Collective2 Collective2
Featured Strategy TechSignal +153.4% Cumul. Return since Jul 3, 2024 Hypothetical

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JC Alpha
(129134794)

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

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 $100.00 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.

21.7%
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.

(41.6%)
Max Drawdown
1592
Num Trades
48.9%
Win Trades
1.2 : 1
Profit Factor
57.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            (0.1%)(0.1%)+5.4%+1.8%(5.1%)(1.4%)+9.0%+4.3%+13.9%
2021  -  +4.4%+2.8%+2.8%+2.1%+1.9%+0.4%+3.6%(4.8%)+4.9%(13.5%)+13.1%+16.5%
2022(3.1%)(1.3%)+14.9%(4.1%)+24.1%+1.9%+13.5%+1.4%(23.5%)+16.1%+28.2%(6.4%)+63.7%
2023+26.5%(2.4%)+1.6%(3.4%)+5.3%+3.8%+18.9%(6.6%)(10.4%)(14.7%)+19.2%+6.8%+43.4%
2024(0.1%)+0.8%+1.9%(1.9%)+5.4%(0.2%)+4.7%+2.3%+1.6%(6.8%)(4%)(8.8%)(6.1%)
2025+14.9%(9%)(12.8%)(2%)+1.7%                                          (9.2%)

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 1,065 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 185 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/2/25 12:43 DECK DECKERS OUTDOOR CORP LONG 42 117.43 5/8 13:58 126.46 0.12%
Trade id #151606010
Max drawdown($98)
Time5/6/25 0:00
Quant open42
Worst price115.10
Drawdown as % of equity-0.12%
 $378
Includes Typical Broker Commissions trade costs of $0.84
5/5/25 13:31 OWL BLUE OWL CAPITAL LONG 270 18.54 5/6 14:25 18.08 0.21%
Trade id #151624756
Max drawdown($167)
Time5/6/25 9:36
Quant open270
Worst price17.92
Drawdown as % of equity-0.21%
 ($129)
Includes Typical Broker Commissions trade costs of $5.40
5/5/25 13:29 LULU LULULEMON ATHLETICA LONG 18 279.02 5/6 14:25 271.17 0.22%
Trade id #151624751
Max drawdown($170)
Time5/6/25 13:50
Quant open18
Worst price269.57
Drawdown as % of equity-0.22%
 ($141)
Includes Typical Broker Commissions trade costs of $0.36
5/5/25 13:25 GNRC GENERAC HOLDINGS LONG 60 116.93 5/6 14:23 113.88 0.26%
Trade id #151624709
Max drawdown($206)
Time5/6/25 13:49
Quant open60
Worst price113.50
Drawdown as % of equity-0.26%
 ($184)
Includes Typical Broker Commissions trade costs of $1.20
5/2/25 13:00 AMZN AMAZON.COM LONG 26 191.31 5/6 14:22 185.68 0.24%
Trade id #151606242
Max drawdown($193)
Time5/6/25 9:30
Quant open26
Worst price183.85
Drawdown as % of equity-0.24%
 ($147)
Includes Typical Broker Commissions trade costs of $0.52
5/2/25 12:57 BRKR BRUKER LONG 123 40.56 5/6 14:22 39.25 0.27%
Trade id #151606221
Max drawdown($207)
Time5/6/25 13:55
Quant open123
Worst price38.87
Drawdown as % of equity-0.27%
 ($163)
Includes Typical Broker Commissions trade costs of $2.46
5/2/25 12:39 REGN REGENERON PHARMACEUTICALS LONG 8 610.65 5/6 14:20 562.33 0.49%
Trade id #151605958
Max drawdown($381)
Time5/6/25 14:11
Quant open8
Worst price562.97
Drawdown as % of equity-0.49%
 ($387)
Includes Typical Broker Commissions trade costs of $0.16
4/22/25 13:28 NTLA INTELLIA THERAPEUTICS INC. LONG 875 8.08 5/6 14:19 7.27 0.93%
Trade id #151488102
Max drawdown($730)
Time5/6/25 13:44
Quant open875
Worst price7.25
Drawdown as % of equity-0.93%
 ($714)
Includes Typical Broker Commissions trade costs of $5.00
4/29/25 13:32 HALO HALOZYME THERAPEUTICS LONG 100 61.61 5/6 14:19 58.59 0.41%
Trade id #151563232
Max drawdown($323)
Time5/6/25 13:07
Quant open100
Worst price58.38
Drawdown as % of equity-0.41%
 ($304)
Includes Typical Broker Commissions trade costs of $2.00
5/2/25 12:59 DKNG DRAFTKINGS INC. CLASS A COMMON STOCK LONG 144 34.64 5/5 13:11 34.06 0.22%
Trade id #151606228
Max drawdown($172)
Time5/5/25 9:40
Quant open144
Worst price33.44
Drawdown as % of equity-0.22%
 ($87)
Includes Typical Broker Commissions trade costs of $2.88
4/25/25 13:59 PYPL PAYPAL HOLDINGS CORP LONG 77 64.94 5/5 12:38 68.85 0.13%
Trade id #151531664
Max drawdown($107)
Time4/30/25 0:00
Quant open77
Worst price63.54
Drawdown as % of equity-0.13%
 $299
Includes Typical Broker Commissions trade costs of $1.54
4/25/25 13:53 TWLO TWILIO INC LONG 55 95.22 5/5 12:37 105.12 0.19%
Trade id #151531562
Max drawdown($152)
Time4/30/25 0:00
Quant open55
Worst price92.45
Drawdown as % of equity-0.19%
 $544
Includes Typical Broker Commissions trade costs of $1.10
4/30/25 12:45 INCY INCYTE LONG 100 61.03 5/2 13:05 62.00 0.05%
Trade id #151576290
Max drawdown($41)
Time5/1/25 0:00
Quant open100
Worst price60.62
Drawdown as % of equity-0.05%
 $95
Includes Typical Broker Commissions trade costs of $2.00
4/25/25 10:46 APP APPLOVIN CORPORATION CLASS A LONG 20 276.48 5/2 13:04 306.36 0.76%
Trade id #151528657
Max drawdown($609)
Time4/30/25 0:00
Quant open20
Worst price246.00
Drawdown as % of equity-0.76%
 $598
Includes Typical Broker Commissions trade costs of $0.40
4/24/25 13:30 LVS LAS VEGAS SANDS LONG 136 36.66 5/2 13:03 38.14 0.21%
Trade id #151517702
Max drawdown($167)
Time4/28/25 0:00
Quant open136
Worst price35.43
Drawdown as % of equity-0.21%
 $198
Includes Typical Broker Commissions trade costs of $2.72
4/24/25 13:30 KEYS KEYSIGHT TECHNOLOGIES INC LONG 35 143.40 5/2 13:03 148.75 0.12%
Trade id #151517713
Max drawdown($93)
Time4/30/25 0:00
Quant open35
Worst price140.73
Drawdown as % of equity-0.12%
 $186
Includes Typical Broker Commissions trade costs of $0.70
4/25/25 14:05 ROKU ROKU INC. CLASS A COMMON STOCK LONG 77 65.85 5/2 12:35 63.01 0.71%
Trade id #151531755
Max drawdown($562)
Time5/2/25 9:35
Quant open77
Worst price58.55
Drawdown as % of equity-0.71%
 ($221)
Includes Typical Broker Commissions trade costs of $1.54
4/30/25 12:43 CARR CARRIER GLOBAL CORP LONG 100 61.81 5/1 14:26 69.74 0.02%
Trade id #151576241
Max drawdown($12)
Time4/30/25 15:39
Quant open100
Worst price61.69
Drawdown as % of equity-0.02%
 $791
Includes Typical Broker Commissions trade costs of $2.00
4/29/25 13:35 CTSH COGNIZANT TECH SOLUTION LONG 82 73.41 4/30 12:41 72.89 0.16%
Trade id #151563257
Max drawdown($132)
Time4/30/25 9:57
Quant open82
Worst price71.80
Drawdown as % of equity-0.16%
 ($45)
Includes Typical Broker Commissions trade costs of $1.64
4/29/25 13:34 ZBRA ZEBRA TECHNOLOGIES LONG 25 258.13 4/30 12:40 247.37 0.48%
Trade id #151563253
Max drawdown($365)
Time4/30/25 10:49
Quant open25
Worst price243.53
Drawdown as % of equity-0.48%
 ($270)
Includes Typical Broker Commissions trade costs of $0.50
4/25/25 14:00 PSTG PURE STORAGE INC LONG 111 45.32 4/30 12:39 44.73 0.25%
Trade id #151531699
Max drawdown($200)
Time4/30/25 9:32
Quant open111
Worst price43.51
Drawdown as % of equity-0.25%
 ($67)
Includes Typical Broker Commissions trade costs of $2.22
4/25/25 13:45 BMRN BIOMARIN PHARMACEUTICAL LONG 80 63.27 4/30 12:38 62.99 0.11%
Trade id #151531469
Max drawdown($86)
Time4/28/25 0:00
Quant open80
Worst price62.19
Drawdown as % of equity-0.11%
 ($24)
Includes Typical Broker Commissions trade costs of $1.60
4/23/25 12:43 BABA ALIBABA GROUP HOLDING LIMITED LONG 75 119.84 4/30 12:37 118.41 0.24%
Trade id #151502370
Max drawdown($191)
Time4/28/25 0:00
Quant open75
Worst price117.29
Drawdown as % of equity-0.24%
 ($109)
Includes Typical Broker Commissions trade costs of $1.50
4/22/25 13:26 FSLR FIRST SOLAR INC LONG 75 134.44 4/30 12:37 123.72 1.43%
Trade id #151488062
Max drawdown($1,151)
Time4/30/25 9:47
Quant open75
Worst price119.09
Drawdown as % of equity-1.43%
 ($806)
Includes Typical Broker Commissions trade costs of $1.50
4/25/25 13:36 GTLS CHART INDUSTRIES LONG 36 137.27 4/30 12:36 130.43 0.44%
Trade id #151531291
Max drawdown($355)
Time4/30/25 9:43
Quant open36
Worst price127.40
Drawdown as % of equity-0.44%
 ($247)
Includes Typical Broker Commissions trade costs of $0.72
4/29/25 13:33 HQY HEALTHEQUITY INC. COMMON STOC LONG 69 86.79 4/30 12:36 84.65 0.29%
Trade id #151563236
Max drawdown($218)
Time4/30/25 10:42
Quant open69
Worst price83.63
Drawdown as % of equity-0.29%
 ($149)
Includes Typical Broker Commissions trade costs of $1.38
4/25/25 13:37 GLOB GLOBANT SA LONG 45 119.97 4/30 12:35 114.95 0.33%
Trade id #151531296
Max drawdown($261)
Time4/30/25 9:30
Quant open45
Worst price114.15
Drawdown as % of equity-0.33%
 ($227)
Includes Typical Broker Commissions trade costs of $0.90
4/23/25 12:33 RXRX RECURSION PHARMACEUTICALS INC. CLASS A LONG 1,000 5.74 4/30 12:35 5.47 0.62%
Trade id #151502226
Max drawdown($500)
Time4/30/25 9:41
Quant open1,000
Worst price5.24
Drawdown as % of equity-0.62%
 ($275)
Includes Typical Broker Commissions trade costs of $5.00
4/29/25 13:34 EXE EXPAND ENERGY CORPORATION LONG 50 107.54 4/30 12:35 103.26 0.37%
Trade id #151563249
Max drawdown($283)
Time4/30/25 11:51
Quant open50
Worst price101.88
Drawdown as % of equity-0.37%
 ($215)
Includes Typical Broker Commissions trade costs of $1.00
4/25/25 13:41 EXPE EXPEDIA LONG 33 160.03 4/29 11:34 159.51 0.1%
Trade id #151531379
Max drawdown($78)
Time4/29/25 10:29
Quant open33
Worst price157.65
Drawdown as % of equity-0.10%
 ($18)
Includes Typical Broker Commissions trade costs of $0.66
Next

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1813.6
  • Age
    60 months ago
  • What it trades
    Stocks
  • # Trades
    1592
  • # Profitable
    779
  • % Profitable
    48.90%
  • Avg trade duration
    13.7 days
  • Max peak-to-valley drawdown
    41.64%
  • drawdown period
    July 17, 2024 - April 08, 2025
  • Annual Return (Compounded)
    21.7%
  • Avg win
    $430.27
  • Avg loss
    $342.67
  • Model Account Values (Raw)
  • Cash
    $52,162
  • Margin Used
    $0
  • Buying Power
    $51,288
  • Ratios
  • W:L ratio
    1.22:1
  • Sharpe Ratio
    0.66
  • Sortino Ratio
    1.04
  • Calmar Ratio
    0.665
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    73.66%
  • Correlation to SP500
    0.44780
  • Return Percent SP500 (cumu) during strategy life
    92.09%
  • Return Statistics
  • Ann Return (w trading costs)
    21.7%
  • Slump
  • Current Slump as Pcnt Equity
    37.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.16%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.217%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    24.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.50%
  • Chance of 20% account loss
    41.00%
  • Chance of 30% account loss
    19.50%
  • Chance of 40% account loss
    7.50%
  • 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
    2.50%
  • Popularity
  • Popularity (Today)
    443
  • Popularity (Last 6 weeks)
    796
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    520
  • Popularity (7 days, Percentile 1000 scale)
    575
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $343
  • Avg Win
    $430
  • Sum Trade PL (losers)
    $278,592.000
  • Age
  • Num Months filled monthly returns table
    61
  • Win / Loss
  • Sum Trade PL (winners)
    $335,177.000
  • # Winners
    779
  • Num Months Winners
    35
  • Dividends
  • Dividends Received in Model Acct
    2235
  • AUM
  • AUM (AutoTrader live capital)
    84592
  • Win / Loss
  • # Losers
    813
  • % Winners
    48.9%
  • Frequency
  • Avg Position Time (mins)
    19662.70
  • Avg Position Time (hrs)
    327.71
  • Avg Trade Length
    13.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.02
  • Daily leverage (max)
    2.33
  • Regression
  • Alpha
    0.03
  • Beta
    0.68
  • Treynor Index
    0.09
  • 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)
    -0.40
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    9.705
  • 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
    0.312
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.187
  • Hold-and-Hope Ratio
    0.106
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24652
  • SD
    0.34561
  • Sharpe ratio (Glass type estimate)
    0.71331
  • Sharpe ratio (Hedges UMVUE)
    0.70404
  • df
    58.00000
  • t
    1.58165
  • p
    0.05958
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18305
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60366
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18911
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59720
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.33354
  • Upside Potential Ratio
    2.92764
  • Upside part of mean
    0.54122
  • Downside part of mean
    -0.29469
  • Upside SD
    0.29717
  • Downside SD
    0.18486
  • N nonnegative terms
    37.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    59.00000
  • Mean of predictor
    0.11805
  • Mean of criterion
    0.24652
  • SD of predictor
    0.16555
  • SD of criterion
    0.34561
  • Covariance
    0.03710
  • r
    0.64836
  • b (slope, estimate of beta)
    1.35351
  • a (intercept, estimate of alpha)
    0.08674
  • Mean Square Error
    0.07045
  • DF error
    57.00000
  • t(b)
    6.42957
  • p(b)
    0.00000
  • t(a)
    0.70952
  • p(a)
    0.24045
  • Lowerbound of 95% confidence interval for beta
    0.93197
  • Upperbound of 95% confidence interval for beta
    1.77506
  • Lowerbound of 95% confidence interval for alpha
    -0.15807
  • Upperbound of 95% confidence interval for alpha
    0.33155
  • Treynor index (mean / b)
    0.18214
  • Jensen alpha (a)
    0.08674
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18863
  • SD
    0.33261
  • Sharpe ratio (Glass type estimate)
    0.56713
  • Sharpe ratio (Hedges UMVUE)
    0.55976
  • df
    58.00000
  • t
    1.25753
  • p
    0.10680
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32516
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45463
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44953
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94933
  • Upside Potential Ratio
    2.52349
  • Upside part of mean
    0.50142
  • Downside part of mean
    -0.31279
  • Upside SD
    0.26877
  • Downside SD
    0.19870
  • N nonnegative terms
    37.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    59.00000
  • Mean of predictor
    0.10369
  • Mean of criterion
    0.18863
  • SD of predictor
    0.16694
  • SD of criterion
    0.33261
  • Covariance
    0.03721
  • r
    0.67017
  • b (slope, estimate of beta)
    1.33523
  • a (intercept, estimate of alpha)
    0.05018
  • Mean Square Error
    0.06201
  • DF error
    57.00000
  • t(b)
    6.81714
  • p(b)
    0.00000
  • t(a)
    0.43967
  • p(a)
    0.33092
  • Lowerbound of 95% confidence interval for beta
    0.94302
  • Upperbound of 95% confidence interval for beta
    1.72743
  • Lowerbound of 95% confidence interval for alpha
    -0.17836
  • Upperbound of 95% confidence interval for alpha
    0.27871
  • Treynor index (mean / b)
    0.14127
  • Jensen alpha (a)
    0.05018
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13256
  • Expected Shortfall on VaR
    0.16615
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04622
  • Expected Shortfall on VaR
    0.09742
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    59.00000
  • Minimum
    0.80658
  • Quartile 1
    0.98181
  • Median
    1.01046
  • Quartile 3
    1.05371
  • Maximum
    1.31735
  • Mean of quarter 1
    0.90880
  • Mean of quarter 2
    1.00198
  • Mean of quarter 3
    1.03170
  • Mean of quarter 4
    1.14959
  • Inter Quartile Range
    0.07189
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.06780
  • Mean of outliers low
    0.84326
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.10169
  • Mean of outliers high
    1.23721
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.14040
  • VaR(95%) (moments method)
    0.06907
  • Expected Shortfall (moments method)
    0.07411
  • Extreme Value Index (regression method)
    -0.41282
  • VaR(95%) (regression method)
    0.08482
  • Expected Shortfall (regression method)
    0.10405
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00504
  • Quartile 1
    0.05745
  • Median
    0.07108
  • Quartile 3
    0.19342
  • Maximum
    0.31877
  • Mean of quarter 1
    0.03461
  • Mean of quarter 2
    0.07056
  • Mean of quarter 3
    0.15558
  • Mean of quarter 4
    0.29659
  • Inter Quartile Range
    0.13597
  • 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)
    -15.14180
  • VaR(95%) (moments method)
    0.28099
  • Expected Shortfall (moments method)
    0.28099
  • Extreme Value Index (regression method)
    -1.86860
  • VaR(95%) (regression method)
    0.37185
  • Expected Shortfall (regression method)
    0.37608
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.38640
  • Compounded annual return (geometric extrapolation)
    0.24177
  • Calmar ratio (compounded annual return / max draw down)
    0.75845
  • Compounded annual return / average of 25% largest draw downs
    0.81517
  • Compounded annual return / Expected Shortfall lognormal
    1.45509
  • 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
    0.22562
  • SD
    0.25834
  • Sharpe ratio (Glass type estimate)
    0.87332
  • Sharpe ratio (Hedges UMVUE)
    0.87282
  • df
    1289.00000
  • t
    1.93785
  • p
    0.46570
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01076
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75711
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01112
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75675
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.40393
  • Upside Potential Ratio
    8.94395
  • Upside part of mean
    1.43732
  • Downside part of mean
    -1.21170
  • Upside SD
    0.20263
  • Downside SD
    0.16070
  • N nonnegative terms
    656.00000
  • N negative terms
    634.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1290.00000
  • Mean of predictor
    0.12057
  • Mean of criterion
    0.22562
  • SD of predictor
    0.17812
  • SD of criterion
    0.25834
  • Covariance
    0.02073
  • r
    0.45052
  • b (slope, estimate of beta)
    0.65344
  • a (intercept, estimate of alpha)
    0.14700
  • Mean Square Error
    0.05324
  • DF error
    1288.00000
  • t(b)
    18.11060
  • p(b)
    0.27474
  • t(a)
    1.41085
  • p(a)
    0.48036
  • Lowerbound of 95% confidence interval for beta
    0.58266
  • Upperbound of 95% confidence interval for beta
    0.72422
  • Lowerbound of 95% confidence interval for alpha
    -0.05734
  • Upperbound of 95% confidence interval for alpha
    0.35100
  • Treynor index (mean / b)
    0.34527
  • Jensen alpha (a)
    0.14683
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19256
  • SD
    0.25611
  • Sharpe ratio (Glass type estimate)
    0.75189
  • Sharpe ratio (Hedges UMVUE)
    0.75146
  • df
    1289.00000
  • t
    1.66840
  • p
    0.47046
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13200
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13231
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63522
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17791
  • Upside Potential Ratio
    8.66985
  • Upside part of mean
    1.41735
  • Downside part of mean
    -1.22478
  • Upside SD
    0.19737
  • Downside SD
    0.16348
  • N nonnegative terms
    656.00000
  • N negative terms
    634.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1290.00000
  • Mean of predictor
    0.10468
  • Mean of criterion
    0.19256
  • SD of predictor
    0.17816
  • SD of criterion
    0.25611
  • Covariance
    0.02074
  • r
    0.45450
  • b (slope, estimate of beta)
    0.65333
  • a (intercept, estimate of alpha)
    0.12417
  • Mean Square Error
    0.05208
  • DF error
    1288.00000
  • t(b)
    18.31190
  • p(b)
    0.27275
  • t(a)
    1.20654
  • p(a)
    0.48320
  • Lowerbound of 95% confidence interval for beta
    0.58334
  • Upperbound of 95% confidence interval for beta
    0.72333
  • Lowerbound of 95% confidence interval for alpha
    -0.07773
  • Upperbound of 95% confidence interval for alpha
    0.32608
  • Treynor index (mean / b)
    0.29474
  • Jensen alpha (a)
    0.12417
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02497
  • Expected Shortfall on VaR
    0.03138
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01049
  • Expected Shortfall on VaR
    0.02106
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1290.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99445
  • Median
    1.00023
  • Quartile 3
    1.00684
  • Maximum
    1.11736
  • Mean of quarter 1
    0.98388
  • Mean of quarter 2
    0.99786
  • Mean of quarter 3
    1.00311
  • Mean of quarter 4
    1.01902
  • Inter Quartile Range
    0.01238
  • Number outliers low
    55.00000
  • Percentage of outliers low
    0.04264
  • Mean of outliers low
    0.96472
  • Number of outliers high
    64.00000
  • Percentage of outliers high
    0.04961
  • Mean of outliers high
    1.04272
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16151
  • VaR(95%) (moments method)
    0.01465
  • Expected Shortfall (moments method)
    0.02231
  • Extreme Value Index (regression method)
    0.02329
  • VaR(95%) (regression method)
    0.01528
  • Expected Shortfall (regression method)
    0.02159
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    70.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00367
  • Median
    0.01043
  • Quartile 3
    0.03697
  • Maximum
    0.37072
  • Mean of quarter 1
    0.00173
  • Mean of quarter 2
    0.00753
  • Mean of quarter 3
    0.02092
  • Mean of quarter 4
    0.12699
  • Inter Quartile Range
    0.03330
  • 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
    0.14286
  • Mean of outliers high
    0.17908
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.04567
  • VaR(95%) (moments method)
    0.10215
  • Expected Shortfall (moments method)
    0.14685
  • Extreme Value Index (regression method)
    -0.05059
  • VaR(95%) (regression method)
    0.12906
  • Expected Shortfall (regression method)
    0.18079
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.39828
  • Compounded annual return (geometric extrapolation)
    0.24666
  • Calmar ratio (compounded annual return / max draw down)
    0.66538
  • Compounded annual return / average of 25% largest draw downs
    1.94235
  • Compounded annual return / Expected Shortfall lognormal
    7.86015
  • 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
    -0.34066
  • SD
    0.34597
  • Sharpe ratio (Glass type estimate)
    -0.98465
  • Sharpe ratio (Hedges UMVUE)
    -0.97896
  • df
    130.00000
  • t
    -0.69625
  • p
    0.53048
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.75723
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79155
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.75332
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79540
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.38744
  • Upside Potential Ratio
    7.18670
  • Upside part of mean
    1.76456
  • Downside part of mean
    -2.10522
  • Upside SD
    0.24277
  • Downside SD
    0.24553
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04089
  • Mean of criterion
    -0.34066
  • SD of predictor
    0.24091
  • SD of criterion
    0.34597
  • Covariance
    0.02136
  • r
    0.25634
  • b (slope, estimate of beta)
    0.36813
  • a (intercept, estimate of alpha)
    -0.32561
  • Mean Square Error
    0.11270
  • DF error
    129.00000
  • t(b)
    3.01207
  • p(b)
    0.33862
  • t(a)
    -0.68580
  • p(a)
    0.53835
  • Lowerbound of 95% confidence interval for beta
    0.12632
  • Upperbound of 95% confidence interval for beta
    0.60994
  • Lowerbound of 95% confidence interval for alpha
    -1.26498
  • Upperbound of 95% confidence interval for alpha
    0.61377
  • Treynor index (mean / b)
    -0.92537
  • Jensen alpha (a)
    -0.32561
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.39980
  • SD
    0.34396
  • Sharpe ratio (Glass type estimate)
    -1.16234
  • Sharpe ratio (Hedges UMVUE)
    -1.15563
  • df
    130.00000
  • t
    -0.82190
  • p
    0.53595
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.93558
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61524
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.93099
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61974
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.59453
  • Upside Potential Ratio
    6.92445
  • Upside part of mean
    1.73619
  • Downside part of mean
    -2.13599
  • Upside SD
    0.23484
  • Downside SD
    0.25073
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06943
  • Mean of criterion
    -0.39980
  • SD of predictor
    0.23933
  • SD of criterion
    0.34396
  • Covariance
    0.02278
  • r
    0.27670
  • b (slope, estimate of beta)
    0.39767
  • a (intercept, estimate of alpha)
    -0.37219
  • Mean Square Error
    0.11010
  • DF error
    129.00000
  • t(b)
    3.27043
  • p(b)
    0.32612
  • t(a)
    -0.79303
  • p(a)
    0.54431
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.15709
  • Upperbound of 95% confidence interval for beta
    0.63826
  • Lowerbound of 95% confidence interval for alpha
    -1.30077
  • Upperbound of 95% confidence interval for alpha
    0.55638
  • Treynor index (mean / b)
    -1.00535
  • Jensen alpha (a)
    -0.37219
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03582
  • Expected Shortfall on VaR
    0.04432
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01856
  • Expected Shortfall on VaR
    0.03474
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93046
  • Quartile 1
    0.98675
  • Median
    1.00023
  • Quartile 3
    1.00837
  • Maximum
    1.11736
  • Mean of quarter 1
    0.97425
  • Mean of quarter 2
    0.99407
  • Mean of quarter 3
    1.00428
  • Mean of quarter 4
    1.02279
  • Inter Quartile Range
    0.02162
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.93716
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.08688
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24868
  • VaR(95%) (moments method)
    0.02794
  • Expected Shortfall (moments method)
    0.04281
  • Extreme Value Index (regression method)
    0.19166
  • VaR(95%) (regression method)
    0.02389
  • Expected Shortfall (regression method)
    0.03336
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.13995
  • Quartile 1
    0.18861
  • Median
    0.23727
  • Quartile 3
    0.28593
  • Maximum
    0.33459
  • Mean of quarter 1
    0.13995
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.33459
  • Inter Quartile Range
    0.09732
  • 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)
    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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -385676000
  • Max Equity Drawdown (num days)
    265
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.33937
  • Compounded annual return (geometric extrapolation)
    -0.31057
  • Calmar ratio (compounded annual return / max draw down)
    -0.92821
  • Compounded annual return / average of 25% largest draw downs
    -0.92821
  • Compounded annual return / Expected Shortfall lognormal
    -7.00821

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.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-05-21
Suggested Minimum Capital
$15,000
# Trades
1592
# Profitable
779
% Profitable
48.9%
Net Dividends
$2,235
Correlation S&P500
0.448
Sharpe Ratio
0.66
Sortino Ratio
1.04
Beta
0.68
Alpha
0.03
Leverage
1.02 Average
2.33 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.