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

JC Alpha
(129134794)

Created by: JCAlpha JCAlpha
Started: 05/2020
Stocks
Last trade: Today

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 $190.00 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.

34.2%
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.

(30.2%)
Max Drawdown
1003
Num Trades
54.6%
Win Trades
1.5 : 1
Profit Factor
62.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            (0.2%)(0.2%)+5.3%+1.7%(5.2%)(1.5%)+9.0%+4.3%+13.2%
2021(0.1%)+4.4%+2.7%+2.7%+2.0%+1.8%+0.3%+3.6%(4.9%)+4.8%(13.7%)+13.2%+15.7%
2022(3.2%)(1.4%)+15.1%(4.2%)+24.4%+1.9%+13.6%+1.4%(23.9%)+16.3%+28.6%(6.5%)+63.7%
2023+26.8%(2.5%)+1.6%(3.6%)+5.3%+3.8%+19.1%(6.7%)(10.6%)(15%)+19.5%+6.8%+42.6%
2024(0.5%)+1.0%+1.8%(2.2%)+5.6%+2.6%                                    +8.4%

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.

Trading Record

This strategy has placed 667 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/6/24 9:30 FOUR SHIFT4 PAYMENTS INC LONG 140 70.01 6/12 11:55 73.56 0.24%
Trade id #148343463
Max drawdown($235)
Time6/6/24 10:32
Quant open140
Worst price68.33
Drawdown as % of equity-0.24%
$494
Includes Typical Broker Commissions trade costs of $2.80
6/6/24 9:53 LULU LULULEMON ATHLETICA LONG 30 321.32 6/12 11:41 312.68 0.23%
Trade id #148344224
Max drawdown($219)
Time6/10/24 0:00
Quant open30
Worst price314.01
Drawdown as % of equity-0.23%
($260)
Includes Typical Broker Commissions trade costs of $0.60
6/6/24 9:46 ORCL ORACLE CORP LONG 80 122.91 6/12 9:30 134.44 0.05%
Trade id #148344031
Max drawdown($49)
Time6/11/24 0:00
Quant open80
Worst price122.29
Drawdown as % of equity-0.05%
$921
Includes Typical Broker Commissions trade costs of $1.60
6/6/24 15:50 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A LONG 150 63.23 6/11 10:43 62.22 0.24%
Trade id #148351826
Max drawdown($228)
Time6/11/24 10:30
Quant open150
Worst price61.71
Drawdown as % of equity-0.24%
($155)
Includes Typical Broker Commissions trade costs of $3.00
6/7/24 12:12 FI FISERV INC LONG 66 151.14 6/10 12:27 148.59 0.21%
Trade id #148358906
Max drawdown($200)
Time6/10/24 11:14
Quant open66
Worst price148.10
Drawdown as % of equity-0.21%
($169)
Includes Typical Broker Commissions trade costs of $1.32
5/17/24 11:05 RELY REMITLY GLOBAL INC. COMMON STOCK LONG 500 13.88 6/7 11:09 13.21 0.61%
Trade id #148194208
Max drawdown($583)
Time6/5/24 0:00
Quant open500
Worst price12.71
Drawdown as % of equity-0.61%
($344)
Includes Typical Broker Commissions trade costs of $10.00
5/31/24 9:30 WDAY WORKDAY LONG 25 212.58 6/6 11:44 215.27 0.13%
Trade id #148298459
Max drawdown($125)
Time6/3/24 0:00
Quant open25
Worst price207.56
Drawdown as % of equity-0.13%
$67
Includes Typical Broker Commissions trade costs of $0.50
6/3/24 14:31 HOLX HOLOGIC LONG 134 74.40 6/5 11:16 74.01 0.24%
Trade id #148318990
Max drawdown($230)
Time6/5/24 9:38
Quant open134
Worst price72.68
Drawdown as % of equity-0.24%
($55)
Includes Typical Broker Commissions trade costs of $2.68
5/28/24 12:52 BMY BRISTOL-MYERS SQUIBB LONG 125 40.72 6/3 14:08 41.97 0.1%
Trade id #148272288
Max drawdown($100)
Time5/30/24 0:00
Quant open125
Worst price39.91
Drawdown as % of equity-0.10%
$155
Includes Typical Broker Commissions trade costs of $2.50
5/23/24 9:30 LULU LULULEMON ATHLETICA LONG 18 299.65 6/3 14:07 307.53 0.12%
Trade id #148233253
Max drawdown($119)
Time5/28/24 0:00
Quant open18
Worst price293.03
Drawdown as % of equity-0.12%
$142
Includes Typical Broker Commissions trade costs of $0.36
5/31/24 9:30 CRM SALESFORCE INC LONG 30 222.46 6/3 9:30 234.42 0.17%
Trade id #148298463
Max drawdown($158)
Time5/31/24 10:54
Quant open23
Worst price216.06
Drawdown as % of equity-0.17%
$358
Includes Typical Broker Commissions trade costs of $0.60
5/23/24 13:22 SQM SOCIEDAD QUIMICA Y MINERA LONG 175 48.63 5/29 11:32 47.58 0.21%
Trade id #148237762
Max drawdown($207)
Time5/29/24 11:20
Quant open175
Worst price47.45
Drawdown as % of equity-0.21%
($188)
Includes Typical Broker Commissions trade costs of $3.50
5/20/24 10:27 EXEL EXELIXIS LONG 240 21.01 5/28 10:41 20.45 0.19%
Trade id #148207447
Max drawdown($186)
Time5/23/24 0:00
Quant open240
Worst price20.23
Drawdown as % of equity-0.19%
($139)
Includes Typical Broker Commissions trade costs of $4.80
5/23/24 13:19 HQY HEALTHEQUITY INC. COMMON STOC LONG 125 80.03 5/28 10:39 78.58 0.25%
Trade id #148237718
Max drawdown($240)
Time5/28/24 10:09
Quant open125
Worst price78.11
Drawdown as % of equity-0.25%
($184)
Includes Typical Broker Commissions trade costs of $2.50
5/3/24 13:37 GTLS CHART INDUSTRIES LONG 60 155.13 5/28 10:39 151.81 0.3%
Trade id #148087746
Max drawdown($293)
Time5/24/24 0:00
Quant open60
Worst price150.24
Drawdown as % of equity-0.30%
($200)
Includes Typical Broker Commissions trade costs of $1.20
4/29/24 13:36 BE BLOOM ENERGY CORP LONG 837 11.14 5/21 15:08 13.37 0.35%
Trade id #148041749
Max drawdown($330)
Time4/30/24 0:00
Quant open837
Worst price10.75
Drawdown as % of equity-0.35%
$1,847
Includes Typical Broker Commissions trade costs of $10.87
5/20/24 10:29 GLOB GLOBANT SA LONG 30 165.64 5/21 13:04 174.24 0.01%
Trade id #148207499
Max drawdown($8)
Time5/20/24 10:44
Quant open30
Worst price165.37
Drawdown as % of equity-0.01%
$257
Includes Typical Broker Commissions trade costs of $0.60
5/9/24 12:15 EPAM EPAM SYSTEMS LONG 27 188.06 5/21 12:59 189.22 0.22%
Trade id #148134210
Max drawdown($210)
Time5/9/24 15:37
Quant open27
Worst price180.28
Drawdown as % of equity-0.22%
$30
Includes Typical Broker Commissions trade costs of $0.54
5/7/24 12:20 EXLS EXLSERVICE HOLDINGS LONG 310 30.62 5/21 12:58 30.96 0.12%
Trade id #148113020
Max drawdown($114)
Time5/14/24 0:00
Quant open310
Worst price30.25
Drawdown as % of equity-0.12%
$99
Includes Typical Broker Commissions trade costs of $6.20
5/7/24 10:33 BLK BLACKROCK LONG 12 784.42 5/21 12:56 802.22 0.13%
Trade id #148111002
Max drawdown($126)
Time5/8/24 0:00
Quant open12
Worst price773.88
Drawdown as % of equity-0.13%
$214
Includes Typical Broker Commissions trade costs of $0.24
4/23/24 13:06 ZI ZOOMINFO TECHNOLOGIES INC LONG 770 14.95 5/21 12:55 13.21 2.57%
Trade id #147988724
Max drawdown($2,459)
Time5/8/24 0:00
Quant open575
Worst price11.67
Drawdown as % of equity-2.57%
($1,351)
Includes Typical Broker Commissions trade costs of $6.95
5/20/24 10:02 SQ BLOCK INC LONG 136 73.19 5/21 12:40 70.62 0.37%
Trade id #148207167
Max drawdown($359)
Time5/21/24 10:48
Quant open136
Worst price70.55
Drawdown as % of equity-0.37%
($353)
Includes Typical Broker Commissions trade costs of $2.72
5/20/24 10:22 BYDDY BYD COMPANY LTD ADR LONG 100 57.61 5/21 9:54 56.11 0.17%
Trade id #148207393
Max drawdown($171)
Time5/21/24 9:30
Quant open100
Worst price55.90
Drawdown as % of equity-0.17%
($152)
Includes Typical Broker Commissions trade costs of $2.00
5/1/24 14:25 INTC INTEL LONG 166 30.39 5/17 13:38 31.77 0.11%
Trade id #148065508
Max drawdown($109)
Time5/8/24 0:00
Quant open166
Worst price29.73
Drawdown as % of equity-0.11%
$227
Includes Typical Broker Commissions trade costs of $3.32
5/13/24 13:19 TPR TAPESTRY INC LONG 220 40.84 5/17 13:38 42.65 n/a $393
Includes Typical Broker Commissions trade costs of $4.40
5/2/24 12:23 DOCU DOCUSIGN INC. COMMON STOCK LONG 158 58.04 5/17 13:35 60.16 0.15%
Trade id #148075629
Max drawdown($143)
Time5/9/24 0:00
Quant open158
Worst price57.13
Drawdown as % of equity-0.15%
$332
Includes Typical Broker Commissions trade costs of $3.16
5/8/24 13:06 TRIP TRIPADVISOR LONG 500 18.08 5/17 13:07 18.17 0.24%
Trade id #148124950
Max drawdown($225)
Time5/10/24 0:00
Quant open500
Worst price17.63
Drawdown as % of equity-0.24%
$35
Includes Typical Broker Commissions trade costs of $10.00
5/8/24 13:09 DV DOUBLE VERIFY HOLDINGS INC. LONG 270 18.45 5/17 13:05 19.71 0.09%
Trade id #148124969
Max drawdown($88)
Time5/8/24 15:00
Quant open270
Worst price18.12
Drawdown as % of equity-0.09%
$337
Includes Typical Broker Commissions trade costs of $5.40
5/10/24 13:15 CHTR CHARTER COMMUNICATIONS LONG 18 275.20 5/17 13:03 274.19 0.07%
Trade id #148143415
Max drawdown($69)
Time5/16/24 0:00
Quant open18
Worst price271.37
Drawdown as % of equity-0.07%
($18)
Includes Typical Broker Commissions trade costs of $0.36
5/7/24 11:54 FI FISERV INC LONG 62 152.22 5/17 13:02 152.87 0.01%
Trade id #148112641
Max drawdown($11)
Time5/8/24 0:00
Quant open62
Worst price152.03
Drawdown as % of equity-0.01%
$39
Includes Typical Broker Commissions trade costs of $1.24

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1482.9
  • Age
    49 months ago
  • What it trades
    Stocks
  • # Trades
    1003
  • # Profitable
    548
  • % Profitable
    54.60%
  • Avg trade duration
    16.1 days
  • Max peak-to-valley drawdown
    30.17%
  • drawdown period
    July 31, 2023 - Oct 30, 2023
  • Annual Return (Compounded)
    34.2%
  • Avg win
    $443.65
  • Avg loss
    $368.37
  • Model Account Values (Raw)
  • Cash
    $65,425
  • Margin Used
    $0
  • Buying Power
    $65,643
  • Ratios
  • W:L ratio
    1.47:1
  • Sharpe Ratio
    0.96
  • Sortino Ratio
    1.58
  • Calmar Ratio
    1.334
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    148.88%
  • Correlation to SP500
    0.50200
  • Return Percent SP500 (cumu) during strategy life
    82.31%
  • Return Statistics
  • Ann Return (w trading costs)
    34.2%
  • Slump
  • Current Slump as Pcnt Equity
    2.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.21%
  • 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)
    0.342%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    37.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    57.50%
  • Chance of 20% account loss
    29.50%
  • Chance of 30% account loss
    16.00%
  • Chance of 40% account loss
    4.50%
  • 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)
    769
  • Popularity (Last 6 weeks)
    949
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    985
  • Popularity (7 days, Percentile 1000 scale)
    882
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $368
  • Avg Win
    $443
  • Sum Trade PL (losers)
    $167,155.000
  • Age
  • Num Months filled monthly returns table
    50
  • Win / Loss
  • Sum Trade PL (winners)
    $243,308.000
  • # Winners
    549
  • Num Months Winners
    31
  • Dividends
  • Dividends Received in Model Acct
    1709
  • AUM
  • AUM (AutoTrader live capital)
    104285
  • Win / Loss
  • # Losers
    454
  • % Winners
    54.7%
  • Frequency
  • Avg Position Time (mins)
    23247.00
  • Avg Position Time (hrs)
    387.45
  • Avg Trade Length
    16.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.96
  • Daily leverage (max)
    2.17
  • Regression
  • Alpha
    0.05
  • Beta
    0.77
  • Treynor Index
    0.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.18
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.728
  • 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
    0.278
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.031
  • Hold-and-Hope Ratio
    0.282
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34563
  • SD
    0.35164
  • Sharpe ratio (Glass type estimate)
    0.98288
  • Sharpe ratio (Hedges UMVUE)
    0.96710
  • df
    47.00000
  • t
    1.96576
  • p
    0.02762
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02193
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97770
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03219
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96639
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05719
  • Upside Potential Ratio
    3.55123
  • Upside part of mean
    0.59664
  • Downside part of mean
    -0.25101
  • Upside SD
    0.32063
  • Downside SD
    0.16801
  • N nonnegative terms
    32.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.13062
  • Mean of criterion
    0.34563
  • SD of predictor
    0.15459
  • SD of criterion
    0.35164
  • Covariance
    0.03431
  • r
    0.63116
  • b (slope, estimate of beta)
    1.43571
  • a (intercept, estimate of alpha)
    0.15810
  • Mean Square Error
    0.07601
  • DF error
    46.00000
  • t(b)
    5.51885
  • p(b)
    0.00000
  • t(a)
    1.11353
  • p(a)
    0.13563
  • Lowerbound of 95% confidence interval for beta
    0.91206
  • Upperbound of 95% confidence interval for beta
    1.95936
  • Lowerbound of 95% confidence interval for alpha
    -0.12769
  • Upperbound of 95% confidence interval for alpha
    0.44388
  • Treynor index (mean / b)
    0.24073
  • Jensen alpha (a)
    0.15810
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28464
  • SD
    0.33422
  • Sharpe ratio (Glass type estimate)
    0.85166
  • Sharpe ratio (Hedges UMVUE)
    0.83798
  • df
    47.00000
  • t
    1.70331
  • p
    0.04756
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14763
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84221
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15654
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83250
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57820
  • Upside Potential Ratio
    3.05253
  • Upside part of mean
    0.55056
  • Downside part of mean
    -0.26591
  • Upside SD
    0.28914
  • Downside SD
    0.18036
  • N nonnegative terms
    32.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.11791
  • Mean of criterion
    0.28464
  • SD of predictor
    0.15564
  • SD of criterion
    0.33422
  • Covariance
    0.03383
  • r
    0.65040
  • b (slope, estimate of beta)
    1.39667
  • a (intercept, estimate of alpha)
    0.11996
  • Mean Square Error
    0.06585
  • DF error
    46.00000
  • t(b)
    5.80741
  • p(b)
    0.00000
  • t(a)
    0.91292
  • p(a)
    0.18302
  • Lowerbound of 95% confidence interval for beta
    0.91257
  • Upperbound of 95% confidence interval for beta
    1.88076
  • Lowerbound of 95% confidence interval for alpha
    -0.14454
  • Upperbound of 95% confidence interval for alpha
    0.38447
  • Treynor index (mean / b)
    0.20380
  • Jensen alpha (a)
    0.11996
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12627
  • Expected Shortfall on VaR
    0.16026
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03593
  • Expected Shortfall on VaR
    0.07942
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    48.00000
  • Minimum
    0.80658
  • Quartile 1
    0.99285
  • Median
    1.01238
  • Quartile 3
    1.05750
  • Maximum
    1.31735
  • Mean of quarter 1
    0.91984
  • Mean of quarter 2
    1.00455
  • Mean of quarter 3
    1.03486
  • Mean of quarter 4
    1.16527
  • Inter Quartile Range
    0.06465
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.10417
  • Mean of outliers low
    0.86903
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.23721
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.43335
  • VaR(95%) (moments method)
    0.04891
  • Expected Shortfall (moments method)
    0.06037
  • Extreme Value Index (regression method)
    0.04952
  • VaR(95%) (regression method)
    0.06234
  • Expected Shortfall (regression method)
    0.09597
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00504
  • Quartile 1
    0.05343
  • Median
    0.07056
  • Quartile 3
    0.13666
  • Maximum
    0.27441
  • Mean of quarter 1
    0.02319
  • Mean of quarter 2
    0.06375
  • Mean of quarter 3
    0.09441
  • Mean of quarter 4
    0.23392
  • Inter Quartile Range
    0.08323
  • 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
    0.12500
  • Mean of outliers high
    0.27441
  • 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)
    0.62277
  • Compounded annual return (geometric extrapolation)
    0.36691
  • Calmar ratio (compounded annual return / max draw down)
    1.33707
  • Compounded annual return / average of 25% largest draw downs
    1.56853
  • Compounded annual return / Expected Shortfall lognormal
    2.28945
  • 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
    0.31569
  • SD
    0.25300
  • Sharpe ratio (Glass type estimate)
    1.24776
  • Sharpe ratio (Hedges UMVUE)
    1.24687
  • df
    1054.00000
  • t
    2.50383
  • p
    0.46155
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26931
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22566
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26870
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22504
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.09016
  • Upside Potential Ratio
    9.54636
  • Upside part of mean
    1.44183
  • Downside part of mean
    -1.12614
  • Upside SD
    0.20376
  • Downside SD
    0.15103
  • N nonnegative terms
    536.00000
  • N negative terms
    519.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1055.00000
  • Mean of predictor
    0.13614
  • Mean of criterion
    0.31569
  • SD of predictor
    0.17232
  • SD of criterion
    0.25300
  • Covariance
    0.02184
  • r
    0.50100
  • b (slope, estimate of beta)
    0.73557
  • a (intercept, estimate of alpha)
    0.21600
  • Mean Square Error
    0.04799
  • DF error
    1053.00000
  • t(b)
    18.78490
  • p(b)
    0.19495
  • t(a)
    1.97210
  • p(a)
    0.46141
  • Lowerbound of 95% confidence interval for beta
    0.65874
  • Upperbound of 95% confidence interval for beta
    0.81241
  • Lowerbound of 95% confidence interval for alpha
    0.00108
  • Upperbound of 95% confidence interval for alpha
    0.43001
  • Treynor index (mean / b)
    0.42917
  • Jensen alpha (a)
    0.21555
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28394
  • SD
    0.25053
  • Sharpe ratio (Glass type estimate)
    1.13335
  • Sharpe ratio (Hedges UMVUE)
    1.13254
  • df
    1054.00000
  • t
    2.27426
  • p
    0.46506
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15519
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11103
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15462
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11046
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84950
  • Upside Potential Ratio
    9.26003
  • Upside part of mean
    1.42161
  • Downside part of mean
    -1.13768
  • Upside SD
    0.19861
  • Downside SD
    0.15352
  • N nonnegative terms
    536.00000
  • N negative terms
    519.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1055.00000
  • Mean of predictor
    0.12123
  • Mean of criterion
    0.28394
  • SD of predictor
    0.17261
  • SD of criterion
    0.25053
  • Covariance
    0.02167
  • r
    0.50099
  • b (slope, estimate of beta)
    0.72713
  • a (intercept, estimate of alpha)
    0.19579
  • Mean Square Error
    0.04706
  • DF error
    1053.00000
  • t(b)
    18.78460
  • p(b)
    0.19495
  • t(a)
    1.80947
  • p(a)
    0.46457
  • Lowerbound of 95% confidence interval for beta
    0.65117
  • Upperbound of 95% confidence interval for beta
    0.80308
  • Lowerbound of 95% confidence interval for alpha
    -0.01653
  • Upperbound of 95% confidence interval for alpha
    0.40811
  • Treynor index (mean / b)
    0.39049
  • Jensen alpha (a)
    0.19579
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02408
  • Expected Shortfall on VaR
    0.03036
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00975
  • Expected Shortfall on VaR
    0.01966
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1055.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99494
  • Median
    1.00020
  • Quartile 3
    1.00665
  • Maximum
    1.10903
  • Mean of quarter 1
    0.98496
  • Mean of quarter 2
    0.99808
  • Mean of quarter 3
    1.00307
  • Mean of quarter 4
    1.01914
  • Inter Quartile Range
    0.01171
  • Number outliers low
    46.00000
  • Percentage of outliers low
    0.04360
  • Mean of outliers low
    0.96674
  • Number of outliers high
    59.00000
  • Percentage of outliers high
    0.05592
  • Mean of outliers high
    1.04166
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21476
  • VaR(95%) (moments method)
    0.01386
  • Expected Shortfall (moments method)
    0.02210
  • Extreme Value Index (regression method)
    0.01521
  • VaR(95%) (regression method)
    0.01384
  • Expected Shortfall (regression method)
    0.01944
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    66.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00356
  • Median
    0.01029
  • Quartile 3
    0.03275
  • Maximum
    0.27441
  • Mean of quarter 1
    0.00162
  • Mean of quarter 2
    0.00736
  • Mean of quarter 3
    0.01898
  • Mean of quarter 4
    0.10913
  • Inter Quartile Range
    0.02920
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.15152
  • Mean of outliers high
    0.14980
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14839
  • VaR(95%) (moments method)
    0.09517
  • Expected Shortfall (moments method)
    0.14635
  • Extreme Value Index (regression method)
    -0.32724
  • VaR(95%) (regression method)
    0.10775
  • Expected Shortfall (regression method)
    0.13373
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.62342
  • Compounded annual return (geometric extrapolation)
    0.36594
  • Calmar ratio (compounded annual return / max draw down)
    1.33355
  • Compounded annual return / average of 25% largest draw downs
    3.35334
  • Compounded annual return / Expected Shortfall lognormal
    12.05510
  • 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
    0.23938
  • SD
    0.14932
  • Sharpe ratio (Glass type estimate)
    1.60318
  • Sharpe ratio (Hedges UMVUE)
    1.59391
  • df
    130.00000
  • t
    1.13362
  • p
    0.45053
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17849
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.37881
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18465
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.37248
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.44592
  • Upside Potential Ratio
    9.66671
  • Upside part of mean
    0.94609
  • Downside part of mean
    -0.70671
  • Upside SD
    0.11299
  • Downside SD
    0.09787
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28791
  • Mean of criterion
    0.23938
  • SD of predictor
    0.11005
  • SD of criterion
    0.14932
  • Covariance
    0.00643
  • r
    0.39126
  • b (slope, estimate of beta)
    0.53090
  • a (intercept, estimate of alpha)
    0.08654
  • Mean Square Error
    0.01903
  • DF error
    129.00000
  • t(b)
    4.82887
  • p(b)
    0.25742
  • t(a)
    0.43786
  • p(a)
    0.47548
  • Lowerbound of 95% confidence interval for beta
    0.31337
  • Upperbound of 95% confidence interval for beta
    0.74842
  • Lowerbound of 95% confidence interval for alpha
    -0.30449
  • Upperbound of 95% confidence interval for alpha
    0.47757
  • Treynor index (mean / b)
    0.45091
  • Jensen alpha (a)
    0.08654
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22820
  • SD
    0.14926
  • Sharpe ratio (Glass type estimate)
    1.52891
  • Sharpe ratio (Hedges UMVUE)
    1.52007
  • df
    130.00000
  • t
    1.08110
  • p
    0.45280
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.25202
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.30404
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25788
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.29803
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30746
  • Upside Potential Ratio
    9.50169
  • Upside part of mean
    0.93969
  • Downside part of mean
    -0.71149
  • Upside SD
    0.11192
  • Downside SD
    0.09890
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28172
  • Mean of criterion
    0.22820
  • SD of predictor
    0.10997
  • SD of criterion
    0.14926
  • Covariance
    0.00644
  • r
    0.39256
  • b (slope, estimate of beta)
    0.53281
  • a (intercept, estimate of alpha)
    0.07810
  • Mean Square Error
    0.01899
  • DF error
    129.00000
  • t(b)
    4.84783
  • p(b)
    0.25666
  • t(a)
    0.39577
  • p(a)
    0.47783
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.31536
  • Upperbound of 95% confidence interval for beta
    0.75026
  • Lowerbound of 95% confidence interval for alpha
    -0.31233
  • Upperbound of 95% confidence interval for alpha
    0.46853
  • Treynor index (mean / b)
    0.42830
  • Jensen alpha (a)
    0.07810
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01419
  • Expected Shortfall on VaR
    0.01798
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00582
  • Expected Shortfall on VaR
    0.01202
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96604
  • Quartile 1
    0.99687
  • Median
    1.00073
  • Quartile 3
    1.00464
  • Maximum
    1.03081
  • Mean of quarter 1
    0.99045
  • Mean of quarter 2
    0.99910
  • Mean of quarter 3
    1.00257
  • Mean of quarter 4
    1.01201
  • Inter Quartile Range
    0.00777
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.97811
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02385
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16269
  • VaR(95%) (moments method)
    0.00848
  • Expected Shortfall (moments method)
    0.01305
  • Extreme Value Index (regression method)
    0.27234
  • VaR(95%) (regression method)
    0.00879
  • Expected Shortfall (regression method)
    0.01474
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00538
  • Median
    0.01516
  • Quartile 3
    0.02704
  • Maximum
    0.05090
  • Mean of quarter 1
    0.00257
  • Mean of quarter 2
    0.01490
  • Mean of quarter 3
    0.02406
  • Mean of quarter 4
    0.04293
  • Inter Quartile Range
    0.02166
  • 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)
    -1.85644
  • VaR(95%) (moments method)
    0.04438
  • Expected Shortfall (moments method)
    0.04514
  • Extreme Value Index (regression method)
    0.00992
  • VaR(95%) (regression method)
    0.05555
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.07177
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -395421000
  • Max Equity Drawdown (num days)
    91
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27323
  • Compounded annual return (geometric extrapolation)
    0.29189
  • Calmar ratio (compounded annual return / max draw down)
    5.73424
  • Compounded annual return / average of 25% largest draw downs
    6.79915
  • Compounded annual return / Expected Shortfall lognormal
    16.23420

Strategy Description

The strategy invests in US listed stocks with no restrictions in terms of sectors and most of the companies have at least $1b market cap. Each position represents max 20% of the assets under management and leverage can be used up to 100%. This level has been reached only for 2 times since inception on levels of high volatility. There are periods in which the strategy can be 100% in cash.

Summary Statistics

Strategy began
2020-05-21
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 1.5%
Rank # 
#12
# Trades
1003
# Profitable
548
% Profitable
54.6%
Net Dividends
Correlation S&P500
0.502
Sharpe Ratio
0.96
Sortino Ratio
1.58
Beta
0.77
Alpha
0.05
Leverage
0.96 Average
2.17 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

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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.