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

JC Alpha
(129134794)

Created by: JCAlpha JCAlpha
Started: 05/2020
Stocks
Last trade: 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 $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.

34.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(30.2%)
Max Drawdown
983
Num Trades
55.1%
Win Trades
1.5 : 1
Profit Factor
61.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            (0.2%)(0.2%)+5.3%+1.7%(5.2%)(1.5%)+9.0%+4.3%+13.2%
2021(0.1%)+4.4%+2.7%+2.7%+2.0%+1.8%+0.3%+3.6%(4.9%)+4.8%(13.7%)+13.2%+15.7%
2022(3.2%)(1.4%)+15.1%(4.2%)+24.4%+1.9%+13.6%+1.4%(23.9%)+16.3%+28.6%(6.5%)+63.7%
2023+26.8%(2.5%)+1.6%(3.6%)+5.3%+3.8%+19.1%(6.7%)(10.6%)(15%)+19.5%+6.8%+42.6%
2024(0.5%)+1.0%+1.8%(2.2%)+7.2%                                          +7.3%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/1/24 14:25 INTC INTEL LONG 166 30.39 5/17 13:38 31.77 0.11%
Trade id #148065508
Max drawdown($109)
Time5/8/24 0:00
Quant open166
Worst price29.73
Drawdown as % of equity-0.11%
$227
Includes Typical Broker Commissions trade costs of $3.32
5/13/24 13:19 TPR TAPESTRY INC LONG 220 40.84 5/17 13:38 42.65 n/a $393
Includes Typical Broker Commissions trade costs of $4.40
5/2/24 12:23 DOCU DOCUSIGN INC. COMMON STOCK LONG 158 58.04 5/17 13:35 60.16 0.15%
Trade id #148075629
Max drawdown($143)
Time5/9/24 0:00
Quant open158
Worst price57.13
Drawdown as % of equity-0.15%
$332
Includes Typical Broker Commissions trade costs of $3.16
5/8/24 13:06 TRIP TRIPADVISOR LONG 500 18.08 5/17 13:07 18.17 0.24%
Trade id #148124950
Max drawdown($225)
Time5/10/24 0:00
Quant open500
Worst price17.63
Drawdown as % of equity-0.24%
$35
Includes Typical Broker Commissions trade costs of $10.00
5/8/24 13:09 DV DOUBLE VERIFY HOLDINGS INC. LONG 270 18.45 5/17 13:05 19.71 0.09%
Trade id #148124969
Max drawdown($88)
Time5/8/24 15:00
Quant open270
Worst price18.12
Drawdown as % of equity-0.09%
$337
Includes Typical Broker Commissions trade costs of $5.40
5/10/24 13:15 CHTR CHARTER COMMUNICATIONS LONG 18 275.20 5/17 13:03 274.19 0.07%
Trade id #148143415
Max drawdown($69)
Time5/16/24 0:00
Quant open18
Worst price271.37
Drawdown as % of equity-0.07%
($18)
Includes Typical Broker Commissions trade costs of $0.36
5/7/24 11:54 FI FISERV INC LONG 62 152.22 5/17 13:02 152.87 0.01%
Trade id #148112641
Max drawdown($11)
Time5/8/24 0:00
Quant open62
Worst price152.03
Drawdown as % of equity-0.01%
$39
Includes Typical Broker Commissions trade costs of $1.24
5/9/24 13:04 NE NOBLE CORP LONG 195 47.63 5/17 11:30 47.51 0.34%
Trade id #148134697
Max drawdown($315)
Time5/13/24 0:00
Quant open195
Worst price46.01
Drawdown as % of equity-0.34%
($27)
Includes Typical Broker Commissions trade costs of $3.90
5/1/24 14:17 CVS CVS HEALTH CORP LONG 120 55.49 5/16 14:59 57.54 0.2%
Trade id #148065430
Max drawdown($179)
Time5/2/24 0:00
Quant open90
Worst price53.70
Drawdown as % of equity-0.20%
$244
Includes Typical Broker Commissions trade costs of $2.40
5/15/24 12:07 NXT NEXTRACKER INC. CLASS A LONG 106 47.46 5/16 14:58 43.46 0.46%
Trade id #148176018
Max drawdown($447)
Time5/16/24 14:28
Quant open106
Worst price43.24
Drawdown as % of equity-0.46%
($426)
Includes Typical Broker Commissions trade costs of $2.12
5/10/24 13:04 FOUR SHIFT4 PAYMENTS INC LONG 78 64.33 5/16 14:56 70.20 0.02%
Trade id #148143375
Max drawdown($19)
Time5/10/24 13:16
Quant open78
Worst price64.07
Drawdown as % of equity-0.02%
$456
Includes Typical Broker Commissions trade costs of $1.56
5/2/24 15:05 ALB ALBEMARLE LONG 40 125.98 5/15 9:30 137.26 0.08%
Trade id #148077754
Max drawdown($76)
Time5/2/24 15:44
Quant open40
Worst price124.08
Drawdown as % of equity-0.08%
$450
Includes Typical Broker Commissions trade costs of $0.80
4/8/24 12:52 ALTM ARCADIUM LITHIUM PLC LONG 2,200 4.38 5/15 9:30 4.92 0.93%
Trade id #147840364
Max drawdown($834)
Time4/18/24 0:00
Quant open1,100
Worst price3.67
Drawdown as % of equity-0.93%
$1,175
Includes Typical Broker Commissions trade costs of $7.50
5/10/24 13:20 FDX FEDEX LONG 20 264.91 5/14 13:15 258.77 0.13%
Trade id #148143439
Max drawdown($126)
Time5/14/24 13:11
Quant open20
Worst price258.58
Drawdown as % of equity-0.13%
($123)
Includes Typical Broker Commissions trade costs of $0.40
5/10/24 10:08 VCYT VERACYTE INC. COMMON STOCK LONG 240 21.07 5/13 13:16 22.67 0.06%
Trade id #148140790
Max drawdown($52)
Time5/10/24 11:10
Quant open240
Worst price20.85
Drawdown as % of equity-0.06%
$379
Includes Typical Broker Commissions trade costs of $4.80
5/8/24 12:51 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 7 1324.46 5/13 12:57 1343.42 0.17%
Trade id #148124872
Max drawdown($157)
Time5/9/24 0:00
Quant open7
Worst price1302.00
Drawdown as % of equity-0.17%
$133
Includes Typical Broker Commissions trade costs of $0.14
5/7/24 10:35 PAGS PAGSEGURO DIGITAL LONG 735 12.92 5/13 12:53 12.68 0.45%
Trade id #148111022
Max drawdown($424)
Time5/9/24 0:00
Quant open735
Worst price12.34
Drawdown as % of equity-0.45%
($183)
Includes Typical Broker Commissions trade costs of $5.00
5/7/24 10:41 ORCL ORACLE CORP LONG 80 118.87 5/10 13:00 116.47 0.25%
Trade id #148111087
Max drawdown($236)
Time5/10/24 11:44
Quant open80
Worst price115.91
Drawdown as % of equity-0.25%
($194)
Includes Typical Broker Commissions trade costs of $1.60
5/6/24 14:14 VAL VALARIS LTD LONG 128 70.26 5/10 10:02 74.22 0.01%
Trade id #148103039
Max drawdown($9)
Time5/6/24 14:17
Quant open128
Worst price70.19
Drawdown as % of equity-0.01%
$503
Includes Typical Broker Commissions trade costs of $2.56
5/1/24 14:20 SBUX STARBUCKS LONG 90 72.84 5/9 13:06 75.22 0.09%
Trade id #148065447
Max drawdown($84)
Time5/7/24 0:00
Quant open68
Worst price71.80
Drawdown as % of equity-0.09%
$213
Includes Typical Broker Commissions trade costs of $1.80
5/7/24 10:31 GLOB GLOBANT SA LONG 50 193.29 5/9 10:42 174.36 1.09%
Trade id #148110988
Max drawdown($1,026)
Time5/9/24 10:25
Quant open50
Worst price172.75
Drawdown as % of equity-1.09%
($947)
Includes Typical Broker Commissions trade costs of $1.00
5/7/24 10:40 DKNG DRAFTKINGS INC. CLASS A COMMON STOCK LONG 200 44.94 5/8 11:04 42.78 0.52%
Trade id #148111060
Max drawdown($497)
Time5/8/24 9:36
Quant open200
Worst price42.45
Drawdown as % of equity-0.52%
($435)
Includes Typical Broker Commissions trade costs of $4.00
5/3/24 13:30 NXT NEXTRACKER INC. CLASS A LONG 200 45.65 5/8 11:03 43.55 0.58%
Trade id #148087614
Max drawdown($557)
Time5/8/24 9:43
Quant open200
Worst price42.86
Drawdown as % of equity-0.58%
($424)
Includes Typical Broker Commissions trade costs of $4.00
4/19/24 9:30 PWSC POWERSCHOOL HOLDINGS INC LONG 400 17.04 5/8 11:01 20.02 0.32%
Trade id #147955489
Max drawdown($310)
Time5/7/24 0:00
Quant open285
Worst price16.15
Drawdown as % of equity-0.32%
$1,182
Includes Typical Broker Commissions trade costs of $8.00
5/1/24 14:04 HALO HALOZYME THERAPEUTICS LONG 230 39.28 5/8 10:42 43.07 0.1%
Trade id #148064960
Max drawdown($92)
Time5/2/24 0:00
Quant open230
Worst price38.88
Drawdown as % of equity-0.10%
$867
Includes Typical Broker Commissions trade costs of $4.60
5/3/24 13:40 GFS GLOBALFOUNDRIES INC. ORDINARY SHARES LONG 187 49.09 5/7 10:22 54.35 0.04%
Trade id #148087777
Max drawdown($34)
Time5/3/24 15:17
Quant open187
Worst price48.90
Drawdown as % of equity-0.04%
$981
Includes Typical Broker Commissions trade costs of $3.74
5/1/24 14:01 EEFT EURONET WORLDWIDE LONG 85 106.16 5/6 14:10 111.95 0.21%
Trade id #148064928
Max drawdown($192)
Time5/2/24 0:00
Quant open85
Worst price103.89
Drawdown as % of equity-0.21%
$490
Includes Typical Broker Commissions trade costs of $1.70
4/30/24 12:11 MELI MERCADOLIBRE LONG 6 1470.37 5/6 14:07 1644.56 0.28%
Trade id #148053142
Max drawdown($254)
Time5/1/24 0:00
Quant open6
Worst price1427.95
Drawdown as % of equity-0.28%
$1,045
Includes Typical Broker Commissions trade costs of $0.12
4/19/24 9:41 JBHT J.B. HUNT TRANSPORT LONG 30 167.58 5/3 10:24 166.32 0.23%
Trade id #147956139
Max drawdown($213)
Time4/26/24 0:00
Quant open30
Worst price160.48
Drawdown as % of equity-0.23%
($39)
Includes Typical Broker Commissions trade costs of $0.60
5/2/24 12:25 HQY HEALTHEQUITY INC. COMMON STOC LONG 115 80.50 5/3 10:18 78.75 0.26%
Trade id #148075651
Max drawdown($243)
Time5/3/24 9:49
Quant open115
Worst price78.39
Drawdown as % of equity-0.26%
($204)
Includes Typical Broker Commissions trade costs of $2.30

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1460.63
  • Age
    49 months ago
  • What it trades
    Stocks
  • # Trades
    983
  • # Profitable
    542
  • % Profitable
    55.10%
  • Avg trade duration
    16.2 days
  • Max peak-to-valley drawdown
    30.17%
  • drawdown period
    July 31, 2023 - Oct 30, 2023
  • Annual Return (Compounded)
    34.5%
  • Avg win
    $439.91
  • Avg loss
    $372.05
  • Model Account Values (Raw)
  • Cash
    $58,143
  • Margin Used
    $0
  • Buying Power
    $58,786
  • Ratios
  • W:L ratio
    1.47:1
  • Sharpe Ratio
    0.98
  • Sortino Ratio
    1.61
  • Calmar Ratio
    1.373
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    147.86%
  • Correlation to SP500
    0.50250
  • Return Percent SP500 (cumu) during strategy life
    80.03%
  • Return Statistics
  • Ann Return (w trading costs)
    34.5%
  • Slump
  • Current Slump as Pcnt Equity
    3.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.20%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.345%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    37.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    54.00%
  • Chance of 20% account loss
    30.00%
  • Chance of 30% account loss
    11.50%
  • Chance of 40% account loss
    4.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    669
  • Popularity (Last 6 weeks)
    932
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    989
  • Popularity (7 days, Percentile 1000 scale)
    870
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $372
  • Avg Win
    $441
  • Sum Trade PL (losers)
    $164,074.000
  • Age
  • Num Months filled monthly returns table
    49
  • Win / Loss
  • Sum Trade PL (winners)
    $238,971.000
  • # Winners
    542
  • Num Months Winners
    30
  • Dividends
  • Dividends Received in Model Acct
    1688
  • AUM
  • AUM (AutoTrader live capital)
    103832
  • Win / Loss
  • # Losers
    441
  • % Winners
    55.1%
  • Frequency
  • Avg Position Time (mins)
    23393.40
  • Avg Position Time (hrs)
    389.89
  • Avg Trade Length
    16.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.96
  • Daily leverage (max)
    2.17
  • Regression
  • Alpha
    0.06
  • Beta
    0.78
  • 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)
    -0.15
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.584
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.278
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.018
  • Hold-and-Hope Ratio
    0.286
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36889
  • SD
    0.35532
  • Sharpe ratio (Glass type estimate)
    1.03817
  • Sharpe ratio (Hedges UMVUE)
    1.02114
  • df
    46.00000
  • t
    2.05461
  • p
    0.02281
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02009
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04551
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00904
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03323
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.21822
  • Upside Potential Ratio
    3.70543
  • Upside part of mean
    0.61620
  • Downside part of mean
    -0.24732
  • Upside SD
    0.32749
  • Downside SD
    0.16630
  • N nonnegative terms
    33.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    47.00000
  • Mean of predictor
    0.15088
  • Mean of criterion
    0.36889
  • SD of predictor
    0.15549
  • SD of criterion
    0.35532
  • Covariance
    0.03491
  • r
    0.63186
  • b (slope, estimate of beta)
    1.44394
  • a (intercept, estimate of alpha)
    0.15102
  • Mean Square Error
    0.07753
  • DF error
    45.00000
  • t(b)
    5.46866
  • p(b)
    0.00000
  • t(a)
    1.03280
  • p(a)
    0.15361
  • Lowerbound of 95% confidence interval for beta
    0.91214
  • Upperbound of 95% confidence interval for beta
    1.97575
  • Lowerbound of 95% confidence interval for alpha
    -0.14349
  • Upperbound of 95% confidence interval for alpha
    0.44554
  • Treynor index (mean / b)
    0.25547
  • Jensen alpha (a)
    0.15102
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30688
  • SD
    0.33764
  • Sharpe ratio (Glass type estimate)
    0.90887
  • Sharpe ratio (Hedges UMVUE)
    0.89396
  • df
    46.00000
  • t
    1.79872
  • p
    0.03931
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10339
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91166
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90102
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71602
  • Upside Potential Ratio
    3.18417
  • Upside part of mean
    0.56942
  • Downside part of mean
    -0.26255
  • Upside SD
    0.29571
  • Downside SD
    0.17883
  • N nonnegative terms
    33.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    47.00000
  • Mean of predictor
    0.13810
  • Mean of criterion
    0.30688
  • SD of predictor
    0.15655
  • SD of criterion
    0.33764
  • Covariance
    0.03439
  • r
    0.65062
  • b (slope, estimate of beta)
    1.40323
  • a (intercept, estimate of alpha)
    0.11309
  • Mean Square Error
    0.06721
  • DF error
    45.00000
  • t(b)
    5.74719
  • p(b)
    0.00000
  • t(a)
    0.83606
  • p(a)
    0.20377
  • Lowerbound of 95% confidence interval for beta
    0.91147
  • Upperbound of 95% confidence interval for beta
    1.89499
  • Lowerbound of 95% confidence interval for alpha
    -0.15935
  • Upperbound of 95% confidence interval for alpha
    0.38552
  • Treynor index (mean / b)
    0.21869
  • Jensen alpha (a)
    0.11309
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12607
  • Expected Shortfall on VaR
    0.16040
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03248
  • Expected Shortfall on VaR
    0.07360
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    47.00000
  • Minimum
    0.80658
  • Quartile 1
    0.99074
  • Median
    1.01046
  • Quartile 3
    1.05948
  • Maximum
    1.31735
  • Mean of quarter 1
    0.91984
  • Mean of quarter 2
    1.00455
  • Mean of quarter 3
    1.03354
  • Mean of quarter 4
    1.16527
  • Inter Quartile Range
    0.06874
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.06383
  • Mean of outliers low
    0.85300
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.12766
  • Mean of outliers high
    1.23721
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.43335
  • VaR(95%) (moments method)
    0.04926
  • Expected Shortfall (moments method)
    0.06061
  • Extreme Value Index (regression method)
    0.04952
  • VaR(95%) (regression method)
    0.06300
  • Expected Shortfall (regression method)
    0.09667
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00504
  • Quartile 1
    0.05343
  • Median
    0.07056
  • Quartile 3
    0.13666
  • Maximum
    0.27441
  • Mean of quarter 1
    0.02319
  • Mean of quarter 2
    0.06375
  • Mean of quarter 3
    0.09441
  • Mean of quarter 4
    0.23392
  • Inter Quartile Range
    0.08323
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.27441
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.59401
  • Compounded annual return (geometric extrapolation)
    0.35917
  • Calmar ratio (compounded annual return / max draw down)
    1.30887
  • Compounded annual return / average of 25% largest draw downs
    1.53546
  • Compounded annual return / Expected Shortfall lognormal
    2.23918
  • 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
    0.35189
  • SD
    0.25478
  • Sharpe ratio (Glass type estimate)
    1.38115
  • Sharpe ratio (Hedges UMVUE)
    1.38016
  • df
    1038.00000
  • t
    2.75042
  • p
    0.45747
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39484
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.36686
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39415
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.36616
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.32679
  • Upside Potential Ratio
    9.74487
  • Upside part of mean
    1.47375
  • Downside part of mean
    -1.12186
  • Upside SD
    0.20603
  • Downside SD
    0.15123
  • N nonnegative terms
    560.00000
  • N negative terms
    479.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1039.00000
  • Mean of predictor
    0.16334
  • Mean of criterion
    0.35189
  • SD of predictor
    0.17334
  • SD of criterion
    0.25478
  • Covariance
    0.02214
  • r
    0.50143
  • b (slope, estimate of beta)
    0.73702
  • a (intercept, estimate of alpha)
    0.23100
  • Mean Square Error
    0.04864
  • DF error
    1037.00000
  • t(b)
    18.66290
  • p(b)
    0.19472
  • t(a)
    2.08681
  • p(a)
    0.45886
  • Lowerbound of 95% confidence interval for beta
    0.65953
  • Upperbound of 95% confidence interval for beta
    0.81451
  • Lowerbound of 95% confidence interval for alpha
    0.01382
  • Upperbound of 95% confidence interval for alpha
    0.44918
  • Treynor index (mean / b)
    0.47745
  • Jensen alpha (a)
    0.23150
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31968
  • SD
    0.25229
  • Sharpe ratio (Glass type estimate)
    1.26714
  • Sharpe ratio (Hedges UMVUE)
    1.26623
  • df
    1038.00000
  • t
    2.52338
  • p
    0.46096
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28114
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25256
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28050
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25195
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07930
  • Upside Potential Ratio
    9.45217
  • Upside part of mean
    1.45323
  • Downside part of mean
    -1.13355
  • Upside SD
    0.20085
  • Downside SD
    0.15375
  • N nonnegative terms
    560.00000
  • N negative terms
    479.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1039.00000
  • Mean of predictor
    0.14826
  • Mean of criterion
    0.31968
  • SD of predictor
    0.17364
  • SD of criterion
    0.25229
  • Covariance
    0.02196
  • r
    0.50141
  • b (slope, estimate of beta)
    0.72853
  • a (intercept, estimate of alpha)
    0.21167
  • Mean Square Error
    0.04769
  • DF error
    1037.00000
  • t(b)
    18.66200
  • p(b)
    0.19473
  • t(a)
    1.92749
  • p(a)
    0.46199
  • Lowerbound of 95% confidence interval for beta
    0.65193
  • Upperbound of 95% confidence interval for beta
    0.80514
  • Lowerbound of 95% confidence interval for alpha
    -0.00382
  • Upperbound of 95% confidence interval for alpha
    0.42716
  • Treynor index (mean / b)
    0.43881
  • Jensen alpha (a)
    0.21167
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02412
  • Expected Shortfall on VaR
    0.03044
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00930
  • Expected Shortfall on VaR
    0.01898
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1039.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99489
  • Median
    1.00022
  • Quartile 3
    1.00690
  • Maximum
    1.10903
  • Mean of quarter 1
    0.98484
  • Mean of quarter 2
    0.99806
  • Mean of quarter 3
    1.00315
  • Mean of quarter 4
    1.01933
  • Inter Quartile Range
    0.01201
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.04331
  • Mean of outliers low
    0.96650
  • Number of outliers high
    58.00000
  • Percentage of outliers high
    0.05582
  • Mean of outliers high
    1.04195
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21736
  • VaR(95%) (moments method)
    0.01403
  • Expected Shortfall (moments method)
    0.02240
  • Extreme Value Index (regression method)
    0.01612
  • VaR(95%) (regression method)
    0.01393
  • Expected Shortfall (regression method)
    0.01954
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    65.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00351
  • Median
    0.01026
  • Quartile 3
    0.03384
  • Maximum
    0.27441
  • Mean of quarter 1
    0.00162
  • Mean of quarter 2
    0.00736
  • Mean of quarter 3
    0.01978
  • Mean of quarter 4
    0.11383
  • Inter Quartile Range
    0.03032
  • 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
    0.13846
  • Mean of outliers high
    0.15778
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14839
  • VaR(95%) (moments method)
    0.09584
  • Expected Shortfall (moments method)
    0.14713
  • Extreme Value Index (regression method)
    -0.32724
  • VaR(95%) (regression method)
    0.10827
  • Expected Shortfall (regression method)
    0.13412
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.64375
  • Compounded annual return (geometric extrapolation)
    0.37669
  • Calmar ratio (compounded annual return / max draw down)
    1.37272
  • Compounded annual return / average of 25% largest draw downs
    3.30915
  • Compounded annual return / Expected Shortfall lognormal
    12.37480
  • 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
    0.40061
  • SD
    0.15424
  • Sharpe ratio (Glass type estimate)
    2.59735
  • Sharpe ratio (Hedges UMVUE)
    2.58234
  • df
    130.00000
  • t
    1.83660
  • p
    0.42048
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19724
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.38222
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20719
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.37186
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.14860
  • Upside Potential Ratio
    11.21350
  • Upside part of mean
    1.08283
  • Downside part of mean
    -0.68222
  • Upside SD
    0.12205
  • Downside SD
    0.09656
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33268
  • Mean of criterion
    0.40061
  • SD of predictor
    0.10825
  • SD of criterion
    0.15424
  • Covariance
    0.00629
  • r
    0.37649
  • b (slope, estimate of beta)
    0.53644
  • a (intercept, estimate of alpha)
    0.22215
  • Mean Square Error
    0.02058
  • DF error
    129.00000
  • t(b)
    4.61570
  • p(b)
    0.26611
  • t(a)
    1.07571
  • p(a)
    0.44006
  • Lowerbound of 95% confidence interval for beta
    0.30650
  • Upperbound of 95% confidence interval for beta
    0.76639
  • Lowerbound of 95% confidence interval for alpha
    -0.18644
  • Upperbound of 95% confidence interval for alpha
    0.63073
  • Treynor index (mean / b)
    0.74679
  • Jensen alpha (a)
    0.22215
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38853
  • SD
    0.15410
  • Sharpe ratio (Glass type estimate)
    2.52121
  • Sharpe ratio (Hedges UMVUE)
    2.50663
  • df
    130.00000
  • t
    1.78276
  • p
    0.42276
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27222
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.30517
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28187
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.29514
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.98111
  • Upside Potential Ratio
    11.02000
  • Upside part of mean
    1.07547
  • Downside part of mean
    -0.68695
  • Upside SD
    0.12091
  • Downside SD
    0.09759
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32667
  • Mean of criterion
    0.38853
  • SD of predictor
    0.10818
  • SD of criterion
    0.15410
  • Covariance
    0.00630
  • r
    0.37788
  • b (slope, estimate of beta)
    0.53831
  • a (intercept, estimate of alpha)
    0.21268
  • Mean Square Error
    0.02051
  • DF error
    129.00000
  • t(b)
    4.63558
  • p(b)
    0.26529
  • t(a)
    1.03203
  • p(a)
    0.44247
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.30855
  • Upperbound of 95% confidence interval for beta
    0.76807
  • Lowerbound of 95% confidence interval for alpha
    -0.19505
  • Upperbound of 95% confidence interval for alpha
    0.62041
  • Treynor index (mean / b)
    0.72175
  • Jensen alpha (a)
    0.21268
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01408
  • Expected Shortfall on VaR
    0.01799
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00522
  • Expected Shortfall on VaR
    0.01105
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96604
  • Quartile 1
    0.99682
  • Median
    1.00135
  • Quartile 3
    1.00549
  • Maximum
    1.03081
  • Mean of quarter 1
    0.99050
  • Mean of quarter 2
    0.99934
  • Mean of quarter 3
    1.00330
  • Mean of quarter 4
    1.01303
  • Inter Quartile Range
    0.00867
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97477
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.02374
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13620
  • VaR(95%) (moments method)
    0.00843
  • Expected Shortfall (moments method)
    0.01266
  • Extreme Value Index (regression method)
    0.30705
  • VaR(95%) (regression method)
    0.00856
  • Expected Shortfall (regression method)
    0.01463
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00380
  • Median
    0.01345
  • Quartile 3
    0.02110
  • Maximum
    0.05090
  • Mean of quarter 1
    0.00142
  • Mean of quarter 2
    0.00896
  • Mean of quarter 3
    0.01490
  • Mean of quarter 4
    0.03763
  • Inter Quartile Range
    0.01730
  • 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
    0.09091
  • Mean of outliers high
    0.05090
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.85644
  • VaR(95%) (moments method)
    0.04386
  • Expected Shortfall (moments method)
    0.04495
  • Extreme Value Index (regression method)
    0.00992
  • VaR(95%) (regression method)
    0.05263
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.06882
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -344694000
  • Max Equity Drawdown (num days)
    91
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42883
  • Compounded annual return (geometric extrapolation)
    0.47480
  • Calmar ratio (compounded annual return / max draw down)
    9.32757
  • Compounded annual return / average of 25% largest draw downs
    12.61650
  • Compounded annual return / Expected Shortfall lognormal
    26.39970

Strategy Description

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

Summary Statistics

Strategy began
2020-05-21
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 1.1%
Rank # 
#9
# Trades
983
# Profitable
542
% Profitable
55.1%
Net Dividends
Correlation S&P500
0.502
Sharpe Ratio
0.98
Sortino Ratio
1.61
Beta
0.78
Alpha
0.06
Leverage
0.96 Average
2.17 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.