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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.

44.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(29.7%)
Max Drawdown
459
Num Trades
62.3%
Win Trades
1.9 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            (0.2%)(0.2%)+5.3%+1.7%(5.1%)(1.5%)+9.0%+4.3%+13.2%
2021(0.1%)+4.4%+2.7%+2.7%+2.0%+1.9%+0.3%+3.6%(4.9%)+4.8%(13.7%)+13.3%+15.8%
2022(3.2%)(1.4%)+15.1%(4.2%)+24.4%+2.0%+13.7%+1.4%(23.7%)+16.4%+28.5%(6.4%)+64.8%
2023+24.2%                                                                  +24.2%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/11/23 10:18 AAPL APPLE LONG 94 131.31 1/25 10:16 139.80 0.01%
Trade id #143177692
Max drawdown($20)
Time1/11/23 10:39
Quant open94
Worst price131.09
Drawdown as % of equity-0.01%
$796
Includes Typical Broker Commissions trade costs of $1.88
11/15/22 12:21 CRLBF CRESCO LABS INC LONG 6,287 2.92 1/23/23 11:08 1.92 3.55%
Trade id #142572831
Max drawdown($7,821)
Time12/23/22 0:00
Quant open5,987
Worst price1.66
Drawdown as % of equity-3.55%
($6,304)
Includes Typical Broker Commissions trade costs of $17.63
1/10/23 9:30 CUTR CUTERA LONG 1,774 30.75 1/13 10:51 31.49 3.13%
Trade id #143160113
Max drawdown($7,510)
Time1/12/23 0:00
Quant open1,774
Worst price26.52
Drawdown as % of equity-3.13%
$1,308
Includes Typical Broker Commissions trade costs of $6.70
12/23/22 13:07 AVO MISSION PRODUCE INC. COMMON STOCK LONG 3,414 12.10 1/9/23 10:10 12.14 0.64%
Trade id #142986252
Max drawdown($1,485)
Time1/5/23 0:00
Quant open3,414
Worst price11.66
Drawdown as % of equity-0.64%
$147
Includes Typical Broker Commissions trade costs of $7.50
10/4/22 11:42 BABA ALIBABA GROUP HOLDING LIMITED LONG 153 77.92 1/6/23 12:13 103.32 1.68%
Trade id #142031344
Max drawdown($2,864)
Time10/24/22 0:00
Quant open113
Worst price58.01
Drawdown as % of equity-1.68%
$3,883
Includes Typical Broker Commissions trade costs of $3.06
12/23/22 9:36 DNUT KRISPY KREME INC. COMMON STOCK LONG 4,110 10.45 1/4/23 11:28 10.64 0.46%
Trade id #142982021
Max drawdown($986)
Time12/30/22 0:00
Quant open4,110
Worst price10.21
Drawdown as % of equity-0.46%
$776
Includes Typical Broker Commissions trade costs of $5.00
12/23/22 9:30 CDRE CADRE HOLDINGS INC LONG 2,180 20.04 1/4/23 11:27 20.49 0.6%
Trade id #142981528
Max drawdown($1,228)
Time12/29/22 0:00
Quant open2,180
Worst price19.48
Drawdown as % of equity-0.60%
$976
Includes Typical Broker Commissions trade costs of $5.00
12/29/22 9:47 BB BLACKBERRY LIMITED COMMON STOC LONG 12,800 3.27 1/4/23 11:11 3.60 0.53%
Trade id #143031688
Max drawdown($1,152)
Time12/30/22 0:00
Quant open12,800
Worst price3.18
Drawdown as % of equity-0.53%
$4,219
Includes Typical Broker Commissions trade costs of $5.00
12/21/22 12:27 MARA MARATHON DIGITAL HOLDINGS INC LONG 12,520 3.63 1/4/23 11:11 4.12 3.15%
Trade id #142956582
Max drawdown($6,479)
Time12/28/22 0:00
Quant open12,520
Worst price3.11
Drawdown as % of equity-3.15%
$6,156
Includes Typical Broker Commissions trade costs of $10.00
12/23/22 9:30 BB BLACKBERRY LIMITED COMMON STOC LONG 12,945 3.42 12/27 12:19 3.34 0.7%
Trade id #142981549
Max drawdown($1,553)
Time12/27/22 9:58
Quant open12,945
Worst price3.30
Drawdown as % of equity-0.70%
($1,041)
Includes Typical Broker Commissions trade costs of $5.00
12/22/22 12:13 CNK CINEMARK HOLDINGS LONG 5,200 8.51 12/22 15:58 9.32 0.1%
Trade id #142970820
Max drawdown($208)
Time12/22/22 13:20
Quant open5,200
Worst price8.47
Drawdown as % of equity-0.10%
$4,207
Includes Typical Broker Commissions trade costs of $5.00
11/15/22 12:01 CTLT CATALENT INC LONG 273 48.01 12/21 13:18 43.83 0.9%
Trade id #142572447
Max drawdown($1,955)
Time11/22/22 0:00
Quant open235
Worst price40.69
Drawdown as % of equity-0.90%
($1,147)
Includes Typical Broker Commissions trade costs of $5.46
12/20/22 12:04 XMTR XOMETRY INC. LONG 1,440 31.32 12/21 10:52 33.17 0.19%
Trade id #142942617
Max drawdown($403)
Time12/20/22 13:17
Quant open1,440
Worst price31.04
Drawdown as % of equity-0.19%
$2,659
Includes Typical Broker Commissions trade costs of $5.00
12/15/22 12:00 PCRX PACIRA BIOSCIENCES INC LONG 1,125 40.23 12/20 14:59 39.83 1.32%
Trade id #142891766
Max drawdown($2,857)
Time12/19/22 0:00
Quant open1,125
Worst price37.69
Drawdown as % of equity-1.32%
($455)
Includes Typical Broker Commissions trade costs of $5.00
12/15/22 11:22 CORT CORCEPT THERAPEUTICS LONG 2,260 20.17 12/20 11:14 20.86 0.6%
Trade id #142890180
Max drawdown($1,310)
Time12/16/22 0:00
Quant open2,260
Worst price19.59
Drawdown as % of equity-0.60%
$1,554
Includes Typical Broker Commissions trade costs of $5.00
12/15/22 9:54 SFNC SIMMONS FIRST NATIONAL LONG 2,280 19.97 12/20 11:01 20.52 0.66%
Trade id #142888556
Max drawdown($1,436)
Time12/16/22 0:00
Quant open2,280
Worst price19.34
Drawdown as % of equity-0.66%
$1,249
Includes Typical Broker Commissions trade costs of $5.00
12/12/22 13:13 NRG NRG ENERGY LONG 807 32.20 12/14 9:43 33.13 0.06%
Trade id #142849088
Max drawdown($137)
Time12/12/22 14:32
Quant open807
Worst price32.03
Drawdown as % of equity-0.06%
$746
Includes Typical Broker Commissions trade costs of $5.00
11/17/22 11:23 RCM R1 RCM INC. COMMON STOCK LONG 5,300 7.55 11/29 11:20 8.09 1.03%
Trade id #142600591
Max drawdown($2,226)
Time11/22/22 0:00
Quant open5,300
Worst price7.13
Drawdown as % of equity-1.03%
$2,857
Includes Typical Broker Commissions trade costs of $5.00
11/25/22 9:30 CANO CANO HEALTH INC LONG 13,000 1.54 11/28 11:21 1.82 n/a $3,635
Includes Typical Broker Commissions trade costs of $5.00
11/8/22 10:00 RCM R1 RCM INC. COMMON STOCK LONG 5,690 8.24 11/15 10:35 9.06 4.38%
Trade id #142482040
Max drawdown($8,691)
Time11/9/22 0:00
Quant open5,690
Worst price6.71
Drawdown as % of equity-4.38%
$4,668
Includes Typical Broker Commissions trade costs of $12.50
11/8/22 10:26 TTWO TAKE-TWO INTERACTIVE SFTW LONG 418 95.66 11/14 11:55 103.12 0.97%
Trade id #142482721
Max drawdown($1,922)
Time11/8/22 14:32
Quant open418
Worst price91.06
Drawdown as % of equity-0.97%
$3,110
Includes Typical Broker Commissions trade costs of $8.36
11/2/22 9:30 CTLT CATALENT INC LONG 947 47.63 11/11 11:43 46.43 3.5%
Trade id #142407012
Max drawdown($6,465)
Time11/7/22 0:00
Quant open827
Worst price40.72
Drawdown as % of equity-3.50%
($1,145)
Includes Typical Broker Commissions trade costs of $6.60
11/7/22 10:49 OMCL OMNICELL LONG 810 49.32 11/11 11:43 52.32 1.28%
Trade id #142467414
Max drawdown($2,534)
Time11/9/22 0:00
Quant open810
Worst price46.19
Drawdown as % of equity-1.28%
$2,424
Includes Typical Broker Commissions trade costs of $6.02
10/20/22 9:46 OLPX OLAPLEX HOLDINGS INC. LONG 9,275 4.30 11/8 12:07 4.62 2.37%
Trade id #142243833
Max drawdown($4,108)
Time10/24/22 0:00
Quant open7,900
Worst price3.80
Drawdown as % of equity-2.37%
$2,927
Includes Typical Broker Commissions trade costs of $7.50
11/7/22 12:59 GNRC GENERAC HOLDINGS LONG 406 96.20 11/8 11:41 105.47 0.04%
Trade id #142470658
Max drawdown($73)
Time11/7/22 13:07
Quant open406
Worst price96.02
Drawdown as % of equity-0.04%
$3,756
Includes Typical Broker Commissions trade costs of $8.12
11/7/22 10:50 FIVN FIVE9 INC. COMMON STOCK LONG 823 47.52 11/8 9:42 52.40 0.36%
Trade id #142467417
Max drawdown($691)
Time11/7/22 16:00
Quant open823
Worst price46.68
Drawdown as % of equity-0.36%
$4,010
Includes Typical Broker Commissions trade costs of $5.83
10/27/22 13:35 CANO CANO HEALTH INC LONG 10,900 3.76 11/7 12:50 3.62 2.75%
Trade id #142348530
Max drawdown($5,015)
Time11/1/22 0:00
Quant open10,900
Worst price3.30
Drawdown as % of equity-2.75%
($1,535)
Includes Typical Broker Commissions trade costs of $7.50
11/4/22 13:27 SYNH SYNEOS HEALTH INC. CLASS A LONG 1,395 25.07 11/7 12:47 29.79 0.29%
Trade id #142446016
Max drawdown($516)
Time11/4/22 14:01
Quant open1,395
Worst price24.70
Drawdown as % of equity-0.29%
$6,579
Includes Typical Broker Commissions trade costs of $5.00
10/21/22 10:01 BIDU BAIDU LONG 500 88.38 11/4 12:47 84.11 4.05%
Trade id #142261539
Max drawdown($7,015)
Time10/24/22 0:00
Quant open400
Worst price73.58
Drawdown as % of equity-4.05%
($2,146)
Includes Typical Broker Commissions trade costs of $10.00
11/3/22 14:34 RCM R1 RCM INC. COMMON STOCK LONG 2,500 13.82 11/4 12:45 14.99 n/a $2,920
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    980.77
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    459
  • # Profitable
    286
  • % Profitable
    62.30%
  • Avg trade duration
    22.4 days
  • Max peak-to-valley drawdown
    29.7%
  • drawdown period
    Sept 12, 2022 - Oct 03, 2022
  • Annual Return (Compounded)
    44.2%
  • Avg win
    $1,232
  • Avg loss
    $1,059
  • Model Account Values (Raw)
  • Cash
    $176,939
  • Margin Used
    $0
  • Buying Power
    $200,406
  • Ratios
  • W:L ratio
    1.94:1
  • Sharpe Ratio
    1.15
  • Sortino Ratio
    1.99
  • Calmar Ratio
    1.715
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    130.63%
  • Correlation to SP500
    0.50570
  • Return Percent SP500 (cumu) during strategy life
    37.71%
  • Return Statistics
  • Ann Return (w trading costs)
    44.2%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.442%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    46.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    57.50%
  • Chance of 20% account loss
    23.00%
  • Chance of 30% account loss
    9.50%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    881
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    877
  • Popularity (7 days, Percentile 1000 scale)
    857
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,059
  • Avg Win
    $1,257
  • Sum Trade PL (losers)
    $183,239.000
  • Age
  • Num Months filled monthly returns table
    33
  • Win / Loss
  • Sum Trade PL (winners)
    $359,566.000
  • # Winners
    286
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    1141
  • Win / Loss
  • # Losers
    173
  • % Winners
    62.3%
  • Frequency
  • Avg Position Time (mins)
    32251.50
  • Avg Position Time (hrs)
    537.53
  • Avg Trade Length
    22.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.83
  • Daily leverage (max)
    2.17
  • Regression
  • Alpha
    0.08
  • Beta
    0.74
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.08
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.705
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.738
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.766
  • Hold-and-Hope Ratio
    0.280
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42143
  • SD
    0.36446
  • Sharpe ratio (Glass type estimate)
    1.15629
  • Sharpe ratio (Hedges UMVUE)
    1.12805
  • df
    31.00000
  • t
    1.88821
  • p
    0.03419
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08645
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38149
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10459
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.36068
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.48870
  • Upside Potential Ratio
    3.88289
  • Upside part of mean
    0.65751
  • Downside part of mean
    -0.23609
  • Upside SD
    0.33883
  • Downside SD
    0.16934
  • N nonnegative terms
    24.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.10636
  • Mean of criterion
    0.42143
  • SD of predictor
    0.16648
  • SD of criterion
    0.36446
  • Covariance
    0.03616
  • r
    0.59591
  • b (slope, estimate of beta)
    1.30462
  • a (intercept, estimate of alpha)
    0.28267
  • Mean Square Error
    0.08852
  • DF error
    30.00000
  • t(b)
    4.06444
  • p(b)
    0.00016
  • t(a)
    1.52494
  • p(a)
    0.06887
  • Lowerbound of 95% confidence interval for beta
    0.64908
  • Upperbound of 95% confidence interval for beta
    1.96016
  • Lowerbound of 95% confidence interval for alpha
    -0.09590
  • Upperbound of 95% confidence interval for alpha
    0.66124
  • Treynor index (mean / b)
    0.32303
  • Jensen alpha (a)
    0.28267
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35479
  • SD
    0.34603
  • Sharpe ratio (Glass type estimate)
    1.02532
  • Sharpe ratio (Hedges UMVUE)
    1.00028
  • df
    31.00000
  • t
    1.67435
  • p
    0.05206
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20941
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24428
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22550
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22606
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94085
  • Upside Potential Ratio
    3.31603
  • Upside part of mean
    0.60618
  • Downside part of mean
    -0.25139
  • Upside SD
    0.30507
  • Downside SD
    0.18280
  • N nonnegative terms
    24.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.09209
  • Mean of criterion
    0.35479
  • SD of predictor
    0.16864
  • SD of criterion
    0.34603
  • Covariance
    0.03618
  • r
    0.62001
  • b (slope, estimate of beta)
    1.27216
  • a (intercept, estimate of alpha)
    0.23764
  • Mean Square Error
    0.07617
  • DF error
    30.00000
  • t(b)
    4.32827
  • p(b)
    0.00008
  • t(a)
    1.38844
  • p(a)
    0.08761
  • Lowerbound of 95% confidence interval for beta
    0.67190
  • Upperbound of 95% confidence interval for beta
    1.87242
  • Lowerbound of 95% confidence interval for alpha
    -0.11191
  • Upperbound of 95% confidence interval for alpha
    0.58719
  • Treynor index (mean / b)
    0.27889
  • Jensen alpha (a)
    0.23764
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12606
  • Expected Shortfall on VaR
    0.16122
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02660
  • Expected Shortfall on VaR
    0.06425
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.80658
  • Quartile 1
    1.00325
  • Median
    1.02198
  • Quartile 3
    1.05847
  • Maximum
    1.29648
  • Mean of quarter 1
    0.92363
  • Mean of quarter 2
    1.01011
  • Mean of quarter 3
    1.03935
  • Mean of quarter 4
    1.17669
  • Inter Quartile Range
    0.05522
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.09375
  • Mean of outliers low
    0.86422
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.24951
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.36048
  • VaR(95%) (regression method)
    0.06222
  • Expected Shortfall (regression method)
    0.08373
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00503
  • Quartile 1
    0.06060
  • Median
    0.07056
  • Quartile 3
    0.10608
  • Maximum
    0.19342
  • Mean of quarter 1
    0.03124
  • Mean of quarter 2
    0.07004
  • Mean of quarter 3
    0.07108
  • Mean of quarter 4
    0.15558
  • Inter Quartile Range
    0.04548
  • 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
    0.16667
  • 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)
    0.66550
  • Compounded annual return (geometric extrapolation)
    0.46624
  • Calmar ratio (compounded annual return / max draw down)
    2.41044
  • Compounded annual return / average of 25% largest draw downs
    2.99671
  • Compounded annual return / Expected Shortfall lognormal
    2.89200
  • 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
    0.39055
  • SD
    0.26951
  • Sharpe ratio (Glass type estimate)
    1.44909
  • Sharpe ratio (Hedges UMVUE)
    1.44753
  • df
    698.00000
  • t
    2.36692
  • p
    0.00910
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24624
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65094
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24519
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64987
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.53163
  • Upside Potential Ratio
    9.67761
  • Upside part of mean
    1.49294
  • Downside part of mean
    -1.10239
  • Upside SD
    0.22207
  • Downside SD
    0.15427
  • N nonnegative terms
    358.00000
  • N negative terms
    341.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    699.00000
  • Mean of predictor
    0.11064
  • Mean of criterion
    0.39055
  • SD of predictor
    0.19262
  • SD of criterion
    0.26951
  • Covariance
    0.02606
  • r
    0.50202
  • b (slope, estimate of beta)
    0.70242
  • a (intercept, estimate of alpha)
    0.31300
  • Mean Square Error
    0.05441
  • DF error
    697.00000
  • t(b)
    15.32480
  • p(b)
    -0.00000
  • t(a)
    2.18925
  • p(a)
    0.01445
  • Lowerbound of 95% confidence interval for beta
    0.61243
  • Upperbound of 95% confidence interval for beta
    0.79241
  • Lowerbound of 95% confidence interval for alpha
    0.03228
  • Upperbound of 95% confidence interval for alpha
    0.59339
  • Treynor index (mean / b)
    0.55600
  • Jensen alpha (a)
    0.31283
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35461
  • SD
    0.26608
  • Sharpe ratio (Glass type estimate)
    1.33271
  • Sharpe ratio (Hedges UMVUE)
    1.33128
  • df
    698.00000
  • t
    2.17683
  • p
    0.01491
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13029
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53424
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12931
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53325
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.25901
  • Upside Potential Ratio
    9.35852
  • Upside part of mean
    1.46906
  • Downside part of mean
    -1.11445
  • Upside SD
    0.21572
  • Downside SD
    0.15698
  • N nonnegative terms
    358.00000
  • N negative terms
    341.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    699.00000
  • Mean of predictor
    0.09203
  • Mean of criterion
    0.35461
  • SD of predictor
    0.19304
  • SD of criterion
    0.26608
  • Covariance
    0.02580
  • r
    0.50234
  • b (slope, estimate of beta)
    0.69242
  • a (intercept, estimate of alpha)
    0.29089
  • Mean Square Error
    0.05301
  • DF error
    697.00000
  • t(b)
    15.33780
  • p(b)
    -0.00000
  • t(a)
    2.06274
  • p(a)
    0.01975
  • Lowerbound of 95% confidence interval for beta
    0.60379
  • Upperbound of 95% confidence interval for beta
    0.78106
  • Lowerbound of 95% confidence interval for alpha
    0.01401
  • Upperbound of 95% confidence interval for alpha
    0.56776
  • Treynor index (mean / b)
    0.51213
  • Jensen alpha (a)
    0.29089
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02536
  • Expected Shortfall on VaR
    0.03201
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00945
  • Expected Shortfall on VaR
    0.01943
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    699.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99542
  • Median
    1.00027
  • Quartile 3
    1.00641
  • Maximum
    1.10903
  • Mean of quarter 1
    0.98503
  • Mean of quarter 2
    0.99838
  • Mean of quarter 3
    1.00298
  • Mean of quarter 4
    1.02000
  • Inter Quartile Range
    0.01099
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.05150
  • Mean of outliers low
    0.96674
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.06724
  • Mean of outliers high
    1.04275
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31436
  • VaR(95%) (moments method)
    0.01385
  • Expected Shortfall (moments method)
    0.02457
  • Extreme Value Index (regression method)
    0.04109
  • VaR(95%) (regression method)
    0.01397
  • Expected Shortfall (regression method)
    0.02025
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    53.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00367
  • Median
    0.01055
  • Quartile 3
    0.03384
  • Maximum
    0.27175
  • Mean of quarter 1
    0.00160
  • Mean of quarter 2
    0.00816
  • Mean of quarter 3
    0.02176
  • Mean of quarter 4
    0.10028
  • Inter Quartile Range
    0.03017
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.13207
  • Mean of outliers high
    0.13924
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.16529
  • VaR(95%) (moments method)
    0.08986
  • Expected Shortfall (moments method)
    0.13784
  • Extreme Value Index (regression method)
    0.18699
  • VaR(95%) (regression method)
    0.09742
  • Expected Shortfall (regression method)
    0.15262
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.66518
  • Compounded annual return (geometric extrapolation)
    0.46597
  • Calmar ratio (compounded annual return / max draw down)
    1.71471
  • Compounded annual return / average of 25% largest draw downs
    4.64660
  • Compounded annual return / Expected Shortfall lognormal
    14.55600
  • 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
    0.60798
  • SD
    0.35054
  • Sharpe ratio (Glass type estimate)
    1.73439
  • Sharpe ratio (Hedges UMVUE)
    1.72436
  • df
    130.00000
  • t
    1.22640
  • p
    0.44653
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04870
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.51093
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05536
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.50408
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.01909
  • Upside Potential Ratio
    11.51390
  • Upside part of mean
    2.31864
  • Downside part of mean
    -1.71066
  • Upside SD
    0.28775
  • Downside SD
    0.20138
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00796
  • Mean of criterion
    0.60798
  • SD of predictor
    0.22860
  • SD of criterion
    0.35054
  • Covariance
    0.04397
  • r
    0.54869
  • b (slope, estimate of beta)
    0.84138
  • a (intercept, estimate of alpha)
    0.61467
  • Mean Square Error
    0.08655
  • DF error
    129.00000
  • t(b)
    7.45418
  • p(b)
    0.16911
  • t(a)
    1.47737
  • p(a)
    0.41811
  • Lowerbound of 95% confidence interval for beta
    0.61805
  • Upperbound of 95% confidence interval for beta
    1.06470
  • Lowerbound of 95% confidence interval for alpha
    -0.20851
  • Upperbound of 95% confidence interval for alpha
    1.43785
  • Treynor index (mean / b)
    0.72260
  • Jensen alpha (a)
    0.61467
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54715
  • SD
    0.34707
  • Sharpe ratio (Glass type estimate)
    1.57648
  • Sharpe ratio (Hedges UMVUE)
    1.56736
  • df
    130.00000
  • t
    1.11474
  • p
    0.45135
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.35188
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21098
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.34571
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.67139
  • Upside Potential Ratio
    11.12390
  • Upside part of mean
    2.27837
  • Downside part of mean
    -1.73122
  • Upside SD
    0.28059
  • Downside SD
    0.20482
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03381
  • Mean of criterion
    0.54715
  • SD of predictor
    0.22809
  • SD of criterion
    0.34707
  • Covariance
    0.04348
  • r
    0.54919
  • b (slope, estimate of beta)
    0.83565
  • a (intercept, estimate of alpha)
    0.57540
  • Mean Square Error
    0.08478
  • DF error
    129.00000
  • t(b)
    7.46391
  • p(b)
    0.16885
  • t(a)
    1.39731
  • p(a)
    0.42246
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.61414
  • Upperbound of 95% confidence interval for beta
    1.05716
  • Lowerbound of 95% confidence interval for alpha
    -0.23934
  • Upperbound of 95% confidence interval for alpha
    1.39014
  • Treynor index (mean / b)
    0.65476
  • Jensen alpha (a)
    0.57540
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03264
  • Expected Shortfall on VaR
    0.04123
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01562
  • Expected Shortfall on VaR
    0.02917
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94870
  • Quartile 1
    0.99082
  • Median
    0.99973
  • Quartile 3
    1.01222
  • Maximum
    1.08320
  • Mean of quarter 1
    0.97896
  • Mean of quarter 2
    0.99535
  • Mean of quarter 3
    1.00576
  • Mean of quarter 4
    1.02974
  • Inter Quartile Range
    0.02140
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.95055
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.06722
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19257
  • VaR(95%) (moments method)
    0.02145
  • Expected Shortfall (moments method)
    0.03245
  • Extreme Value Index (regression method)
    -0.10072
  • VaR(95%) (regression method)
    0.02292
  • Expected Shortfall (regression method)
    0.02999
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00594
  • Median
    0.00855
  • Quartile 3
    0.03810
  • Maximum
    0.27175
  • Mean of quarter 1
    0.00296
  • Mean of quarter 2
    0.00776
  • Mean of quarter 3
    0.01464
  • Mean of quarter 4
    0.14246
  • Inter Quartile Range
    0.03216
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.19162
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.86936
  • VaR(95%) (moments method)
    0.12429
  • Expected Shortfall (moments method)
    0.12542
  • Extreme Value Index (regression method)
    0.25101
  • VaR(95%) (regression method)
    0.30140
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.55002
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -301689000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.66625
  • Compounded annual return (geometric extrapolation)
    0.77723
  • Calmar ratio (compounded annual return / max draw down)
    2.86010
  • Compounded annual return / average of 25% largest draw downs
    5.45579
  • Compounded annual return / Expected Shortfall lognormal
    18.84890

Strategy Description

The strategy invests in US listed stocks with no restrictions in terms of sectors but the companies need to 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
$5,000
Rank at C2 
#96
# Trades
459
# Profitable
286
% Profitable
62.3%
Net Dividends
Correlation S&P500
0.506
Sharpe Ratio
1.15
Sortino Ratio
1.99
Beta
0.74
Alpha
0.08
Leverage
0.83 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.