I spent an evening recomputing the headline statistics on four Collective2 strategy pages. The profit factors mostly hold up. The Calmar ratios do not — none of the four.
This is not a fraud hunt. It is a reproducibility check, the same one I would run on any backtest: take the numbers a page publishes, recompute the derived metrics from them, and see whether they agree.
The two definitions I used
- Calmar ratio = annualized return ÷ maximum drawdown
- Profit factor = (win % × average win) ÷ ((1 − win %) × average loss)
Both are standard. If a page shows all five inputs, its Calmar and profit factor are arithmetic, not opinion.
Results
Four pages had complete summary blocks on 2026-10-27 (twelve candidates were listed, nine fetched; five showed all-zero stats and were excluded as inactive).
| Strategy | Annual return | Max DD | Calmar (page) | Calmar (recomputed) | page ÷ recomputed |
|---|---|---|---|---|---|
| 131145247 | 32.4% | 14.1% | 3.52 | 2.30 | 1.53× |
| 132169961 | 22.3% | 31.8% | 0.95 | 0.70 | 1.35× |
| 146455121 | 56.9% | 29.7% | 2.76 | 1.92 | 1.44× |
| 146649042 | 22.8% | 13.4% | 2.06 | 1.70 | 1.21× |
Profit factor on the same pages:
| Strategy | PF (page) | PF (recomputed) | Difference |
|---|---|---|---|
| 131145247 | 1.50 | 1.46 | +2.8% |
| 132169961 | 2.70 | 2.35 | +14.8% |
| 146455121 | 3.10 | 3.03 | +2.4% |
| 146649042 | 1.70 | 1.69 | +0.9% |
What I take from it
1. The summary blocks are mostly coherent. Three of four profit factors land within 3% — rounding level. That is what a well-formed summary looks like. It also means the pages are not sloppy in general, which makes the Calmar result more interesting, not less.
2. The Calmar overshoot is not a constant. 1.21× to 1.53×. If the platform used one different definition consistently, you would see a roughly fixed multiplier. You do not. So it is not "Calmar but annualized monthly" or "Calmar but with a rolling drawdown" — or if it is, the effect varies by strategy in a way the page never tells you.
3. One page fails both checks. 132169961's profit factor is 14.8% above what its own win rate and average win/loss imply. Either one input is stale, or the profit factor is computed over a different trade set than the other fields. Same page, same summary block.
4. The practical problem is comparability, not honesty. If two strategies both show Calmar 2.0, nothing on the page tells you they were computed the same way. Ranking subscriptions by that number is ranking by a quantity whose definition you cannot see. The same applies to any platform metric you cannot recompute.
What this does not say
- It does not say any seller is lying. The likeliest explanation is a platform-side definition difference — the profit-factor check mostly passing is evidence for that.
- I had no trade-level data and no equity curve. So I cannot say which field is wrong, and I cannot recompute max drawdown independently.
- I did not determine what Collective2's Calmar actually uses. That needs the equity series, which these pages do not expose publicly.
- Nothing here is a claim about future performance.
Reproduce it
The checker is four rows of published fields and a handful of divisions:
ROWS = [ # id, ann_ret_pct, max_dd_pct, pf_page, win_pct, avg_win, avg_loss, calmar_page ("131145247", 32.4, 14.1, 1.50, 35.6, 903.0, 342.0, 3.52), ("132169961", 22.3, 31.8, 2.70, 58.0, 315.0, 185.0, 0.95), ] for sid, ann, dd, pf_page, win, aw, al, cal_page in ROWS: cal_calc = ann / dd w = win / 100.0 pf_calc = (w * aw) / ((1 - w) * al) print(sid, cal_page / cal_calc, pf_page / pf_calc - 1) Full script and tables: backtest-audit-kit/audits.
Why I published this
If you are paying a monthly fee for a strategy, the headline ratio is part of what you are buying. It costs one afternoon to check whether that ratio can be recomputed from the page that advertises it. If it cannot, ask the seller which definition produced it — and treat "whatever the platform shows" as an answer.
Scope: verified — the arithmetic relationship between six summary fields on four public pages on 2026-10-27. Not verified — trade-level accuracy, drawdown computation, equity curve, platform metric definitions, future returns. No strategy seller was contacted.
