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JC Alpha
(78115907)

Created by: JCAlpha JCAlpha
Started: 12/2012
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 $90.00 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.

7.1%
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.

(26.3%)
Max Drawdown
2721
Num Trades
66.8%
Win Trades
1.4 : 1
Profit Factor
58.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                             (1.1%)(1.1%)
2013(0.7%)(0.6%)(3.1%)(2.3%)+1.4%(2.2%)+1.8%+4.1%+1.6%+0.9%(3.2%)+5.7%+3.2%
2014  -  +5.7%+2.4%+5.2%(3.3%)(14.7%)+18.0%+1.6%(5%)+2.2%(0.9%)+6.8%+15.6%
2015+1.4%+4.0%+0.7%+1.9%+5.5%(2%)+2.2%(5.8%)(2.6%)+5.2%+3.0%+3.3%+17.1%
2016(2%)+5.7%  -  +0.3%+1.9%+3.5%(0.7%)(0.1%)(0.1%)+1.2%+2.5%+0.6%+13.3%
2017+1.2%+1.6%+1.4%(0.1%)(1.6%)+1.3%+1.0%(1%)(4.5%)(0.7%)(1.4%)(0.7%)(3.6%)
2018(2.2%)(4.2%)+0.6%+2.3%+0.7%(2.1%)+0.8%+0.9%+0.1%(4.2%)+9.0%(0.1%)+0.8%
2019+1.3%+1.4%+0.4%(0.5%)(3.6%)+5.2%+1.9%+2.3%+2.5%+0.4%(5%)+0.3%+6.4%

Model Account Details

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

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

Trading Record

This strategy has placed 4,146 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/4/19 9:30 CB CHUBB LONG 48 149.86 12/9 13:44 152.95 0.03%
Trade id #126477304
Max drawdown($40)
Time12/4/19 9:35
Quant open48
Worst price149.01
Drawdown as % of equity-0.03%
$147
Includes Typical Broker Commissions trade costs of $0.96
12/5/19 15:49 UNH UNITEDHEALTH GROUP SHORT 25 282.06 12/9 13:44 279.61 0.02%
Trade id #126505937
Max drawdown($24)
Time12/6/19 0:00
Quant open25
Worst price283.04
Drawdown as % of equity-0.02%
$61
Includes Typical Broker Commissions trade costs of $0.50
12/9/19 9:30 VRTX VERTEX SHORT 32 223.25 12/9 13:43 219.90 n/a $106
Includes Typical Broker Commissions trade costs of $0.64
11/20/19 9:32 VRTX VERTEX SHORT 33 215.20 12/6 14:21 222.81 0.19%
Trade id #126282981
Max drawdown($312)
Time12/6/19 9:31
Quant open33
Worst price224.66
Drawdown as % of equity-0.19%
($252)
Includes Typical Broker Commissions trade costs of $0.66
11/27/19 9:30 CCI CROWN CASTLE LONG 54 134.40 12/5 15:59 134.66 0.12%
Trade id #126384176
Max drawdown($191)
Time12/2/19 0:00
Quant open54
Worst price130.86
Drawdown as % of equity-0.12%
$13
Includes Typical Broker Commissions trade costs of $1.08
11/20/19 14:59 ILMN ILLUMINA SHORT 23 315.01 12/5 15:51 319.82 0.12%
Trade id #126293538
Max drawdown($192)
Time12/3/19 0:00
Quant open23
Worst price323.37
Drawdown as % of equity-0.12%
($111)
Includes Typical Broker Commissions trade costs of $0.46
11/18/19 13:24 UNH UNITEDHEALTH GROUP SHORT 26 274.29 12/4 9:30 281.62 0.14%
Trade id #126256929
Max drawdown($226)
Time11/25/19 0:00
Quant open26
Worst price283.00
Drawdown as % of equity-0.14%
($192)
Includes Typical Broker Commissions trade costs of $0.52
11/27/19 9:30 A AGILENT TECHNOLOGIES SHORT 89 81.09 12/4 9:30 80.26 0.01%
Trade id #126384172
Max drawdown($22)
Time11/27/19 9:47
Quant open89
Worst price81.34
Drawdown as % of equity-0.01%
$72
Includes Typical Broker Commissions trade costs of $1.78
11/21/19 9:30 CRM SALESFORCE.COM SHORT 44 165.32 12/2 13:40 160.96 0.02%
Trade id #126302313
Max drawdown($25)
Time11/21/19 9:33
Quant open44
Worst price165.91
Drawdown as % of equity-0.02%
$191
Includes Typical Broker Commissions trade costs of $0.88
11/29/19 9:30 PLD PROLOGIS SHORT 78 92.79 12/2 13:39 90.49 0%
Trade id #126418353
Max drawdown($0)
Time11/29/19 9:37
Quant open78
Worst price92.80
Drawdown as % of equity-0.00%
$177
Includes Typical Broker Commissions trade costs of $1.56
11/27/19 9:30 MSFT MICROSOFT SHORT 47 152.33 12/2 13:38 149.97 0%
Trade id #126384150
Max drawdown($7)
Time11/27/19 9:31
Quant open47
Worst price152.50
Drawdown as % of equity-0.00%
$110
Includes Typical Broker Commissions trade costs of $0.94
11/29/19 9:53 ADBE ADOBE INC SHORT 23 309.00 12/2 13:38 303.18 0.01%
Trade id #126419077
Max drawdown($23)
Time11/29/19 13:00
Quant open23
Worst price310.00
Drawdown as % of equity-0.01%
$134
Includes Typical Broker Commissions trade costs of $0.46
10/23/19 9:31 CI CIGNA SHORT 80 179.42 11/27 13:02 199.15 1.29%
Trade id #125913043
Max drawdown($2,065)
Time11/25/19 0:00
Quant open80
Worst price205.24
Drawdown as % of equity-1.29%
($1,580)
Includes Typical Broker Commissions trade costs of $1.60
10/30/19 13:35 YUM YUM BRANDS LONG 71 100.98 11/27 13:00 100.65 0.17%
Trade id #126008630
Max drawdown($287)
Time11/5/19 0:00
Quant open71
Worst price96.94
Drawdown as % of equity-0.17%
($24)
Includes Typical Broker Commissions trade costs of $1.42
11/20/19 15:09 SYK STRYKER LONG 35 203.83 11/26 12:40 202.80 0.09%
Trade id #126293875
Max drawdown($142)
Time11/22/19 0:00
Quant open35
Worst price199.75
Drawdown as % of equity-0.09%
($37)
Includes Typical Broker Commissions trade costs of $0.70
11/20/19 15:03 SPG SIMON PROPERTY GROUP LONG 48 148.27 11/26 12:39 150.87 0.11%
Trade id #126293727
Max drawdown($180)
Time11/22/19 0:00
Quant open48
Worst price144.52
Drawdown as % of equity-0.11%
$124
Includes Typical Broker Commissions trade costs of $0.96
11/20/19 9:34 CME CME GROUP SHORT 35 207.67 11/26 12:39 204.84 0.02%
Trade id #126283027
Max drawdown($38)
Time11/25/19 0:00
Quant open35
Worst price208.78
Drawdown as % of equity-0.02%
$98
Includes Typical Broker Commissions trade costs of $0.70
11/18/19 13:28 CSX CSX LONG 101 70.91 11/26 12:39 72.33 0.11%
Trade id #126257040
Max drawdown($179)
Time11/22/19 0:00
Quant open101
Worst price69.14
Drawdown as % of equity-0.11%
$141
Includes Typical Broker Commissions trade costs of $2.02
11/20/19 9:33 NEE NEXTERA ENERGY SHORT 31 233.09 11/25 14:11 232.34 0.07%
Trade id #126283011
Max drawdown($113)
Time11/20/19 10:29
Quant open31
Worst price236.76
Drawdown as % of equity-0.07%
$22
Includes Typical Broker Commissions trade costs of $0.62
11/13/19 9:59 MSFT MICROSOFT SHORT 49 147.07 11/22 13:00 149.33 0.13%
Trade id #126188453
Max drawdown($208)
Time11/19/19 0:00
Quant open49
Worst price151.33
Drawdown as % of equity-0.13%
($112)
Includes Typical Broker Commissions trade costs of $0.98
10/22/19 9:30 ANTM ANTHEM INC SHORT 54 266.02 11/22 13:00 292.71 1.39%
Trade id #125891570
Max drawdown($2,233)
Time11/18/19 0:00
Quant open54
Worst price307.38
Drawdown as % of equity-1.39%
($1,443)
Includes Typical Broker Commissions trade costs of $1.08
11/13/19 9:30 ADBE ADOBE INC SHORT 25 291.86 11/22 9:30 299.59 0.16%
Trade id #126187194
Max drawdown($254)
Time11/20/19 0:00
Quant open25
Worst price302.05
Drawdown as % of equity-0.16%
($194)
Includes Typical Broker Commissions trade costs of $0.50
10/25/19 14:29 PSA PUBLIC STORAGE LONG 65 221.99 11/20 15:10 213.29 0.5%
Trade id #125956991
Max drawdown($805)
Time11/12/19 0:00
Quant open31
Worst price208.67
Drawdown as % of equity-0.50%
($567)
Includes Typical Broker Commissions trade costs of $1.30
11/14/19 9:30 A AGILENT TECHNOLOGIES SHORT 93 77.21 11/20 14:56 78.60 0.13%
Trade id #126207345
Max drawdown($212)
Time11/19/19 0:00
Quant open93
Worst price79.49
Drawdown as % of equity-0.13%
($131)
Includes Typical Broker Commissions trade costs of $1.86
11/18/19 13:25 ISRG INTUITIVE SURGICAL SHORT 13 569.71 11/20 14:52 572.39 0.11%
Trade id #126256990
Max drawdown($172)
Time11/20/19 10:35
Quant open13
Worst price582.99
Drawdown as % of equity-0.11%
($35)
Includes Typical Broker Commissions trade costs of $0.26
10/29/19 13:55 CRM SALESFORCE.COM SHORT 46 155.46 11/20 14:51 163.86 0.31%
Trade id #125993122
Max drawdown($500)
Time11/20/19 11:05
Quant open46
Worst price166.34
Drawdown as % of equity-0.31%
($387)
Includes Typical Broker Commissions trade costs of $0.92
10/21/19 9:30 WFC WELLS FARGO SHORT 144 50.27 11/20 14:51 53.61 0.36%
Trade id #125874362
Max drawdown($594)
Time11/7/19 0:00
Quant open144
Worst price54.40
Drawdown as % of equity-0.36%
($483)
Includes Typical Broker Commissions trade costs of $2.88
10/21/19 10:39 BLK BLACKROCK SHORT 16 450.67 11/20 14:50 489.04 0.45%
Trade id #125876801
Max drawdown($721)
Time11/19/19 0:00
Quant open16
Worst price495.78
Drawdown as % of equity-0.45%
($614)
Includes Typical Broker Commissions trade costs of $0.32
10/18/19 9:33 TSLA TESLA INC. SHORT 73 292.98 11/20 14:48 351.50 3.11%
Trade id #125851413
Max drawdown($4,980)
Time11/20/19 9:32
Quant open73
Worst price361.20
Drawdown as % of equity-3.11%
($4,273)
Includes Typical Broker Commissions trade costs of $1.46
11/5/19 15:48 VZ VERIZON COMMUNICATIONS LONG 121 59.53 11/19 13:14 59.48 0.06%
Trade id #126082471
Max drawdown($88)
Time11/13/19 0:00
Quant open121
Worst price58.80
Drawdown as % of equity-0.06%
($9)
Includes Typical Broker Commissions trade costs of $2.42

Statistics

  • Strategy began
    12/12/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2553.31
  • Age
    85 months ago
  • What it trades
    Stocks
  • # Trades
    2721
  • # Profitable
    1818
  • % Profitable
    66.80%
  • Avg trade duration
    13.2 days
  • Max peak-to-valley drawdown
    26.28%
  • drawdown period
    Dec 03, 2016 - Oct 26, 2018
  • Annual Return (Compounded)
    7.1%
  • Avg win
    $196.20
  • Avg loss
    $310.05
  • Model Account Values (Raw)
  • Cash
    $182,103
  • Margin Used
    $21,735
  • Buying Power
    $160,166
  • Ratios
  • W:L ratio
    1.35:1
  • Sharpe Ratio
    0.33
  • Sortino Ratio
    0.52
  • Calmar Ratio
    0.38
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -57.72%
  • Correlation to SP500
    0.28840
  • Return Percent SP500 (cumu) during strategy life
    119.96%
  • Return Statistics
  • Ann Return (w trading costs)
    7.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.09%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.43%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.071%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.00%
  • Chance of 20% account loss
    28.00%
  • Chance of 30% account loss
    9.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    387
  • Popularity (Last 6 weeks)
    803
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    24
  • Popularity (7 days, Percentile 1000 scale)
    539
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $310
  • Avg Win
    $196
  • Sum Trade PL (losers)
    $279,976.000
  • Age
  • Num Months (Age strategy)
    85
  • Win / Loss
  • Sum Trade PL (winners)
    $356,698.000
  • # Winners
    1818
  • Num Months Winners
    52
  • Dividends
  • Dividends Received in Model Acct
    1373
  • Win / Loss
  • # Losers
    903
  • % Winners
    66.8%
  • Frequency
  • Avg Position Time (mins)
    19062.50
  • Avg Position Time (hrs)
    317.71
  • Avg Trade Length
    13.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.98
  • Daily leverage (max)
    2.54
  • Regression
  • Alpha
    0.01
  • Beta
    0.34
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    63.95
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    74.82
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.68
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    13.816
  • 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
    0.932
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.416
  • Hold-and-Hope Ratio
    0.072
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06587
  • SD
    0.14459
  • Sharpe ratio (Glass type estimate)
    0.45553
  • Sharpe ratio (Hedges UMVUE)
    0.45130
  • df
    81.00000
  • t
    1.19078
  • p
    0.11861
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29889
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20719
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30169
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20429
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72857
  • Upside Potential Ratio
    2.25033
  • Upside part of mean
    0.20344
  • Downside part of mean
    -0.13757
  • Upside SD
    0.11332
  • Downside SD
    0.09040
  • N nonnegative terms
    48.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.09382
  • Mean of criterion
    0.06587
  • SD of predictor
    0.11189
  • SD of criterion
    0.14459
  • Covariance
    0.00209
  • r
    0.12940
  • b (slope, estimate of beta)
    0.16722
  • a (intercept, estimate of alpha)
    0.05018
  • Mean Square Error
    0.02081
  • DF error
    80.00000
  • t(b)
    1.16719
  • p(b)
    0.12330
  • t(a)
    0.88334
  • p(a)
    0.18985
  • Lowerbound of 95% confidence interval for beta
    -0.11789
  • Upperbound of 95% confidence interval for beta
    0.45233
  • Lowerbound of 95% confidence interval for alpha
    -0.06287
  • Upperbound of 95% confidence interval for alpha
    0.16322
  • Treynor index (mean / b)
    0.39388
  • Jensen alpha (a)
    0.05018
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05545
  • SD
    0.14273
  • Sharpe ratio (Glass type estimate)
    0.38846
  • Sharpe ratio (Hedges UMVUE)
    0.38485
  • df
    81.00000
  • t
    1.01546
  • p
    0.15646
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36488
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13944
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36726
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13697
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.58965
  • Upside Potential Ratio
    2.09501
  • Upside part of mean
    0.19700
  • Downside part of mean
    -0.14155
  • Upside SD
    0.10742
  • Downside SD
    0.09403
  • N nonnegative terms
    48.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.08706
  • Mean of criterion
    0.05545
  • SD of predictor
    0.11250
  • SD of criterion
    0.14273
  • Covariance
    0.00241
  • r
    0.15015
  • b (slope, estimate of beta)
    0.19051
  • a (intercept, estimate of alpha)
    0.03886
  • Mean Square Error
    0.02016
  • DF error
    80.00000
  • t(b)
    1.35842
  • p(b)
    0.08907
  • t(a)
    0.69800
  • p(a)
    0.24360
  • Lowerbound of 95% confidence interval for beta
    -0.08859
  • Upperbound of 95% confidence interval for beta
    0.46961
  • Lowerbound of 95% confidence interval for alpha
    -0.07194
  • Upperbound of 95% confidence interval for alpha
    0.14966
  • Treynor index (mean / b)
    0.29104
  • Jensen alpha (a)
    0.03886
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06120
  • Expected Shortfall on VaR
    0.07712
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02308
  • Expected Shortfall on VaR
    0.04872
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    82.00000
  • Minimum
    0.88279
  • Quartile 1
    0.99295
  • Median
    1.00909
  • Quartile 3
    1.02559
  • Maximum
    1.18805
  • Mean of quarter 1
    0.96052
  • Mean of quarter 2
    1.00097
  • Mean of quarter 3
    1.01552
  • Mean of quarter 4
    1.05430
  • Inter Quartile Range
    0.03263
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.07317
  • Mean of outliers low
    0.92186
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.03659
  • Mean of outliers high
    1.12645
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16986
  • VaR(95%) (moments method)
    0.02648
  • Expected Shortfall (moments method)
    0.04315
  • Extreme Value Index (regression method)
    0.01445
  • VaR(95%) (regression method)
    0.04796
  • Expected Shortfall (regression method)
    0.07373
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00288
  • Quartile 1
    0.02529
  • Median
    0.05777
  • Quartile 3
    0.11143
  • Maximum
    0.15103
  • Mean of quarter 1
    0.00901
  • Mean of quarter 2
    0.05052
  • Mean of quarter 3
    0.07548
  • Mean of quarter 4
    0.14226
  • Inter Quartile Range
    0.08613
  • 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)
    -0.93478
  • VaR(95%) (moments method)
    0.14910
  • Expected Shortfall (moments method)
    0.15181
  • Extreme Value Index (regression method)
    0.52449
  • VaR(95%) (regression method)
    0.15185
  • Expected Shortfall (regression method)
    0.18266
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11232
  • Compounded annual return (geometric extrapolation)
    0.08693
  • Calmar ratio (compounded annual return / max draw down)
    0.57556
  • Compounded annual return / average of 25% largest draw downs
    0.61105
  • Compounded annual return / Expected Shortfall lognormal
    1.12717
  • 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
    0.06678
  • SD
    0.14666
  • Sharpe ratio (Glass type estimate)
    0.45538
  • Sharpe ratio (Hedges UMVUE)
    0.45519
  • df
    1799.00000
  • t
    1.19361
  • p
    0.48209
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29256
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20326
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29272
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20310
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71210
  • Upside Potential Ratio
    7.48786
  • Upside part of mean
    0.70225
  • Downside part of mean
    -0.63547
  • Upside SD
    0.11277
  • Downside SD
    0.09379
  • N nonnegative terms
    867.00000
  • N negative terms
    933.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1800.00000
  • Mean of predictor
    0.09502
  • Mean of criterion
    0.06678
  • SD of predictor
    0.12992
  • SD of criterion
    0.14666
  • Covariance
    0.00554
  • r
    0.29092
  • b (slope, estimate of beta)
    0.32839
  • a (intercept, estimate of alpha)
    0.03600
  • Mean Square Error
    0.01970
  • DF error
    1798.00000
  • t(b)
    12.89340
  • p(b)
    0.35454
  • t(a)
    0.66379
  • p(a)
    0.49217
  • Lowerbound of 95% confidence interval for beta
    0.27844
  • Upperbound of 95% confidence interval for beta
    0.37835
  • Lowerbound of 95% confidence interval for alpha
    -0.06955
  • Upperbound of 95% confidence interval for alpha
    0.14071
  • Treynor index (mean / b)
    0.20337
  • Jensen alpha (a)
    0.03558
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05610
  • SD
    0.14591
  • Sharpe ratio (Glass type estimate)
    0.38445
  • Sharpe ratio (Hedges UMVUE)
    0.38429
  • df
    1799.00000
  • t
    1.00769
  • p
    0.48488
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36345
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13228
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36357
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13216
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.59091
  • Upside Potential Ratio
    7.33105
  • Upside part of mean
    0.69597
  • Downside part of mean
    -0.63987
  • Upside SD
    0.11081
  • Downside SD
    0.09493
  • N nonnegative terms
    867.00000
  • N negative terms
    933.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1800.00000
  • Mean of predictor
    0.08655
  • Mean of criterion
    0.05610
  • SD of predictor
    0.13011
  • SD of criterion
    0.14591
  • Covariance
    0.00556
  • r
    0.29311
  • b (slope, estimate of beta)
    0.32872
  • a (intercept, estimate of alpha)
    0.02765
  • Mean Square Error
    0.01947
  • DF error
    1798.00000
  • t(b)
    12.99960
  • p(b)
    0.35345
  • t(a)
    0.51888
  • p(a)
    0.49388
  • Lowerbound of 95% confidence interval for beta
    0.27912
  • Upperbound of 95% confidence interval for beta
    0.37831
  • Lowerbound of 95% confidence interval for alpha
    -0.07686
  • Upperbound of 95% confidence interval for alpha
    0.13215
  • Treynor index (mean / b)
    0.17066
  • Jensen alpha (a)
    0.02765
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01451
  • Expected Shortfall on VaR
    0.01821
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00564
  • Expected Shortfall on VaR
    0.01174
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1800.00000
  • Minimum
    0.94976
  • Quartile 1
    0.99757
  • Median
    0.99998
  • Quartile 3
    1.00250
  • Maximum
    1.09726
  • Mean of quarter 1
    0.99159
  • Mean of quarter 2
    0.99893
  • Mean of quarter 3
    1.00111
  • Mean of quarter 4
    1.00982
  • Inter Quartile Range
    0.00493
  • Number outliers low
    115.00000
  • Percentage of outliers low
    0.06389
  • Mean of outliers low
    0.98109
  • Number of outliers high
    142.00000
  • Percentage of outliers high
    0.07889
  • Mean of outliers high
    1.02016
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52000
  • VaR(95%) (moments method)
    0.00830
  • Expected Shortfall (moments method)
    0.01951
  • Extreme Value Index (regression method)
    0.25799
  • VaR(95%) (regression method)
    0.00733
  • Expected Shortfall (regression method)
    0.01234
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    73.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00171
  • Median
    0.00672
  • Quartile 3
    0.01809
  • Maximum
    0.23074
  • Mean of quarter 1
    0.00083
  • Mean of quarter 2
    0.00383
  • Mean of quarter 3
    0.01138
  • Mean of quarter 4
    0.07097
  • Inter Quartile Range
    0.01638
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.13699
  • Mean of outliers high
    0.10605
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.52239
  • VaR(95%) (moments method)
    0.06665
  • Expected Shortfall (moments method)
    0.16057
  • Extreme Value Index (regression method)
    0.64267
  • VaR(95%) (regression method)
    0.06633
  • Expected Shortfall (regression method)
    0.19970
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11367
  • Compounded annual return (geometric extrapolation)
    0.08763
  • Calmar ratio (compounded annual return / max draw down)
    0.37980
  • Compounded annual return / average of 25% largest draw downs
    1.23476
  • Compounded annual return / Expected Shortfall lognormal
    4.81314
  • 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
    0.02935
  • SD
    0.09303
  • Sharpe ratio (Glass type estimate)
    0.31551
  • Sharpe ratio (Hedges UMVUE)
    0.31368
  • df
    130.00000
  • t
    0.22310
  • p
    0.49022
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.45717
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.08698
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45838
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.08575
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45780
  • Upside Potential Ratio
    7.81211
  • Upside part of mean
    0.50089
  • Downside part of mean
    -0.47154
  • Upside SD
    0.06694
  • Downside SD
    0.06412
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15502
  • Mean of criterion
    0.02935
  • SD of predictor
    0.12630
  • SD of criterion
    0.09303
  • Covariance
    0.00541
  • r
    0.46061
  • b (slope, estimate of beta)
    0.33929
  • a (intercept, estimate of alpha)
    -0.02325
  • Mean Square Error
    0.00687
  • DF error
    129.00000
  • t(b)
    5.89402
  • p(b)
    0.21749
  • t(a)
    -0.19772
  • p(a)
    0.51108
  • Lowerbound of 95% confidence interval for beta
    0.22540
  • Upperbound of 95% confidence interval for beta
    0.45319
  • Lowerbound of 95% confidence interval for alpha
    -0.25586
  • Upperbound of 95% confidence interval for alpha
    0.20937
  • Treynor index (mean / b)
    0.08651
  • Jensen alpha (a)
    -0.02325
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02506
  • SD
    0.09297
  • Sharpe ratio (Glass type estimate)
    0.26952
  • Sharpe ratio (Hedges UMVUE)
    0.26796
  • df
    130.00000
  • t
    0.19058
  • p
    0.49164
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.50297
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04104
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.50404
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.03996
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.38858
  • Upside Potential Ratio
    7.73215
  • Upside part of mean
    0.49862
  • Downside part of mean
    -0.47356
  • Upside SD
    0.06650
  • Downside SD
    0.06449
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14701
  • Mean of criterion
    0.02506
  • SD of predictor
    0.12676
  • SD of criterion
    0.09297
  • Covariance
    0.00543
  • r
    0.46043
  • b (slope, estimate of beta)
    0.33771
  • a (intercept, estimate of alpha)
    -0.02459
  • Mean Square Error
    0.00686
  • DF error
    129.00000
  • t(b)
    5.89113
  • p(b)
    0.21759
  • t(a)
    -0.20933
  • p(a)
    0.51173
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.22429
  • Upperbound of 95% confidence interval for beta
    0.45113
  • Lowerbound of 95% confidence interval for alpha
    -0.25701
  • Upperbound of 95% confidence interval for alpha
    0.20783
  • Treynor index (mean / b)
    0.07420
  • Jensen alpha (a)
    -0.02459
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00931
  • Expected Shortfall on VaR
    0.01168
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00414
  • Expected Shortfall on VaR
    0.00837
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98272
  • Quartile 1
    0.99850
  • Median
    1.00008
  • Quartile 3
    1.00226
  • Maximum
    1.01956
  • Mean of quarter 1
    0.99362
  • Mean of quarter 2
    0.99944
  • Mean of quarter 3
    1.00113
  • Mean of quarter 4
    1.00670
  • Inter Quartile Range
    0.00376
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98794
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01396
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27499
  • VaR(95%) (moments method)
    0.00520
  • Expected Shortfall (moments method)
    0.00914
  • Extreme Value Index (regression method)
    -0.15264
  • VaR(95%) (regression method)
    0.00584
  • Expected Shortfall (regression method)
    0.00789
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00103
  • Median
    0.00694
  • Quartile 3
    0.01727
  • Maximum
    0.06289
  • Mean of quarter 1
    0.00060
  • Mean of quarter 2
    0.00332
  • Mean of quarter 3
    0.01384
  • Mean of quarter 4
    0.03646
  • Inter Quartile Range
    0.01624
  • 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
    0.06289
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.39865
  • VaR(95%) (moments method)
    0.03957
  • Expected Shortfall (moments method)
    0.07195
  • Extreme Value Index (regression method)
    2.11041
  • VaR(95%) (regression method)
    0.06075
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -285221000
  • Max Equity Drawdown (num days)
    692
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05367
  • Compounded annual return (geometric extrapolation)
    0.05439
  • Calmar ratio (compounded annual return / max draw down)
    0.86492
  • Compounded annual return / average of 25% largest draw downs
    1.49189
  • Compounded annual return / Expected Shortfall lognormal
    4.65640

Strategy Description

Using a list of 60 US listed companies, the model uses extreme situations of fear and greed in each stock to detect signals that indicate reverse to the means. Usually each name is traded 5 to 10 times a year, both on the long and short side, with an average holding period of 13 working days. The idea is to have the minimum market exposure with a consistent positive performance. The model is based on a back-test since 2007. On average, the model has net long exposure of 10%,. During this period of back-test, the annual returns were the following: 2007 = 12.5%, 2008 = 58%, 2009 = 24%, 2010 = 5.7%, 2011 = 16,3% , 2012 = 7.05%, 75% of positive monthly return, worst month had a performance of -19% (October 2008 ) and the best month 24% (November 2008).
Each new position represents 3% but can go up to 9% in extreme situations of fear/greed sentiment on the stock. The maximum exposure is 150% of the value of the portfolio.
These results represent hypothetical backtesting.
Target return 10%-12%.

Summary Statistics

Strategy began
2012-12-12
Suggested Minimum Capital
$35,000
# Trades
2721
# Profitable
1818
% Profitable
66.8%
Net Dividends
Correlation S&P500
0.288
Sharpe Ratio
0.33
Sortino Ratio
0.52
Beta
0.34
Alpha
0.01
Leverage
0.98 Average
2.54 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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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.