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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

C2 slow steady
(142012072)

Created by: Patience_iskey Patience_iskey
Started: 10/2022
Stocks
Last trade: Today
Trading style: Equity Pairs Trading / Relative Value

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 $50.00 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.

Trading Category: Equity
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
30.9%
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.

(12.8%)
Max Drawdown
239
Num Trades
82.0%
Win Trades
2.2 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                               +5.4%(3.7%)(5.9%)(4.5%)
2023+15.4%(3.6%)+7.8%+2.9%+1.1%+2.3%+9.1%(3.3%)(5.1%)(2%)+14.6%      +43.4%

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/28/23 10:36 NVDA NVIDIA LONG 8 475.00 11/29 9:30 483.87 n/a $71
Includes Typical Broker Commissions trade costs of $0.16
11/22/23 10:16 TSLA TESLA INC. LONG 10 234.63 11/28 13:27 243.44 0.05%
Trade id #146510594
Max drawdown($32)
Time11/22/23 14:39
Quant open10
Worst price231.40
Drawdown as % of equity-0.05%
 $88
Includes Typical Broker Commissions trade costs of $0.20
8/1/23 10:25 BAC BANK OF AMERICA CORPORATION LONG 150 28.70 11/28 10:55 29.68 0.96%
Trade id #145392913
Max drawdown($561)
Time10/27/23 0:00
Quant open150
Worst price24.96
Drawdown as % of equity-0.96%
 $144
Includes Typical Broker Commissions trade costs of $3.00
5/19/23 9:34 FL FOOT LOCKER LONG 300 21.22 11/27 11:04 22.69 2.46%
Trade id #144674071
Max drawdown($1,521)
Time8/23/23 0:00
Quant open90
Worst price14.84
Drawdown as % of equity-2.46%
 $434
Includes Typical Broker Commissions trade costs of $6.00
7/12/23 9:49 COIN COINBASE GLOBAL INC. CLASS A LONG 160 97.86 11/27 10:18 102.83 1.89%
Trade id #145184267
Max drawdown($1,129)
Time9/25/23 0:00
Quant open40
Worst price69.63
Drawdown as % of equity-1.89%
 $793
Includes Typical Broker Commissions trade costs of $3.20
9/7/23 9:44 AAPL APPLE LONG 30 174.45 11/10 15:46 182.22 0.38%
Trade id #145758502
Max drawdown($224)
Time10/26/23 0:00
Quant open20
Worst price165.67
Drawdown as % of equity-0.38%
 $232
Includes Typical Broker Commissions trade costs of $0.60
8/9/23 10:13 AMD ADVANCED MICRO DEVICES INC. C LONG 165 105.88 11/8 9:42 109.44 1.53%
Trade id #145481327
Max drawdown($913)
Time9/25/23 0:00
Quant open80
Worst price94.46
Drawdown as % of equity-1.53%
 $585
Includes Typical Broker Commissions trade costs of $3.30
9/20/23 10:00 SHOP SHOPIFY INC LONG 80 54.96 11/7 9:32 58.64 1.28%
Trade id #145877465
Max drawdown($756)
Time10/31/23 0:00
Quant open80
Worst price45.50
Drawdown as % of equity-1.28%
 $293
Includes Typical Broker Commissions trade costs of $1.60
10/26/23 9:35 GOOGL ALPHABET INC CLASS A LONG 35 123.62 11/6 10:29 129.35 0.2%
Trade id #146243422
Max drawdown($119)
Time10/27/23 0:00
Quant open35
Worst price120.21
Drawdown as % of equity-0.20%
 $199
Includes Typical Broker Commissions trade costs of $0.70
7/17/23 10:34 MSFT MICROSOFT LONG 20 344.14 11/6 9:31 358.36 0.59%
Trade id #145235437
Max drawdown($346)
Time9/28/23 0:00
Quant open10
Worst price309.45
Drawdown as % of equity-0.59%
 $284
Includes Typical Broker Commissions trade costs of $0.40
10/26/23 9:34 AMZN AMAZON.COM LONG 35 121.45 10/27 9:45 128.67 0.18%
Trade id #146243384
Max drawdown($108)
Time10/26/23 10:11
Quant open35
Worst price118.35
Drawdown as % of equity-0.18%
 $252
Includes Typical Broker Commissions trade costs of $0.70
10/24/23 9:30 INTC INTEL LONG 100 33.72 10/27 9:32 35.69 0.27%
Trade id #146217436
Max drawdown($157)
Time10/26/23 0:00
Quant open100
Worst price32.15
Drawdown as % of equity-0.27%
 $195
Includes Typical Broker Commissions trade costs of $2.00
8/7/23 9:33 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 60 139.81 9/18 9:49 142.54 1.61%
Trade id #145457800
Max drawdown($985)
Time8/18/23 0:00
Quant open60
Worst price123.38
Drawdown as % of equity-1.61%
 $163
Includes Typical Broker Commissions trade costs of $1.20
8/8/23 9:30 SHOP SHOPIFY INC LONG 60 56.45 9/11 14:00 65.25 0.52%
Trade id #145469214
Max drawdown($315)
Time8/18/23 0:00
Quant open60
Worst price51.20
Drawdown as % of equity-0.52%
 $527
Includes Typical Broker Commissions trade costs of $1.20
8/17/23 9:30 META META PLATFORMS INC. CLASS A LONG 10 293.00 9/11 13:48 307.21 0.3%
Trade id #145560043
Max drawdown($186)
Time8/18/23 0:00
Quant open10
Worst price274.38
Drawdown as % of equity-0.30%
 $142
Includes Typical Broker Commissions trade costs of $0.20
8/17/23 9:30 AMZN AMAZON.COM LONG 30 135.38 9/1 9:30 139.68 0.24%
Trade id #145560040
Max drawdown($144)
Time8/25/23 0:00
Quant open30
Worst price130.58
Drawdown as % of equity-0.24%
 $128
Includes Typical Broker Commissions trade costs of $0.60
8/7/23 9:31 TSLA TESLA INC. LONG 30 249.46 8/30 12:18 258.13 1.82%
Trade id #145457701
Max drawdown($1,112)
Time8/18/23 0:00
Quant open30
Worst price212.36
Drawdown as % of equity-1.82%
 $259
Includes Typical Broker Commissions trade costs of $0.60
8/7/23 9:47 AAPL APPLE LONG 20 179.13 8/30 9:30 185.21 0.23%
Trade id #145458244
Max drawdown($143)
Time8/18/23 0:00
Quant open20
Worst price171.96
Drawdown as % of equity-0.23%
 $122
Includes Typical Broker Commissions trade costs of $0.40
7/12/23 9:30 MAT MATTEL LONG 100 21.94 8/28 9:46 22.08 0.25%
Trade id #145183075
Max drawdown($163)
Time8/4/23 0:00
Quant open100
Worst price20.30
Drawdown as % of equity-0.25%
 $12
Includes Typical Broker Commissions trade costs of $2.00
8/9/23 10:20 NVDA NVIDIA LONG 10 434.30 8/15 9:30 445.63 0.49%
Trade id #145481458
Max drawdown($311)
Time8/14/23 0:00
Quant open10
Worst price403.11
Drawdown as % of equity-0.49%
 $113
Includes Typical Broker Commissions trade costs of $0.20
5/2/23 9:30 XOM EXXON MOBIL LONG 170 107.03 8/9 10:04 108.08 1.42%
Trade id #144498940
Max drawdown($840)
Time5/16/23 0:00
Quant open110
Worst price102.02
Drawdown as % of equity-1.42%
 $176
Includes Typical Broker Commissions trade costs of $3.40
7/20/23 10:35 AMZN AMAZON.COM LONG 40 130.98 8/7 12:11 140.99 0.3%
Trade id #145273177
Max drawdown($194)
Time7/26/23 0:00
Quant open40
Worst price126.11
Drawdown as % of equity-0.30%
 $399
Includes Typical Broker Commissions trade costs of $0.80
8/2/23 11:10 AMD ADVANCED MICRO DEVICES INC. C LONG 40 109.99 8/7 9:43 117.45 0.16%
Trade id #145406301
Max drawdown($104)
Time8/2/23 12:12
Quant open40
Worst price107.38
Drawdown as % of equity-0.16%
 $297
Includes Typical Broker Commissions trade costs of $0.80
7/27/23 11:28 NVO NOVO-NORDISK LONG 40 157.00 7/31 10:10 161.21 0.07%
Trade id #145343099
Max drawdown($43)
Time7/28/23 0:00
Quant open40
Worst price155.91
Drawdown as % of equity-0.07%
 $167
Includes Typical Broker Commissions trade costs of $0.80
6/22/23 15:16 STNE STONECO LTD. CLASS A COMMON SHARES LONG 180 13.71 7/28 14:53 12.90 0.53%
Trade id #145008244
Max drawdown($333)
Time7/5/23 0:00
Quant open180
Worst price11.86
Drawdown as % of equity-0.53%
 ($149)
Includes Typical Broker Commissions trade costs of $3.60
7/17/23 9:41 AMD ADVANCED MICRO DEVICES INC. C LONG 120 114.05 7/28 11:23 115.64 0.68%
Trade id #145234444
Max drawdown($440)
Time7/24/23 0:00
Quant open80
Worst price108.55
Drawdown as % of equity-0.68%
 $189
Includes Typical Broker Commissions trade costs of $2.40
7/3/23 10:01 AAPL APPLE LONG 50 190.55 7/27 9:41 195.72 0.26%
Trade id #145099679
Max drawdown($161)
Time7/11/23 0:00
Quant open25
Worst price186.60
Drawdown as % of equity-0.26%
 $258
Includes Typical Broker Commissions trade costs of $1.00
7/19/23 14:59 IBKR INTERACTIVE BROKERS GROUP LONG 50 82.36 7/26 14:58 85.65 0.09%
Trade id #145265648
Max drawdown($60)
Time7/20/23 0:00
Quant open50
Worst price81.16
Drawdown as % of equity-0.09%
 $164
Includes Typical Broker Commissions trade costs of $1.00
7/19/23 13:05 GOOGL ALPHABET INC CLASS A LONG 25 122.31 7/26 9:30 130.31 0.16%
Trade id #145264696
Max drawdown($102)
Time7/20/23 0:00
Quant open25
Worst price118.22
Drawdown as % of equity-0.16%
 $200
Includes Typical Broker Commissions trade costs of $0.50
7/14/23 9:54 BAC BANK OF AMERICA CORPORATION LONG 100 29.84 7/21 11:18 31.80 0.12%
Trade id #145219326
Max drawdown($79)
Time7/14/23 15:46
Quant open100
Worst price29.05
Drawdown as % of equity-0.12%
 $194
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    10/3/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    423.41
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    239
  • # Profitable
    196
  • % Profitable
    82.00%
  • Avg trade duration
    16.8 days
  • Max peak-to-valley drawdown
    12.84%
  • drawdown period
    Aug 01, 2023 - Oct 26, 2023
  • Annual Return (Compounded)
    30.9%
  • Avg win
    $184.60
  • Avg loss
    $382.33
  • Model Account Values (Raw)
  • Cash
    $47,738
  • Margin Used
    $0
  • Buying Power
    $42,377
  • Ratios
  • W:L ratio
    2.23:1
  • Sharpe Ratio
    1.27
  • Sortino Ratio
    2.19
  • Calmar Ratio
    3.114
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    12.78%
  • Correlation to SP500
    0.48680
  • Return Percent SP500 (cumu) during strategy life
    24.18%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    30.9%
  • Slump
  • Current Slump as Pcnt Equity
    1.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.309%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    33.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    14.00%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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)
    781
  • Popularity (Last 6 weeks)
    927
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    913
  • Popularity (7 days, Percentile 1000 scale)
    936
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $382
  • Avg Win
    $185
  • Sum Trade PL (losers)
    $16,440.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $36,181.000
  • # Winners
    196
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    443
  • AUM
  • AUM (AutoTrader live capital)
    52304
  • Win / Loss
  • # Losers
    43
  • % Winners
    82.0%
  • Frequency
  • Avg Position Time (mins)
    24202.30
  • Avg Position Time (hrs)
    403.37
  • Avg Trade Length
    16.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.89
  • Daily leverage (max)
    1.81
  • Regression
  • Alpha
    0.05
  • Beta
    0.52
  • 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)
    1.22
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.774
  • 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
    1.350
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.397
  • Hold-and-Hope Ratio
    0.267
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25327
  • SD
    0.22579
  • Sharpe ratio (Glass type estimate)
    1.12171
  • Sharpe ratio (Hedges UMVUE)
    1.04986
  • df
    12.00000
  • t
    1.16752
  • p
    0.34031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83483
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.03452
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87949
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97921
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29425
  • Upside Potential Ratio
    3.98849
  • Upside part of mean
    0.44030
  • Downside part of mean
    -0.18703
  • Upside SD
    0.20054
  • Downside SD
    0.11039
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.14193
  • Mean of criterion
    0.25327
  • SD of predictor
    0.15247
  • SD of criterion
    0.22579
  • Covariance
    0.02379
  • r
    0.69095
  • b (slope, estimate of beta)
    1.02321
  • a (intercept, estimate of alpha)
    0.10805
  • Mean Square Error
    0.02906
  • DF error
    11.00000
  • t(b)
    3.17007
  • p(b)
    0.00446
  • t(a)
    0.63529
  • p(a)
    0.26912
  • Lowerbound of 95% confidence interval for beta
    0.31279
  • Upperbound of 95% confidence interval for beta
    1.73362
  • Lowerbound of 95% confidence interval for alpha
    -0.26629
  • Upperbound of 95% confidence interval for alpha
    0.48239
  • Treynor index (mean / b)
    0.24752
  • Jensen alpha (a)
    0.10805
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22772
  • SD
    0.21980
  • Sharpe ratio (Glass type estimate)
    1.03603
  • Sharpe ratio (Hedges UMVUE)
    0.96966
  • df
    12.00000
  • t
    1.07834
  • p
    0.35139
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91150
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94287
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95295
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.89228
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.98828
  • Upside Potential Ratio
    3.67332
  • Upside part of mean
    0.42070
  • Downside part of mean
    -0.19299
  • Upside SD
    0.18921
  • Downside SD
    0.11453
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.13027
  • Mean of criterion
    0.22772
  • SD of predictor
    0.15110
  • SD of criterion
    0.21980
  • Covariance
    0.02340
  • r
    0.70462
  • b (slope, estimate of beta)
    1.02496
  • a (intercept, estimate of alpha)
    0.09420
  • Mean Square Error
    0.02654
  • DF error
    11.00000
  • t(b)
    3.29346
  • p(b)
    0.00358
  • t(a)
    0.58264
  • p(a)
    0.28594
  • Lowerbound of 95% confidence interval for beta
    0.33999
  • Upperbound of 95% confidence interval for beta
    1.70993
  • Lowerbound of 95% confidence interval for alpha
    -0.26165
  • Upperbound of 95% confidence interval for alpha
    0.45004
  • Treynor index (mean / b)
    0.22217
  • Jensen alpha (a)
    0.09420
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08185
  • Expected Shortfall on VaR
    0.10562
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03026
  • Expected Shortfall on VaR
    0.06162
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.91492
  • Quartile 1
    0.98678
  • Median
    1.03380
  • Quartile 3
    1.05522
  • Maximum
    1.16140
  • Mean of quarter 1
    0.95284
  • Mean of quarter 2
    1.01246
  • Mean of quarter 3
    1.04914
  • Mean of quarter 4
    1.10282
  • Inter Quartile Range
    0.06844
  • 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
    0.07692
  • Mean of outliers high
    1.16140
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.59939
  • VaR(95%) (moments method)
    0.04006
  • Expected Shortfall (moments method)
    0.04163
  • Extreme Value Index (regression method)
    -0.69480
  • VaR(95%) (regression method)
    0.08084
  • Expected Shortfall (regression method)
    0.09261
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01322
  • Quartile 1
    0.05023
  • Median
    0.08724
  • Quartile 3
    0.08796
  • Maximum
    0.08868
  • Mean of quarter 1
    0.01322
  • Mean of quarter 2
    0.08724
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08868
  • Inter Quartile Range
    0.03773
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29452
  • Compounded annual return (geometric extrapolation)
    0.29127
  • Calmar ratio (compounded annual return / max draw down)
    3.28453
  • Compounded annual return / average of 25% largest draw downs
    3.28453
  • Compounded annual return / Expected Shortfall lognormal
    2.75761
  • 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
    0.28285
  • SD
    0.17574
  • Sharpe ratio (Glass type estimate)
    1.60952
  • Sharpe ratio (Hedges UMVUE)
    1.60551
  • df
    301.00000
  • t
    1.72802
  • p
    0.04250
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22187
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.43829
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22455
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43556
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.83216
  • Upside Potential Ratio
    11.15480
  • Upside part of mean
    1.11403
  • Downside part of mean
    -0.83118
  • Upside SD
    0.14530
  • Downside SD
    0.09987
  • N nonnegative terms
    145.00000
  • N negative terms
    157.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    302.00000
  • Mean of predictor
    0.17339
  • Mean of criterion
    0.28285
  • SD of predictor
    0.16413
  • SD of criterion
    0.17574
  • Covariance
    0.01371
  • r
    0.47544
  • b (slope, estimate of beta)
    0.50905
  • a (intercept, estimate of alpha)
    0.19500
  • Mean Square Error
    0.02398
  • DF error
    300.00000
  • t(b)
    9.36058
  • p(b)
    0.00000
  • t(a)
    1.34618
  • p(a)
    0.08963
  • Lowerbound of 95% confidence interval for beta
    0.40203
  • Upperbound of 95% confidence interval for beta
    0.61607
  • Lowerbound of 95% confidence interval for alpha
    -0.08987
  • Upperbound of 95% confidence interval for alpha
    0.47904
  • Treynor index (mean / b)
    0.55564
  • Jensen alpha (a)
    0.19459
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26742
  • SD
    0.17460
  • Sharpe ratio (Glass type estimate)
    1.53165
  • Sharpe ratio (Hedges UMVUE)
    1.52783
  • df
    301.00000
  • t
    1.64442
  • p
    0.05057
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29926
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36004
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30180
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35746
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65683
  • Upside Potential Ratio
    10.96380
  • Upside part of mean
    1.10356
  • Downside part of mean
    -0.83613
  • Upside SD
    0.14327
  • Downside SD
    0.10065
  • N nonnegative terms
    145.00000
  • N negative terms
    157.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    302.00000
  • Mean of predictor
    0.15996
  • Mean of criterion
    0.26742
  • SD of predictor
    0.16354
  • SD of criterion
    0.17460
  • Covariance
    0.01365
  • r
    0.47802
  • b (slope, estimate of beta)
    0.51034
  • a (intercept, estimate of alpha)
    0.18579
  • Mean Square Error
    0.02360
  • DF error
    300.00000
  • t(b)
    9.42640
  • p(b)
    0.00000
  • t(a)
    1.29615
  • p(a)
    0.09796
  • Lowerbound of 95% confidence interval for beta
    0.40380
  • Upperbound of 95% confidence interval for beta
    0.61688
  • Lowerbound of 95% confidence interval for alpha
    -0.09629
  • Upperbound of 95% confidence interval for alpha
    0.46787
  • Treynor index (mean / b)
    0.52401
  • Jensen alpha (a)
    0.18579
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01658
  • Expected Shortfall on VaR
    0.02100
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00752
  • Expected Shortfall on VaR
    0.01424
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    302.00000
  • Minimum
    0.97193
  • Quartile 1
    0.99527
  • Median
    1.00000
  • Quartile 3
    1.00548
  • Maximum
    1.05360
  • Mean of quarter 1
    0.98919
  • Mean of quarter 2
    0.99840
  • Mean of quarter 3
    1.00223
  • Mean of quarter 4
    1.01490
  • Inter Quartile Range
    0.01021
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.01656
  • Mean of outliers low
    0.97648
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.05298
  • Mean of outliers high
    1.03022
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10679
  • VaR(95%) (moments method)
    0.01039
  • Expected Shortfall (moments method)
    0.01330
  • Extreme Value Index (regression method)
    -0.10059
  • VaR(95%) (regression method)
    0.01041
  • Expected Shortfall (regression method)
    0.01335
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00201
  • Quartile 1
    0.00830
  • Median
    0.01881
  • Quartile 3
    0.03758
  • Maximum
    0.11034
  • Mean of quarter 1
    0.00556
  • Mean of quarter 2
    0.01597
  • Mean of quarter 3
    0.02585
  • Mean of quarter 4
    0.08233
  • Inter Quartile Range
    0.02928
  • 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
    0.11765
  • Mean of outliers high
    0.11028
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.52362
  • VaR(95%) (moments method)
    0.08102
  • Expected Shortfall (moments method)
    0.09296
  • Extreme Value Index (regression method)
    -4.08008
  • VaR(95%) (regression method)
    0.11720
  • Expected Shortfall (regression method)
    0.11726
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.35182
  • Compounded annual return (geometric extrapolation)
    0.34357
  • Calmar ratio (compounded annual return / max draw down)
    3.11377
  • Compounded annual return / average of 25% largest draw downs
    4.17284
  • Compounded annual return / Expected Shortfall lognormal
    16.36230
  • 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
    0.29407
  • SD
    0.19098
  • Sharpe ratio (Glass type estimate)
    1.53977
  • Sharpe ratio (Hedges UMVUE)
    1.53087
  • df
    130.00000
  • t
    1.08878
  • p
    0.45247
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24125
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.31499
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24718
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.30891
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57085
  • Upside Potential Ratio
    11.18680
  • Upside part of mean
    1.27960
  • Downside part of mean
    -0.98553
  • Upside SD
    0.15310
  • Downside SD
    0.11438
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14431
  • Mean of criterion
    0.29407
  • SD of predictor
    0.11793
  • SD of criterion
    0.19098
  • Covariance
    0.01428
  • r
    0.63384
  • b (slope, estimate of beta)
    1.02649
  • a (intercept, estimate of alpha)
    0.14593
  • Mean Square Error
    0.02199
  • DF error
    129.00000
  • t(b)
    9.30754
  • p(b)
    0.12543
  • t(a)
    0.69389
  • p(a)
    0.46120
  • Lowerbound of 95% confidence interval for beta
    0.80828
  • Upperbound of 95% confidence interval for beta
    1.24469
  • Lowerbound of 95% confidence interval for alpha
    -0.27018
  • Upperbound of 95% confidence interval for alpha
    0.56204
  • Treynor index (mean / b)
    0.28648
  • Jensen alpha (a)
    0.14593
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27591
  • SD
    0.18998
  • Sharpe ratio (Glass type estimate)
    1.45236
  • Sharpe ratio (Hedges UMVUE)
    1.44397
  • df
    130.00000
  • t
    1.02697
  • p
    0.45515
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32772
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.22700
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33339
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.22132
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.39223
  • Upside Potential Ratio
    10.99340
  • Upside part of mean
    1.26795
  • Downside part of mean
    -0.99204
  • Upside SD
    0.15101
  • Downside SD
    0.11534
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13736
  • Mean of criterion
    0.27591
  • SD of predictor
    0.11788
  • SD of criterion
    0.18998
  • Covariance
    0.01423
  • r
    0.63530
  • b (slope, estimate of beta)
    1.02388
  • a (intercept, estimate of alpha)
    0.13527
  • Mean Square Error
    0.02169
  • DF error
    129.00000
  • t(b)
    9.34340
  • p(b)
    0.12471
  • t(a)
    0.64777
  • p(a)
    0.46377
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.80707
  • Upperbound of 95% confidence interval for beta
    1.24070
  • Lowerbound of 95% confidence interval for alpha
    -0.27790
  • Upperbound of 95% confidence interval for alpha
    0.54844
  • Treynor index (mean / b)
    0.26948
  • Jensen alpha (a)
    0.13527
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01809
  • Expected Shortfall on VaR
    0.02288
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00810
  • Expected Shortfall on VaR
    0.01538
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97193
  • Quartile 1
    0.99379
  • Median
    1.00110
  • Quartile 3
    1.00675
  • Maximum
    1.05040
  • Mean of quarter 1
    0.98735
  • Mean of quarter 2
    0.99809
  • Mean of quarter 3
    1.00389
  • Mean of quarter 4
    1.01567
  • Inter Quartile Range
    0.01296
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.97193
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.03306
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24601
  • VaR(95%) (moments method)
    0.01285
  • Expected Shortfall (moments method)
    0.01558
  • Extreme Value Index (regression method)
    -0.36870
  • VaR(95%) (regression method)
    0.01421
  • Expected Shortfall (regression method)
    0.01685
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00201
  • Quartile 1
    0.00687
  • Median
    0.01083
  • Quartile 3
    0.02350
  • Maximum
    0.11021
  • Mean of quarter 1
    0.00231
  • Mean of quarter 2
    0.00830
  • Mean of quarter 3
    0.01609
  • Mean of quarter 4
    0.07390
  • Inter Quartile Range
    0.01663
  • 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
    0.11021
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -317649000
  • Max Equity Drawdown (num days)
    86
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32811
  • Compounded annual return (geometric extrapolation)
    0.35503
  • Calmar ratio (compounded annual return / max draw down)
    3.22120
  • Compounded annual return / average of 25% largest draw downs
    4.80435
  • Compounded annual return / Expected Shortfall lognormal
    15.51610

Strategy Description

The C2 Slow and Steady trading strategy is built upon the principles of patience, long-term investment, and a strong belief in carefully selected companies. With a focus on steady growth and minimizing risk, this strategy aims to provide reliable and consistent performance for investors seeking stable returns.

Long-term Approach: The strategy is designed for long-term investors who are willing to hold positions for extended periods. It emphasizes the importance of giving the selected companies ample time to fulfill their potential.

Daily Order Placement: The strategy typically places orders on a daily basis to take advantage of short-term fluctuations while maintaining a long-term investment horizon. However, the overarching philosophy remains focused on the big picture.

Limited Diversification: The strategy typically maintains a manageable number of positions, with a maximum of 20 different companies in the portfolio at any given time. This approach allows for better monitoring and analysis of each investment.

No Short Positions: The strategy does not engage in short selling, thereby avoiding potential higher risks associated with short positions.

Fundamental Belief in Companies: Investments are made in companies that the strategy's creator firmly believes in, based on thorough fundamental analysis. The focus is on selecting strong, well-established companies with solid growth prospects.

Patient Risk Management: Emphasizing patience and discipline, the strategy avoids making impulsive decisions during market downturns or euphoria. Losses are managed carefully, and exits are only executed when there is a strong conviction that a company's potential has diminished.

Scaling Possibility: Investors have the option to scale their accounts, but the strategy creator suggests a minimum account size of 3K to ensure the timely execution of signals.

Risk and Reward:

The C2 Slow and Steady strategy aims for steady, consistent growth over time, rather than chasing quick gains. By focusing on fundamentally strong companies and exercising patience, the strategy seeks to limit downside risk while participating in potential long-term upsides. Investors should be prepared for moderate volatility in the short term but can expect a smoother equity curve over the long run.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-10-03
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 8.7%
Rank # 
#66
# Trades
239
# Profitable
196
% Profitable
82.0%
Net Dividends
$443
Correlation S&P500
0.487
Sharpe Ratio
1.27
Sortino Ratio
2.19
Beta
0.52
Alpha
0.05
Leverage
0.89 Average
1.81 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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