Collective2 Collective2
Featured Strategy Quant AI pro +16.7% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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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 $100.00 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.

27.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(29.5%)
Max Drawdown
1328
Num Trades
50.4%
Win Trades
1.3 : 1
Profit Factor
58.9%
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%)(1.4%)+9.0%+4.3%+13.9%
2021  -  +4.4%+2.8%+2.8%+2.1%+1.9%+0.4%+3.6%(4.8%)+4.9%(13.5%)+13.1%+16.5%
2022(3.1%)(1.3%)+14.9%(4.1%)+24.1%+1.9%+13.5%+1.4%(23.5%)+16.1%+28.2%(6.4%)+63.7%
2023+26.5%(2.4%)+1.6%(3.4%)+5.3%+3.8%+18.9%(6.6%)(10.4%)(14.7%)+19.2%+6.8%+43.4%
2024(0.1%)+0.8%+1.9%(1.9%)+5.4%(0.2%)+4.7%+2.3%+1.6%(6.8%)(4%)(6.5%)(3.6%)

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 1,065 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 46 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/9/24 11:20 EME EMCOR GROUP LONG 15 473.38 12/19 12:34 462.11 0.2%
Trade id #150280200
Max drawdown($175)
Time12/19/24 11:14
Quant open15
Worst price461.65
Drawdown as % of equity-0.20%
 ($169)
Includes Typical Broker Commissions trade costs of $0.30
12/13/24 10:29 DKNG DRAFTKINGS INC. CLASS A COMMON STOCK LONG 173 40.57 12/19 12:33 38.81 0.43%
Trade id #150319513
Max drawdown($401)
Time12/18/24 0:00
Quant open173
Worst price38.25
Drawdown as % of equity-0.43%
 ($307)
Includes Typical Broker Commissions trade costs of $3.46
12/12/24 14:35 ARM ARM HOLDINGS PLC ADS LONG 35 149.46 12/19 12:32 132.41 0.67%
Trade id #150313010
Max drawdown($599)
Time12/19/24 12:28
Quant open35
Worst price132.32
Drawdown as % of equity-0.67%
 ($598)
Includes Typical Broker Commissions trade costs of $0.70
12/12/24 14:37 ALGM ALLEGRO MICROSYSTEMS INC. COMMON STOCK LONG 322 21.70 12/19 12:32 20.88 0.37%
Trade id #150313035
Max drawdown($328)
Time12/19/24 9:45
Quant open322
Worst price20.68
Drawdown as % of equity-0.37%
 ($270)
Includes Typical Broker Commissions trade costs of $6.44
12/12/24 14:38 ESI ELEMENT SOLUTIONS INC LONG 250 27.77 12/19 12:31 25.23 0.72%
Trade id #150313042
Max drawdown($637)
Time12/19/24 12:31
Quant open250
Worst price25.22
Drawdown as % of equity-0.72%
 ($640)
Includes Typical Broker Commissions trade costs of $5.00
12/10/24 14:05 CEIX CONSOL ENERGY INC LONG 43 115.56 12/19 12:31 107.83 0.37%
Trade id #150292611
Max drawdown($334)
Time12/19/24 12:31
Quant open43
Worst price107.79
Drawdown as % of equity-0.37%
 ($333)
Includes Typical Broker Commissions trade costs of $0.86
12/18/24 12:46 GNTX GENTEX LONG 229 30.52 12/19 12:31 29.22 0.4%
Trade id #150355126
Max drawdown($358)
Time12/19/24 11:09
Quant open229
Worst price28.95
Drawdown as % of equity-0.40%
 ($303)
Includes Typical Broker Commissions trade costs of $4.58
12/18/24 12:49 LRCX LAM RESEARCH LONG 88 78.82 12/19 12:30 71.69 0.85%
Trade id #150355161
Max drawdown($762)
Time12/19/24 10:48
Quant open88
Worst price70.16
Drawdown as % of equity-0.85%
 ($629)
Includes Typical Broker Commissions trade costs of $1.76
12/18/24 12:42 PATH UIPATH INC LONG 360 13.70 12/19 12:30 12.75 0.4%
Trade id #150355108
Max drawdown($356)
Time12/19/24 11:14
Quant open360
Worst price12.71
Drawdown as % of equity-0.40%
 ($349)
Includes Typical Broker Commissions trade costs of $7.20
12/6/24 11:39 ALGN ALIGN TECHNOLOGY LONG 30 235.00 12/18 12:36 225.38 0.35%
Trade id #150265735
Max drawdown($327)
Time12/18/24 10:33
Quant open30
Worst price224.10
Drawdown as % of equity-0.35%
 ($290)
Includes Typical Broker Commissions trade costs of $0.60
12/17/24 13:20 CI THE CIGNA GROUP LONG 19 264.88 12/18 12:26 280.04 0.03%
Trade id #150346002
Max drawdown($25)
Time12/17/24 15:11
Quant open19
Worst price263.55
Drawdown as % of equity-0.03%
 $288
Includes Typical Broker Commissions trade costs of $0.38
12/10/24 14:06 ARLP ALLIANCE RESOURCE PARTNER LONG 260 26.09 12/17 13:17 25.60 0.22%
Trade id #150292618
Max drawdown($209)
Time12/17/24 10:15
Quant open260
Worst price25.28
Drawdown as % of equity-0.22%
 ($132)
Includes Typical Broker Commissions trade costs of $5.20
12/10/24 14:05 FDX FEDEX LONG 18 279.64 12/17 13:14 276.56 0.07%
Trade id #150292604
Max drawdown($67)
Time12/17/24 12:13
Quant open18
Worst price275.91
Drawdown as % of equity-0.07%
 ($55)
Includes Typical Broker Commissions trade costs of $0.36
12/6/24 11:40 ALB ALBEMARLE LONG 100 103.18 12/17 13:10 97.37 0.73%
Trade id #150265739
Max drawdown($676)
Time12/17/24 11:28
Quant open100
Worst price96.42
Drawdown as % of equity-0.73%
 ($583)
Includes Typical Broker Commissions trade costs of $2.00
12/6/24 11:56 CTRA COTERRA ENERGY INC LONG 280 25.04 12/17 13:09 24.28 0.3%
Trade id #150266767
Max drawdown($280)
Time12/17/24 9:43
Quant open280
Worst price24.04
Drawdown as % of equity-0.30%
 ($219)
Includes Typical Broker Commissions trade costs of $5.60
12/9/24 13:13 GNTX GENTEX LONG 233 30.54 12/13 12:29 30.47 0.09%
Trade id #150281862
Max drawdown($86)
Time12/13/24 10:02
Quant open233
Worst price30.17
Drawdown as % of equity-0.09%
 ($21)
Includes Typical Broker Commissions trade costs of $4.66
12/6/24 11:42 SRPT SAREPTA THERAPEUTICS INC. COM LONG 55 127.73 12/13 12:26 122.19 0.32%
Trade id #150265917
Max drawdown($308)
Time12/13/24 9:30
Quant open55
Worst price122.13
Drawdown as % of equity-0.32%
 ($306)
Includes Typical Broker Commissions trade costs of $1.10
12/12/24 14:36 NVDA NVIDIA LONG 35 138.07 12/13 12:25 133.33 0.2%
Trade id #150313026
Max drawdown($193)
Time12/13/24 11:08
Quant open35
Worst price132.54
Drawdown as % of equity-0.20%
 ($167)
Includes Typical Broker Commissions trade costs of $0.70
11/21/24 14:30 NBIX NEUROCRINE BIOSCIENCES LONG 56 124.83 12/13 10:13 125.97 0.03%
Trade id #150146331
Max drawdown($33)
Time11/26/24 0:00
Quant open56
Worst price124.23
Drawdown as % of equity-0.03%
 $63
Includes Typical Broker Commissions trade costs of $1.12
12/10/24 14:04 PBR PETROLEO BRASILEIRO SA LONG 490 14.40 12/12 14:30 14.17 0.12%
Trade id #150292600
Max drawdown($117)
Time12/12/24 14:30
Quant open490
Worst price14.16
Drawdown as % of equity-0.12%
 ($123)
Includes Typical Broker Commissions trade costs of $9.80
12/10/24 14:03 QSR RESTAURANT BRANDS INTL. LONG 99 70.36 12/12 14:29 68.99 0.14%
Trade id #150292596
Max drawdown($136)
Time12/12/24 14:29
Quant open99
Worst price68.98
Drawdown as % of equity-0.14%
 ($138)
Includes Typical Broker Commissions trade costs of $1.98
12/10/24 14:06 STZ CONSTELLATION BRANDS LONG 20 244.29 12/12 14:28 239.19 0.12%
Trade id #150292626
Max drawdown($115)
Time12/12/24 10:32
Quant open20
Worst price238.54
Drawdown as % of equity-0.12%
 ($102)
Includes Typical Broker Commissions trade costs of $0.40
11/5/24 9:36 PINS PINTEREST INC LONG 230 32.51 12/12 14:28 30.96 1.05%
Trade id #149985376
Max drawdown($1,053)
Time11/8/24 0:00
Quant open230
Worst price27.93
Drawdown as % of equity-1.05%
 ($362)
Includes Typical Broker Commissions trade costs of $4.60
12/9/24 13:15 ASTS AST SPACEMOBILE INC LONG 190 26.86 12/11 12:54 23.55 0.66%
Trade id #150281873
Max drawdown($636)
Time12/11/24 11:35
Quant open190
Worst price23.51
Drawdown as % of equity-0.66%
 ($633)
Includes Typical Broker Commissions trade costs of $3.80
12/9/24 11:13 BEAM BEAM THERAPEUTICS INC. LONG 185 27.03 12/10 14:01 29.74 0.04%
Trade id #150280091
Max drawdown($40)
Time12/9/24 13:05
Quant open185
Worst price26.81
Drawdown as % of equity-0.04%
 $497
Includes Typical Broker Commissions trade costs of $3.70
12/9/24 13:11 ALGM ALLEGRO MICROSYSTEMS INC. COMMON STOCK LONG 250 21.61 12/10 13:59 21.00 0.28%
Trade id #150281830
Max drawdown($277)
Time12/10/24 9:54
Quant open250
Worst price20.50
Drawdown as % of equity-0.28%
 ($158)
Includes Typical Broker Commissions trade costs of $5.00
12/3/24 11:52 MU MICRON TECHNOLOGY LONG 69 101.15 12/10 13:57 97.75 0.24%
Trade id #150233955
Max drawdown($234)
Time12/10/24 13:57
Quant open69
Worst price97.75
Drawdown as % of equity-0.24%
 ($236)
Includes Typical Broker Commissions trade costs of $1.38
12/9/24 13:12 LRCX LAM RESEARCH LONG 90 77.64 12/10 13:57 74.76 0.3%
Trade id #150281853
Max drawdown($289)
Time12/10/24 12:45
Quant open90
Worst price74.42
Drawdown as % of equity-0.30%
 ($261)
Includes Typical Broker Commissions trade costs of $1.80
10/31/24 11:09 REGN REGENERON PHARMACEUTICALS LONG 14 807.60 12/10 13:56 775.54 1.04%
Trade id #149920201
Max drawdown($961)
Time11/21/24 0:00
Quant open12
Worst price735.96
Drawdown as % of equity-1.04%
 ($449)
Includes Typical Broker Commissions trade costs of $0.28
12/4/24 12:50 LNW LIGHT & WONDER INC. COMMON STOCK LONG 69 99.93 12/9 10:27 96.02 0.27%
Trade id #150244285
Max drawdown($262)
Time12/9/24 10:25
Quant open69
Worst price96.13
Drawdown as % of equity-0.27%
 ($271)
Includes Typical Broker Commissions trade costs of $1.38
Next

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1674
  • Age
    56 months ago
  • What it trades
    Stocks
  • # Trades
    1328
  • # Profitable
    669
  • % Profitable
    50.40%
  • Avg trade duration
    14.3 days
  • Max peak-to-valley drawdown
    29.54%
  • drawdown period
    Sept 12, 2022 - Oct 03, 2022
  • Annual Return (Compounded)
    27.0%
  • Avg win
    $434.79
  • Avg loss
    $342.11
  • Model Account Values (Raw)
  • Cash
    $30,761
  • Margin Used
    $0
  • Buying Power
    $24,677
  • Ratios
  • W:L ratio
    1.31:1
  • Sharpe Ratio
    0.82
  • Sortino Ratio
    1.34
  • Calmar Ratio
    1.065
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    99.69%
  • Correlation to SP500
    0.49160
  • Return Percent SP500 (cumu) during strategy life
    102.60%
  • Return Statistics
  • Ann Return (w trading costs)
    27.0%
  • Slump
  • Current Slump as Pcnt Equity
    21.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.270%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    29.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.50%
  • Chance of 20% account loss
    28.00%
  • Chance of 30% account loss
    17.50%
  • Chance of 40% account loss
    5.50%
  • 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)
    607
  • Popularity (Last 6 weeks)
    902
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    930
  • Popularity (7 days, Percentile 1000 scale)
    784
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $343
  • Avg Win
    $434
  • Sum Trade PL (losers)
    $225,143.000
  • Age
  • Num Months filled monthly returns table
    56
  • Win / Loss
  • Sum Trade PL (winners)
    $291,140.000
  • # Winners
    671
  • Num Months Winners
    33
  • Dividends
  • Dividends Received in Model Acct
    1907
  • AUM
  • AUM (AutoTrader live capital)
    93714
  • Win / Loss
  • # Losers
    656
  • % Winners
    50.6%
  • Frequency
  • Avg Position Time (mins)
    20562.70
  • Avg Position Time (hrs)
    342.71
  • Avg Trade Length
    14.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.97
  • Daily leverage (max)
    2.18
  • Regression
  • Alpha
    0.04
  • Beta
    0.74
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.35
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    6.212
  • 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
    0.295
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.108
  • Hold-and-Hope Ratio
    0.166
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30526
  • SD
    0.33484
  • Sharpe ratio (Glass type estimate)
    0.91166
  • Sharpe ratio (Hedges UMVUE)
    0.89870
  • df
    53.00000
  • t
    1.93392
  • p
    0.02924
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03248
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84754
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04095
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83834
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89418
  • Upside Potential Ratio
    3.39295
  • Upside part of mean
    0.54679
  • Downside part of mean
    -0.24153
  • Upside SD
    0.30304
  • Downside SD
    0.16115
  • N nonnegative terms
    35.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.14407
  • Mean of criterion
    0.30526
  • SD of predictor
    0.15029
  • SD of criterion
    0.33484
  • Covariance
    0.02999
  • r
    0.59597
  • b (slope, estimate of beta)
    1.32783
  • a (intercept, estimate of alpha)
    0.11396
  • Mean Square Error
    0.07368
  • DF error
    52.00000
  • t(b)
    5.35193
  • p(b)
    0.00000
  • t(a)
    0.85774
  • p(a)
    0.19748
  • Lowerbound of 95% confidence interval for beta
    0.82998
  • Upperbound of 95% confidence interval for beta
    1.82569
  • Lowerbound of 95% confidence interval for alpha
    -0.15264
  • Upperbound of 95% confidence interval for alpha
    0.38056
  • Treynor index (mean / b)
    0.22989
  • Jensen alpha (a)
    0.11396
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25038
  • SD
    0.31818
  • Sharpe ratio (Glass type estimate)
    0.78692
  • Sharpe ratio (Hedges UMVUE)
    0.77573
  • df
    53.00000
  • t
    1.66931
  • p
    0.05048
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15264
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71927
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15993
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71139
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.44945
  • Upside Potential Ratio
    2.92673
  • Upside part of mean
    0.50557
  • Downside part of mean
    -0.25519
  • Upside SD
    0.27340
  • Downside SD
    0.17274
  • N nonnegative terms
    35.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.13181
  • Mean of criterion
    0.25038
  • SD of predictor
    0.15120
  • SD of criterion
    0.31818
  • Covariance
    0.02962
  • r
    0.61564
  • b (slope, estimate of beta)
    1.29555
  • a (intercept, estimate of alpha)
    0.07961
  • Mean Square Error
    0.06408
  • DF error
    52.00000
  • t(b)
    5.63358
  • p(b)
    0.00000
  • t(a)
    0.64663
  • p(a)
    0.26036
  • Lowerbound of 95% confidence interval for beta
    0.83408
  • Upperbound of 95% confidence interval for beta
    1.75702
  • Lowerbound of 95% confidence interval for alpha
    -0.16744
  • Upperbound of 95% confidence interval for alpha
    0.32667
  • Treynor index (mean / b)
    0.19326
  • Jensen alpha (a)
    0.07961
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12209
  • Expected Shortfall on VaR
    0.15467
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03600
  • Expected Shortfall on VaR
    0.07865
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    54.00000
  • Minimum
    0.80658
  • Quartile 1
    0.98862
  • Median
    1.01238
  • Quartile 3
    1.05129
  • Maximum
    1.31735
  • Mean of quarter 1
    0.92571
  • Mean of quarter 2
    1.00437
  • Mean of quarter 3
    1.03015
  • Mean of quarter 4
    1.14933
  • Inter Quartile Range
    0.06267
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.09259
  • Mean of outliers low
    0.86903
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.23721
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.18146
  • VaR(95%) (moments method)
    0.04704
  • Expected Shortfall (moments method)
    0.06266
  • Extreme Value Index (regression method)
    0.14107
  • VaR(95%) (regression method)
    0.05691
  • Expected Shortfall (regression method)
    0.09167
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00504
  • Quartile 1
    0.05745
  • Median
    0.07108
  • Quartile 3
    0.11773
  • Maximum
    0.27441
  • Mean of quarter 1
    0.03461
  • Mean of quarter 2
    0.07056
  • Mean of quarter 3
    0.09731
  • Mean of quarter 4
    0.23392
  • Inter Quartile Range
    0.06028
  • 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
    0.11111
  • Mean of outliers high
    0.27441
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.19699
  • VaR(95%) (moments method)
    0.20952
  • Expected Shortfall (moments method)
    0.20952
  • Extreme Value Index (regression method)
    -0.90233
  • VaR(95%) (regression method)
    0.31159
  • Expected Shortfall (regression method)
    0.33437
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55520
  • Compounded annual return (geometric extrapolation)
    0.32087
  • Calmar ratio (compounded annual return / max draw down)
    1.16929
  • Compounded annual return / average of 25% largest draw downs
    1.37171
  • Compounded annual return / Expected Shortfall lognormal
    2.07458
  • 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
    0.25825
  • SD
    0.24552
  • Sharpe ratio (Glass type estimate)
    1.05183
  • Sharpe ratio (Hedges UMVUE)
    1.05117
  • df
    1191.00000
  • t
    2.24354
  • p
    0.45873
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13177
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97148
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13132
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97102
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.73294
  • Upside Potential Ratio
    9.30373
  • Upside part of mean
    1.38647
  • Downside part of mean
    -1.12823
  • Upside SD
    0.19565
  • Downside SD
    0.14902
  • N nonnegative terms
    604.00000
  • N negative terms
    588.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1192.00000
  • Mean of predictor
    0.13925
  • Mean of criterion
    0.25825
  • SD of predictor
    0.16875
  • SD of criterion
    0.24552
  • Covariance
    0.02031
  • r
    0.49012
  • b (slope, estimate of beta)
    0.71308
  • a (intercept, estimate of alpha)
    0.15900
  • Mean Square Error
    0.04584
  • DF error
    1190.00000
  • t(b)
    19.39690
  • p(b)
    0.25494
  • t(a)
    1.58153
  • p(a)
    0.47710
  • Lowerbound of 95% confidence interval for beta
    0.64096
  • Upperbound of 95% confidence interval for beta
    0.78521
  • Lowerbound of 95% confidence interval for alpha
    -0.03824
  • Upperbound of 95% confidence interval for alpha
    0.35614
  • Treynor index (mean / b)
    0.36216
  • Jensen alpha (a)
    0.15895
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22837
  • SD
    0.24328
  • Sharpe ratio (Glass type estimate)
    0.93874
  • Sharpe ratio (Hedges UMVUE)
    0.93815
  • df
    1191.00000
  • t
    2.00232
  • p
    0.46315
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01890
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85821
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01849
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85780
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.50848
  • Upside Potential Ratio
    9.03487
  • Upside part of mean
    1.36782
  • Downside part of mean
    -1.13944
  • Upside SD
    0.19082
  • Downside SD
    0.15139
  • N nonnegative terms
    604.00000
  • N negative terms
    588.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1192.00000
  • Mean of predictor
    0.12494
  • Mean of criterion
    0.22837
  • SD of predictor
    0.16905
  • SD of criterion
    0.24328
  • Covariance
    0.02016
  • r
    0.49010
  • b (slope, estimate of beta)
    0.70528
  • a (intercept, estimate of alpha)
    0.14025
  • Mean Square Error
    0.04501
  • DF error
    1190.00000
  • t(b)
    19.39600
  • p(b)
    0.25495
  • t(a)
    1.40871
  • p(a)
    0.47960
  • Lowerbound of 95% confidence interval for beta
    0.63394
  • Upperbound of 95% confidence interval for beta
    0.77662
  • Lowerbound of 95% confidence interval for alpha
    -0.05508
  • Upperbound of 95% confidence interval for alpha
    0.33559
  • Treynor index (mean / b)
    0.32380
  • Jensen alpha (a)
    0.14025
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02357
  • Expected Shortfall on VaR
    0.02967
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00980
  • Expected Shortfall on VaR
    0.01961
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1192.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99480
  • Median
    1.00019
  • Quartile 3
    1.00651
  • Maximum
    1.10903
  • Mean of quarter 1
    0.98501
  • Mean of quarter 2
    0.99797
  • Mean of quarter 3
    1.00298
  • Mean of quarter 4
    1.01840
  • Inter Quartile Range
    0.01171
  • Number outliers low
    50.00000
  • Percentage of outliers low
    0.04195
  • Mean of outliers low
    0.96711
  • Number of outliers high
    62.00000
  • Percentage of outliers high
    0.05201
  • Mean of outliers high
    1.04096
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17170
  • VaR(95%) (moments method)
    0.01373
  • Expected Shortfall (moments method)
    0.02106
  • Extreme Value Index (regression method)
    -0.01703
  • VaR(95%) (regression method)
    0.01421
  • Expected Shortfall (regression method)
    0.01963
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    70.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00367
  • Median
    0.01043
  • Quartile 3
    0.03697
  • Maximum
    0.27441
  • Mean of quarter 1
    0.00173
  • Mean of quarter 2
    0.00753
  • Mean of quarter 3
    0.02092
  • Mean of quarter 4
    0.11588
  • Inter Quartile Range
    0.03330
  • 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
    0.14286
  • Mean of outliers high
    0.15907
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.24595
  • VaR(95%) (moments method)
    0.09910
  • Expected Shortfall (moments method)
    0.12485
  • Extreme Value Index (regression method)
    -0.67542
  • VaR(95%) (regression method)
    0.11046
  • Expected Shortfall (regression method)
    0.12529
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48555
  • Compounded annual return (geometric extrapolation)
    0.29212
  • Calmar ratio (compounded annual return / max draw down)
    1.06451
  • Compounded annual return / average of 25% largest draw downs
    2.52090
  • Compounded annual return / Expected Shortfall lognormal
    9.84687
  • 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
    -0.13206
  • SD
    0.17345
  • Sharpe ratio (Glass type estimate)
    -0.76136
  • Sharpe ratio (Hedges UMVUE)
    -0.75696
  • df
    130.00000
  • t
    -0.53836
  • p
    0.52358
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.53326
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01344
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.53029
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01638
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.02683
  • Upside Potential Ratio
    7.51985
  • Upside part of mean
    0.96712
  • Downside part of mean
    -1.09918
  • Upside SD
    0.11568
  • Downside SD
    0.12861
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13572
  • Mean of criterion
    -0.13206
  • SD of predictor
    0.14104
  • SD of criterion
    0.17345
  • Covariance
    0.00885
  • r
    0.36159
  • b (slope, estimate of beta)
    0.44470
  • a (intercept, estimate of alpha)
    -0.19241
  • Mean Square Error
    0.02635
  • DF error
    129.00000
  • t(b)
    4.40493
  • p(b)
    0.27492
  • t(a)
    -0.83661
  • p(a)
    0.54672
  • Lowerbound of 95% confidence interval for beta
    0.24496
  • Upperbound of 95% confidence interval for beta
    0.64444
  • Lowerbound of 95% confidence interval for alpha
    -0.64746
  • Upperbound of 95% confidence interval for alpha
    0.26264
  • Treynor index (mean / b)
    -0.29696
  • Jensen alpha (a)
    -0.19241
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14703
  • SD
    0.17364
  • Sharpe ratio (Glass type estimate)
    -0.84674
  • Sharpe ratio (Hedges UMVUE)
    -0.84184
  • df
    130.00000
  • t
    -0.59873
  • p
    0.52622
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.61889
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92855
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.61554
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93185
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.13196
  • Upside Potential Ratio
    7.39391
  • Upside part of mean
    0.96041
  • Downside part of mean
    -1.10744
  • Upside SD
    0.11460
  • Downside SD
    0.12989
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12577
  • Mean of criterion
    -0.14703
  • SD of predictor
    0.14139
  • SD of criterion
    0.17364
  • Covariance
    0.00891
  • r
    0.36289
  • b (slope, estimate of beta)
    0.44567
  • a (intercept, estimate of alpha)
    -0.20308
  • Mean Square Error
    0.02638
  • DF error
    129.00000
  • t(b)
    4.42311
  • p(b)
    0.27415
  • t(a)
    -0.88273
  • p(a)
    0.54928
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.24631
  • Upperbound of 95% confidence interval for beta
    0.64502
  • Lowerbound of 95% confidence interval for alpha
    -0.65828
  • Upperbound of 95% confidence interval for alpha
    0.25211
  • Treynor index (mean / b)
    -0.32991
  • Jensen alpha (a)
    -0.20308
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01804
  • Expected Shortfall on VaR
    0.02243
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00960
  • Expected Shortfall on VaR
    0.01804
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96823
  • Quartile 1
    0.99295
  • Median
    1.00027
  • Quartile 3
    1.00502
  • Maximum
    1.02844
  • Mean of quarter 1
    0.98606
  • Mean of quarter 2
    0.99751
  • Mean of quarter 3
    1.00254
  • Mean of quarter 4
    1.01239
  • Inter Quartile Range
    0.01206
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96883
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02624
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15213
  • VaR(95%) (moments method)
    0.01468
  • Expected Shortfall (moments method)
    0.02096
  • Extreme Value Index (regression method)
    0.02792
  • VaR(95%) (regression method)
    0.01394
  • Expected Shortfall (regression method)
    0.01837
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00367
  • Quartile 1
    0.00583
  • Median
    0.01289
  • Quartile 3
    0.05153
  • Maximum
    0.17064
  • Mean of quarter 1
    0.00421
  • Mean of quarter 2
    0.00990
  • Mean of quarter 3
    0.01865
  • Mean of quarter 4
    0.12752
  • Inter Quartile Range
    0.04569
  • 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
    0.14286
  • Mean of outliers high
    0.17064
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -344705000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.11565
  • Compounded annual return (geometric extrapolation)
    -0.11230
  • Calmar ratio (compounded annual return / max draw down)
    -0.65812
  • Compounded annual return / average of 25% largest draw downs
    -0.88064
  • Compounded annual return / Expected Shortfall lognormal
    -5.00763

Strategy Description

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

Summary Statistics

Strategy began
2020-05-21
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 7.0%
Rank # 
#51
# Trades
1328
# Profitable
669
% Profitable
50.4%
Net Dividends
$1,907
Correlation S&P500
0.492
Sharpe Ratio
0.82
Sortino Ratio
1.34
Beta
0.74
Alpha
0.04
Leverage
0.97 Average
2.18 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.