Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW +44.9% Cumul. Return since Jul 10, 2026 Hypothetical

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Parcours US Stars

By AntonioPorsia2

Stocks · Started Dec 2010

hypothetical · Annual Return (Compounded)
3.1%
Max Drawdown
17.5%
Trades
935
Win Trades
60.9%
Profit Factor
1.30
Win Months
20.1%

About this strategy

Parcours US Stars invests in the best 25 companies that are undervalued that should outperform over time in the SP500 universe. Our goal is to outperform Major US Indices over time.

We screen US stocks based on our fundamental investment process and we rank our top investments on the base of fundamentals and technical analysis.

Companies that are selected as long in our portfolio are on our belief top quality companies following our proprietary model. Our Portfolio is a market neutral and our longs will be hedged with SPY ETF short.

Stop loss rules are not strict but measured on a portfolio equilibrium basis. Portfolio will be rebalanced between the last day and the first of every month.

This system doesn't need a lot of work to be followed.

Our goal is to be positive in aboslute terms every year even when indices are negative.

Leverage will be used. We will assume an initial investment of 100 000 Dollars.But this portfolio can be replicated with less capital.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20103.63.6
20112.13.1-1.32.8-0.8-1.30.55.812.72.12.62.835.1
20122.0-2.52.02.8-6.42.71.14.91.43.01.80.714.0
20135.01.13.5-0.81.50.6-0.21.42.60.60.4-0.116.7
2014-1.33.2-0.30.4-0.9-0.20.31.1-1.80.41.40.62.9
2015-1.5-1.2-1.6-6.83.52.1-5.8-0.4-3.6-0.9-0.1-0.1-15.6
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began12/13/2010
Suggested Minimum Capital$100,000
Age192 months
What it tradesStocks
# Trades935
# Profitable569
% Profitable60.9%
Avg trade duration35.9 days
Max peak-to-valley drawdown17.5%
drawdown periodJan 22, 2015 - Feb 24, 2015
Annual Return (Compounded)3.1%
Avg win$566
Avg loss$659

Ratios

W:L ratio1.33
Sharpe Ratio0.21
Sortino Ratio0.35
Calmar Ratio0.49

CORRELATION STATISTICS

Correlation to SP5000.13
Return Percent SP500 (cumu) during strategy life513.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-455.5%

Return Statistics

Ann Return (w trading costs)3.1%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)3.7%

Slump

Current Slump as Pcnt Equity18.9%
Current Slump, time of slump as pcnt of strategy life0.7%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$659
Avg Win$566
# Winners569
Sum Trade PL (losers)$241,173
Sum Trade PL (winners)$322,249
Num Months Winners39
# Losers366
% Winners60.9%

Dividends

Dividends Received in Model Acct-2524

Age

Num Months filled monthly returns table190

Frequency

Avg Position Time (mins)51662.88
Avg Position Time (hrs)861.05
Avg Trade Length35.90
Last Trade Ago3999

Regression

Alpha0
Beta0.04
Treynor Index0.08

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades6.35
MAE:PL (avg, all trades)-0.01
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats61.56
MAE:PL - Winning Trades - this strat Percentile of All Strats50.82
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.50
Avg(MAE) / Avg(PL) - Losing trades-1.41
Hold-and-Hope Ratio0.16

RATIO STATISTICS

Mean0.07
SD0.10
Sharpe ratio (Glass type estimate)0.71
Sharpe ratio (Hedges UMVUE)0.71
df90
t1.96
p0.03
Lowerbound of 95% confidence interval for Sharpe Ratio-0.01
Upperbound of 95% confidence interval for Sharpe Ratio1.43
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.01
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.43
Sortino ratio1.66
Upside Potential Ratio2.95
Upside part of mean0.12
Downside part of mean-0.05
Upside SD0.09
Downside SD0.04
N nonnegative terms69
N negative terms22
N of observations91
Mean of predictor0.24
Mean of criterion0.07
SD of predictor0.22
SD of criterion0.10
Covariance0.00
r0.12
b (slope, estimate of beta)0.05
a (intercept, estimate of alpha)0.06
Mean Square Error0.01
DF error89
t(b)1.15
p(b)0.13
t(a)1.52
p(a)0.07
Lowerbound of 95% confidence interval for beta-0.04
Upperbound of 95% confidence interval for beta0.15
Lowerbound of 95% confidence interval for alpha-0.02
Upperbound of 95% confidence interval for alpha0.13
Treynor index (mean / b)1.27
Jensen alpha (a)0.06
Mean0.06
SD0.09
Sharpe ratio (Glass type estimate)0.69
Sharpe ratio (Hedges UMVUE)0.68
df90
t1.90
p0.03
Lowerbound of 95% confidence interval for Sharpe Ratio-0.03
Upperbound of 95% confidence interval for Sharpe Ratio1.41
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.03
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.40
Sortino ratio1.52
Upside Potential Ratio2.80
Upside part of mean0.12
Downside part of mean-0.05
Upside SD0.08
Downside SD0.04
N nonnegative terms69
N negative terms22
N of observations91
Mean of predictor0.21
Mean of criterion0.06
SD of predictor0.20
SD of criterion0.09
Covariance0.00
r0.14
b (slope, estimate of beta)0.06
a (intercept, estimate of alpha)0.05
Mean Square Error0.01
DF error89
t(b)1.33
p(b)0.09
t(a)1.44
p(a)0.08
Lowerbound of 95% confidence interval for beta-0.03
Upperbound of 95% confidence interval for beta0.16
Lowerbound of 95% confidence interval for alpha-0.02
Upperbound of 95% confidence interval for alpha0.12
Treynor index (mean / b)1.01
Jensen alpha (a)0.05
VaR(95%)0.04
Expected Shortfall on VaR0.05
VaR(95%)0.01
Expected Shortfall on VaR0.01
Mean0.07
SD0.08
Sharpe ratio (Glass type estimate)0.86
Sharpe ratio (Hedges UMVUE)0.86
df2005
t2.39
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.15
Upperbound of 95% confidence interval for Sharpe Ratio1.57
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.15
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.57
Sortino ratio1.36
Upside Potential Ratio6.83
Upside part of mean0.34
Downside part of mean-0.27
Upside SD0.06
Downside SD0.05
N nonnegative terms1439
N negative terms567
N of observations2006
Mean of predictor0.25
Mean of criterion0.07
SD of predictor0.23
SD of criterion0.08
Covariance0.00
r0.19
b (slope, estimate of beta)0.06
a (intercept, estimate of alpha)0.05
Mean Square Error0.01
DF error2004
t(b)8.52
p(b)0
t(a)1.84
p(a)0.03
Lowerbound of 95% confidence interval for beta0.05
Upperbound of 95% confidence interval for beta0.08
Lowerbound of 95% confidence interval for alpha-0.00
Upperbound of 95% confidence interval for alpha0.11
Treynor index (mean / b)1.05
Jensen alpha (a)0.05
Mean0.06
SD0.08
Sharpe ratio (Glass type estimate)0.83
Sharpe ratio (Hedges UMVUE)0.82
df2005
t2.28
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.12
Upperbound of 95% confidence interval for Sharpe Ratio1.53
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.12
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.53
Sortino ratio1.29
Upside Potential Ratio6.73
Upside part of mean0.34
Downside part of mean-0.27
Upside SD0.06
Downside SD0.05
N nonnegative terms1439
N negative terms567
N of observations2006
Mean of predictor0.23
Mean of criterion0.06
SD of predictor0.23
SD of criterion0.08
Covariance0.00
r0.19
b (slope, estimate of beta)0.06
a (intercept, estimate of alpha)0.05
Mean Square Error0.01
DF error2004
t(b)8.55
p(b)0
t(a)1.79
p(a)0.04
Lowerbound of 95% confidence interval for beta0.05
Upperbound of 95% confidence interval for beta0.08
Lowerbound of 95% confidence interval for alpha-0.00
Upperbound of 95% confidence interval for alpha0.10
Treynor index (mean / b)1.00
Jensen alpha (a)0.05
VaR(95%)0.01
Expected Shortfall on VaR0.01
VaR(95%)0.00
Expected Shortfall on VaR0.00
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.40
Mean of criterion0
SD of predictor0.40
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.32
Mean of criterion0
SD of predictor0.39
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.01
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations91
Minimum0.95
Quartile 11
Median1
Quartile 31.01
Maximum1.16
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31.00
Mean of quarter 41.04
Inter Quartile Range0.01
Number outliers low10
Percentage of outliers low0.11
Mean of outliers low0.97
Number of outliers high14
Percentage of outliers high0.15
Mean of outliers high1.05
Extreme Value Index (moments method)-0.79
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)-0.45
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.03
Number of observations2006
Minimum0.95
Quartile 11.00
Median1
Quartile 31.00
Maximum1.04
Mean of quarter 11.00
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.00
Inter Quartile Range0.00
Number outliers low264
Percentage of outliers low0.13
Mean of outliers low0.99
Number of outliers high248
Percentage of outliers high0.12
Mean of outliers high1.01
Extreme Value Index (moments method)0.31
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)0.20
VaR(95%) (regression method)0.00
Expected Shortfall (regression method)0.01
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations13
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.03
Maximum0.13
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.02
Mean of quarter 40.08
Inter Quartile Range0.02
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.08
Mean of outliers high0.13
Extreme Value Index (moments method)-0.28
VaR(95%) (moments method)0.07
Expected Shortfall (moments method)0.08
Extreme Value Index (regression method)0.62
VaR(95%) (regression method)0.11
Expected Shortfall (regression method)0.33
Number of observations64
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.02
Maximum0.14
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.01
Mean of quarter 40.05
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high9
Percentage of outliers high0.14
Mean of outliers high0.07
Extreme Value Index (moments method)0.34
VaR(95%) (moments method)0.05
Expected Shortfall (moments method)0.08
Extreme Value Index (regression method)0.14
VaR(95%) (regression method)0.05
Expected Shortfall (regression method)0.08
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-414990432
Max Equity Drawdown (num days)33
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.08
Compounded annual return (geometric extrapolation)0.07
Calmar ratio (compounded annual return / max draw down)0.51
Compounded annual return / average of 25% largest draw downs0.87
Compounded annual return / Expected Shortfall lognormal1.36
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.08
Compounded annual return (geometric extrapolation)0.07
Calmar ratio (compounded annual return / max draw down)0.49
Compounded annual return / average of 25% largest draw downs1.39
Compounded annual return / Expected Shortfall lognormal6.89
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 858 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
JOY long297Sep 1, 2015Oct 1, 2015($2,599)
VLO long122Aug 3, 2015Oct 1, 2015($557)
NAVI long563Sep 1, 2015Oct 1, 2015($720)
MYL long145Sep 1, 2015Oct 1, 2015($1,157)
IPG long381Sep 1, 2015Oct 1, 2015$247
AES long600Sep 1, 2015Oct 1, 2015($1,157)
FSLR long151Sep 1, 2015Oct 1, 2015($663)
NWSA long528Sep 1, 2015Oct 1, 2015($290)
FLR long158Sep 1, 2015Oct 1, 2015($302)
MU long439Sep 1, 2015Oct 1, 2015($365)
ANTM long51Sep 1, 2015Oct 1, 2015$92
URI long104Sep 1, 2015Oct 1, 2015($702)
BBBY long116Sep 1, 2015Oct 1, 2015($466)
KORS long166Sep 1, 2015Oct 1, 2015($99)
DAL long164Sep 1, 2015Oct 1, 2015$122
LRCX long99Sep 1, 2015Oct 1, 2015($551)
RL long65Sep 1, 2015Oct 1, 2015$508
AAL long185Sep 1, 2015Oct 1, 2015($28)
TXT long186Sep 1, 2015Oct 1, 2015($67)
ESRX long86Sep 1, 2015Oct 1, 2015($51)
VIAB long177Sep 1, 2015Oct 1, 2015$628
MHK long36Aug 3, 2015Sep 1, 2015($379)
UHS long50Aug 3, 2015Sep 1, 2015($562)
TSO long74Aug 3, 2015Sep 1, 2015($551)
CVC long255Aug 3, 2015Sep 1, 2015($982)
CAG long163Aug 3, 2015Sep 1, 2015($497)
SBUX long124Aug 3, 2015Sep 1, 2015($699)
NFLX long63Aug 3, 2015Sep 1, 2015($332)
AMZN long13Aug 3, 2015Sep 1, 2015($498)
KR long183Aug 3, 2015Sep 1, 2015($965)

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.