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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: 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 $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.

37.9%
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.

(29.7%)
Max Drawdown
435
Num Trades
60.5%
Win Trades
1.8 : 1
Profit Factor
64.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            (0.2%)(0.2%)+5.3%+1.7%(5.1%)(1.5%)+9.0%+4.3%+13.2%
2021(0.1%)+4.4%+2.7%+2.7%+2.0%+1.9%+0.3%+3.6%(4.9%)+4.8%(13.7%)+13.3%+15.8%
2022(3.2%)(1.4%)+15.1%(4.2%)+24.4%+2.0%+13.7%+1.4%(23.7%)+16.4%+25.8%      +72.3%

Model Account Details

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

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

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/17/22 11:23 RCM R1 RCM INC. COMMON STOCK LONG 5,300 7.55 11/29 11:20 8.09 1.03%
Trade id #142600591
Max drawdown($2,226)
Time11/22/22 0:00
Quant open5,300
Worst price7.13
Drawdown as % of equity-1.03%
$2,857
Includes Typical Broker Commissions trade costs of $5.00
11/25/22 9:30 CANO CANO HEALTH INC LONG 13,000 1.54 11/28 11:21 1.82 n/a $3,635
Includes Typical Broker Commissions trade costs of $5.00
11/8/22 10:00 RCM R1 RCM INC. COMMON STOCK LONG 5,690 8.24 11/15 10:35 9.06 4.38%
Trade id #142482040
Max drawdown($8,691)
Time11/9/22 0:00
Quant open5,690
Worst price6.71
Drawdown as % of equity-4.38%
$4,668
Includes Typical Broker Commissions trade costs of $12.50
11/8/22 10:26 TTWO TAKE-TWO INTERACTIVE SFTW LONG 418 95.66 11/14 11:55 103.12 0.97%
Trade id #142482721
Max drawdown($1,922)
Time11/8/22 14:32
Quant open418
Worst price91.06
Drawdown as % of equity-0.97%
$3,110
Includes Typical Broker Commissions trade costs of $8.36
11/2/22 9:30 CTLT CATALENT INC LONG 947 47.63 11/11 11:43 46.43 3.5%
Trade id #142407012
Max drawdown($6,465)
Time11/7/22 0:00
Quant open827
Worst price40.72
Drawdown as % of equity-3.50%
($1,145)
Includes Typical Broker Commissions trade costs of $6.60
11/7/22 10:49 OMCL OMNICELL LONG 810 49.32 11/11 11:43 52.32 1.28%
Trade id #142467414
Max drawdown($2,534)
Time11/9/22 0:00
Quant open810
Worst price46.19
Drawdown as % of equity-1.28%
$2,424
Includes Typical Broker Commissions trade costs of $6.02
10/20/22 9:46 OLPX OLAPLEX HOLDINGS INC. LONG 9,275 4.30 11/8 12:07 4.62 2.37%
Trade id #142243833
Max drawdown($4,108)
Time10/24/22 0:00
Quant open7,900
Worst price3.80
Drawdown as % of equity-2.37%
$2,927
Includes Typical Broker Commissions trade costs of $7.50
11/7/22 12:59 GNRC GENERAC HOLDINGS LONG 406 96.20 11/8 11:41 105.47 0.04%
Trade id #142470658
Max drawdown($73)
Time11/7/22 13:07
Quant open406
Worst price96.02
Drawdown as % of equity-0.04%
$3,756
Includes Typical Broker Commissions trade costs of $8.12
11/7/22 10:50 FIVN FIVE9 INC. COMMON STOCK LONG 823 47.52 11/8 9:42 52.40 0.36%
Trade id #142467417
Max drawdown($691)
Time11/7/22 16:00
Quant open823
Worst price46.68
Drawdown as % of equity-0.36%
$4,010
Includes Typical Broker Commissions trade costs of $5.83
10/27/22 13:35 CANO CANO HEALTH INC LONG 10,900 3.76 11/7 12:50 3.62 2.75%
Trade id #142348530
Max drawdown($5,015)
Time11/1/22 0:00
Quant open10,900
Worst price3.30
Drawdown as % of equity-2.75%
($1,535)
Includes Typical Broker Commissions trade costs of $7.50
11/4/22 13:27 SYNH SYNEOS HEALTH INC. CLASS A LONG 1,395 25.07 11/7 12:47 29.79 0.29%
Trade id #142446016
Max drawdown($516)
Time11/4/22 14:01
Quant open1,395
Worst price24.70
Drawdown as % of equity-0.29%
$6,579
Includes Typical Broker Commissions trade costs of $5.00
10/21/22 10:01 BIDU BAIDU LONG 500 88.38 11/4 12:47 84.11 4.05%
Trade id #142261539
Max drawdown($7,015)
Time10/24/22 0:00
Quant open400
Worst price73.58
Drawdown as % of equity-4.05%
($2,146)
Includes Typical Broker Commissions trade costs of $10.00
11/3/22 14:34 RCM R1 RCM INC. COMMON STOCK LONG 2,500 13.82 11/4 12:45 14.99 n/a $2,920
Includes Typical Broker Commissions trade costs of $5.00
11/3/22 10:47 OMCL OMNICELL LONG 682 51.39 11/3 14:27 54.57 0.02%
Trade id #142426607
Max drawdown($27)
Time11/3/22 10:57
Quant open682
Worst price51.35
Drawdown as % of equity-0.02%
$2,164
Includes Typical Broker Commissions trade costs of $5.00
9/9/22 11:12 APPH APPHARVEST INC LONG 5,800 2.41 11/3 12:00 1.97 3.08%
Trade id #141724534
Max drawdown($5,280)
Time10/21/22 0:00
Quant open5,800
Worst price1.50
Drawdown as % of equity-3.08%
($2,564)
Includes Typical Broker Commissions trade costs of $10.00
10/31/22 13:30 CURLF CURALEAF HLDGS INC COMMON SHARES LONG 1,650 5.59 11/3 12:00 5.07 0.66%
Trade id #142384549
Max drawdown($1,171)
Time11/3/22 9:31
Quant open1,650
Worst price4.88
Drawdown as % of equity-0.66%
($863)
Includes Typical Broker Commissions trade costs of $5.00
10/26/22 12:29 LRN STRIDE INC LONG 1,170 33.36 11/3 10:46 33.80 0.72%
Trade id #142328263
Max drawdown($1,357)
Time10/26/22 15:52
Quant open1,170
Worst price32.20
Drawdown as % of equity-0.72%
$510
Includes Typical Broker Commissions trade costs of $5.00
10/24/22 9:36 MCHI ISHARES MSCI CHINA INDEX LONG 942 36.13 10/26 11:48 38.39 0.66%
Trade id #142283135
Max drawdown($1,045)
Time10/24/22 10:27
Quant open942
Worst price35.02
Drawdown as % of equity-0.66%
$2,124
Includes Typical Broker Commissions trade costs of $5.00
10/24/22 9:35 JD JD.COM INC LONG 975 34.93 10/25 11:18 37.58 1.08%
Trade id #142283077
Max drawdown($1,716)
Time10/24/22 10:27
Quant open975
Worst price33.17
Drawdown as % of equity-1.08%
$2,579
Includes Typical Broker Commissions trade costs of $5.00
10/24/22 9:57 NIO NIO INC LONG 3,750 9.21 10/25 11:17 10.27 1.97%
Trade id #142284044
Max drawdown($3,131)
Time10/24/22 10:24
Quant open3,750
Worst price8.38
Drawdown as % of equity-1.97%
$3,970
Includes Typical Broker Commissions trade costs of $5.00
10/19/22 12:49 GNRC GENERAC HOLDINGS LONG 311 111.82 10/25 11:16 119.09 1.07%
Trade id #142230983
Max drawdown($1,850)
Time10/24/22 0:00
Quant open311
Worst price105.87
Drawdown as % of equity-1.07%
$2,255
Includes Typical Broker Commissions trade costs of $6.22
10/19/22 10:19 SPWR SUNPOWER LONG 2,171 16.02 10/25 11:14 16.84 1.18%
Trade id #142226802
Max drawdown($2,040)
Time10/24/22 0:00
Quant open2,171
Worst price15.08
Drawdown as % of equity-1.18%
$1,775
Includes Typical Broker Commissions trade costs of $5.00
10/4/22 11:55 GOOG ALPHABET INC CLASS C LONG 90 101.90 10/24 10:26 100.51 0.37%
Trade id #142032272
Max drawdown($596)
Time10/13/22 0:00
Quant open90
Worst price95.27
Drawdown as % of equity-0.37%
($127)
Includes Typical Broker Commissions trade costs of $1.80
10/18/22 11:02 UBER UBER TECHNOLOGIES INC LONG 333 26.89 10/24 10:25 26.77 0.07%
Trade id #142209682
Max drawdown($131)
Time10/18/22 11:31
Quant open333
Worst price26.50
Drawdown as % of equity-0.07%
($47)
Includes Typical Broker Commissions trade costs of $6.66
10/21/22 11:43 THC TENET HEALTHCARE LONG 935 37.24 10/24 9:35 39.55 0.3%
Trade id #142264468
Max drawdown($511)
Time10/21/22 15:07
Quant open935
Worst price36.69
Drawdown as % of equity-0.30%
$2,155
Includes Typical Broker Commissions trade costs of $5.00
10/19/22 9:43 CNK CINEMARK HOLDINGS LONG 3,742 9.30 10/21 13:55 9.60 0.5%
Trade id #142225561
Max drawdown($860)
Time10/21/22 9:32
Quant open3,742
Worst price9.07
Drawdown as % of equity-0.50%
$1,118
Includes Typical Broker Commissions trade costs of $5.00
10/14/22 10:21 FIVN FIVE9 INC. COMMON STOCK LONG 604 56.17 10/17 11:17 59.26 0.73%
Trade id #142172495
Max drawdown($1,226)
Time10/14/22 14:56
Quant open604
Worst price54.14
Drawdown as % of equity-0.73%
$1,861
Includes Typical Broker Commissions trade costs of $5.00
10/14/22 10:40 BEPC BROOKFIELD RENEWABLE CORP LONG 1,150 29.58 10/17 11:17 30.46 0.32%
Trade id #142172957
Max drawdown($552)
Time10/14/22 12:00
Quant open1,150
Worst price29.10
Drawdown as % of equity-0.32%
$1,007
Includes Typical Broker Commissions trade costs of $5.00
10/13/22 12:17 CCI CROWN CASTLE INC LONG 262 129.87 10/17 11:16 132.56 0.37%
Trade id #142159557
Max drawdown($639)
Time10/14/22 0:00
Quant open262
Worst price127.43
Drawdown as % of equity-0.37%
$700
Includes Typical Broker Commissions trade costs of $5.24
10/7/22 9:30 AMT AMERICAN TOWER LONG 182 199.12 10/17 11:16 194.01 2.35%
Trade id #142080220
Max drawdown($3,812)
Time10/13/22 0:00
Quant open182
Worst price178.17
Drawdown as % of equity-2.35%
($934)
Includes Typical Broker Commissions trade costs of $3.64

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    922.16
  • Age
    31 months ago
  • What it trades
    Stocks
  • # Trades
    435
  • # Profitable
    263
  • % Profitable
    60.50%
  • Avg trade duration
    22.1 days
  • Max peak-to-valley drawdown
    29.7%
  • drawdown period
    Sept 12, 2022 - Oct 03, 2022
  • Annual Return (Compounded)
    37.9%
  • Avg win
    $1,174
  • Avg loss
    $1,021
  • Model Account Values (Raw)
  • Cash
    $194,553
  • Margin Used
    $0
  • Buying Power
    $194,948
  • Ratios
  • W:L ratio
    1.77:1
  • Sharpe Ratio
    1.02
  • Sortino Ratio
    1.74
  • Calmar Ratio
    1.476
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    91.77%
  • Correlation to SP500
    0.50820
  • Return Percent SP500 (cumu) during strategy life
    34.10%
  • Return Statistics
  • Ann Return (w trading costs)
    37.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.379%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    40.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    55.00%
  • Chance of 20% account loss
    26.50%
  • Chance of 30% account loss
    15.50%
  • Chance of 40% account loss
    1.50%
  • 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)
    425
  • Popularity (Last 6 weeks)
    741
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    722
  • Popularity (7 days, Percentile 1000 scale)
    396
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,022
  • Avg Win
    $1,175
  • Sum Trade PL (losers)
    $175,700.000
  • Age
  • Num Months filled monthly returns table
    31
  • Win / Loss
  • Sum Trade PL (winners)
    $309,124.000
  • # Winners
    263
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    1140
  • Win / Loss
  • # Losers
    172
  • % Winners
    60.5%
  • Frequency
  • Avg Position Time (mins)
    31873.80
  • Avg Position Time (hrs)
    531.23
  • Avg Trade Length
    22.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.83
  • Daily leverage (max)
    2.17
  • Regression
  • Alpha
    0.07
  • Beta
    0.73
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.05
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.499
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.687
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.780
  • Hold-and-Hope Ratio
    0.227
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36149
  • SD
    0.33036
  • Sharpe ratio (Glass type estimate)
    1.09424
  • Sharpe ratio (Hedges UMVUE)
    1.06565
  • df
    29.00000
  • t
    1.73014
  • p
    0.04712
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18561
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35622
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20392
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33522
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14389
  • Upside Potential Ratio
    3.46325
  • Upside part of mean
    0.58395
  • Downside part of mean
    -0.22246
  • Upside SD
    0.29658
  • Downside SD
    0.16861
  • N nonnegative terms
    23.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.10424
  • Mean of criterion
    0.36149
  • SD of predictor
    0.16339
  • SD of criterion
    0.33036
  • Covariance
    0.02944
  • r
    0.54548
  • b (slope, estimate of beta)
    1.10290
  • a (intercept, estimate of alpha)
    0.24653
  • Mean Square Error
    0.07940
  • DF error
    28.00000
  • t(b)
    3.44387
  • p(b)
    0.00091
  • t(a)
    1.35967
  • p(a)
    0.09239
  • Lowerbound of 95% confidence interval for beta
    0.44690
  • Upperbound of 95% confidence interval for beta
    1.75891
  • Lowerbound of 95% confidence interval for alpha
    -0.12488
  • Upperbound of 95% confidence interval for alpha
    0.61793
  • Treynor index (mean / b)
    0.32776
  • Jensen alpha (a)
    0.24653
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30616
  • SD
    0.31903
  • Sharpe ratio (Glass type estimate)
    0.95967
  • Sharpe ratio (Hedges UMVUE)
    0.93460
  • df
    29.00000
  • t
    1.51738
  • p
    0.07000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31199
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21552
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32811
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19731
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67698
  • Upside Potential Ratio
    2.97909
  • Upside part of mean
    0.54388
  • Downside part of mean
    -0.23772
  • Upside SD
    0.26994
  • Downside SD
    0.18257
  • N nonnegative terms
    23.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.09047
  • Mean of criterion
    0.30616
  • SD of predictor
    0.16598
  • SD of criterion
    0.31903
  • Covariance
    0.03048
  • r
    0.57559
  • b (slope, estimate of beta)
    1.10636
  • a (intercept, estimate of alpha)
    0.20607
  • Mean Square Error
    0.07049
  • DF error
    28.00000
  • t(b)
    3.72462
  • p(b)
    0.00044
  • t(a)
    1.21181
  • p(a)
    0.11786
  • Lowerbound of 95% confidence interval for beta
    0.49790
  • Upperbound of 95% confidence interval for beta
    1.71481
  • Lowerbound of 95% confidence interval for alpha
    -0.14227
  • Upperbound of 95% confidence interval for alpha
    0.55441
  • Treynor index (mean / b)
    0.27673
  • Jensen alpha (a)
    0.20607
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11836
  • Expected Shortfall on VaR
    0.15115
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02339
  • Expected Shortfall on VaR
    0.05853
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.80658
  • Quartile 1
    1.00442
  • Median
    1.02198
  • Quartile 3
    1.05461
  • Maximum
    1.27217
  • Mean of quarter 1
    0.93306
  • Mean of quarter 2
    1.01094
  • Mean of quarter 3
    1.03704
  • Mean of quarter 4
    1.14666
  • Inter Quartile Range
    0.05018
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.86422
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    1.20895
  • 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)
    -0.41074
  • VaR(95%) (regression method)
    0.07988
  • Expected Shortfall (regression method)
    0.10700
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00503
  • Quartile 1
    0.05745
  • Median
    0.07004
  • Quartile 3
    0.11774
  • Maximum
    0.19342
  • Mean of quarter 1
    0.03124
  • Mean of quarter 2
    0.07004
  • Mean of quarter 3
    0.11774
  • Mean of quarter 4
    0.19342
  • Inter Quartile Range
    0.06029
  • 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)
    0.52208
  • Compounded annual return (geometric extrapolation)
    0.39664
  • Calmar ratio (compounded annual return / max draw down)
    2.05061
  • Compounded annual return / average of 25% largest draw downs
    2.05061
  • Compounded annual return / Expected Shortfall lognormal
    2.62409
  • 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
    0.34489
  • SD
    0.26794
  • Sharpe ratio (Glass type estimate)
    1.28721
  • Sharpe ratio (Hedges UMVUE)
    1.28573
  • df
    655.00000
  • t
    2.03680
  • p
    0.02104
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04612
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52733
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04513
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52633
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23468
  • Upside Potential Ratio
    9.35513
  • Upside part of mean
    1.44384
  • Downside part of mean
    -1.09895
  • Upside SD
    0.21981
  • Downside SD
    0.15434
  • N nonnegative terms
    333.00000
  • N negative terms
    323.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    656.00000
  • Mean of predictor
    0.10846
  • Mean of criterion
    0.34489
  • SD of predictor
    0.19319
  • SD of criterion
    0.26794
  • Covariance
    0.02615
  • r
    0.50514
  • b (slope, estimate of beta)
    0.70059
  • a (intercept, estimate of alpha)
    0.26900
  • Mean Square Error
    0.05355
  • DF error
    654.00000
  • t(b)
    14.96840
  • p(b)
    0.00000
  • t(a)
    1.83758
  • p(a)
    0.03329
  • Lowerbound of 95% confidence interval for beta
    0.60869
  • Upperbound of 95% confidence interval for beta
    0.79250
  • Lowerbound of 95% confidence interval for alpha
    -0.01844
  • Upperbound of 95% confidence interval for alpha
    0.55626
  • Treynor index (mean / b)
    0.49229
  • Jensen alpha (a)
    0.26891
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30945
  • SD
    0.26448
  • Sharpe ratio (Glass type estimate)
    1.17001
  • Sharpe ratio (Hedges UMVUE)
    1.16867
  • df
    655.00000
  • t
    1.85135
  • p
    0.03228
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07069
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40984
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07159
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40892
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97028
  • Upside Potential Ratio
    9.04426
  • Upside part of mean
    1.42047
  • Downside part of mean
    -1.11102
  • Upside SD
    0.21341
  • Downside SD
    0.15706
  • N nonnegative terms
    333.00000
  • N negative terms
    323.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    656.00000
  • Mean of predictor
    0.08974
  • Mean of criterion
    0.30945
  • SD of predictor
    0.19366
  • SD of criterion
    0.26448
  • Covariance
    0.02588
  • r
    0.50530
  • b (slope, estimate of beta)
    0.69011
  • a (intercept, estimate of alpha)
    0.24752
  • Mean Square Error
    0.05217
  • DF error
    654.00000
  • t(b)
    14.97480
  • p(b)
    0.00000
  • t(a)
    1.71402
  • p(a)
    0.04350
  • Lowerbound of 95% confidence interval for beta
    0.59962
  • Upperbound of 95% confidence interval for beta
    0.78060
  • Lowerbound of 95% confidence interval for alpha
    -0.03604
  • Upperbound of 95% confidence interval for alpha
    0.53107
  • Treynor index (mean / b)
    0.44840
  • Jensen alpha (a)
    0.24752
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02537
  • Expected Shortfall on VaR
    0.03198
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00948
  • Expected Shortfall on VaR
    0.01948
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    656.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99545
  • Median
    1.00021
  • Quartile 3
    1.00604
  • Maximum
    1.10903
  • Mean of quarter 1
    0.98504
  • Mean of quarter 2
    0.99840
  • Mean of quarter 3
    1.00274
  • Mean of quarter 4
    1.01952
  • Inter Quartile Range
    0.01059
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.05640
  • Mean of outliers low
    0.96777
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.07165
  • Mean of outliers high
    1.04113
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33056
  • VaR(95%) (moments method)
    0.01392
  • Expected Shortfall (moments method)
    0.02514
  • Extreme Value Index (regression method)
    0.05568
  • VaR(95%) (regression method)
    0.01412
  • Expected Shortfall (regression method)
    0.02070
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    50.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00355
  • Median
    0.01162
  • Quartile 3
    0.03275
  • Maximum
    0.27175
  • Mean of quarter 1
    0.00144
  • Mean of quarter 2
    0.00772
  • Mean of quarter 3
    0.02075
  • Mean of quarter 4
    0.09431
  • Inter Quartile Range
    0.02920
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.14000
  • Mean of outliers high
    0.13446
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.27395
  • VaR(95%) (moments method)
    0.09263
  • Expected Shortfall (moments method)
    0.15613
  • Extreme Value Index (regression method)
    0.33563
  • VaR(95%) (regression method)
    0.09669
  • Expected Shortfall (regression method)
    0.17208
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.53007
  • Compounded annual return (geometric extrapolation)
    0.40123
  • Calmar ratio (compounded annual return / max draw down)
    1.47649
  • Compounded annual return / average of 25% largest draw downs
    4.25444
  • Compounded annual return / Expected Shortfall lognormal
    12.54550
  • 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
    0.56453
  • SD
    0.36562
  • Sharpe ratio (Glass type estimate)
    1.54402
  • Sharpe ratio (Hedges UMVUE)
    1.53509
  • df
    130.00000
  • t
    1.09178
  • p
    0.45234
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.23704
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.31927
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.31317
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.64602
  • Upside Potential Ratio
    11.27010
  • Upside part of mean
    2.40447
  • Downside part of mean
    -1.83994
  • Upside SD
    0.29725
  • Downside SD
    0.21335
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09578
  • Mean of criterion
    0.56453
  • SD of predictor
    0.24831
  • SD of criterion
    0.36562
  • Covariance
    0.05686
  • r
    0.62628
  • b (slope, estimate of beta)
    0.92218
  • a (intercept, estimate of alpha)
    0.65286
  • Mean Square Error
    0.08188
  • DF error
    129.00000
  • t(b)
    9.12415
  • p(b)
    0.12916
  • t(a)
    1.61287
  • p(a)
    0.41079
  • Lowerbound of 95% confidence interval for beta
    0.72221
  • Upperbound of 95% confidence interval for beta
    1.12215
  • Lowerbound of 95% confidence interval for alpha
    -0.14801
  • Upperbound of 95% confidence interval for alpha
    1.45373
  • Treynor index (mean / b)
    0.61217
  • Jensen alpha (a)
    0.65286
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49849
  • SD
    0.36210
  • Sharpe ratio (Glass type estimate)
    1.37666
  • Sharpe ratio (Hedges UMVUE)
    1.36870
  • df
    130.00000
  • t
    0.97344
  • p
    0.45747
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40274
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.15097
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40809
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.14549
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29717
  • Upside Potential Ratio
    10.88250
  • Upside part of mean
    2.36151
  • Downside part of mean
    -1.86302
  • Upside SD
    0.28979
  • Downside SD
    0.21700
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12635
  • Mean of criterion
    0.49849
  • SD of predictor
    0.24811
  • SD of criterion
    0.36210
  • Covariance
    0.05632
  • r
    0.62684
  • b (slope, estimate of beta)
    0.91483
  • a (intercept, estimate of alpha)
    0.61408
  • Mean Square Error
    0.08021
  • DF error
    129.00000
  • t(b)
    9.13772
  • p(b)
    0.12888
  • t(a)
    1.53240
  • p(a)
    0.41513
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.71675
  • Upperbound of 95% confidence interval for beta
    1.11291
  • Lowerbound of 95% confidence interval for alpha
    -0.17878
  • Upperbound of 95% confidence interval for alpha
    1.40695
  • Treynor index (mean / b)
    0.54490
  • Jensen alpha (a)
    0.61408
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03429
  • Expected Shortfall on VaR
    0.04324
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01682
  • Expected Shortfall on VaR
    0.03111
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94870
  • Quartile 1
    0.99021
  • Median
    0.99959
  • Quartile 3
    1.01252
  • Maximum
    1.08320
  • Mean of quarter 1
    0.97734
  • Mean of quarter 2
    0.99501
  • Mean of quarter 3
    1.00554
  • Mean of quarter 4
    1.03125
  • Inter Quartile Range
    0.02231
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.95036
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.06836
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15273
  • VaR(95%) (moments method)
    0.02275
  • Expected Shortfall (moments method)
    0.03350
  • Extreme Value Index (regression method)
    -0.17691
  • VaR(95%) (regression method)
    0.02283
  • Expected Shortfall (regression method)
    0.02872
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00717
  • Median
    0.02102
  • Quartile 3
    0.04063
  • Maximum
    0.27175
  • Mean of quarter 1
    0.00296
  • Mean of quarter 2
    0.01666
  • Mean of quarter 3
    0.03684
  • Mean of quarter 4
    0.14357
  • Inter Quartile Range
    0.03347
  • 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
    0.18182
  • Mean of outliers high
    0.19328
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.29403
  • VaR(95%) (moments method)
    0.12281
  • Expected Shortfall (moments method)
    0.12368
  • Extreme Value Index (regression method)
    0.15096
  • VaR(95%) (regression method)
    0.28635
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.48600
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -307873000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60217
  • Compounded annual return (geometric extrapolation)
    0.69282
  • Calmar ratio (compounded annual return / max draw down)
    2.54950
  • Compounded annual return / average of 25% largest draw downs
    4.82567
  • Compounded annual return / Expected Shortfall lognormal
    16.02110

Strategy Description

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

Summary Statistics

Strategy began
2020-05-21
Suggested Minimum Capital
$5,000
# Trades
435
# Profitable
263
% Profitable
60.5%
Net Dividends
Correlation S&P500
0.508
Sharpe Ratio
1.02
Sortino Ratio
1.74
Beta
0.73
Alpha
0.07
Leverage
0.83 Average
2.17 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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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.