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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: 3 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 $190.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

32.6%
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.

(30.2%)
Max Drawdown
1128
Num Trades
52.9%
Win Trades
1.4 : 1
Profit Factor
60.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            (0.2%)(0.2%)+5.3%+1.7%(5.2%)(1.5%)+9.0%+4.3%+13.2%
2021(0.1%)+4.4%+2.7%+2.7%+2.0%+1.8%+0.3%+3.6%(4.9%)+4.8%(13.7%)+13.2%+15.7%
2022(3.2%)(1.4%)+15.1%(4.2%)+24.4%+1.9%+13.6%+1.4%(23.9%)+16.3%+28.6%(6.5%)+63.7%
2023+26.8%(2.5%)+1.6%(3.6%)+5.3%+3.8%+19.1%(6.7%)(10.6%)(15%)+19.5%+6.8%+42.6%
2024(0.2%)+0.7%+1.8%(2%)+5.4%(0.3%)+4.8%+2.2%(1.3%)                  +11.4%

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 942 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/4/24 11:57 DLTR DOLLAR TREE STORES LONG 76 65.84 9/13 13:35 69.77 0.38%
Trade id #149251484
Max drawdown($381)
Time9/4/24 14:44
Quant open76
Worst price60.81
Drawdown as % of equity-0.38%
 $297
Includes Typical Broker Commissions trade costs of $1.52
9/3/24 12:42 ESTC ELASTIC NV LONG 69 73.97 9/13 13:34 74.91 0.34%
Trade id #149225588
Max drawdown($343)
Time9/9/24 0:00
Quant open69
Worst price69.00
Drawdown as % of equity-0.34%
 $64
Includes Typical Broker Commissions trade costs of $1.38
8/30/24 14:25 DG DOLLAR GENERAL LONG 60 84.10 9/13 13:34 85.37 0.37%
Trade id #149146292
Max drawdown($368)
Time9/5/24 0:00
Quant open60
Worst price77.96
Drawdown as % of equity-0.37%
 $75
Includes Typical Broker Commissions trade costs of $1.20
8/30/24 10:56 DELL DELL TECHNOLOGIES INC LONG 44 112.69 9/5 12:00 107.62 0.33%
Trade id #149134721
Max drawdown($332)
Time9/5/24 9:58
Quant open44
Worst price105.13
Drawdown as % of equity-0.33%
 ($224)
Includes Typical Broker Commissions trade costs of $0.88
8/27/24 14:56 ALGN ALIGN TECHNOLOGY LONG 25 237.93 9/4 11:44 224.88 0.37%
Trade id #149075962
Max drawdown($379)
Time9/4/24 9:45
Quant open25
Worst price222.77
Drawdown as % of equity-0.37%
 ($327)
Includes Typical Broker Commissions trade costs of $0.50
8/21/24 12:29 VST VISTRA CORP LONG 120 82.65 9/3 14:33 76.99 0.74%
Trade id #148986054
Max drawdown($754)
Time9/3/24 13:03
Quant open120
Worst price76.36
Drawdown as % of equity-0.74%
 ($681)
Includes Typical Broker Commissions trade costs of $2.40
8/26/24 12:25 INFA INFORMATICA INC LONG 400 25.11 8/30 10:48 24.89 0.34%
Trade id #149054911
Max drawdown($363)
Time8/28/24 0:00
Quant open400
Worst price24.20
Drawdown as % of equity-0.34%
 ($94)
Includes Typical Broker Commissions trade costs of $8.00
8/15/24 14:41 PAYC PAYCOM SOFTWARE INC LONG 35 158.19 8/30 10:47 163.47 0.04%
Trade id #148930816
Max drawdown($37)
Time8/16/24 0:00
Quant open35
Worst price157.12
Drawdown as % of equity-0.04%
 $184
Includes Typical Broker Commissions trade costs of $0.70
8/19/24 13:50 LULU LULULEMON ATHLETICA LONG 38 261.00 8/30 10:47 256.12 0.44%
Trade id #148959198
Max drawdown($452)
Time8/30/24 9:43
Quant open38
Worst price249.10
Drawdown as % of equity-0.44%
 ($186)
Includes Typical Broker Commissions trade costs of $0.76
8/22/24 12:11 WEX WEX INC LONG 55 182.95 8/30 10:46 190.21 0.09%
Trade id #149005385
Max drawdown($89)
Time8/22/24 15:54
Quant open55
Worst price181.32
Drawdown as % of equity-0.09%
 $398
Includes Typical Broker Commissions trade costs of $1.10
8/26/24 12:10 DIS WALT DISNEY LONG 110 91.58 8/30 10:46 89.52 0.29%
Trade id #149053784
Max drawdown($310)
Time8/28/24 0:00
Quant open110
Worst price88.76
Drawdown as % of equity-0.29%
 ($228)
Includes Typical Broker Commissions trade costs of $2.20
8/14/24 14:57 CRM SALESFORCE INC LONG 40 258.79 8/30 10:45 255.04 0.22%
Trade id #148918910
Max drawdown($230)
Time8/30/24 9:50
Quant open40
Worst price253.04
Drawdown as % of equity-0.22%
 ($151)
Includes Typical Broker Commissions trade costs of $0.80
7/25/24 13:52 ASTS AST SPACEMOBILE INC LONG 120 16.50 8/28 11:32 29.99 0.03%
Trade id #148742929
Max drawdown($35)
Time7/25/24 14:43
Quant open120
Worst price16.20
Drawdown as % of equity-0.03%
 $1,618
Includes Typical Broker Commissions trade costs of $2.40
8/26/24 12:34 SLB SCHLUMBERGER LONG 200 45.51 8/28 11:31 43.86 0.38%
Trade id #149055079
Max drawdown($400)
Time8/28/24 10:14
Quant open200
Worst price43.51
Drawdown as % of equity-0.38%
 ($332)
Includes Typical Broker Commissions trade costs of $4.00
8/26/24 12:27 NXT NEXTRACKER INC. CLASS A LONG 233 42.74 8/28 11:30 40.31 0.58%
Trade id #149054937
Max drawdown($611)
Time8/28/24 11:19
Quant open233
Worst price40.12
Drawdown as % of equity-0.58%
 ($571)
Includes Typical Broker Commissions trade costs of $4.66
8/26/24 12:30 CHX CHAMPIONX CORP LONG 190 32.24 8/28 11:30 31.06 0.27%
Trade id #149055008
Max drawdown($281)
Time8/28/24 10:32
Quant open190
Worst price30.76
Drawdown as % of equity-0.27%
 ($228)
Includes Typical Broker Commissions trade costs of $3.80
8/26/24 12:35 SWN SOUTHWESTERN ENERGY LONG 800 6.39 8/27 13:57 6.24 0.13%
Trade id #149055086
Max drawdown($132)
Time8/27/24 13:34
Quant open800
Worst price6.23
Drawdown as % of equity-0.13%
 ($133)
Includes Typical Broker Commissions trade costs of $5.00
8/20/24 12:52 SRPT SAREPTA THERAPEUTICS INC. COM LONG 70 141.44 8/27 13:55 139.89 0.22%
Trade id #148973229
Max drawdown($231)
Time8/27/24 11:27
Quant open70
Worst price138.14
Drawdown as % of equity-0.22%
 ($110)
Includes Typical Broker Commissions trade costs of $1.40
8/21/24 12:39 DKNG DRAFTKINGS INC. CLASS A COMMON STOCK LONG 150 35.24 8/27 13:55 35.40 0.06%
Trade id #148986380
Max drawdown($65)
Time8/27/24 9:45
Quant open150
Worst price34.81
Drawdown as % of equity-0.06%
 $20
Includes Typical Broker Commissions trade costs of $3.00
8/13/24 13:55 U UNITY SOFTWARE INC LONG 620 16.26 8/23 12:20 17.88 0.21%
Trade id #148907460
Max drawdown($212)
Time8/14/24 0:00
Quant open310
Worst price15.62
Drawdown as % of equity-0.21%
 $995
Includes Typical Broker Commissions trade costs of $8.70
8/20/24 13:02 INCY INCYTE LONG 125 64.49 8/23 12:16 64.15 0.21%
Trade id #148973584
Max drawdown($224)
Time8/22/24 0:00
Quant open125
Worst price62.69
Drawdown as % of equity-0.21%
 ($45)
Includes Typical Broker Commissions trade costs of $2.50
8/15/24 14:28 ALGM ALLEGRO MICROSYSTEMS INC. COMMON STOCK LONG 210 25.59 8/22 11:38 24.43 0.23%
Trade id #148930639
Max drawdown($236)
Time8/22/24 11:38
Quant open210
Worst price24.47
Drawdown as % of equity-0.23%
 ($248)
Includes Typical Broker Commissions trade costs of $4.20
8/13/24 13:47 FSLR FIRST SOLAR INC LONG 35 229.72 8/22 11:35 219.18 0.41%
Trade id #148907360
Max drawdown($438)
Time8/20/24 0:00
Quant open35
Worst price217.19
Drawdown as % of equity-0.41%
 ($370)
Includes Typical Broker Commissions trade costs of $0.70
8/19/24 13:55 SWN SOUTHWESTERN ENERGY LONG 1,100 6.34 8/21 12:31 6.21 0.16%
Trade id #148959214
Max drawdown($162)
Time8/21/24 12:00
Quant open1,100
Worst price6.19
Drawdown as % of equity-0.16%
 ($140)
Includes Typical Broker Commissions trade costs of $5.00
8/1/24 11:09 PINS PINTEREST INC LONG 342 31.74 8/20 12:48 31.46 1.66%
Trade id #148796493
Max drawdown($1,620)
Time8/5/24 0:00
Quant open342
Worst price27.00
Drawdown as % of equity-1.66%
 ($102)
Includes Typical Broker Commissions trade costs of $6.84
7/19/24 12:03 FIVE FIVE BELOW INC LONG 140 71.36 8/20 12:47 76.79 0.94%
Trade id #148695079
Max drawdown($908)
Time8/7/24 0:00
Quant open140
Worst price64.87
Drawdown as % of equity-0.94%
 $757
Includes Typical Broker Commissions trade costs of $2.80
8/2/24 12:52 SNAP SNAP INC LONG 1,000 9.00 8/19 13:47 9.33 0.7%
Trade id #148810304
Max drawdown($672)
Time8/7/24 0:00
Quant open700
Worst price8.29
Drawdown as % of equity-0.70%
 $322
Includes Typical Broker Commissions trade costs of $9.70
8/7/24 15:03 BE BLOOM ENERGY CORP LONG 500 10.01 8/16 14:37 11.71 0.1%
Trade id #148860344
Max drawdown($92)
Time8/7/24 15:51
Quant open500
Worst price9.82
Drawdown as % of equity-0.10%
 $840
Includes Typical Broker Commissions trade costs of $10.00
8/9/24 14:38 XP XP INC. CL A LONG 540 18.25 8/16 14:33 19.97 0.14%
Trade id #148880540
Max drawdown($143)
Time8/9/24 15:26
Quant open540
Worst price17.99
Drawdown as % of equity-0.14%
 $923
Includes Typical Broker Commissions trade costs of $5.00
8/7/24 14:54 GNTX GENTEX LONG 180 28.77 8/15 14:23 29.38 0.09%
Trade id #148860284
Max drawdown($85)
Time8/12/24 0:00
Quant open180
Worst price28.30
Drawdown as % of equity-0.09%
 $105
Includes Typical Broker Commissions trade costs of $3.60
Next

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1579.05
  • Age
    53 months ago
  • What it trades
    Stocks
  • # Trades
    1128
  • # Profitable
    597
  • % Profitable
    52.90%
  • Avg trade duration
    15.3 days
  • Max peak-to-valley drawdown
    30.17%
  • drawdown period
    July 31, 2023 - Oct 30, 2023
  • Annual Return (Compounded)
    32.6%
  • Avg win
    $452.96
  • Avg loss
    $358.99
  • Model Account Values (Raw)
  • Cash
    $105,595
  • Margin Used
    $0
  • Buying Power
    $104,379
  • Ratios
  • W:L ratio
    1.44:1
  • Sharpe Ratio
    0.95
  • Sortino Ratio
    1.56
  • Calmar Ratio
    1.306
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    149.38%
  • Correlation to SP500
    0.49510
  • Return Percent SP500 (cumu) during strategy life
    90.62%
  • Return Statistics
  • Ann Return (w trading costs)
    32.6%
  • Slump
  • Current Slump as Pcnt Equity
    5.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • 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)
    0.326%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    35.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.50%
  • Chance of 20% account loss
    25.00%
  • Chance of 30% account loss
    10.50%
  • Chance of 40% account loss
    5.00%
  • 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
    0.50%
  • Popularity
  • Popularity (Today)
    701
  • Popularity (Last 6 weeks)
    949
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    989
  • Popularity (7 days, Percentile 1000 scale)
    879
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $359
  • Avg Win
    $453
  • Sum Trade PL (losers)
    $190,651.000
  • Age
  • Num Months filled monthly returns table
    53
  • Win / Loss
  • Sum Trade PL (winners)
    $270,461.000
  • # Winners
    597
  • Num Months Winners
    32
  • Dividends
  • Dividends Received in Model Acct
    1845
  • AUM
  • AUM (AutoTrader live capital)
    108425
  • Win / Loss
  • # Losers
    531
  • % Winners
    52.9%
  • Frequency
  • Avg Position Time (mins)
    22058.40
  • Avg Position Time (hrs)
    367.64
  • Avg Trade Length
    15.3 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    0.97
  • Daily leverage (max)
    2.18
  • Regression
  • Alpha
    0.05
  • Beta
    0.76
  • Treynor Index
    0.11
  • 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)
    -0.24
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.018
  • 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
    0.286
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.072
  • Hold-and-Hope Ratio
    0.249
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33860
  • SD
    0.34126
  • Sharpe ratio (Glass type estimate)
    0.99219
  • Sharpe ratio (Hedges UMVUE)
    0.97722
  • df
    50.00000
  • t
    2.04545
  • p
    0.02304
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01715
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95776
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00740
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94704
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07739
  • Upside Potential Ratio
    3.52690
  • Upside part of mean
    0.57486
  • Downside part of mean
    -0.23626
  • Upside SD
    0.31171
  • Downside SD
    0.16299
  • N nonnegative terms
    34.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.13252
  • Mean of criterion
    0.33860
  • SD of predictor
    0.15298
  • SD of criterion
    0.34126
  • Covariance
    0.03214
  • r
    0.61572
  • b (slope, estimate of beta)
    1.37354
  • a (intercept, estimate of alpha)
    0.15658
  • Mean Square Error
    0.07378
  • DF error
    49.00000
  • t(b)
    5.46983
  • p(b)
    0.00000
  • t(a)
    1.15218
  • p(a)
    0.12742
  • Lowerbound of 95% confidence interval for beta
    0.86891
  • Upperbound of 95% confidence interval for beta
    1.87817
  • Lowerbound of 95% confidence interval for alpha
    -0.11652
  • Upperbound of 95% confidence interval for alpha
    0.42968
  • Treynor index (mean / b)
    0.24652
  • Jensen alpha (a)
    0.15658
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28098
  • SD
    0.32431
  • Sharpe ratio (Glass type estimate)
    0.86639
  • Sharpe ratio (Hedges UMVUE)
    0.85332
  • df
    50.00000
  • t
    1.78611
  • p
    0.04007
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10349
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82791
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11200
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81864
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60580
  • Upside Potential Ratio
    3.03619
  • Upside part of mean
    0.53126
  • Downside part of mean
    -0.25028
  • Upside SD
    0.28120
  • Downside SD
    0.17497
  • N nonnegative terms
    34.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.12002
  • Mean of criterion
    0.28098
  • SD of predictor
    0.15396
  • SD of criterion
    0.32431
  • Covariance
    0.03171
  • r
    0.63502
  • b (slope, estimate of beta)
    1.33762
  • a (intercept, estimate of alpha)
    0.12043
  • Mean Square Error
    0.06404
  • DF error
    49.00000
  • t(b)
    5.75426
  • p(b)
    0.00000
  • t(a)
    0.95667
  • p(a)
    0.17172
  • Lowerbound of 95% confidence interval for beta
    0.87048
  • Upperbound of 95% confidence interval for beta
    1.80477
  • Lowerbound of 95% confidence interval for alpha
    -0.13255
  • Upperbound of 95% confidence interval for alpha
    0.37341
  • Treynor index (mean / b)
    0.21006
  • Jensen alpha (a)
    0.12043
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12241
  • Expected Shortfall on VaR
    0.15558
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03367
  • Expected Shortfall on VaR
    0.07523
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    51.00000
  • Minimum
    0.80658
  • Quartile 1
    0.99662
  • Median
    1.01431
  • Quartile 3
    1.05371
  • Maximum
    1.31735
  • Mean of quarter 1
    0.92562
  • Mean of quarter 2
    1.00586
  • Mean of quarter 3
    1.03415
  • Mean of quarter 4
    1.15683
  • Inter Quartile Range
    0.05709
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.09804
  • Mean of outliers low
    0.86903
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    1.23721
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.52808
  • VaR(95%) (moments method)
    0.02385
  • Expected Shortfall (moments method)
    0.02503
  • Extreme Value Index (regression method)
    -0.11126
  • VaR(95%) (regression method)
    0.06058
  • Expected Shortfall (regression method)
    0.08894
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00504
  • Quartile 1
    0.05343
  • Median
    0.07056
  • Quartile 3
    0.13666
  • Maximum
    0.27441
  • Mean of quarter 1
    0.02319
  • Mean of quarter 2
    0.06375
  • Mean of quarter 3
    0.09441
  • Mean of quarter 4
    0.23392
  • Inter Quartile Range
    0.08323
  • 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
    0.12500
  • Mean of outliers high
    0.27441
  • 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)
    0.63915
  • Compounded annual return (geometric extrapolation)
    0.36190
  • Calmar ratio (compounded annual return / max draw down)
    1.31882
  • Compounded annual return / average of 25% largest draw downs
    1.54713
  • Compounded annual return / Expected Shortfall lognormal
    2.32622
  • 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
    0.30922
  • SD
    0.24926
  • Sharpe ratio (Glass type estimate)
    1.24054
  • Sharpe ratio (Hedges UMVUE)
    1.23971
  • df
    1122.00000
  • t
    2.56833
  • p
    0.46177
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29220
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18837
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29163
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18779
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07031
  • Upside Potential Ratio
    9.55647
  • Upside part of mean
    1.42732
  • Downside part of mean
    -1.11811
  • Upside SD
    0.20033
  • Downside SD
    0.14936
  • N nonnegative terms
    573.00000
  • N negative terms
    550.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1123.00000
  • Mean of predictor
    0.13775
  • Mean of criterion
    0.30922
  • SD of predictor
    0.17130
  • SD of criterion
    0.24926
  • Covariance
    0.02111
  • r
    0.49438
  • b (slope, estimate of beta)
    0.71938
  • a (intercept, estimate of alpha)
    0.21000
  • Mean Square Error
    0.04699
  • DF error
    1121.00000
  • t(b)
    19.04230
  • p(b)
    0.19861
  • t(a)
    2.00444
  • p(a)
    0.46198
  • Lowerbound of 95% confidence interval for beta
    0.64525
  • Upperbound of 95% confidence interval for beta
    0.79350
  • Lowerbound of 95% confidence interval for alpha
    0.00444
  • Upperbound of 95% confidence interval for alpha
    0.41581
  • Treynor index (mean / b)
    0.42984
  • Jensen alpha (a)
    0.21012
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27839
  • SD
    0.24689
  • Sharpe ratio (Glass type estimate)
    1.12758
  • Sharpe ratio (Hedges UMVUE)
    1.12682
  • df
    1122.00000
  • t
    2.33445
  • p
    0.46524
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17951
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07519
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07466
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83421
  • Upside Potential Ratio
    9.27535
  • Upside part of mean
    1.40777
  • Downside part of mean
    -1.12938
  • Upside SD
    0.19535
  • Downside SD
    0.15178
  • N nonnegative terms
    573.00000
  • N negative terms
    550.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1123.00000
  • Mean of predictor
    0.12301
  • Mean of criterion
    0.27839
  • SD of predictor
    0.17160
  • SD of criterion
    0.24689
  • Covariance
    0.02095
  • r
    0.49440
  • b (slope, estimate of beta)
    0.71131
  • a (intercept, estimate of alpha)
    0.19089
  • Mean Square Error
    0.04610
  • DF error
    1121.00000
  • t(b)
    19.04330
  • p(b)
    0.19859
  • t(a)
    1.83892
  • p(a)
    0.46510
  • Lowerbound of 95% confidence interval for beta
    0.63802
  • Upperbound of 95% confidence interval for beta
    0.78460
  • Lowerbound of 95% confidence interval for alpha
    -0.01279
  • Upperbound of 95% confidence interval for alpha
    0.39457
  • Treynor index (mean / b)
    0.39137
  • Jensen alpha (a)
    0.19089
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02374
  • Expected Shortfall on VaR
    0.02993
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00965
  • Expected Shortfall on VaR
    0.01945
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1123.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99494
  • Median
    1.00023
  • Quartile 3
    1.00665
  • Maximum
    1.10903
  • Mean of quarter 1
    0.98509
  • Mean of quarter 2
    0.99807
  • Mean of quarter 3
    1.00310
  • Mean of quarter 4
    1.01890
  • Inter Quartile Range
    0.01171
  • Number outliers low
    48.00000
  • Percentage of outliers low
    0.04274
  • Mean of outliers low
    0.96707
  • Number of outliers high
    62.00000
  • Percentage of outliers high
    0.05521
  • Mean of outliers high
    1.04096
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20691
  • VaR(95%) (moments method)
    0.01374
  • Expected Shortfall (moments method)
    0.02175
  • Extreme Value Index (regression method)
    -0.00586
  • VaR(95%) (regression method)
    0.01395
  • Expected Shortfall (regression method)
    0.01941
  • 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
    0.10913
  • 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
    9.00000
  • Percentage of outliers high
    0.12857
  • Mean of outliers high
    0.15778
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.01430
  • VaR(95%) (moments method)
    0.09302
  • Expected Shortfall (moments method)
    0.12751
  • Extreme Value Index (regression method)
    -0.42035
  • VaR(95%) (regression method)
    0.11560
  • Expected Shortfall (regression method)
    0.13934
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.63384
  • Compounded annual return (geometric extrapolation)
    0.35838
  • Calmar ratio (compounded annual return / max draw down)
    1.30600
  • Compounded annual return / average of 25% largest draw downs
    3.28409
  • Compounded annual return / Expected Shortfall lognormal
    11.97530
  • 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
    0.20539
  • SD
    0.16524
  • Sharpe ratio (Glass type estimate)
    1.24298
  • Sharpe ratio (Hedges UMVUE)
    1.23580
  • df
    130.00000
  • t
    0.87892
  • p
    0.46157
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53523
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01661
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01167
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87772
  • Upside Potential Ratio
    9.61455
  • Upside part of mean
    1.05166
  • Downside part of mean
    -0.84627
  • Upside SD
    0.12366
  • Downside SD
    0.10938
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17231
  • Mean of criterion
    0.20539
  • SD of predictor
    0.13442
  • SD of criterion
    0.16524
  • Covariance
    0.00883
  • r
    0.39760
  • b (slope, estimate of beta)
    0.48877
  • a (intercept, estimate of alpha)
    0.12117
  • Mean Square Error
    0.02317
  • DF error
    129.00000
  • t(b)
    4.92160
  • p(b)
    0.25372
  • t(a)
    0.56116
  • p(a)
    0.46860
  • Lowerbound of 95% confidence interval for beta
    0.29228
  • Upperbound of 95% confidence interval for beta
    0.68525
  • Lowerbound of 95% confidence interval for alpha
    -0.30605
  • Upperbound of 95% confidence interval for alpha
    0.54839
  • Treynor index (mean / b)
    0.42022
  • Jensen alpha (a)
    0.12117
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19176
  • SD
    0.16513
  • Sharpe ratio (Glass type estimate)
    1.16124
  • Sharpe ratio (Hedges UMVUE)
    1.15453
  • df
    130.00000
  • t
    0.82112
  • p
    0.46409
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61634
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93446
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62083
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92988
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.73639
  • Upside Potential Ratio
    9.45347
  • Upside part of mean
    1.04400
  • Downside part of mean
    -0.85224
  • Upside SD
    0.12250
  • Downside SD
    0.11044
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16325
  • Mean of criterion
    0.19176
  • SD of predictor
    0.13470
  • SD of criterion
    0.16513
  • Covariance
    0.00885
  • r
    0.39792
  • b (slope, estimate of beta)
    0.48784
  • a (intercept, estimate of alpha)
    0.11212
  • Mean Square Error
    0.02313
  • DF error
    129.00000
  • t(b)
    4.92637
  • p(b)
    0.25353
  • t(a)
    0.51983
  • p(a)
    0.47090
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.29191
  • Upperbound of 95% confidence interval for beta
    0.68376
  • Lowerbound of 95% confidence interval for alpha
    -0.31462
  • Upperbound of 95% confidence interval for alpha
    0.53885
  • Treynor index (mean / b)
    0.39308
  • Jensen alpha (a)
    0.11212
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01592
  • Expected Shortfall on VaR
    0.02010
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00717
  • Expected Shortfall on VaR
    0.01430
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97162
  • Quartile 1
    0.99613
  • Median
    1.00031
  • Quartile 3
    1.00522
  • Maximum
    1.02844
  • Mean of quarter 1
    0.98872
  • Mean of quarter 2
    0.99868
  • Mean of quarter 3
    1.00262
  • Mean of quarter 4
    1.01358
  • Inter Quartile Range
    0.00909
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.97713
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02481
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18635
  • VaR(95%) (moments method)
    0.01063
  • Expected Shortfall (moments method)
    0.01649
  • Extreme Value Index (regression method)
    -0.06728
  • VaR(95%) (regression method)
    0.01204
  • Expected Shortfall (regression method)
    0.01643
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00367
  • Quartile 1
    0.01101
  • Median
    0.03606
  • Quartile 3
    0.04675
  • Maximum
    0.08441
  • Mean of quarter 1
    0.00453
  • Mean of quarter 2
    0.01996
  • Mean of quarter 3
    0.04552
  • Mean of quarter 4
    0.06677
  • Inter Quartile Range
    0.03574
  • 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -358331000
  • Max Equity Drawdown (num days)
    91
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23218
  • Compounded annual return (geometric extrapolation)
    0.24566
  • Calmar ratio (compounded annual return / max draw down)
    2.91042
  • Compounded annual return / average of 25% largest draw downs
    3.67896
  • Compounded annual return / Expected Shortfall lognormal
    12.22200

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 1.1%
Rank # 
#8
# Trades
1128
# Profitable
597
% Profitable
52.9%
Net Dividends
$1,844
Correlation S&P500
0.495
Sharpe Ratio
0.95
Sortino Ratio
1.56
Beta
0.76
Alpha
0.05
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.