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Featured Strategy Income Trades Followed by live capital $27,100 Hypothetical

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AlphaStream
(146156480)

Created by: AlphaRocker AlphaRocker
Started: 10/2023
Stocks
Last trade: Today

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 $80.00 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.

43.8%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(16.8%)
Max Drawdown
38
Num Trades
89.5%
Win Trades
33.9 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                               +2.9%+12.9%+7.2%+24.5%
2024(2.5%)+9.0%+3.8%(1.5%)+6.4%                                          +15.5%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/1/24 11:58: Rescaled upward by +-50% of previous Model Account size
3/19/24 12:52: Rescaled downward to 5% of previous Model Account size
11/2/23 10:04 ARIS ARIS WATER SOLUTIONS INC LONG 75 8.99 3/19/24 9:31 13.18 2.26%
Trade id #146314913
Max drawdown($199)
Time12/12/23 0:00
Quant open112
Worst price7.22
Drawdown as % of equity-2.26%
 $312
Includes Typical Broker Commissions trade costs of $1.51
11/1/23 11:14 MTRN MATERION LONG 7.500000000 102.88 3/19/24 9:31 129.76 0.17%
Trade id #146301265
Max drawdown($12)
Time11/1/23 11:20
Quant open12
Worst price101.75
Drawdown as % of equity-0.17%
 $202
Includes Typical Broker Commissions trade costs of $0.15
10/27/23 10:31 MMSI MERIT MEDICAL SYSTEMS LONG 7.500000000 67.03 3/19/24 9:31 72.45 0.2%
Trade id #146257590
Max drawdown($17)
Time12/6/23 0:00
Quant open12
Worst price65.45
Drawdown as % of equity-0.20%
 $41
Includes Typical Broker Commissions trade costs of $0.15
11/10/23 10:56 DV DOUBLE VERIFY HOLDINGS INC. LONG 7.500000000 31.00 3/19/24 9:30 33.58 0.2%
Trade id #146397295
Max drawdown($20)
Time3/6/24 0:00
Quant open12
Worst price29.22
Drawdown as % of equity-0.20%
 $19
Includes Typical Broker Commissions trade costs of $0.14
10/25/23 10:17 LRN STRIDE INC LONG 3.750000000 51.31 3/19/24 9:30 61.11 n/a $37
Includes Typical Broker Commissions trade costs of $0.07
11/7/23 13:25 IMXI INTERNATIONAL MONEY EXPRESS INC. LONG 15 18.78 3/19/24 9:30 20.52 0.18%
Trade id #146359004
Max drawdown($17)
Time2/27/24 0:00
Quant open22
Worst price18.01
Drawdown as % of equity-0.18%
 $26
Includes Typical Broker Commissions trade costs of $0.29
10/24/23 12:32 NEE NEXTERA ENERGY LONG 15 54.88 3/19/24 9:30 59.74 0.3%
Trade id #146221584
Max drawdown($24)
Time11/13/23 0:00
Quant open22
Worst price53.81
Drawdown as % of equity-0.30%
 $73
Includes Typical Broker Commissions trade costs of $0.30
11/7/23 13:24 GEN GEN DIGITAL INC. LONG 7.500000000 19.13 3/19/24 9:30 21.45 0.05%
Trade id #146358993
Max drawdown($4)
Time11/10/23 0:00
Quant open12
Worst price18.75
Drawdown as % of equity-0.05%
 $17
Includes Typical Broker Commissions trade costs of $0.14
10/26/23 12:16 AMT AMERICAN TOWER LONG 7.500000000 174.77 3/19/24 9:30 191.94 0.76%
Trade id #146247775
Max drawdown($57)
Time10/30/23 0:00
Quant open12
Worst price169.70
Drawdown as % of equity-0.76%
 $129
Includes Typical Broker Commissions trade costs of $0.14
11/1/23 10:19 PSN PARSONS CORP LONG 30 60.80 3/19/24 9:30 71.75 0.24%
Trade id #146300305
Max drawdown($19)
Time11/2/23 0:00
Quant open45
Worst price60.38
Drawdown as % of equity-0.24%
 $327
Includes Typical Broker Commissions trade costs of $0.60
11/3/23 11:54 CAH CARDINAL HEALTH LONG 3.750000000 101.76 3/19/24 9:30 110.17 0.21%
Trade id #146328382
Max drawdown($19)
Time12/15/23 0:00
Quant open6
Worst price98.34
Drawdown as % of equity-0.21%
 $32
Includes Typical Broker Commissions trade costs of $0.08
10/24/23 10:39 AGYS AGILYSYS LONG 15 77.90 3/19/24 9:30 85.14 0.22%
Trade id #146219255
Max drawdown($19)
Time1/17/24 0:00
Quant open4
Worst price73.52
Drawdown as % of equity-0.22%
 $109
Includes Typical Broker Commissions trade costs of $0.28
11/8/23 15:29 LZ LEGALZOOM.COM INC. COMMON STOCK LONG 7.500000000 11.16 3/19/24 9:30 13.10 0.2%
Trade id #146379171
Max drawdown($18)
Time2/21/24 0:00
Quant open12
Worst price9.50
Drawdown as % of equity-0.20%
 $15
Includes Typical Broker Commissions trade costs of $0.15
10/26/23 10:23 NOW SERVICENOW LONG 1.500000000 561.56 3/19/24 9:30 689.14 0.39%
Trade id #146244603
Max drawdown($29)
Time10/27/23 0:00
Quant open3
Worst price548.44
Drawdown as % of equity-0.39%
 $191
Includes Typical Broker Commissions trade costs of $0.02
10/31/23 12:34 MPWR MONOLITHIC POWER SYSTEMS LONG 1.500000000 433.79 3/19/24 9:30 589.97 0.1%
Trade id #146290852
Max drawdown($7)
Time10/31/23 13:08
Quant open3
Worst price430.37
Drawdown as % of equity-0.10%
 $234
Includes Typical Broker Commissions trade costs of $0.02
11/3/23 11:02 ATMU ATMUS FILTRATION TECHNOLOGIES INC LONG 37.500000000 20.69 3/19/24 9:30 26.88 1.38%
Trade id #146327090
Max drawdown($110)
Time11/9/23 0:00
Quant open57
Worst price18.73
Drawdown as % of equity-1.38%
 $231
Includes Typical Broker Commissions trade costs of $0.75
11/7/23 13:27 ADEA ADEIA INC. LONG 15.750000000 9.33 3/19/24 9:30 10.87 0.12%
Trade id #146359017
Max drawdown($9)
Time11/9/23 0:00
Quant open24
Worst price8.94
Drawdown as % of equity-0.12%
 $24
Includes Typical Broker Commissions trade costs of $0.32
10/26/23 10:22 EXLS EXLSERVICE HOLDINGS LONG 37.500000000 26.57 3/19/24 9:30 30.93 0.92%
Trade id #146244592
Max drawdown($69)
Time10/30/23 0:00
Quant open57
Worst price25.34
Drawdown as % of equity-0.92%
 $163
Includes Typical Broker Commissions trade costs of $0.75
10/31/23 10:04 LDOS LEIDOS HOLDINGS INC LONG 7.500000000 99.21 3/19/24 9:30 110.26 0.21%
Trade id #146287577
Max drawdown($16)
Time10/31/23 10:35
Quant open12
Worst price97.78
Drawdown as % of equity-0.21%
 $83
Includes Typical Broker Commissions trade costs of $0.14
11/3/23 11:01 BL BLACKLINE INC. COMMON STOCK LONG 15 53.62 3/19/24 9:30 66.36 0.74%
Trade id #146327080
Max drawdown($59)
Time11/13/23 0:00
Quant open22
Worst price50.98
Drawdown as % of equity-0.74%
 $191
Includes Typical Broker Commissions trade costs of $0.29
11/7/23 13:25 INGR INGREDION LONG 0.750000000 101.52 3/19/24 9:30 115.13 0.02%
Trade id #146359011
Max drawdown($1)
Time11/8/23 0:00
Quant open3
Worst price100.01
Drawdown as % of equity-0.02%
 $10
Includes Typical Broker Commissions trade costs of $0.01
10/25/23 10:17 MSA MSA SAFETY INC LONG 10.500000000 158.68 3/19/24 9:30 184.57 0.7%
Trade id #146230725
Max drawdown($52)
Time10/30/23 0:00
Quant open15
Worst price155.34
Drawdown as % of equity-0.70%
 $272
Includes Typical Broker Commissions trade costs of $0.21
10/31/23 10:02 RGEN REPLIGEN LONG 3.750000000 137.81 3/19/24 9:30 159.34 0.8%
Trade id #146287553
Max drawdown($61)
Time11/1/23 0:00
Quant open6
Worst price126.86
Drawdown as % of equity-0.80%
 $81
Includes Typical Broker Commissions trade costs of $0.07
11/3/23 11:54 IRMD IRADIMED CORP LONG 7.500000000 48.47 3/14/24 12:07 44.31 0.07%
Trade id #146328385
Max drawdown($5)
Time11/13/23 0:00
Quant open0
Worst price39.24
Drawdown as % of equity-0.07%
 ($31)
Includes Typical Broker Commissions trade costs of $0.14
Next

Statistics

  • Strategy began
    10/17/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    201.92
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    38
  • # Profitable
    34
  • % Profitable
    89.50%
  • Avg trade duration
    89.9 days
  • Max peak-to-valley drawdown
    16.77%
  • drawdown period
    Dec 28, 2023 - Jan 24, 2024
  • Cumul. Return
    43.8%
  • Avg win
    $108.18
  • Avg loss
    $28.00
  • Model Account Values (Raw)
  • Cash
    $2,812
  • Margin Used
    $0
  • Buying Power
    $3,586
  • Ratios
  • W:L ratio
    33.90:1
  • Sharpe Ratio
    3.36
  • Sortino Ratio
    6.59
  • Calmar Ratio
    16.273
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    25.59%
  • Correlation to SP500
    0.47560
  • Return Percent SP500 (cumu) during strategy life
    18.02%
  • Return Statistics
  • Ann Return (w trading costs)
    91.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • 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)
    0.438%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    97.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    19.00%
  • Chance of 20% account loss
    1.50%
  • 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)
    866
  • Popularity (Last 6 weeks)
    920
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    930
  • Popularity (7 days, Percentile 1000 scale)
    822
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $27
  • Avg Win
    $106
  • Sum Trade PL (losers)
    $108.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $3,509.000
  • # Winners
    33
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    60
  • Win / Loss
  • # Losers
    4
  • % Winners
    89.2%
  • Frequency
  • Avg Position Time (mins)
    132888.00
  • Avg Position Time (hrs)
    2214.80
  • Avg Trade Length
    92.3 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.22
  • Daily leverage (max)
    1.85
  • Regression
  • Alpha
    0.12
  • Beta
    0.60
  • Treynor Index
    0.28
  • 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)
    0.28
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.393
  • 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
    0.313
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.436
  • Hold-and-Hope Ratio
    2.913
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67253
  • SD
    0.17013
  • Sharpe ratio (Glass type estimate)
    3.95308
  • Sharpe ratio (Hedges UMVUE)
    3.32355
  • df
    5.00000
  • t
    2.79525
  • p
    0.01910
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19597
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.50268
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12988
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.77697
  • Statistics related to Sortino ratio
  • Sortino ratio
    242.95900
  • Upside Potential Ratio
    244.37400
  • Upside part of mean
    0.67644
  • Downside part of mean
    -0.00391
  • Upside SD
    0.24860
  • Downside SD
    0.00277
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.26419
  • Mean of criterion
    0.67253
  • SD of predictor
    0.12637
  • SD of criterion
    0.17013
  • Covariance
    0.01385
  • r
    0.64406
  • b (slope, estimate of beta)
    0.86705
  • a (intercept, estimate of alpha)
    0.44347
  • Mean Square Error
    0.02117
  • DF error
    4.00000
  • t(b)
    1.68389
  • p(b)
    0.08374
  • t(a)
    1.79779
  • p(a)
    0.07331
  • Lowerbound of 95% confidence interval for beta
    -0.56285
  • Upperbound of 95% confidence interval for beta
    2.29695
  • Lowerbound of 95% confidence interval for alpha
    -0.24154
  • Upperbound of 95% confidence interval for alpha
    1.12848
  • Treynor index (mean / b)
    0.77565
  • Jensen alpha (a)
    0.44347
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64351
  • SD
    0.16146
  • Sharpe ratio (Glass type estimate)
    3.98565
  • Sharpe ratio (Hedges UMVUE)
    3.35093
  • df
    5.00000
  • t
    2.81828
  • p
    0.01859
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21579
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.54802
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11265
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.81451
  • Statistics related to Sortino ratio
  • Sortino ratio
    232.25000
  • Upside Potential Ratio
    233.66400
  • Upside part of mean
    0.64743
  • Downside part of mean
    -0.00392
  • Upside SD
    0.23712
  • Downside SD
    0.00277
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.25473
  • Mean of criterion
    0.64351
  • SD of predictor
    0.12677
  • SD of criterion
    0.16146
  • Covariance
    0.01329
  • r
    0.64940
  • b (slope, estimate of beta)
    0.82709
  • a (intercept, estimate of alpha)
    0.43283
  • Mean Square Error
    0.01884
  • DF error
    4.00000
  • t(b)
    1.70794
  • p(b)
    0.08142
  • t(a)
    1.88177
  • p(a)
    0.06650
  • Lowerbound of 95% confidence interval for beta
    -0.51770
  • Upperbound of 95% confidence interval for beta
    2.17188
  • Lowerbound of 95% confidence interval for alpha
    -0.20591
  • Upperbound of 95% confidence interval for alpha
    1.07156
  • Treynor index (mean / b)
    0.77805
  • Jensen alpha (a)
    0.43283
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02278
  • Expected Shortfall on VaR
    0.04148
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00030
  • Expected Shortfall on VaR
    0.00083
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.99804
  • Quartile 1
    1.01603
  • Median
    1.06470
  • Quartile 3
    1.07969
  • Maximum
    1.12433
  • Mean of quarter 1
    0.99925
  • Mean of quarter 2
    1.06277
  • Mean of quarter 3
    1.06663
  • Mean of quarter 4
    1.10419
  • Inter Quartile Range
    0.06366
  • 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 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00196
  • Quartile 1
    0.00196
  • Median
    0.00196
  • Quartile 3
    0.00196
  • Maximum
    0.00196
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.75910
  • Compounded annual return (geometric extrapolation)
    0.90316
  • Calmar ratio (compounded annual return / max draw down)
    461.42500
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    21.77290
  • 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
    0.66440
  • SD
    0.14861
  • Sharpe ratio (Glass type estimate)
    4.47058
  • Sharpe ratio (Hedges UMVUE)
    4.44676
  • df
    141.00000
  • t
    3.29123
  • p
    0.33200
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.75016
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.17581
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73436
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.15916
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.20209
  • Upside Potential Ratio
    16.31080
  • Upside part of mean
    1.17765
  • Downside part of mean
    -0.51325
  • Upside SD
    0.13566
  • Downside SD
    0.07220
  • N nonnegative terms
    96.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    142.00000
  • Mean of predictor
    0.31594
  • Mean of criterion
    0.66440
  • SD of predictor
    0.12077
  • SD of criterion
    0.14861
  • Covariance
    0.00798
  • r
    0.44440
  • b (slope, estimate of beta)
    0.54685
  • a (intercept, estimate of alpha)
    0.49200
  • Mean Square Error
    0.01785
  • DF error
    140.00000
  • t(b)
    5.86972
  • p(b)
    0.27780
  • t(a)
    2.67396
  • p(a)
    0.38978
  • Lowerbound of 95% confidence interval for beta
    0.36266
  • Upperbound of 95% confidence interval for beta
    0.73105
  • Lowerbound of 95% confidence interval for alpha
    0.12813
  • Upperbound of 95% confidence interval for alpha
    0.85512
  • Treynor index (mean / b)
    1.21495
  • Jensen alpha (a)
    0.49162
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65270
  • SD
    0.14775
  • Sharpe ratio (Glass type estimate)
    4.41742
  • Sharpe ratio (Hedges UMVUE)
    4.39388
  • df
    141.00000
  • t
    3.25209
  • p
    0.33381
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.69830
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.12157
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68266
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.10511
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.98232
  • Upside Potential Ratio
    16.08180
  • Upside part of mean
    1.16858
  • Downside part of mean
    -0.51588
  • Upside SD
    0.13425
  • Downside SD
    0.07266
  • N nonnegative terms
    96.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    142.00000
  • Mean of predictor
    0.30852
  • Mean of criterion
    0.65270
  • SD of predictor
    0.12066
  • SD of criterion
    0.14775
  • Covariance
    0.00792
  • r
    0.44416
  • b (slope, estimate of beta)
    0.54390
  • a (intercept, estimate of alpha)
    0.48489
  • Mean Square Error
    0.01765
  • DF error
    140.00000
  • t(b)
    5.86580
  • p(b)
    0.27792
  • t(a)
    2.65386
  • p(a)
    0.39057
  • Lowerbound of 95% confidence interval for beta
    0.36058
  • Upperbound of 95% confidence interval for beta
    0.72721
  • Lowerbound of 95% confidence interval for alpha
    0.12366
  • Upperbound of 95% confidence interval for alpha
    0.84612
  • Treynor index (mean / b)
    1.20004
  • Jensen alpha (a)
    0.48489
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01245
  • Expected Shortfall on VaR
    0.01620
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00330
  • Expected Shortfall on VaR
    0.00729
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    142.00000
  • Minimum
    0.98232
  • Quartile 1
    0.99841
  • Median
    1.00031
  • Quartile 3
    1.00739
  • Maximum
    1.03379
  • Mean of quarter 1
    0.99239
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00313
  • Mean of quarter 4
    1.01466
  • Inter Quartile Range
    0.00899
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02817
  • Mean of outliers low
    0.98284
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04225
  • Mean of outliers high
    1.02863
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.81983
  • VaR(95%) (moments method)
    0.00561
  • Expected Shortfall (moments method)
    0.00625
  • Extreme Value Index (regression method)
    -0.60464
  • VaR(95%) (regression method)
    0.00724
  • Expected Shortfall (regression method)
    0.00847
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00045
  • Quartile 1
    0.00431
  • Median
    0.00928
  • Quartile 3
    0.01996
  • Maximum
    0.05658
  • Mean of quarter 1
    0.00225
  • Mean of quarter 2
    0.00665
  • Mean of quarter 3
    0.01284
  • Mean of quarter 4
    0.03409
  • Inter Quartile Range
    0.01564
  • 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
    0.07143
  • Mean of outliers high
    0.05658
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.31677
  • VaR(95%) (moments method)
    0.03870
  • Expected Shortfall (moments method)
    0.04594
  • Extreme Value Index (regression method)
    0.51154
  • VaR(95%) (regression method)
    0.05093
  • Expected Shortfall (regression method)
    0.10531
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78305
  • Compounded annual return (geometric extrapolation)
    0.92071
  • Calmar ratio (compounded annual return / max draw down)
    16.27340
  • Compounded annual return / average of 25% largest draw downs
    27.00500
  • Compounded annual return / Expected Shortfall lognormal
    56.83570
  • 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
    0.64855
  • SD
    0.15214
  • Sharpe ratio (Glass type estimate)
    4.26273
  • Sharpe ratio (Hedges UMVUE)
    4.23809
  • df
    130.00000
  • t
    3.01421
  • p
    0.37221
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.43518
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.07458
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41882
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.05736
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.68256
  • Upside Potential Ratio
    15.97100
  • Upside part of mean
    1.19296
  • Downside part of mean
    -0.54441
  • Upside SD
    0.13783
  • Downside SD
    0.07470
  • N nonnegative terms
    86.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.40421
  • Mean of criterion
    0.64855
  • SD of predictor
    0.11545
  • SD of criterion
    0.15214
  • Covariance
    0.00809
  • r
    0.46037
  • b (slope, estimate of beta)
    0.60667
  • a (intercept, estimate of alpha)
    0.40333
  • Mean Square Error
    0.01838
  • DF error
    129.00000
  • t(b)
    5.89001
  • p(b)
    0.21763
  • t(a)
    2.05554
  • p(a)
    0.38723
  • Lowerbound of 95% confidence interval for beta
    0.40288
  • Upperbound of 95% confidence interval for beta
    0.81046
  • Lowerbound of 95% confidence interval for alpha
    0.01511
  • Upperbound of 95% confidence interval for alpha
    0.79154
  • Treynor index (mean / b)
    1.06903
  • Jensen alpha (a)
    0.40333
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63637
  • SD
    0.15126
  • Sharpe ratio (Glass type estimate)
    4.20712
  • Sharpe ratio (Hedges UMVUE)
    4.18281
  • df
    130.00000
  • t
    2.97489
  • p
    0.37377
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.38081
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.01786
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36476
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.00086
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.46479
  • Upside Potential Ratio
    15.74380
  • Upside part of mean
    1.18359
  • Downside part of mean
    -0.54722
  • Upside SD
    0.13638
  • Downside SD
    0.07518
  • N nonnegative terms
    86.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.39730
  • Mean of criterion
    0.63637
  • SD of predictor
    0.11528
  • SD of criterion
    0.15126
  • Covariance
    0.00803
  • r
    0.46057
  • b (slope, estimate of beta)
    0.60433
  • a (intercept, estimate of alpha)
    0.39627
  • Mean Square Error
    0.01817
  • DF error
    129.00000
  • t(b)
    5.89338
  • p(b)
    0.21751
  • t(a)
    2.03304
  • p(a)
    0.38841
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    0.40144
  • Upperbound of 95% confidence interval for beta
    0.80721
  • Lowerbound of 95% confidence interval for alpha
    0.01063
  • Upperbound of 95% confidence interval for alpha
    0.78191
  • Treynor index (mean / b)
    1.05302
  • Jensen alpha (a)
    0.39627
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01286
  • Expected Shortfall on VaR
    0.01670
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00368
  • Expected Shortfall on VaR
    0.00794
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98232
  • Quartile 1
    0.99772
  • Median
    1.00024
  • Quartile 3
    1.00748
  • Maximum
    1.03379
  • Mean of quarter 1
    0.99200
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00327
  • Mean of quarter 4
    1.01487
  • Inter Quartile Range
    0.00976
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.98251
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02863
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.51799
  • VaR(95%) (moments method)
    0.00672
  • Expected Shortfall (moments method)
    0.00787
  • Extreme Value Index (regression method)
    -0.57048
  • VaR(95%) (regression method)
    0.00754
  • Expected Shortfall (regression method)
    0.00878
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00045
  • Quartile 1
    0.00376
  • Median
    0.01087
  • Quartile 3
    0.02106
  • Maximum
    0.05658
  • Mean of quarter 1
    0.00225
  • Mean of quarter 2
    0.00829
  • Mean of quarter 3
    0.01624
  • Mean of quarter 4
    0.03844
  • Inter Quartile Range
    0.01729
  • 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
    0.05658
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.31677
  • VaR(95%) (moments method)
    0.03940
  • Expected Shortfall (moments method)
    0.04648
  • Extreme Value Index (regression method)
    0.51154
  • VaR(95%) (regression method)
    0.05279
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.10913
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -339020000
  • Max Equity Drawdown (num days)
    27
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.74926
  • Compounded annual return (geometric extrapolation)
    0.88961
  • Calmar ratio (compounded annual return / max draw down)
    15.72370
  • Compounded annual return / average of 25% largest draw downs
    23.14260
  • Compounded annual return / Expected Shortfall lognormal
    53.27040

Strategy Description

Investment Philosophy
Our approach is grounded in the belief that markets are not always perfectly efficient and that fundamentally sound systematic strategies, can exploit inefficiencies and identify attractive investment opportunities.
We are focused on achieving an equilibrium between risk and return while stewarding our clients' portfolios. We prioritize security selection and we maintain a diversified portfolio to mitigate common factor risk without compromising expected returns.
Strategy and Process Overview
Our investment strategy is centered on strategically identifying fundamentally strong US public equities within growth-centric sectors, while leveraging quantitative metrics to uncover small capitalization companies poised for enduring capital appreciation.
We begin by conducting rigorous fundamental analysis to identify companies with solid growth prospects, strong competitive advantages, and sustainable business models within growth-centric sectors of the US market. Our focus on fundamentals allows us to select companies with the potential for long-term value creation and capital appreciation. By following this structured investment process, we aim to identify high-quality investment opportunities, manage risk effectively, and construct portfolios that optimize the risk-return profile for our clients.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-10-17
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 7.0%
Rank # 
#333
# Trades
38
# Profitable
34
% Profitable
89.5%
Net Dividends
$59
Correlation S&P500
0.476
Sharpe Ratio
3.36
Sortino Ratio
6.59
Beta
0.60
Alpha
0.12
Leverage
1.22 Average
1.85 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.