Schulenberg C2Star EMini
(136294031)
Subscription terms. Subscriptions to this system cost $125.00 per month.
C2Star
C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.
You can read more about C2Star certification requirements here.
Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.
Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Cumulative Rate of Return is calculated
= (Ending_equity  Starting_equity) / Starting_equity
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2021  +1.4%  +3.3%  (6.1%)  +1.1%  (0.7%) 
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.
Started  $50,000  
Buy Power  $49,223  
Cash  $1  
Equity  $1  
Cumulative $  $443  
Total System Equity  $50,443  
Margined  $1  
Open P/L  $233  
Data has been delayed by 48 hours for nonsubscribers 
System developer has asked us to delay this information by 48 hours.
Trading Record
Statistics

Strategy began7/1/2021

Suggested Minimum Cap$50,000

Strategy Age (days)110.99

Age111 days ago

What it tradesFutures

# Trades46

# Profitable24

% Profitable52.20%

Avg trade duration1.8 days

Max peaktovalley drawdown8.47%

drawdown periodSept 10, 2021  Oct 04, 2021

Cumul. Return0.7%

Avg win$422.58

Avg loss$440.86
 Model Account Values (Raw)

Cash$50,608

Margin Used$1,220

Buying Power$49,223
 Ratios

W:L ratio1.05:1

Sharpe Ratio0.16

Sortino Ratio0.21

Calmar Ratio0.435
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)5.55%

Correlation to SP5000.43620

Return Percent SP500 (cumu) during strategy life5.05%
 Verified

C2Star0
 Return Statistics

Ann Return (w trading costs)2.1%
 Slump

Current Slump as Pcnt Equity6.80%
 Instruments

Percent Trades Futures1.00%
 Slump

Current Slump, time of slump as pcnt of strategy life0.36%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.007%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocksn/a

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)2.8%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss2.50%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 60% account loss (Monte Carlo)n/a

Chance of 70% account loss (Monte Carlo)n/a

Chance of 80% account loss (Monte Carlo)n/a

Chance of 90% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automated9.82%
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)866
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score382

Popularity (7 days, Percentile 1000 scale)486
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$442

Avg Win$423

Sum Trade PL (losers)$9,724.000
 Age

Num Months filled monthly returns table4
 Win / Loss

Sum Trade PL (winners)$10,142.000

# Winners24

Num Months Winners3
 Dividends

Dividends Received in Model Acct0
 Win / Loss

# Losers22

% Winners52.2%
 Frequency

Avg Position Time (mins)2525.30

Avg Position Time (hrs)42.09

Avg Trade Length1.8 days

Last Trade Ago1
 Leverage

Daily leverage (average)1.29

Daily leverage (max)1.80
 Regression

Alpha0.02

Beta0.45

Treynor Index0.01
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)1.10

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades39.180

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 strat0.01

Avg(MAE) / Avg(PL)  Winning trades0.653

Avg(MAE) / Avg(PL)  Losing trades1.442

HoldandHope Ratio0.020
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.01571

SD0.17855

Sharpe ratio (Glass type estimate)0.08801

Sharpe ratio (Hedges UMVUE)0.04965

df2.00000

t0.04401

p0.51555

Lowerbound of 95% confidence interval for Sharpe Ratio3.99888

Upperbound of 95% confidence interval for Sharpe Ratio3.84274

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.96988

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.87057
 Statistics related to Sortino ratio

Sortino ratio0.13407

Upside Potential Ratio1.86593

Upside part of mean0.21872

Downside part of mean0.23443

Upside SD0.08681

Downside SD0.11722

N nonnegative terms2.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations3.00000

Mean of predictor0.01145

Mean of criterion0.01571

SD of predictor0.12363

SD of criterion0.17855

Covariance0.02204

r0.99860

b (slope, estimate of beta)1.44225

a (intercept, estimate of alpha)0.03223

Mean Square Error0.00018

DF error1.00000

t(b)18.88700

p(b)0.01684

t(a)1.20633

p(a)0.77968

Lowerbound of 95% confidence interval for beta0.47198

Upperbound of 95% confidence interval for beta2.41252

Lowerbound of 95% confidence interval for alpha0.37169

Upperbound of 95% confidence interval for alpha0.30724

Treynor index (mean / b)0.01090

Jensen alpha (a)0.03223
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.02645

SD0.18035

Sharpe ratio (Glass type estimate)0.14667

Sharpe ratio (Hedges UMVUE)0.08275

df2.00000

t0.07333

p0.52589

Lowerbound of 95% confidence interval for Sharpe Ratio4.05231

Upperbound of 95% confidence interval for Sharpe Ratio3.79211

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.00351

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.83802
 Statistics related to Sortino ratio

Sortino ratio0.21951

Upside Potential Ratio1.78049

Upside part of mean0.21455

Downside part of mean0.24100

Upside SD0.08498

Downside SD0.12050

N nonnegative terms2.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations3.00000

Mean of predictor0.00630

Mean of criterion0.02645

SD of predictor0.12428

SD of criterion0.18035

Covariance0.02239

r0.99883

b (slope, estimate of beta)1.44949

a (intercept, estimate of alpha)0.03558

Mean Square Error0.00015

DF error1.00000

t(b)20.65060

p(b)0.01540

t(a)1.44190

p(a)0.80699

Lowerbound of 95% confidence interval for beta0.55763

Upperbound of 95% confidence interval for beta2.34135

Lowerbound of 95% confidence interval for alpha0.34913

Upperbound of 95% confidence interval for alpha0.27797

Treynor index (mean / b)0.01825

Jensen alpha (a)0.03558
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08409

Expected Shortfall on VaR0.10364
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03557

Expected Shortfall on VaR0.06696
 ORDER STATISTICS
 Quartiles of return rates

Number of observations3.00000

Minimum0.94372

Quartile 10.97972

Median1.01572

Quartile 31.02967

Maximum1.04361

Mean of quarter 10.94372

Mean of quarter 21.01572

Mean of quarter 30.00000

Mean of quarter 41.04361

Inter Quartile Range0.04995

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.05628

Quartile 10.05628

Median0.05628

Quartile 30.05628

Maximum0.05628

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.00146

Compounded annual return (geometric extrapolation)0.00146

Calmar ratio (compounded annual return / max draw down)0.02587

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal0.01405

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.01381

SD0.13385

Sharpe ratio (Glass type estimate)0.10317

Sharpe ratio (Hedges UMVUE)0.10217

df78.00000

t0.05665

p0.47748

Lowerbound of 95% confidence interval for Sharpe Ratio3.46649

Upperbound of 95% confidence interval for Sharpe Ratio3.67222

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.46718

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.67152
 Statistics related to Sortino ratio

Sortino ratio0.13312

Upside Potential Ratio7.27860

Upside part of mean0.75503

Downside part of mean0.74122

Upside SD0.08325

Downside SD0.10373

N nonnegative terms41.00000

N negative terms38.00000
 Statistics related to linear regression on benchmark

N of observations79.00000

Mean of predictor0.13715

Mean of criterion0.01381

SD of predictor0.11654

SD of criterion0.13385

Covariance0.00787

r0.50476

b (slope, estimate of beta)0.57976

a (intercept, estimate of alpha)0.06600

Mean Square Error0.01353

DF error77.00000

t(b)5.13083

p(b)0.00000

t(a)0.30942

p(a)0.62108

Lowerbound of 95% confidence interval for beta0.35476

Upperbound of 95% confidence interval for beta0.80477

Lowerbound of 95% confidence interval for alpha0.48857

Upperbound of 95% confidence interval for alpha0.35715

Treynor index (mean / b)0.02382

Jensen alpha (a)0.06571
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.00490

SD0.13455

Sharpe ratio (Glass type estimate)0.03644

Sharpe ratio (Hedges UMVUE)0.03609

df78.00000

t0.02001

p0.49204

Lowerbound of 95% confidence interval for Sharpe Ratio3.53298

Upperbound of 95% confidence interval for Sharpe Ratio3.60566

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.53323

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.60541
 Statistics related to Sortino ratio

Sortino ratio0.04669

Upside Potential Ratio7.15734

Upside part of mean0.75151

Downside part of mean0.74661

Upside SD0.08276

Downside SD0.10500

N nonnegative terms41.00000

N negative terms38.00000
 Statistics related to linear regression on benchmark

N of observations79.00000

Mean of predictor0.13039

Mean of criterion0.00490

SD of predictor0.11664

SD of criterion0.13455

Covariance0.00795

r0.50689

b (slope, estimate of beta)0.58471

a (intercept, estimate of alpha)0.07134

Mean Square Error0.01363

DF error77.00000

t(b)5.16001

p(b)0.00000

t(a)0.33478

p(a)0.63065

Lowerbound of 95% confidence interval for beta0.35907

Upperbound of 95% confidence interval for beta0.81035

Lowerbound of 95% confidence interval for alpha0.49566

Upperbound of 95% confidence interval for alpha0.35298

Treynor index (mean / b)0.00838

Jensen alpha (a)0.07134
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01356

Expected Shortfall on VaR0.01698
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00630

Expected Shortfall on VaR0.01297
 ORDER STATISTICS
 Quartiles of return rates

Number of observations79.00000

Minimum0.96412

Quartile 10.99677

Median1.00027

Quartile 31.00494

Maximum1.01918

Mean of quarter 10.99045

Mean of quarter 20.99860

Mean of quarter 31.00233

Mean of quarter 41.00937

Inter Quartile Range0.00818

Number outliers low3.00000

Percentage of outliers low0.03797

Mean of outliers low0.97402

Number of outliers high1.00000

Percentage of outliers high0.01266

Mean of outliers high1.01918
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.45084

VaR(95%) (moments method)0.00984

Expected Shortfall (moments method)0.02031

Extreme Value Index (regression method)0.57863

VaR(95%) (regression method)0.00960

Expected Shortfall (regression method)0.02373
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations8.00000

Minimum0.00030

Quartile 10.00470

Median0.01182

Quartile 30.03331

Maximum0.07660

Mean of quarter 10.00123

Mean of quarter 20.00703

Mean of quarter 30.02392

Mean of quarter 40.05584

Inter Quartile Range0.02861

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.12500

Mean of outliers high0.07660
 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)0.03297

Compounded annual return (geometric extrapolation)0.03335

Calmar ratio (compounded annual return / max draw down)0.43542

Compounded annual return / average of 25% largest draw downs0.59731

Compounded annual return / Expected Shortfall lognormal1.96468
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess log return rates
 Statistics related to linear regression on benchmark

VAR (95 Confidence Intrvl)0.01400
 DRAW DOWN STATISTICS
 Risk estimates based on draw downs (based on Extreme Value T
 assuming Pareto losses only (using partial moments from Sortino statistics)

Last 4 Months  Pcnt Negative0.25%

Strat Max DD how much worse than SP500 max DD during strat life?286966000

Max Equity Drawdown (num days)24
Strategy Description
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.