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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: 2 days ago

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.

25.2%
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.

(27.0%)
Max Drawdown
389
Num Trades
58.9%
Win Trades
1.5 : 1
Profit Factor
62.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            (0.1%)(0.1%)+5.4%+1.8%(5%)(1.4%)+9.0%+4.3%+14.0%
2021  -  +4.4%+2.8%+2.8%+2.1%+1.9%+0.4%+3.6%(4.8%)+4.9%(13.4%)+13.1%+16.8%
2022(3%)(1.3%)+15.0%(4%)+24.1%+2.0%+13.5%+1.4%(17%)                  +27.7%

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
9/15/22 14:27 ADBE ADOBE INC LONG 139 308.44 9/26 14:04 278.92 2.51%
Trade id #141820663
Max drawdown($4,267)
Time9/26/22 14:00
Quant open139
Worst price277.74
Drawdown as % of equity-2.51%
($4,106)
Includes Typical Broker Commissions trade costs of $2.78
8/18/22 11:43 META META PLATFORMS INC. CLASS A LONG 66 173.27 9/23 12:40 139.83 1.26%
Trade id #141463303
Max drawdown($2,246)
Time9/23/22 10:01
Quant open66
Worst price139.23
Drawdown as % of equity-1.26%
($2,208)
Includes Typical Broker Commissions trade costs of $1.32
6/2/21 14:08 CURLF CURALEAF HLDGS INC COMMON SHARES LONG 4,728 6.83 9/23/22 12:39 5.83 5.29%
Trade id #135878677
Max drawdown($6,403)
Time3/7/22 0:00
Quant open1,728
Worst price5.41
Drawdown as % of equity-5.29%
($4,719)
Includes Typical Broker Commissions trade costs of $17.28
9/19/22 15:12 BYND BEYOND MEAT INC. COMMON STOCK LONG 2,481 17.32 9/21 15:44 16.02 2.03%
Trade id #141855443
Max drawdown($3,845)
Time9/21/22 14:14
Quant open2,481
Worst price15.77
Drawdown as % of equity-2.03%
($3,230)
Includes Typical Broker Commissions trade costs of $5.00
5/27/22 9:35 PYPL PAYPAL HOLDINGS CORP LONG 215 82.04 9/20 13:14 94.37 1.72%
Trade id #140614664
Max drawdown($3,108)
Time6/30/22 0:00
Quant open215
Worst price67.58
Drawdown as % of equity-1.72%
$2,647
Includes Typical Broker Commissions trade costs of $4.30
5/27/22 9:34 NFLX NETFLIX LONG 91 193.43 9/20 13:13 236.61 1.64%
Trade id #140614613
Max drawdown($2,652)
Time6/14/22 0:00
Quant open91
Worst price164.28
Drawdown as % of equity-1.64%
$3,927
Includes Typical Broker Commissions trade costs of $1.82
9/15/22 14:27 SPB SPECTRUM BRANDS HOLDINGS LONG 864 49.92 9/20 11:12 47.07 1.42%
Trade id #141820651
Max drawdown($2,894)
Time9/19/22 0:00
Quant open864
Worst price46.57
Drawdown as % of equity-1.42%
($2,467)
Includes Typical Broker Commissions trade costs of $5.00
5/27/22 9:35 UBER UBER TECHNOLOGIES INC LONG 750 23.65 9/20 11:12 30.59 1.56%
Trade id #140614628
Max drawdown($2,816)
Time6/30/22 0:00
Quant open750
Worst price19.89
Drawdown as % of equity-1.56%
$5,191
Includes Typical Broker Commissions trade costs of $10.00
9/8/22 13:30 DORM DORMAN PRODUCTS LONG 491 84.48 9/12 14:13 87.38 0.33%
Trade id #141710415
Max drawdown($682)
Time9/9/22 0:00
Quant open491
Worst price83.09
Drawdown as % of equity-0.33%
$1,414
Includes Typical Broker Commissions trade costs of $9.82
8/15/22 11:22 USPH U.S. PHYSICAL THERAPY LONG 532 88.12 9/12 14:13 80.41 3.05%
Trade id #141419682
Max drawdown($6,381)
Time9/6/22 0:00
Quant open492
Worst price76.00
Drawdown as % of equity-3.05%
($4,112)
Includes Typical Broker Commissions trade costs of $7.82
9/8/22 13:29 OSIS OSI SYSTEMS LONG 541 76.56 9/9 11:10 79.24 0.09%
Trade id #141710376
Max drawdown($178)
Time9/8/22 13:51
Quant open541
Worst price76.23
Drawdown as % of equity-0.09%
$1,445
Includes Typical Broker Commissions trade costs of $5.00
9/8/22 13:29 IDCC INTERDIGITAL LONG 887 46.69 9/9 10:25 47.89 0.12%
Trade id #141710387
Max drawdown($257)
Time9/8/22 14:14
Quant open887
Worst price46.40
Drawdown as % of equity-0.12%
$1,059
Includes Typical Broker Commissions trade costs of $5.00
8/23/22 13:07 ELAN ELANCO ANIMAL HEALTH INC LONG 2,826 16.09 9/9 10:24 15.06 2.89%
Trade id #141511435
Max drawdown($6,076)
Time9/8/22 0:00
Quant open2,826
Worst price13.94
Drawdown as % of equity-2.89%
($2,919)
Includes Typical Broker Commissions trade costs of $7.70
9/1/22 11:52 EPR EPR PROPERTIES LONG 986 42.33 9/8 12:01 42.77 0.43%
Trade id #141624761
Max drawdown($897)
Time9/6/22 0:00
Quant open986
Worst price41.42
Drawdown as % of equity-0.43%
$429
Includes Typical Broker Commissions trade costs of $5.00
9/6/22 13:51 VZ VERIZON COMMUNICATIONS LONG 1,000 41.28 9/8 12:00 41.60 0.27%
Trade id #141674835
Max drawdown($570)
Time9/8/22 9:42
Quant open1,000
Worst price40.71
Drawdown as % of equity-0.27%
$315
Includes Typical Broker Commissions trade costs of $5.00
9/2/22 12:52 VEEV VEEVA SYSTEMS INC LONG 244 171.41 9/8 11:59 175.18 0.74%
Trade id #141641701
Max drawdown($1,556)
Time9/6/22 0:00
Quant open244
Worst price165.03
Drawdown as % of equity-0.74%
$915
Includes Typical Broker Commissions trade costs of $4.88
9/6/22 13:52 PDCO PATTERSON COMPANIES LONG 1,633 25.35 9/8 9:30 25.85 0.26%
Trade id #141674846
Max drawdown($522)
Time9/7/22 0:00
Quant open1,633
Worst price25.03
Drawdown as % of equity-0.26%
$812
Includes Typical Broker Commissions trade costs of $5.00
9/1/22 10:49 IART INTEGRA LIFESCIENCES HLDG LONG 895 46.73 9/7 12:16 47.49 0.12%
Trade id #141622626
Max drawdown($241)
Time9/6/22 0:00
Quant open895
Worst price46.46
Drawdown as % of equity-0.12%
$675
Includes Typical Broker Commissions trade costs of $5.00
9/1/22 10:48 CTLT CATALENT INC LONG 483 86.53 9/6 13:50 88.74 0.05%
Trade id #141622607
Max drawdown($106)
Time9/1/22 11:03
Quant open483
Worst price86.31
Drawdown as % of equity-0.05%
$1,057
Includes Typical Broker Commissions trade costs of $9.66
9/2/22 9:36 SGRY SURGERY PARTNERS INC. COMMON STOCK LONG 1,600 26.28 9/6 13:43 26.92 0.21%
Trade id #141635382
Max drawdown($448)
Time9/6/22 9:36
Quant open1,600
Worst price26.00
Drawdown as % of equity-0.21%
$1,019
Includes Typical Broker Commissions trade costs of $5.00
8/22/22 12:24 HZNP HORIZON THERAPIES PUBLIC LTD LONG 730 60.06 8/24 15:24 61.69 0.41%
Trade id #141497022
Max drawdown($832)
Time8/23/22 0:00
Quant open730
Worst price58.92
Drawdown as % of equity-0.41%
$1,185
Includes Typical Broker Commissions trade costs of $5.00
6/9/22 12:22 ROKU ROKU INC. CLASS A COMMON STOCK LONG 100 95.92 8/17 11:06 79.29 1.66%
Trade id #140723432
Max drawdown($3,392)
Time7/29/22 0:00
Quant open100
Worst price62.00
Drawdown as % of equity-1.66%
($1,665)
Includes Typical Broker Commissions trade costs of $2.00
7/21/22 9:30 NEM NEWMONT CORP LONG 920 51.57 8/15 11:21 45.59 3.43%
Trade id #141132765
Max drawdown($7,055)
Time8/3/22 0:00
Quant open920
Worst price43.90
Drawdown as % of equity-3.43%
($5,507)
Includes Typical Broker Commissions trade costs of $6.17
8/1/22 9:30 RNR RENAISSANCERE HOLDINGS LONG 322 129.25 8/8 14:48 127.49 0.81%
Trade id #141250541
Max drawdown($1,632)
Time8/2/22 0:00
Quant open322
Worst price124.18
Drawdown as % of equity-0.81%
($573)
Includes Typical Broker Commissions trade costs of $6.44
7/22/22 12:43 VZ VERIZON COMMUNICATIONS LONG 950 44.24 7/26 13:26 45.06 0.22%
Trade id #141153307
Max drawdown($451)
Time7/22/22 14:14
Quant open950
Worst price43.77
Drawdown as % of equity-0.22%
$774
Includes Typical Broker Commissions trade costs of $5.00
7/15/22 10:10 HELE HELEN OF TROY LONG 314 124.57 7/20 12:26 128.59 0.04%
Trade id #141072661
Max drawdown($83)
Time7/15/22 10:14
Quant open314
Worst price124.31
Drawdown as % of equity-0.04%
$1,256
Includes Typical Broker Commissions trade costs of $6.28
7/19/22 12:10 IIPR INNOVATIVE INDUSTRIAL PROPERTIES INC LONG 450 89.00 7/20 12:25 93.14 0.09%
Trade id #141107050
Max drawdown($180)
Time7/19/22 14:52
Quant open450
Worst price88.60
Drawdown as % of equity-0.09%
$1,854
Includes Typical Broker Commissions trade costs of $9.00
7/18/22 9:31 SPB SPECTRUM BRANDS HOLDINGS LONG 585 66.67 7/19 9:47 69.13 0.33%
Trade id #141089946
Max drawdown($643)
Time7/18/22 10:26
Quant open585
Worst price65.57
Drawdown as % of equity-0.33%
$1,434
Includes Typical Broker Commissions trade costs of $5.00
7/14/22 9:30 VIRT VIRTU FINANCIAL INC. CLASS A LONG 1,760 21.21 7/18 9:41 21.75 0.29%
Trade id #141058213
Max drawdown($545)
Time7/14/22 12:51
Quant open1,760
Worst price20.90
Drawdown as % of equity-0.29%
$945
Includes Typical Broker Commissions trade costs of $5.00
7/12/22 12:48 GBX GREENBRIER COMPANIES LONG 1,322 29.51 7/18 9:40 29.81 1.05%
Trade id #141036712
Max drawdown($1,983)
Time7/13/22 0:00
Quant open1,322
Worst price28.01
Drawdown as % of equity-1.05%
$392
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    860.74
  • Age
    29 months ago
  • What it trades
    Stocks
  • # Trades
    389
  • # Profitable
    229
  • % Profitable
    58.90%
  • Avg trade duration
    23.5 days
  • Max peak-to-valley drawdown
    26.97%
  • drawdown period
    Sept 12, 2022 - Sept 27, 2022
  • Annual Return (Compounded)
    25.2%
  • Avg win
    $1,023
  • Avg loss
    $1,001
  • Model Account Values (Raw)
  • Cash
    $34,081
  • Margin Used
    $0
  • Buying Power
    $1,931
  • Ratios
  • W:L ratio
    1.47:1
  • Sharpe Ratio
    0.78
  • Sortino Ratio
    1.27
  • Calmar Ratio
    1.089
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    43.95%
  • Correlation to SP500
    0.49230
  • Return Percent SP500 (cumu) during strategy life
    26.13%
  • Return Statistics
  • Ann Return (w trading costs)
    25.2%
  • Slump
  • Current Slump as Pcnt Equity
    30.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.252%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    26.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    60.00%
  • Chance of 20% account loss
    37.00%
  • Chance of 30% account loss
    14.00%
  • Chance of 40% account loss
    6.00%
  • 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)
    394
  • Popularity (Last 6 weeks)
    892
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    76
  • Popularity (7 days, Percentile 1000 scale)
    738
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,002
  • Avg Win
    $1,023
  • Sum Trade PL (losers)
    $160,297.000
  • Age
  • Num Months filled monthly returns table
    29
  • Win / Loss
  • Sum Trade PL (winners)
    $234,295.000
  • # Winners
    229
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    1010
  • Win / Loss
  • # Losers
    160
  • % Winners
    58.9%
  • Frequency
  • Avg Position Time (mins)
    33835.00
  • Avg Position Time (hrs)
    563.92
  • Avg Trade Length
    23.5 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.80
  • Daily leverage (max)
    2.17
  • Regression
  • Alpha
    0.05
  • Beta
    0.67
  • Treynor Index
    0.10
  • 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
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    7.036
  • 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
    0.666
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.601
  • Hold-and-Hope Ratio
    0.159
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24786
  • SD
    0.31397
  • Sharpe ratio (Glass type estimate)
    0.78944
  • Sharpe ratio (Hedges UMVUE)
    0.76727
  • df
    27.00000
  • t
    1.20589
  • p
    0.11916
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51774
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08247
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53204
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06658
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43179
  • Upside Potential Ratio
    2.80133
  • Upside part of mean
    0.48494
  • Downside part of mean
    -0.23708
  • Upside SD
    0.26497
  • Downside SD
    0.17311
  • N nonnegative terms
    21.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.07724
  • Mean of criterion
    0.24786
  • SD of predictor
    0.16652
  • SD of criterion
    0.31397
  • Covariance
    0.02751
  • r
    0.52613
  • b (slope, estimate of beta)
    0.99203
  • a (intercept, estimate of alpha)
    0.17123
  • Mean Square Error
    0.07403
  • DF error
    26.00000
  • t(b)
    3.15471
  • p(b)
    0.00201
  • t(a)
    0.95249
  • p(a)
    0.17481
  • Lowerbound of 95% confidence interval for beta
    0.34565
  • Upperbound of 95% confidence interval for beta
    1.63841
  • Lowerbound of 95% confidence interval for alpha
    -0.19829
  • Upperbound of 95% confidence interval for alpha
    0.54075
  • Treynor index (mean / b)
    0.24985
  • Jensen alpha (a)
    0.17123
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19993
  • SD
    0.30461
  • Sharpe ratio (Glass type estimate)
    0.65635
  • Sharpe ratio (Hedges UMVUE)
    0.63792
  • df
    27.00000
  • t
    1.00258
  • p
    0.16248
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64443
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94529
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65641
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93224
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.06815
  • Upside Potential Ratio
    2.42053
  • Upside part of mean
    0.45305
  • Downside part of mean
    -0.25313
  • Upside SD
    0.24035
  • Downside SD
    0.18717
  • N nonnegative terms
    21.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.06324
  • Mean of criterion
    0.19993
  • SD of predictor
    0.16919
  • SD of criterion
    0.30461
  • Covariance
    0.02879
  • r
    0.55859
  • b (slope, estimate of beta)
    1.00565
  • a (intercept, estimate of alpha)
    0.13633
  • Mean Square Error
    0.06629
  • DF error
    26.00000
  • t(b)
    3.43397
  • p(b)
    0.00100
  • t(a)
    0.80397
  • p(a)
    0.21435
  • Lowerbound of 95% confidence interval for beta
    0.40368
  • Upperbound of 95% confidence interval for beta
    1.60762
  • Lowerbound of 95% confidence interval for alpha
    -0.21222
  • Upperbound of 95% confidence interval for alpha
    0.48487
  • Treynor index (mean / b)
    0.19880
  • Jensen alpha (a)
    0.13633
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12012
  • Expected Shortfall on VaR
    0.15142
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02663
  • Expected Shortfall on VaR
    0.06468
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.80954
  • Quartile 1
    1.00325
  • Median
    1.01805
  • Quartile 3
    1.04650
  • Maximum
    1.27217
  • Mean of quarter 1
    0.92330
  • Mean of quarter 2
    1.00844
  • Mean of quarter 3
    1.03274
  • Mean of quarter 4
    1.12745
  • Inter Quartile Range
    0.04325
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.88140
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.25140
  • 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)
    -0.42842
  • VaR(95%) (regression method)
    0.08213
  • Expected Shortfall (regression method)
    0.10770
  • 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
    0.19046
  • Mean of quarter 1
    0.03124
  • Mean of quarter 2
    0.07004
  • Mean of quarter 3
    0.11774
  • Mean of quarter 4
    0.19046
  • 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)
    0.30072
  • Compounded annual return (geometric extrapolation)
    0.25588
  • Calmar ratio (compounded annual return / max draw down)
    1.34349
  • Compounded annual return / average of 25% largest draw downs
    1.34349
  • Compounded annual return / Expected Shortfall lognormal
    1.68983
  • 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
    0.24226
  • SD
    0.25059
  • Sharpe ratio (Glass type estimate)
    0.96678
  • Sharpe ratio (Hedges UMVUE)
    0.96559
  • df
    612.00000
  • t
    1.47879
  • p
    0.06986
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31608
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24891
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31690
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24809
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60254
  • Upside Potential Ratio
    8.57480
  • Upside part of mean
    1.29628
  • Downside part of mean
    -1.05402
  • Upside SD
    0.20015
  • Downside SD
    0.15117
  • N nonnegative terms
    313.00000
  • N negative terms
    300.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    613.00000
  • Mean of predictor
    0.08870
  • Mean of criterion
    0.24226
  • SD of predictor
    0.18599
  • SD of criterion
    0.25059
  • Covariance
    0.02291
  • r
    0.49163
  • b (slope, estimate of beta)
    0.66238
  • a (intercept, estimate of alpha)
    0.18400
  • Mean Square Error
    0.04769
  • DF error
    611.00000
  • t(b)
    13.95510
  • p(b)
    -0.00000
  • t(a)
    1.28474
  • p(a)
    0.09969
  • Lowerbound of 95% confidence interval for beta
    0.56916
  • Upperbound of 95% confidence interval for beta
    0.75559
  • Lowerbound of 95% confidence interval for alpha
    -0.09700
  • Upperbound of 95% confidence interval for alpha
    0.46402
  • Treynor index (mean / b)
    0.36574
  • Jensen alpha (a)
    0.18351
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21129
  • SD
    0.24768
  • Sharpe ratio (Glass type estimate)
    0.85306
  • Sharpe ratio (Hedges UMVUE)
    0.85202
  • df
    612.00000
  • t
    1.30485
  • p
    0.09622
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42949
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13500
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43022
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13426
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37285
  • Upside Potential Ratio
    8.29655
  • Upside part of mean
    1.27690
  • Downside part of mean
    -1.06561
  • Upside SD
    0.19424
  • Downside SD
    0.15391
  • N nonnegative terms
    313.00000
  • N negative terms
    300.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    613.00000
  • Mean of predictor
    0.07132
  • Mean of criterion
    0.21129
  • SD of predictor
    0.18672
  • SD of criterion
    0.24768
  • Covariance
    0.02275
  • r
    0.49181
  • b (slope, estimate of beta)
    0.65238
  • a (intercept, estimate of alpha)
    0.16476
  • Mean Square Error
    0.04659
  • DF error
    611.00000
  • t(b)
    13.96200
  • p(b)
    -0.00000
  • t(a)
    1.16732
  • p(a)
    0.12177
  • Lowerbound of 95% confidence interval for beta
    0.56062
  • Upperbound of 95% confidence interval for beta
    0.74414
  • Lowerbound of 95% confidence interval for alpha
    -0.11243
  • Upperbound of 95% confidence interval for alpha
    0.44195
  • Treynor index (mean / b)
    0.32388
  • Jensen alpha (a)
    0.16476
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02407
  • Expected Shortfall on VaR
    0.03027
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00904
  • Expected Shortfall on VaR
    0.01874
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    613.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99570
  • Median
    1.00027
  • Quartile 3
    1.00576
  • Maximum
    1.10903
  • Mean of quarter 1
    0.98565
  • Mean of quarter 2
    0.99855
  • Mean of quarter 3
    1.00265
  • Mean of quarter 4
    1.01738
  • Inter Quartile Range
    0.01006
  • Number outliers low
    35.00000
  • Percentage of outliers low
    0.05710
  • Mean of outliers low
    0.96839
  • Number of outliers high
    36.00000
  • Percentage of outliers high
    0.05873
  • Mean of outliers high
    1.03982
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39077
  • VaR(95%) (moments method)
    0.01364
  • Expected Shortfall (moments method)
    0.02648
  • Extreme Value Index (regression method)
    0.06203
  • VaR(95%) (regression method)
    0.01324
  • Expected Shortfall (regression method)
    0.01946
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    48.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00363
  • Median
    0.01162
  • Quartile 3
    0.03452
  • Maximum
    0.24805
  • Mean of quarter 1
    0.00155
  • Mean of quarter 2
    0.00772
  • Mean of quarter 3
    0.02191
  • Mean of quarter 4
    0.09737
  • Inter Quartile Range
    0.03089
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.13992
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.10991
  • VaR(95%) (moments method)
    0.08954
  • Expected Shortfall (moments method)
    0.13200
  • Extreme Value Index (regression method)
    0.21168
  • VaR(95%) (regression method)
    0.09620
  • Expected Shortfall (regression method)
    0.15228
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32058
  • Compounded annual return (geometric extrapolation)
    0.27023
  • Calmar ratio (compounded annual return / max draw down)
    1.08942
  • Compounded annual return / average of 25% largest draw downs
    2.77518
  • Compounded annual return / Expected Shortfall lognormal
    8.92631
  • 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
    0.29560
  • SD
    0.34144
  • Sharpe ratio (Glass type estimate)
    0.86574
  • Sharpe ratio (Hedges UMVUE)
    0.86074
  • df
    130.00000
  • t
    0.61217
  • p
    0.47319
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.90963
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63798
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63452
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37445
  • Upside Potential Ratio
    9.66436
  • Upside part of mean
    2.07849
  • Downside part of mean
    -1.78289
  • Upside SD
    0.26414
  • Downside SD
    0.21507
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.42301
  • Mean of criterion
    0.29560
  • SD of predictor
    0.24847
  • SD of criterion
    0.34144
  • Covariance
    0.04881
  • r
    0.57531
  • b (slope, estimate of beta)
    0.79057
  • a (intercept, estimate of alpha)
    0.63001
  • Mean Square Error
    0.07860
  • DF error
    129.00000
  • t(b)
    7.98882
  • p(b)
    0.15509
  • t(a)
    1.58022
  • p(a)
    0.41255
  • Lowerbound of 95% confidence interval for beta
    0.59477
  • Upperbound of 95% confidence interval for beta
    0.98636
  • Lowerbound of 95% confidence interval for alpha
    -0.15880
  • Upperbound of 95% confidence interval for alpha
    1.41883
  • Treynor index (mean / b)
    0.37391
  • Jensen alpha (a)
    0.63001
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23823
  • SD
    0.33874
  • Sharpe ratio (Glass type estimate)
    0.70328
  • Sharpe ratio (Hedges UMVUE)
    0.69921
  • df
    130.00000
  • t
    0.49729
  • p
    0.47821
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.07117
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47508
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.07389
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.47232
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08759
  • Upside Potential Ratio
    9.33442
  • Upside part of mean
    2.04462
  • Downside part of mean
    -1.80640
  • Upside SD
    0.25711
  • Downside SD
    0.21904
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.45415
  • Mean of criterion
    0.23823
  • SD of predictor
    0.24961
  • SD of criterion
    0.33874
  • Covariance
    0.04856
  • r
    0.57432
  • b (slope, estimate of beta)
    0.77938
  • a (intercept, estimate of alpha)
    0.59219
  • Mean Square Error
    0.07749
  • DF error
    129.00000
  • t(b)
    7.96823
  • p(b)
    0.15561
  • t(a)
    1.49475
  • p(a)
    0.41717
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.58586
  • Upperbound of 95% confidence interval for beta
    0.97291
  • Lowerbound of 95% confidence interval for alpha
    -0.19166
  • Upperbound of 95% confidence interval for alpha
    1.37603
  • Treynor index (mean / b)
    0.30566
  • Jensen alpha (a)
    0.59219
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03296
  • Expected Shortfall on VaR
    0.04135
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01611
  • Expected Shortfall on VaR
    0.03057
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94870
  • Quartile 1
    0.99122
  • Median
    0.99959
  • Quartile 3
    1.01116
  • Maximum
    1.09987
  • Mean of quarter 1
    0.97776
  • Mean of quarter 2
    0.99546
  • Mean of quarter 3
    1.00499
  • Mean of quarter 4
    1.02685
  • Inter Quartile Range
    0.01995
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.95170
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.08860
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27294
  • VaR(95%) (moments method)
    0.02268
  • Expected Shortfall (moments method)
    0.03737
  • Extreme Value Index (regression method)
    -0.27174
  • VaR(95%) (regression method)
    0.02252
  • Expected Shortfall (regression method)
    0.02782
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00312
  • Quartile 1
    0.00931
  • Median
    0.03520
  • Quartile 3
    0.07406
  • Maximum
    0.24805
  • Mean of quarter 1
    0.00524
  • Mean of quarter 2
    0.02171
  • Mean of quarter 3
    0.03927
  • Mean of quarter 4
    0.13433
  • Inter Quartile Range
    0.06475
  • 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
    0.24805
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.34393
  • VaR(95%) (moments method)
    0.16168
  • Expected Shortfall (moments method)
    0.26505
  • Extreme Value Index (regression method)
    1.73224
  • VaR(95%) (regression method)
    0.21017
  • 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?
    -313016000
  • Max Equity Drawdown (num days)
    15
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28465
  • Compounded annual return (geometric extrapolation)
    0.30491
  • Calmar ratio (compounded annual return / max draw down)
    1.22922
  • Compounded annual return / average of 25% largest draw downs
    2.26986
  • Compounded annual return / Expected Shortfall lognormal
    7.37417

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
$15,000
# Trades
389
# Profitable
229
% Profitable
58.9%
Net Dividends
Correlation S&P500
0.492
Sharpe Ratio
0.78
Sortino Ratio
1.27
Beta
0.67
Alpha
0.05
Leverage
0.80 Average
2.17 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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