    0.27012
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.28187
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -382429000
  • Max Equity Drawdown (num days)
    115
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.98784
  • Compounded annual return (geometric extrapolation)
    1.23180
  • Calmar ratio (compounded annual return / max draw down)
    5.48310
  • Compounded annual return / average of 25% largest draw downs
    6.45258
  • Compounded annual return / Expected Shortfall lognormal
    20.75900

Strategy Description

A strategy focused on commodities and commodity-related stocks. Idea is to beat S&P 500 with lower correlation and to take advantage of a secular Commodities bull market. Strategy can also trade indices as well as non-commodity securities. Primarily a trend-following system with STOP LOSSES. Why the name "Calicut"? I'm also passionate about history (in addition to trading) and I named the strategy after the coastal city of Calicut in India. Hundreds of years ago, Calicut (now known as Kozhikode), India, was not only a major spice trading center but also a commodity trading port. Besides spices like black pepper, cardamom, and ginger, Calicut was known for trading a wide range of other commodities, including textiles, precious stones/jewelry, sandalwood, ivory, perfumes, silk, grains, etc. Calicut's strategic location and its diverse population, which included Arabs, Chinese, Africans, and Europeans, contributed to its importance as a vibrant trade hub where many goods were exchanged across vast distances.
Trade this strategy at Interactive Brokers

Summary Statistics


Strategy began
2023-11-15
Suggested Minimum Capital
$45,000
Rank at C2 %
Top 2.7%
Rank # 
#19
# Trades
69
# Profitable
45
% Profitable
65.2%
Net Dividends
$285
Correlation S&P500
0.247
Sharpe Ratio
1.03
Sortino Ratio
1.73
Beta
0.46
Alpha
0.09
Leverage
1.28 Average
12.86 Maximum

Sommario
Leva finanziaria più alta = maggiore rischio.

Ulteriori informazioni sulla leva finanziaria

Collective2 calcola la leva finanziaria massima utilizzata da una strategia in ogni giorno. Mostriamo quindi la media di queste misurazioni (cioè la media della leva finanziaria massima giornaliera) e la più grande di queste misurazioni (leva finanziaria massima giornaliera).

La leva finanziaria è il rapporto tra il valore nozionale totale controllato da una strategia e il patrimonio del Model Account. Generalmente, una leva finanziaria più alta implica un rischio maggiore.

Esempio di calcolo:
La Strategia acquista 100 azioni a $12 per azione.
Il patrimonio del Model Account durante quel giorno è di $5.000.
La leva finanziaria è: $1200 / $5.000 = 0,24

Questa è una misurazione utile, ma deve essere considerata nel contesto. Questa misurazione non tiene conto di fattori importanti, come quando si detengono più posizioni che sono inversamente correlate. Né la misurazione tiene conto della volatilità degli strumenti detenuti.

Inoltre, alcune classi di attività sono per loro natura più leveraged di altre. Ad esempio, i contratti futures sono altamente leveraged. Le posizioni Forex sono spesso ancora più leveraged dei futures.

Latest Activity

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Trade journal

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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.



Riguardo ai risultati che vedi su questo sito web

I risultati passati non sono necessariamente indicativi dei risultati futuri.

Questi risultati si basano su performance simulate o ipotetiche che presentano alcune limitazioni intrinseche. A differenza dei risultati mostrati in un registro delle prestazioni effettive, questi risultati non rappresentano trading effettivo. Inoltre, poiché queste operazioni non sono state effettivamente eseguite, questi risultati potrebbero aver sotto o sovrastimato l'impatto, se presente, di alcuni fattori di mercato, come la mancanza di liquidità. I programmi di trading simulati o ipotetici in generale sono soggetti anche al fatto che sono progettati con il beneficio del senno di poi. Non viene fatta alcuna rappresentazione che qualsiasi conto raggiungerà o sarà probabile ottenere profitti o perdite simili a quelli mostrati.

Inoltre, il trading ipotetico non comporta rischio finanziario e nessun record di trading ipotetico può tener conto completamente dell'impatto del rischio finanziario nel trading effettivo. Ad esempio, la capacità di sopportare perdite o di attenersi a un particolare programma di trading nonostante le perdite commerciali sono punti materiali che possono influire negativamente sui risultati del trading effettivo. Ci sono numerosi altri fattori legati ai mercati in generale o all'attuazione di qualsiasi specifico programma di trading, che non possono essere pienamente contabilizzati nella preparazione dei risultati delle prestazioni ipotetiche e tutti i quali possono influire negativamente sui risultati del trading effettivo.

Ipotesi e metodi materiali utilizzati nel calcolo dei risultati

Le seguenti sono ipotesi materiali utilizzate nel calcolo di eventuali risultati mensili ipotetici che appaiono sul nostro sito web.

  • I profitti vengono reinvestiti. Presumiamo che i profitti (quando ci sono) vengano reinvestiti nella strategia di trading.
  • Dimensione dell'investimento iniziale. Per qualsiasi strategia di trading sul nostro sito, i risultati ipotetici si basano sull'ipotesi che tu abbia investito l'importo iniziale mostrato sul grafico delle prestazioni della strategia. In alcuni casi, gli importi nominali in dollari sul grafico del patrimonio sono stati ridimensionati verso il basso per rendere le dimensioni di trading attuali più gestibili. In questi casi, potrebbe non essere stato possibile scambiare la strategia storicamente ai livelli di patrimonio mostrati sul grafico e un capitale minimo più elevato era richiesto in passato.
  • Tutte le spese sono incluse. Nel calcolo dei rendimenti cumulativi, cerchiamo di stimare e includere tutte le spese che un tipico trader sostiene quando fa AutoTrading utilizzando la tecnologia AutoTrade. Ciò include il costo dell'abbonamento alla strategia, più eventuali commissioni per operazione di AutoTrade, più le commissioni di intermediazione stimate, se presenti.
  • Metodo di calcolo del "Max Drawdown". Calcoliamo la statistica Max Drawdown come segue. Il nostro software informatico esamina il grafico del patrimonio del sistema in questione e trova la percentuale più grande in cui il grafico del patrimonio diminuisce mai da un "picco" locale a un punto successivo nel tempo (quindi questo è formalmente chiamato "Massimo calo dal picco alla valle"). Sebbene queste informazioni siano utili nella valutazione dei sistemi di trading, dovresti tenere presente che le prestazioni passate non garantiscono risultati futuri. Pertanto, i cali futuri potrebbero essere maggiori rispetto ai massimi cali storici che vedi qui.

Il trading è rischioso

C'è un rischio sostanziale di perdita nel trading di futures e forex. Il trading online di azioni e opzioni è estremamente rischioso. Presumi che perderai denaro. Non fare trading con denaro che non puoi permetterti di perdere.

Va bene, capito.

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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.