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These are hypothetical performance results that have certain inherent limitations. Learn more
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JC Alpha
(129134794)

Created by: JCAlpha JCAlpha
Started: 05/2020
Stocks
Last trade: 3 days ago

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.

34.8%
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.

(29.9%)
Max Drawdown
720
Num Trades
56.4%
Win Trades
1.5 : 1
Profit Factor
61.0%
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%)(13.6%)                  +27.0%

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/30/23 11:44 UBER UBER TECHNOLOGIES INC LONG 200 46.28 9/21 14:12 44.90 0.55%
Trade id #145689325
Max drawdown($470)
Time9/21/23 10:03
Quant open200
Worst price43.93
Drawdown as % of equity-0.55%
 ($280)
Includes Typical Broker Commissions trade costs of $4.00
9/14/23 12:26 PYPL PAYPAL HOLDINGS CORP LONG 143 64.23 9/21 9:30 60.00 0.73%
Trade id #145827215
Max drawdown($628)
Time9/21/23 9:30
Quant open143
Worst price59.83
Drawdown as % of equity-0.73%
 ($608)
Includes Typical Broker Commissions trade costs of $2.86
9/8/23 12:52 LHX L3HARRIS TECHNOLOGIES INC LONG 55 167.49 9/21 9:30 174.30 0.02%
Trade id #145773113
Max drawdown($19)
Time9/8/23 15:03
Quant open55
Worst price167.14
Drawdown as % of equity-0.02%
 $374
Includes Typical Broker Commissions trade costs of $1.10
9/14/23 12:26 BLK BLACKROCK LONG 13 705.88 9/18 14:59 695.21 0.23%
Trade id #145827225
Max drawdown($205)
Time9/18/23 9:43
Quant open13
Worst price690.06
Drawdown as % of equity-0.23%
 ($139)
Includes Typical Broker Commissions trade costs of $0.26
9/14/23 9:36 BE BLOOM ENERGY CORP LONG 600 15.43 9/18 14:59 14.62 0.55%
Trade id #145820634
Max drawdown($485)
Time9/18/23 14:55
Quant open600
Worst price14.62
Drawdown as % of equity-0.55%
 ($487)
Includes Typical Broker Commissions trade costs of $5.00
9/7/23 11:35 GIS GENERAL MILLS LONG 141 65.68 9/14 12:07 65.78 0.15%
Trade id #145760809
Max drawdown($137)
Time9/7/23 15:09
Quant open141
Worst price64.70
Drawdown as % of equity-0.15%
 $12
Includes Typical Broker Commissions trade costs of $2.82
9/7/23 11:38 ALGT ALLEGIANT TRAVEL LONG 108 85.61 9/12 15:16 88.08 0.29%
Trade id #145760860
Max drawdown($261)
Time9/8/23 0:00
Quant open108
Worst price83.19
Drawdown as % of equity-0.29%
 $265
Includes Typical Broker Commissions trade costs of $2.16
8/17/23 9:30 SE SEA LTD ADS LONG 260 40.41 9/8 15:13 38.24 1.56%
Trade id #145560021
Max drawdown($1,435)
Time8/24/23 0:00
Quant open246
Worst price34.87
Drawdown as % of equity-1.56%
 ($567)
Includes Typical Broker Commissions trade costs of $5.20
9/6/23 12:06 DOCN DIGITAL OCEAN HOLDINGS INC LONG 355 25.90 9/8 10:31 26.74 0.41%
Trade id #145750441
Max drawdown($372)
Time9/8/23 9:30
Quant open355
Worst price24.85
Drawdown as % of equity-0.41%
 $294
Includes Typical Broker Commissions trade costs of $7.10
9/7/23 11:36 META META PLATFORMS INC. CLASS A LONG 30 303.53 9/7 12:53 296.85 0.38%
Trade id #145760836
Max drawdown($339)
Time9/7/23 11:58
Quant open30
Worst price292.22
Drawdown as % of equity-0.38%
 ($202)
Includes Typical Broker Commissions trade costs of $0.60
8/29/23 12:52 BE BLOOM ENERGY CORP LONG 587 15.64 9/7 12:52 14.77 0.73%
Trade id #145679798
Max drawdown($666)
Time9/7/23 10:08
Quant open587
Worst price14.51
Drawdown as % of equity-0.73%
 ($515)
Includes Typical Broker Commissions trade costs of $5.00
9/1/23 11:38 VAL VALARIS LTD LONG 120 76.54 9/7 12:12 72.19 0.58%
Trade id #145712439
Max drawdown($526)
Time9/7/23 12:11
Quant open120
Worst price72.15
Drawdown as % of equity-0.58%
 ($524)
Includes Typical Broker Commissions trade costs of $2.40
9/5/23 12:47 QCOM QUALCOMM LONG 79 116.69 9/7 11:17 107.39 0.89%
Trade id #145739350
Max drawdown($810)
Time9/7/23 10:36
Quant open79
Worst price106.44
Drawdown as % of equity-0.89%
 ($736)
Includes Typical Broker Commissions trade costs of $1.58
8/29/23 14:16 BABA ALIBABA GROUP HOLDING LIMITED LONG 98 93.71 9/7 11:16 89.59 0.51%
Trade id #145680494
Max drawdown($465)
Time9/7/23 9:58
Quant open98
Worst price88.95
Drawdown as % of equity-0.51%
 ($406)
Includes Typical Broker Commissions trade costs of $1.96
8/14/23 12:42 MGNI MAGNITE INC. COMMON STOCK LONG 1,135 8.37 9/7 11:16 8.33 0.85%
Trade id #145523581
Max drawdown($771)
Time8/28/23 0:00
Quant open1,135
Worst price7.69
Drawdown as % of equity-0.85%
 ($49)
Includes Typical Broker Commissions trade costs of $5.00
8/23/23 9:30 CSIQ CANADIAN SOLAR LONG 353 26.82 9/6 10:55 27.19 0.49%
Trade id #145611966
Max drawdown($449)
Time8/24/23 0:00
Quant open333
Worst price25.51
Drawdown as % of equity-0.49%
 $123
Includes Typical Broker Commissions trade costs of $7.06
8/30/23 11:09 BLK BLACKROCK LONG 13 693.54 9/6 10:54 693.00 0.07%
Trade id #145688920
Max drawdown($62)
Time9/6/23 9:33
Quant open13
Worst price688.74
Drawdown as % of equity-0.07%
 ($7)
Includes Typical Broker Commissions trade costs of $0.26
8/31/23 11:40 GLW CORNING LONG 278 33.06 9/6 10:53 31.75 0.42%
Trade id #145701851
Max drawdown($390)
Time9/6/23 9:37
Quant open278
Worst price31.66
Drawdown as % of equity-0.42%
 ($368)
Includes Typical Broker Commissions trade costs of $5.56
8/18/23 10:44 NDAQ NASDAQ INC COMMON STOCK LONG 175 51.64 9/6 10:52 51.69 0.18%
Trade id #145572701
Max drawdown($168)
Time9/6/23 9:30
Quant open175
Worst price50.68
Drawdown as % of equity-0.18%
 $6
Includes Typical Broker Commissions trade costs of $3.50
8/14/23 12:53 DRVN DRIVEN BRANDS HOLDINGS INC. LONG 623 15.24 9/6 10:51 14.29 0.77%
Trade id #145523687
Max drawdown($703)
Time8/18/23 0:00
Quant open623
Worst price14.11
Drawdown as % of equity-0.77%
 ($595)
Includes Typical Broker Commissions trade costs of $5.00
8/30/23 11:05 GOGO GOGO INC. COMMON STOCK LONG 828 11.14 9/5 12:42 11.48 0.07%
Trade id #145688873
Max drawdown($66)
Time8/31/23 0:00
Quant open828
Worst price11.06
Drawdown as % of equity-0.07%
 $278
Includes Typical Broker Commissions trade costs of $5.00
8/24/23 9:30 PINC PREMIER INC. CLASS A COMMON S LONG 410 21.90 9/5 10:13 23.75 0.39%
Trade id #145624758
Max drawdown($348)
Time8/25/23 0:00
Quant open410
Worst price21.05
Drawdown as % of equity-0.39%
 $751
Includes Typical Broker Commissions trade costs of $8.20
8/18/23 9:30 DDD 3D SYSTEMS LONG 1,400 6.35 9/1 11:17 6.29 0.55%
Trade id #145570630
Max drawdown($504)
Time8/24/23 0:00
Quant open1,400
Worst price5.99
Drawdown as % of equity-0.55%
 ($85)
Includes Typical Broker Commissions trade costs of $5.00
8/29/23 13:17 QRVO QORVO INC. COMMON STOCK LONG 86 106.13 9/1 11:05 107.88 0.16%
Trade id #145679997
Max drawdown($147)
Time8/30/23 0:00
Quant open86
Worst price104.41
Drawdown as % of equity-0.16%
 $149
Includes Typical Broker Commissions trade costs of $1.72
8/21/23 9:30 KEYS KEYSIGHT TECHNOLOGIES INC LONG 71 128.72 8/31 9:56 133.08 0.21%
Trade id #145588146
Max drawdown($192)
Time8/21/23 12:26
Quant open71
Worst price126.01
Drawdown as % of equity-0.21%
 $309
Includes Typical Broker Commissions trade costs of $1.42
8/23/23 12:59 FLT FLEETCOR TECHNOLOGIES LONG 35 264.56 8/30 13:10 273.21 0.1%
Trade id #145616905
Max drawdown($96)
Time8/24/23 0:00
Quant open35
Worst price261.81
Drawdown as % of equity-0.10%
 $302
Includes Typical Broker Commissions trade costs of $0.70
8/18/23 11:05 PODD INSULET LONG 49 205.17 8/30 11:00 203.44 1.42%
Trade id #145573034
Max drawdown($1,304)
Time8/29/23 0:00
Quant open49
Worst price178.55
Drawdown as % of equity-1.42%
 ($86)
Includes Typical Broker Commissions trade costs of $0.98
8/23/23 12:55 GOOG ALPHABET INC CLASS C LONG 69 133.18 8/30 10:57 132.67 0.39%
Trade id #145616853
Max drawdown($354)
Time8/25/23 0:00
Quant open69
Worst price128.04
Drawdown as % of equity-0.39%
 ($36)
Includes Typical Broker Commissions trade costs of $1.38
8/29/23 13:11 BABA ALIBABA GROUP HOLDING LIMITED SHORT 98 93.49 8/29 14:16 93.70 0.02%
Trade id #145679950
Max drawdown($21)
Time8/29/23 14:16
Quant open98
Worst price93.71
Drawdown as % of equity-0.02%
 ($23)
Includes Typical Broker Commissions trade costs of $1.96
8/22/23 9:34 ZBH ZIMMER BIOMET HOLDINGS INC LONG 79 117.01 8/29 12:53 118.98 0.26%
Trade id #145601339
Max drawdown($238)
Time8/24/23 0:00
Quant open79
Worst price113.99
Drawdown as % of equity-0.26%
 $154
Includes Typical Broker Commissions trade costs of $1.58
Next

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    1220.52
  • Age
    41 months ago
  • What it trades
    Stocks
  • # Trades
    720
  • # Profitable
    406
  • % Profitable
    56.40%
  • Avg trade duration
    18.5 days
  • Max peak-to-valley drawdown
    29.89%
  • drawdown period
    Sept 12, 2022 - Oct 03, 2022
  • Annual Return (Compounded)
    34.8%
  • Avg win
    $416.42
  • Avg loss
    $358.64
  • Model Account Values (Raw)
  • Cash
    $32,876
  • Margin Used
    $0
  • Buying Power
    $21,504
  • Ratios
  • W:L ratio
    1.51:1
  • Sharpe Ratio
    0.97
  • Sortino Ratio
    1.6
  • Calmar Ratio
    1.403
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    125.63%
  • Correlation to SP500
    0.51130
  • Return Percent SP500 (cumu) during strategy life
    46.52%
  • Return Statistics
  • Ann Return (w trading costs)
    34.8%
  • Slump
  • Current Slump as Pcnt Equity
    24.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.348%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    37.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    63.00%
  • Chance of 20% account loss
    28.50%
  • Chance of 30% account loss
    14.50%
  • Chance of 40% account loss
    3.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    650
  • Popularity (Last 6 weeks)
    973
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    908
  • Popularity (7 days, Percentile 1000 scale)
    909
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $359
  • Avg Win
    $416
  • Sum Trade PL (losers)
    $112,614.000
  • Age
  • Num Months filled monthly returns table
    41
  • Win / Loss
  • Sum Trade PL (winners)
    $169,067.000
  • # Winners
    406
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    792
  • AUM
  • AUM (AutoTrader live capital)
    85311
  • Win / Loss
  • # Losers
    314
  • % Winners
    56.4%
  • Frequency
  • Avg Position Time (mins)
    26600.70
  • Avg Position Time (hrs)
    443.35
  • Avg Trade Length
    18.5 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.93
  • Daily leverage (max)
    2.17
  • Regression
  • Alpha
    0.06
  • 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)
    -0.10
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.756
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.255
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.852
  • Hold-and-Hope Ratio
    0.369
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40668
  • SD
    0.35635
  • Sharpe ratio (Glass type estimate)
    1.14126
  • Sharpe ratio (Hedges UMVUE)
    1.11856
  • df
    38.00000
  • t
    2.05744
  • p
    0.02328
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01730
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00266
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23446
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57867
  • Upside Potential Ratio
    4.01372
  • Upside part of mean
    0.63301
  • Downside part of mean
    -0.22632
  • Upside SD
    0.33561
  • Downside SD
    0.15771
  • N nonnegative terms
    27.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.11591
  • Mean of criterion
    0.40668
  • SD of predictor
    0.15570
  • SD of criterion
    0.35635
  • Covariance
    0.03250
  • r
    0.58567
  • b (slope, estimate of beta)
    1.34040
  • a (intercept, estimate of alpha)
    0.25132
  • Mean Square Error
    0.08568
  • DF error
    37.00000
  • t(b)
    4.39518
  • p(b)
    0.00004
  • t(a)
    1.51239
  • p(a)
    0.06947
  • Lowerbound of 95% confidence interval for beta
    0.72247
  • Upperbound of 95% confidence interval for beta
    1.95833
  • Lowerbound of 95% confidence interval for alpha
    -0.08538
  • Upperbound of 95% confidence interval for alpha
    0.58801
  • Treynor index (mean / b)
    0.30340
  • Jensen alpha (a)
    0.25132
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34324
  • SD
    0.33624
  • Sharpe ratio (Glass type estimate)
    1.02083
  • Sharpe ratio (Hedges UMVUE)
    1.00052
  • df
    38.00000
  • t
    1.84032
  • p
    0.03677
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09658
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12542
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10970
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11074
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02163
  • Upside Potential Ratio
    3.43221
  • Upside part of mean
    0.58273
  • Downside part of mean
    -0.23949
  • Upside SD
    0.30191
  • Downside SD
    0.16978
  • N nonnegative terms
    27.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.10319
  • Mean of criterion
    0.34324
  • SD of predictor
    0.15750
  • SD of criterion
    0.33624
  • Covariance
    0.03220
  • r
    0.60808
  • b (slope, estimate of beta)
    1.29817
  • a (intercept, estimate of alpha)
    0.20928
  • Mean Square Error
    0.07318
  • DF error
    37.00000
  • t(b)
    4.65914
  • p(b)
    0.00002
  • t(a)
    1.36975
  • p(a)
    0.08951
  • Lowerbound of 95% confidence interval for beta
    0.73361
  • Upperbound of 95% confidence interval for beta
    1.86273
  • Lowerbound of 95% confidence interval for alpha
    -0.10029
  • Upperbound of 95% confidence interval for alpha
    0.51885
  • Treynor index (mean / b)
    0.26440
  • Jensen alpha (a)
    0.20928
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12283
  • Expected Shortfall on VaR
    0.15715
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03030
  • Expected Shortfall on VaR
    0.06906
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    39.00000
  • Minimum
    0.80658
  • Quartile 1
    0.99662
  • Median
    1.01431
  • Quartile 3
    1.06143
  • Maximum
    1.31735
  • Mean of quarter 1
    0.92941
  • Mean of quarter 2
    1.00616
  • Mean of quarter 3
    1.03740
  • Mean of quarter 4
    1.17203
  • Inter Quartile Range
    0.06481
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.86423
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.12821
  • Mean of outliers high
    1.24474
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.67190
  • VaR(95%) (moments method)
    0.02206
  • Expected Shortfall (moments method)
    0.02227
  • Extreme Value Index (regression method)
    -0.48445
  • VaR(95%) (regression method)
    0.07296
  • Expected Shortfall (regression method)
    0.09173
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00504
  • Quartile 1
    0.05152
  • Median
    0.06375
  • Quartile 3
    0.08274
  • Maximum
    0.19342
  • Mean of quarter 1
    0.02319
  • Mean of quarter 2
    0.05619
  • Mean of quarter 3
    0.07056
  • Mean of quarter 4
    0.15558
  • Inter Quartile Range
    0.03122
  • 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
    0.19342
  • 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)
    0.72026
  • Compounded annual return (geometric extrapolation)
    0.44939
  • Calmar ratio (compounded annual return / max draw down)
    2.32338
  • Compounded annual return / average of 25% largest draw downs
    2.88854
  • Compounded annual return / Expected Shortfall lognormal
    2.85958
  • 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
    0.32937
  • SD
    0.26295
  • Sharpe ratio (Glass type estimate)
    1.25260
  • Sharpe ratio (Hedges UMVUE)
    1.25152
  • df
    868.00000
  • t
    2.28125
  • p
    0.01139
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17447
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33008
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17372
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32932
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.11110
  • Upside Potential Ratio
    9.54305
  • Upside part of mean
    1.48889
  • Downside part of mean
    -1.15952
  • Upside SD
    0.21245
  • Downside SD
    0.15602
  • N nonnegative terms
    442.00000
  • N negative terms
    427.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    869.00000
  • Mean of predictor
    0.10390
  • Mean of criterion
    0.32937
  • SD of predictor
    0.18221
  • SD of criterion
    0.26295
  • Covariance
    0.02435
  • r
    0.50824
  • b (slope, estimate of beta)
    0.73345
  • a (intercept, estimate of alpha)
    0.25300
  • Mean Square Error
    0.05134
  • DF error
    867.00000
  • t(b)
    17.37660
  • p(b)
    -0.00000
  • t(a)
    2.03355
  • p(a)
    0.02115
  • Lowerbound of 95% confidence interval for beta
    0.65061
  • Upperbound of 95% confidence interval for beta
    0.81630
  • Lowerbound of 95% confidence interval for alpha
    0.00882
  • Upperbound of 95% confidence interval for alpha
    0.49750
  • Treynor index (mean / b)
    0.44907
  • Jensen alpha (a)
    0.25316
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29512
  • SD
    0.26018
  • Sharpe ratio (Glass type estimate)
    1.13429
  • Sharpe ratio (Hedges UMVUE)
    1.13331
  • df
    868.00000
  • t
    2.06578
  • p
    0.01957
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05649
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21151
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05580
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21082
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85967
  • Upside Potential Ratio
    9.24394
  • Upside part of mean
    1.46697
  • Downside part of mean
    -1.17185
  • Upside SD
    0.20680
  • Downside SD
    0.15870
  • N nonnegative terms
    442.00000
  • N negative terms
    427.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    869.00000
  • Mean of predictor
    0.08726
  • Mean of criterion
    0.29512
  • SD of predictor
    0.18255
  • SD of criterion
    0.26018
  • Covariance
    0.02414
  • r
    0.50828
  • b (slope, estimate of beta)
    0.72442
  • a (intercept, estimate of alpha)
    0.23191
  • Mean Square Error
    0.05026
  • DF error
    867.00000
  • t(b)
    17.37840
  • p(b)
    -0.00000
  • t(a)
    1.88307
  • p(a)
    0.03001
  • Lowerbound of 95% confidence interval for beta
    0.64260
  • Upperbound of 95% confidence interval for beta
    0.80623
  • Lowerbound of 95% confidence interval for alpha
    -0.00981
  • Upperbound of 95% confidence interval for alpha
    0.47363
  • Treynor index (mean / b)
    0.40739
  • Jensen alpha (a)
    0.23191
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02500
  • Expected Shortfall on VaR
    0.03150
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01003
  • Expected Shortfall on VaR
    0.02025
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    869.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99486
  • Median
    1.00020
  • Quartile 3
    1.00701
  • Maximum
    1.10903
  • Mean of quarter 1
    0.98450
  • Mean of quarter 2
    0.99806
  • Mean of quarter 3
    1.00319
  • Mean of quarter 4
    1.01978
  • Inter Quartile Range
    0.01215
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.04258
  • Mean of outliers low
    0.96525
  • Number of outliers high
    46.00000
  • Percentage of outliers high
    0.05293
  • Mean of outliers high
    1.04462
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16870
  • VaR(95%) (moments method)
    0.01390
  • Expected Shortfall (moments method)
    0.02137
  • Extreme Value Index (regression method)
    0.01444
  • VaR(95%) (regression method)
    0.01442
  • Expected Shortfall (regression method)
    0.02033
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    64.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00342
  • Median
    0.01029
  • Quartile 3
    0.03452
  • Maximum
    0.27175
  • Mean of quarter 1
    0.00150
  • Mean of quarter 2
    0.00724
  • Mean of quarter 3
    0.01978
  • Mean of quarter 4
    0.10756
  • Inter Quartile Range
    0.03110
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.14062
  • Mean of outliers high
    0.14664
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.14796
  • VaR(95%) (moments method)
    0.09302
  • Expected Shortfall (moments method)
    0.12135
  • Extreme Value Index (regression method)
    0.02877
  • VaR(95%) (regression method)
    0.10604
  • Expected Shortfall (regression method)
    0.15196
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.57873
  • Compounded annual return (geometric extrapolation)
    0.38130
  • Calmar ratio (compounded annual return / max draw down)
    1.40315
  • Compounded annual return / average of 25% largest draw downs
    3.54488
  • Compounded annual return / Expected Shortfall lognormal
    12.10300
  • 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
    0.28067
  • SD
    0.21304
  • Sharpe ratio (Glass type estimate)
    1.31743
  • Sharpe ratio (Hedges UMVUE)
    1.30981
  • df
    130.00000
  • t
    0.93156
  • p
    0.45928
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46142
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09144
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.08619
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02535
  • Upside Potential Ratio
    10.85270
  • Upside part of mean
    1.50396
  • Downside part of mean
    -1.22329
  • Upside SD
    0.16167
  • Downside SD
    0.13858
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15845
  • Mean of criterion
    0.28067
  • SD of predictor
    0.11488
  • SD of criterion
    0.21304
  • Covariance
    0.01392
  • r
    0.56889
  • b (slope, estimate of beta)
    1.05502
  • a (intercept, estimate of alpha)
    0.11350
  • Mean Square Error
    0.03094
  • DF error
    129.00000
  • t(b)
    7.85648
  • p(b)
    0.15845
  • t(a)
    0.45465
  • p(a)
    0.47454
  • Lowerbound of 95% confidence interval for beta
    0.78933
  • Upperbound of 95% confidence interval for beta
    1.32071
  • Lowerbound of 95% confidence interval for alpha
    -0.38044
  • Upperbound of 95% confidence interval for alpha
    0.60745
  • Treynor index (mean / b)
    0.26603
  • Jensen alpha (a)
    0.11350
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25803
  • SD
    0.21273
  • Sharpe ratio (Glass type estimate)
    1.21298
  • Sharpe ratio (Hedges UMVUE)
    1.20597
  • df
    130.00000
  • t
    0.85771
  • p
    0.46249
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56504
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.98641
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56971
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.98165
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84384
  • Upside Potential Ratio
    10.65380
  • Upside part of mean
    1.49092
  • Downside part of mean
    -1.23289
  • Upside SD
    0.15993
  • Downside SD
    0.13994
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15185
  • Mean of criterion
    0.25803
  • SD of predictor
    0.11473
  • SD of criterion
    0.21273
  • Covariance
    0.01391
  • r
    0.57008
  • b (slope, estimate of beta)
    1.05702
  • a (intercept, estimate of alpha)
    0.09753
  • Mean Square Error
    0.03078
  • DF error
    129.00000
  • t(b)
    7.88100
  • p(b)
    0.15782
  • t(a)
    0.39174
  • p(a)
    0.47806
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.79166
  • Upperbound of 95% confidence interval for beta
    1.32239
  • Lowerbound of 95% confidence interval for alpha
    -0.39504
  • Upperbound of 95% confidence interval for alpha
    0.59009
  • Treynor index (mean / b)
    0.24411
  • Jensen alpha (a)
    0.09753
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02042
  • Expected Shortfall on VaR
    0.02577
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01061
  • Expected Shortfall on VaR
    0.01958
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97301
  • Quartile 1
    0.99231
  • Median
    1.00050
  • Quartile 3
    1.00947
  • Maximum
    1.03503
  • Mean of quarter 1
    0.98472
  • Mean of quarter 2
    0.99698
  • Mean of quarter 3
    1.00514
  • Mean of quarter 4
    1.01800
  • Inter Quartile Range
    0.01716
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09570
  • VaR(95%) (moments method)
    0.01546
  • Expected Shortfall (moments method)
    0.01955
  • Extreme Value Index (regression method)
    -0.64892
  • VaR(95%) (regression method)
    0.01417
  • Expected Shortfall (regression method)
    0.01554
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00095
  • Quartile 1
    0.00298
  • Median
    0.00804
  • Quartile 3
    0.02573
  • Maximum
    0.17411
  • Mean of quarter 1
    0.00188
  • Mean of quarter 2
    0.00571
  • Mean of quarter 3
    0.02002
  • Mean of quarter 4
    0.10642
  • Inter Quartile Range
    0.02275
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.23077
  • Mean of outliers high
    0.10642
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.35948
  • VaR(95%) (moments method)
    0.06983
  • Expected Shortfall (moments method)
    0.07003
  • Extreme Value Index (regression method)
    0.46831
  • VaR(95%) (regression method)
    0.06956
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.13876
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -366760000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30739
  • Compounded annual return (geometric extrapolation)
    0.33101
  • Calmar ratio (compounded annual return / max draw down)
    1.90119
  • Compounded annual return / average of 25% largest draw downs
    3.11034
  • Compounded annual return / Expected Shortfall lognormal
    12.84290

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
$5,000
Rank at C2 %
Top 9.2%
Rank # 
#72
# Trades
720
# Profitable
406
% Profitable
56.4%
Net Dividends
$791
Correlation S&P500
0.511
Sharpe Ratio
0.97
Sortino Ratio
1.60
Beta
0.77
Alpha
0.06
Leverage
0.93 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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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.