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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.

33.0%
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
931
Num Trades
55.1%
Win Trades
1.5 : 1
Profit Factor
60.4%
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%(1.7%)                                                +0.5%

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 498 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
4/22/24 11:30 ELAN ELANCO ANIMAL HEALTH INC LONG 388 12.84 4/23 12:14 13.50 0.01%
Trade id #147975735
Max drawdown($6)
Time4/22/24 11:42
Quant open388
Worst price12.82
Drawdown as % of equity-0.01%
$250
Includes Typical Broker Commissions trade costs of $7.76
4/19/24 9:30 ADSK AUTODESK LONG 25 210.70 4/23 12:12 218.12 n/a $185
Includes Typical Broker Commissions trade costs of $0.50
4/19/24 11:33 ZI ZOOMINFO TECHNOLOGIES INC LONG 580 15.86 4/22 11:04 15.52 0.27%
Trade id #147957671
Max drawdown($240)
Time4/22/24 9:34
Quant open580
Worst price15.44
Drawdown as % of equity-0.27%
($202)
Includes Typical Broker Commissions trade costs of $5.00
4/12/24 12:22 LULU LULULEMON ATHLETICA LONG 14 341.79 4/18 11:39 349.97 0.18%
Trade id #147888018
Max drawdown($156)
Time4/16/24 0:00
Quant open14
Worst price330.61
Drawdown as % of equity-0.18%
$115
Includes Typical Broker Commissions trade costs of $0.28
4/4/24 14:17 LW LAMB WESTON HOLDINGS INC LONG 75 81.25 4/17 12:21 80.59 0.31%
Trade id #147810623
Max drawdown($283)
Time4/8/24 0:00
Quant open55
Worst price77.41
Drawdown as % of equity-0.31%
($51)
Includes Typical Broker Commissions trade costs of $1.50
4/8/24 12:59 RBLX ROBLOX CORP LONG 240 38.37 4/16 14:47 36.77 0.61%
Trade id #147840393
Max drawdown($541)
Time4/16/24 9:47
Quant open240
Worst price36.11
Drawdown as % of equity-0.61%
($389)
Includes Typical Broker Commissions trade costs of $4.80
4/8/24 12:43 ALB ALBEMARLE LONG 70 131.08 4/15 9:35 124.35 0.69%
Trade id #147839979
Max drawdown($627)
Time4/12/24 0:00
Quant open70
Worst price122.11
Drawdown as % of equity-0.69%
($472)
Includes Typical Broker Commissions trade costs of $1.40
4/8/24 12:47 GMED GLOBUS MEDICAL LONG 170 53.14 4/15 9:33 52.38 0.34%
Trade id #147840188
Max drawdown($309)
Time4/12/24 0:00
Quant open170
Worst price51.32
Drawdown as % of equity-0.34%
($132)
Includes Typical Broker Commissions trade costs of $3.40
4/9/24 12:42 TSLA TESLA INC. LONG 52 174.84 4/15 9:33 168.86 0.37%
Trade id #147850670
Max drawdown($337)
Time4/15/24 9:32
Quant open52
Worst price168.36
Drawdown as % of equity-0.37%
($312)
Includes Typical Broker Commissions trade costs of $1.04
4/8/24 12:41 BMRN BIOMARIN PHARMACEUTICAL LONG 105 87.59 4/12 12:53 92.00 0.04%
Trade id #147839940
Max drawdown($37)
Time4/8/24 15:59
Quant open105
Worst price87.23
Drawdown as % of equity-0.04%
$461
Includes Typical Broker Commissions trade costs of $2.10
4/4/24 14:04 PINS PINTEREST INC LONG 260 35.44 4/10 12:50 33.54 0.57%
Trade id #147810344
Max drawdown($523)
Time4/10/24 12:00
Quant open260
Worst price33.42
Drawdown as % of equity-0.57%
($499)
Includes Typical Broker Commissions trade costs of $5.20
4/4/24 14:09 GFS GLOBALFOUNDRIES INC. ORDINARY SHARES LONG 175 52.48 4/5 9:41 49.97 0.49%
Trade id #147810407
Max drawdown($448)
Time4/5/24 9:41
Quant open175
Worst price49.92
Drawdown as % of equity-0.49%
($444)
Includes Typical Broker Commissions trade costs of $3.50
4/4/24 14:01 ST SENSATA TECHNOLOGIES LONG 250 36.91 4/5 9:40 35.80 0.35%
Trade id #147810198
Max drawdown($327)
Time4/5/24 9:38
Quant open250
Worst price35.60
Drawdown as % of equity-0.35%
($284)
Includes Typical Broker Commissions trade costs of $5.00
4/2/24 13:54 HUM HUMANA LONG 16 301.33 4/3 13:02 310.73 n/a $150
Includes Typical Broker Commissions trade costs of $0.32
4/1/24 10:28 ZI ZOOMINFO TECHNOLOGIES INC LONG 580 16.08 4/2 13:48 15.79 0.31%
Trade id #147772347
Max drawdown($286)
Time4/2/24 9:31
Quant open580
Worst price15.59
Drawdown as % of equity-0.31%
($170)
Includes Typical Broker Commissions trade costs of $5.00
4/1/24 10:24 GMED GLOBUS MEDICAL LONG 170 53.62 4/2 13:48 51.75 0.36%
Trade id #147772325
Max drawdown($334)
Time4/2/24 10:02
Quant open170
Worst price51.65
Drawdown as % of equity-0.36%
($320)
Includes Typical Broker Commissions trade costs of $3.40
3/13/24 13:30 GPN GLOBAL PAYMENTS LONG 70 134.54 3/22 10:50 133.19 0.4%
Trade id #147629992
Max drawdown($369)
Time3/18/24 0:00
Quant open70
Worst price129.26
Drawdown as % of equity-0.40%
($96)
Includes Typical Broker Commissions trade costs of $1.40
3/8/24 11:00 ST SENSATA TECHNOLOGIES LONG 260 35.44 3/22 10:50 35.95 0.11%
Trade id #147576530
Max drawdown($101)
Time3/11/24 0:00
Quant open260
Worst price35.05
Drawdown as % of equity-0.11%
$128
Includes Typical Broker Commissions trade costs of $5.20
3/8/24 10:59 XP XP INC. CL A LONG 365 25.24 3/22 10:50 25.41 0.22%
Trade id #147576492
Max drawdown($204)
Time3/19/24 0:00
Quant open365
Worst price24.68
Drawdown as % of equity-0.22%
$57
Includes Typical Broker Commissions trade costs of $7.30
3/13/24 13:13 GOOG ALPHABET INC CLASS C LONG 66 141.96 3/21 11:43 148.75 0.1%
Trade id #147629768
Max drawdown($92)
Time3/13/24 15:29
Quant open66
Worst price140.56
Drawdown as % of equity-0.10%
$447
Includes Typical Broker Commissions trade costs of $1.32
3/11/24 14:56 BYDDY BYD COMPANY LTD ADR LONG 180 50.43 3/21 11:42 55.03 n/a $824
Includes Typical Broker Commissions trade costs of $3.60
3/1/24 12:40 SLB SCHLUMBERGER LONG 185 49.45 3/21 11:40 53.98 0.09%
Trade id #147515268
Max drawdown($82)
Time3/4/24 0:00
Quant open185
Worst price49.01
Drawdown as % of equity-0.09%
$834
Includes Typical Broker Commissions trade costs of $3.70
2/26/24 10:35 EXEL EXELIXIS LONG 420 21.72 3/21 11:39 23.84 0.1%
Trade id #147451035
Max drawdown($96)
Time2/28/24 0:00
Quant open420
Worst price21.49
Drawdown as % of equity-0.10%
$883
Includes Typical Broker Commissions trade costs of $8.40
3/7/24 10:42 VAL VALARIS LTD LONG 140 66.49 3/20 11:11 72.77 0.12%
Trade id #147565725
Max drawdown($106)
Time3/11/24 0:00
Quant open140
Worst price65.73
Drawdown as % of equity-0.12%
$876
Includes Typical Broker Commissions trade costs of $2.80
3/8/24 10:58 NE NOBLE CORP LONG 200 44.39 3/20 11:11 47.85 0.16%
Trade id #147576483
Max drawdown($148)
Time3/8/24 14:02
Quant open200
Worst price43.65
Drawdown as % of equity-0.16%
$688
Includes Typical Broker Commissions trade costs of $4.00
2/28/24 10:35 FSLR FIRST SOLAR INC LONG 60 149.02 3/20 10:40 147.06 0.21%
Trade id #147472428
Max drawdown($195)
Time3/19/24 0:00
Quant open60
Worst price145.77
Drawdown as % of equity-0.21%
($118)
Includes Typical Broker Commissions trade costs of $1.20
3/11/24 14:31 LVS LAS VEGAS SANDS LONG 160 52.75 3/18 10:31 50.86 0.4%
Trade id #147595030
Max drawdown($369)
Time3/18/24 10:00
Quant open160
Worst price50.44
Drawdown as % of equity-0.40%
($305)
Includes Typical Broker Commissions trade costs of $3.20
2/26/24 10:37 QGEN QIAGEN NV LONG 400 43.87 3/15 13:58 44.20 0.2%
Trade id #147451085
Max drawdown($186)
Time3/1/24 0:00
Quant open200
Worst price42.60
Drawdown as % of equity-0.20%
$125
Includes Typical Broker Commissions trade costs of $8.00
3/8/24 11:14 GMED GLOBUS MEDICAL LONG 160 55.42 3/14 13:54 51.85 0.73%
Trade id #147576782
Max drawdown($673)
Time3/14/24 13:25
Quant open160
Worst price51.21
Drawdown as % of equity-0.73%
($574)
Includes Typical Broker Commissions trade costs of $3.20
3/7/24 12:19 BE BLOOM ENERGY CORP LONG 880 10.30 3/14 13:53 9.10 1.15%
Trade id #147567657
Max drawdown($1,069)
Time3/14/24 13:51
Quant open880
Worst price9.08
Drawdown as % of equity-1.15%
($1,061)
Includes Typical Broker Commissions trade costs of $11.30

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1433.68
  • Age
    48 months ago
  • What it trades
    Stocks
  • # Trades
    931
  • # Profitable
    513
  • % Profitable
    55.10%
  • Avg trade duration
    16.7 days
  • Max peak-to-valley drawdown
    30.17%
  • drawdown period
    July 31, 2023 - Oct 30, 2023
  • Annual Return (Compounded)
    33.0%
  • Avg win
    $435.73
  • Avg loss
    $371.33
  • Model Account Values (Raw)
  • Cash
    $33,667
  • Margin Used
    $0
  • Buying Power
    $34,188
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    0.94
  • Sortino Ratio
    1.56
  • Calmar Ratio
    1.321
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    135.25%
  • Correlation to SP500
    0.50120
  • Return Percent SP500 (cumu) during strategy life
    71.97%
  • Return Statistics
  • Ann Return (w trading costs)
    33.0%
  • Slump
  • Current Slump as Pcnt Equity
    10.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • 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)
    0.330%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    35.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    54.00%
  • Chance of 20% account loss
    27.50%
  • Chance of 30% account loss
    10.50%
  • Chance of 40% account loss
    3.50%
  • 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
    0.50%
  • Popularity
  • Popularity (Today)
    788
  • Popularity (Last 6 weeks)
    940
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    979
  • Popularity (7 days, Percentile 1000 scale)
    870
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $371
  • Avg Win
    $436
  • Sum Trade PL (losers)
    $155,218.000
  • Age
  • Num Months filled monthly returns table
    48
  • Win / Loss
  • Sum Trade PL (winners)
    $223,527.000
  • # Winners
    513
  • Num Months Winners
    29
  • Dividends
  • Dividends Received in Model Acct
    1688
  • AUM
  • AUM (AutoTrader live capital)
    97426
  • Win / Loss
  • # Losers
    418
  • % Winners
    55.1%
  • Frequency
  • Avg Position Time (mins)
    24037.90
  • Avg Position Time (hrs)
    400.63
  • Avg Trade Length
    16.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.96
  • Daily leverage (max)
    2.17
  • Regression
  • Alpha
    0.05
  • Beta
    0.77
  • Treynor Index
    0.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.14
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.656
  • 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
    0.266
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.013
  • Hold-and-Hope Ratio
    0.281
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35248
  • SD
    0.35850
  • Sharpe ratio (Glass type estimate)
    0.98320
  • Sharpe ratio (Hedges UMVUE)
    0.96671
  • df
    45.00000
  • t
    1.92501
  • p
    0.03028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04336
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99934
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05408
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98750
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05612
  • Upside Potential Ratio
    3.55991
  • Upside part of mean
    0.61028
  • Downside part of mean
    -0.25780
  • Upside SD
    0.32664
  • Downside SD
    0.17143
  • N nonnegative terms
    31.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.13332
  • Mean of criterion
    0.35248
  • SD of predictor
    0.15583
  • SD of criterion
    0.35850
  • Covariance
    0.03521
  • r
    0.63019
  • b (slope, estimate of beta)
    1.44984
  • a (intercept, estimate of alpha)
    0.15920
  • Mean Square Error
    0.07924
  • DF error
    44.00000
  • t(b)
    5.38375
  • p(b)
    0.00000
  • t(a)
    1.07425
  • p(a)
    0.14428
  • Lowerbound of 95% confidence interval for beta
    0.90710
  • Upperbound of 95% confidence interval for beta
    1.99257
  • Lowerbound of 95% confidence interval for alpha
    -0.13947
  • Upperbound of 95% confidence interval for alpha
    0.45786
  • Treynor index (mean / b)
    0.24312
  • Jensen alpha (a)
    0.15920
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28918
  • SD
    0.34076
  • Sharpe ratio (Glass type estimate)
    0.84864
  • Sharpe ratio (Hedges UMVUE)
    0.83440
  • df
    45.00000
  • t
    1.66153
  • p
    0.05178
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17214
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86030
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18139
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85019
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57113
  • Upside Potential Ratio
    3.05610
  • Upside part of mean
    0.56251
  • Downside part of mean
    -0.27332
  • Upside SD
    0.29442
  • Downside SD
    0.18406
  • N nonnegative terms
    31.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.12039
  • Mean of criterion
    0.28918
  • SD of predictor
    0.15696
  • SD of criterion
    0.34076
  • Covariance
    0.03474
  • r
    0.64947
  • b (slope, estimate of beta)
    1.41002
  • a (intercept, estimate of alpha)
    0.11943
  • Mean Square Error
    0.06866
  • DF error
    44.00000
  • t(b)
    5.66569
  • p(b)
    0.00000
  • t(a)
    0.87079
  • p(a)
    0.19430
  • Lowerbound of 95% confidence interval for beta
    0.90845
  • Upperbound of 95% confidence interval for beta
    1.91158
  • Lowerbound of 95% confidence interval for alpha
    -0.15698
  • Upperbound of 95% confidence interval for alpha
    0.39584
  • Treynor index (mean / b)
    0.20509
  • Jensen alpha (a)
    0.11943
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12864
  • Expected Shortfall on VaR
    0.16319
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03634
  • Expected Shortfall on VaR
    0.08047
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    46.00000
  • Minimum
    0.80658
  • Quartile 1
    0.99579
  • Median
    1.01238
  • Quartile 3
    1.06147
  • Maximum
    1.31735
  • Mean of quarter 1
    0.92055
  • Mean of quarter 2
    1.00542
  • Mean of quarter 3
    1.03354
  • Mean of quarter 4
    1.16527
  • Inter Quartile Range
    0.06568
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.10870
  • Mean of outliers low
    0.86903
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.13043
  • Mean of outliers high
    1.23721
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.46321
  • VaR(95%) (moments method)
    0.02202
  • Expected Shortfall (moments method)
    0.02208
  • Extreme Value Index (regression method)
    -0.53804
  • VaR(95%) (regression method)
    0.08337
  • Expected Shortfall (regression method)
    0.10288
  • 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)
    0.61879
  • Compounded annual return (geometric extrapolation)
    0.37313
  • Calmar ratio (compounded annual return / max draw down)
    1.35972
  • Compounded annual return / average of 25% largest draw downs
    1.59511
  • Compounded annual return / Expected Shortfall lognormal
    2.28651
  • 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
    0.31362
  • SD
    0.25516
  • Sharpe ratio (Glass type estimate)
    1.22913
  • Sharpe ratio (Hedges UMVUE)
    1.22822
  • df
    1019.00000
  • t
    2.42519
  • p
    0.45182
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23407
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22362
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23345
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22299
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.06238
  • Upside Potential Ratio
    9.52736
  • Upside part of mean
    1.44879
  • Downside part of mean
    -1.13517
  • Upside SD
    0.20565
  • Downside SD
    0.15207
  • N nonnegative terms
    517.00000
  • N negative terms
    503.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1020.00000
  • Mean of predictor
    0.12660
  • Mean of criterion
    0.31362
  • SD of predictor
    0.17429
  • SD of criterion
    0.25516
  • Covariance
    0.02224
  • r
    0.50002
  • b (slope, estimate of beta)
    0.73203
  • a (intercept, estimate of alpha)
    0.22100
  • Mean Square Error
    0.04888
  • DF error
    1018.00000
  • t(b)
    18.42210
  • p(b)
    0.24999
  • t(a)
    1.96996
  • p(a)
    0.46919
  • Lowerbound of 95% confidence interval for beta
    0.65405
  • Upperbound of 95% confidence interval for beta
    0.81000
  • Lowerbound of 95% confidence interval for alpha
    0.00086
  • Upperbound of 95% confidence interval for alpha
    0.44104
  • Treynor index (mean / b)
    0.42843
  • Jensen alpha (a)
    0.22095
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28134
  • SD
    0.25262
  • Sharpe ratio (Glass type estimate)
    1.11371
  • Sharpe ratio (Hedges UMVUE)
    1.11289
  • df
    1019.00000
  • t
    2.19746
  • p
    0.45631
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11894
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10798
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11837
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10740
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81996
  • Upside Potential Ratio
    9.23883
  • Upside part of mean
    1.42821
  • Downside part of mean
    -1.14687
  • Upside SD
    0.20040
  • Downside SD
    0.15459
  • N nonnegative terms
    517.00000
  • N negative terms
    503.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1020.00000
  • Mean of predictor
    0.11135
  • Mean of criterion
    0.28134
  • SD of predictor
    0.17459
  • SD of criterion
    0.25262
  • Covariance
    0.02205
  • r
    0.50005
  • b (slope, estimate of beta)
    0.72353
  • a (intercept, estimate of alpha)
    0.20078
  • Mean Square Error
    0.04791
  • DF error
    1018.00000
  • t(b)
    18.42340
  • p(b)
    0.24998
  • t(a)
    1.80856
  • p(a)
    0.47170
  • Lowerbound of 95% confidence interval for beta
    0.64647
  • Upperbound of 95% confidence interval for beta
    0.80060
  • Lowerbound of 95% confidence interval for alpha
    -0.01707
  • Upperbound of 95% confidence interval for alpha
    0.41862
  • Treynor index (mean / b)
    0.38885
  • Jensen alpha (a)
    0.20078
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02430
  • Expected Shortfall on VaR
    0.03062
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00984
  • Expected Shortfall on VaR
    0.01983
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1020.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99491
  • Median
    1.00019
  • Quartile 3
    1.00664
  • Maximum
    1.10903
  • Mean of quarter 1
    0.98485
  • Mean of quarter 2
    0.99804
  • Mean of quarter 3
    1.00308
  • Mean of quarter 4
    1.01925
  • Inter Quartile Range
    0.01173
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.04412
  • Mean of outliers low
    0.96663
  • Number of outliers high
    59.00000
  • Percentage of outliers high
    0.05784
  • Mean of outliers high
    1.04166
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21265
  • VaR(95%) (moments method)
    0.01398
  • Expected Shortfall (moments method)
    0.02224
  • Extreme Value Index (regression method)
    0.01422
  • VaR(95%) (regression method)
    0.01381
  • Expected Shortfall (regression method)
    0.01935
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    64.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00342
  • Median
    0.01029
  • Quartile 3
    0.03452
  • Maximum
    0.27441
  • Mean of quarter 1
    0.00150
  • Mean of quarter 2
    0.00724
  • Mean of quarter 3
    0.01978
  • Mean of quarter 4
    0.11383
  • Inter Quartile Range
    0.03110
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.14062
  • Mean of outliers high
    0.15778
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.02494
  • VaR(95%) (moments method)
    0.09439
  • Expected Shortfall (moments method)
    0.13353
  • Extreme Value Index (regression method)
    -0.35700
  • VaR(95%) (regression method)
    0.10974
  • Expected Shortfall (regression method)
    0.13485
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.59933
  • Compounded annual return (geometric extrapolation)
    0.36240
  • Calmar ratio (compounded annual return / max draw down)
    1.32065
  • Compounded annual return / average of 25% largest draw downs
    3.18362
  • Compounded annual return / Expected Shortfall lognormal
    11.83430
  • 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
    0.40950
  • SD
    0.18036
  • Sharpe ratio (Glass type estimate)
    2.27049
  • Sharpe ratio (Hedges UMVUE)
    2.25737
  • df
    130.00000
  • t
    1.60548
  • p
    0.43028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51926
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.05176
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52799
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.04272
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.20653
  • Upside Potential Ratio
    11.77400
  • Upside part of mean
    1.14617
  • Downside part of mean
    -0.73668
  • Upside SD
    0.15311
  • Downside SD
    0.09735
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34428
  • Mean of criterion
    0.40950
  • SD of predictor
    0.11604
  • SD of criterion
    0.18036
  • Covariance
    0.00804
  • r
    0.38393
  • b (slope, estimate of beta)
    0.59671
  • a (intercept, estimate of alpha)
    0.20406
  • Mean Square Error
    0.02795
  • DF error
    129.00000
  • t(b)
    4.72248
  • p(b)
    0.26173
  • t(a)
    0.84886
  • p(a)
    0.45260
  • Lowerbound of 95% confidence interval for beta
    0.34672
  • Upperbound of 95% confidence interval for beta
    0.84671
  • Lowerbound of 95% confidence interval for alpha
    -0.27156
  • Upperbound of 95% confidence interval for alpha
    0.67969
  • Treynor index (mean / b)
    0.68625
  • Jensen alpha (a)
    0.20406
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39317
  • SD
    0.17900
  • Sharpe ratio (Glass type estimate)
    2.19651
  • Sharpe ratio (Hedges UMVUE)
    2.18381
  • df
    130.00000
  • t
    1.55316
  • p
    0.43251
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59225
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.97702
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60068
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.96830
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.99949
  • Upside Potential Ratio
    11.54120
  • Upside part of mean
    1.13457
  • Downside part of mean
    -0.74140
  • Upside SD
    0.15074
  • Downside SD
    0.09831
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33735
  • Mean of criterion
    0.39317
  • SD of predictor
    0.11588
  • SD of criterion
    0.17900
  • Covariance
    0.00797
  • r
    0.38426
  • b (slope, estimate of beta)
    0.59360
  • a (intercept, estimate of alpha)
    0.19292
  • Mean Square Error
    0.02752
  • DF error
    129.00000
  • t(b)
    4.72732
  • p(b)
    0.26153
  • t(a)
    0.80922
  • p(a)
    0.45480
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.34516
  • Upperbound of 95% confidence interval for beta
    0.84203
  • Lowerbound of 95% confidence interval for alpha
    -0.27877
  • Upperbound of 95% confidence interval for alpha
    0.66462
  • Treynor index (mean / b)
    0.66236
  • Jensen alpha (a)
    0.19292
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01655
  • Expected Shortfall on VaR
    0.02108
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00623
  • Expected Shortfall on VaR
    0.01255
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96604
  • Quartile 1
    0.99648
  • Median
    1.00043
  • Quartile 3
    1.00513
  • Maximum
    1.04865
  • Mean of quarter 1
    0.99026
  • Mean of quarter 2
    0.99881
  • Mean of quarter 3
    1.00293
  • Mean of quarter 4
    1.01472
  • Inter Quartile Range
    0.00864
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97740
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.03289
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07159
  • VaR(95%) (moments method)
    0.00877
  • Expected Shortfall (moments method)
    0.01247
  • Extreme Value Index (regression method)
    0.43836
  • VaR(95%) (regression method)
    0.00832
  • Expected Shortfall (regression method)
    0.01557
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00783
  • Median
    0.01516
  • Quartile 3
    0.03145
  • Maximum
    0.05090
  • Mean of quarter 1
    0.00142
  • Mean of quarter 2
    0.01442
  • Mean of quarter 3
    0.02618
  • Mean of quarter 4
    0.04535
  • Inter Quartile Range
    0.02362
  • 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)
    -1315.13000
  • VaR(95%) (moments method)
    0.04785
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -5.38933
  • VaR(95%) (regression method)
    0.08517
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.08518
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -351919000
  • Max Equity Drawdown (num days)
    91
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46869
  • Compounded annual return (geometric extrapolation)
    0.52361
  • Calmar ratio (compounded annual return / max draw down)
    10.28630
  • Compounded annual return / average of 25% largest draw downs
    11.54690
  • Compounded annual return / Expected Shortfall lognormal
    24.84330

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 2.1%
Rank # 
#17
# Trades
931
# Profitable
513
% Profitable
55.1%
Net Dividends
Correlation S&P500
0.501
Sharpe Ratio
0.94
Sortino Ratio
1.56
Beta
0.77
Alpha
0.05
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.