Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, C2 training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
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: Yesterday

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.

32.4%
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.

(23.6%)
Max Drawdown
351
Num Trades
57.8%
Win Trades
1.8 : 1
Profit Factor
63.0%
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%+1.9%                              +36.2%

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
6/27/22 12:38 DOW DOW INC LONG 714 52.14 6/28 10:05 54.00 0.07%
Trade id #140875568
Max drawdown($121)
Time6/27/22 15:08
Quant open714
Worst price51.97
Drawdown as % of equity-0.07%
$1,323
Includes Typical Broker Commissions trade costs of $5.00
6/21/22 11:31 DVA DAVITA INC LONG 425 80.43 6/27 13:22 79.27 1.39%
Trade id #140820887
Max drawdown($2,320)
Time6/21/22 14:15
Quant open425
Worst price74.97
Drawdown as % of equity-1.39%
($502)
Includes Typical Broker Commissions trade costs of $8.50
6/22/22 10:00 MO ALTRIA LONG 810 41.98 6/24 11:31 43.34 0.47%
Trade id #140830479
Max drawdown($793)
Time6/22/22 10:13
Quant open810
Worst price41.00
Drawdown as % of equity-0.47%
$1,097
Includes Typical Broker Commissions trade costs of $5.00
6/23/22 13:58 BRK.B BERKSHIRE HATHAWAY CL B LONG 129 264.58 6/24 9:42 271.50 0.03%
Trade id #140845965
Max drawdown($46)
Time6/23/22 14:22
Quant open129
Worst price264.22
Drawdown as % of equity-0.03%
$890
Includes Typical Broker Commissions trade costs of $2.58
6/10/22 11:22 ZEN ZENDESK INC LONG 625 64.20 6/24 9:33 74.80 3.79%
Trade id #140734143
Max drawdown($6,276)
Time6/16/22 0:00
Quant open625
Worst price54.16
Drawdown as % of equity-3.79%
$6,618
Includes Typical Broker Commissions trade costs of $5.70
6/16/22 15:10 SYK STRYKER LONG 164 195.38 6/23 13:58 198.23 0.2%
Trade id #140789497
Max drawdown($334)
Time6/22/22 0:00
Quant open164
Worst price193.34
Drawdown as % of equity-0.20%
$464
Includes Typical Broker Commissions trade costs of $3.28
6/14/22 11:47 AEE AMEREN LONG 407 83.52 6/22 13:08 83.33 0.76%
Trade id #140764195
Max drawdown($1,192)
Time6/17/22 0:00
Quant open407
Worst price80.59
Drawdown as % of equity-0.76%
($85)
Includes Typical Broker Commissions trade costs of $8.14
6/14/22 11:48 AEP AMERICAN ELECTRIC POWER LONG 374 90.79 6/22 13:07 90.71 0.76%
Trade id #140764209
Max drawdown($1,181)
Time6/17/22 0:00
Quant open374
Worst price87.63
Drawdown as % of equity-0.76%
($37)
Includes Typical Broker Commissions trade costs of $7.48
6/16/22 15:10 UHS UNIVERSAL HEALTH SERVICES LONG 318 100.88 6/22 10:01 103.52 0.04%
Trade id #140789480
Max drawdown($66)
Time6/16/22 15:15
Quant open318
Worst price100.67
Drawdown as % of equity-0.04%
$834
Includes Typical Broker Commissions trade costs of $6.36
6/13/22 11:19 MGNX MACROGENICS INC. COMMON STOCK LONG 14,000 2.56 6/21 10:55 2.79 3.63%
Trade id #140751133
Max drawdown($6,020)
Time6/16/22 0:00
Quant open14,000
Worst price2.13
Drawdown as % of equity-3.63%
$3,215
Includes Typical Broker Commissions trade costs of $5.00
6/14/22 11:58 GOL GOL INTELLIGENT AIRLINES LONG 9,000 3.75 6/15 15:06 3.98 0.8%
Trade id #140764310
Max drawdown($1,260)
Time6/14/22 14:45
Quant open9,000
Worst price3.61
Drawdown as % of equity-0.80%
$2,065
Includes Typical Broker Commissions trade costs of $5.00
6/14/22 12:31 REGN REGENERON PHARMACEUTICALS LONG 62 544.95 6/15 11:28 563.48 0.19%
Trade id #140764754
Max drawdown($305)
Time6/14/22 14:44
Quant open62
Worst price540.02
Drawdown as % of equity-0.19%
$1,148
Includes Typical Broker Commissions trade costs of $1.24
6/7/22 9:30 MGNX MACROGENICS INC. COMMON STOCK LONG 11,500 3.06 6/7 15:01 3.20 0.33%
Trade id #140695881
Max drawdown($575)
Time6/7/22 9:54
Quant open11,500
Worst price3.01
Drawdown as % of equity-0.33%
$1,605
Includes Typical Broker Commissions trade costs of $5.00
5/27/22 9:33 ALGN ALIGN TECHNOLOGY LONG 100 278.33 6/6 11:18 269.85 0.85%
Trade id #140614588
Max drawdown($1,485)
Time6/1/22 0:00
Quant open100
Worst price263.48
Drawdown as % of equity-0.85%
($850)
Includes Typical Broker Commissions trade costs of $2.00
5/19/22 13:32 PLD PROLOGIS LONG 267 119.98 5/26 13:23 122.34 0.58%
Trade id #140535414
Max drawdown($963)
Time5/24/22 0:00
Quant open267
Worst price116.37
Drawdown as % of equity-0.58%
$625
Includes Typical Broker Commissions trade costs of $5.34
5/18/22 10:26 TGT TARGET LONG 210 161.90 5/26 13:23 162.50 2.07%
Trade id #140517428
Max drawdown($3,441)
Time5/24/22 0:00
Quant open210
Worst price145.51
Drawdown as % of equity-2.07%
$122
Includes Typical Broker Commissions trade costs of $4.20
5/24/22 10:28 SNAP SNAP INC LONG 2,300 13.62 5/26 13:20 14.71 1.52%
Trade id #140578945
Max drawdown($2,461)
Time5/24/22 15:28
Quant open2,300
Worst price12.55
Drawdown as % of equity-1.52%
$2,502
Includes Typical Broker Commissions trade costs of $5.00
5/17/22 13:21 WMT WALMART INC LONG 270 131.43 5/26 12:51 125.87 2.4%
Trade id #140505740
Max drawdown($3,822)
Time5/20/22 0:00
Quant open270
Worst price117.27
Drawdown as % of equity-2.40%
($1,506)
Includes Typical Broker Commissions trade costs of $5.40
5/18/22 10:27 COST COSTCO WHOLESALE LONG 75 442.05 5/25 15:05 442.64 1.67%
Trade id #140517456
Max drawdown($2,665)
Time5/20/22 0:00
Quant open75
Worst price406.51
Drawdown as % of equity-1.67%
$43
Includes Typical Broker Commissions trade costs of $1.50
5/19/22 13:35 MGNX MACROGENICS INC. COMMON STOCK LONG 8,300 3.86 5/25 11:00 3.62 1.27%
Trade id #140535449
Max drawdown($2,075)
Time5/25/22 9:49
Quant open8,300
Worst price3.61
Drawdown as % of equity-1.27%
($1,997)
Includes Typical Broker Commissions trade costs of $5.00
5/24/22 13:16 ANF ABERCROMBIE & FITCH LONG 1,725 18.56 5/25 9:57 20.74 0.23%
Trade id #140583334
Max drawdown($370)
Time5/24/22 14:04
Quant open1,725
Worst price18.34
Drawdown as % of equity-0.23%
$3,756
Includes Typical Broker Commissions trade costs of $5.00
5/13/22 10:22 STXS STEREOTAXIS LONG 17,900 1.83 5/23 14:54 1.86 0.88%
Trade id #140466545
Max drawdown($1,404)
Time5/19/22 0:00
Quant open17,900
Worst price1.75
Drawdown as % of equity-0.88%
$558
Includes Typical Broker Commissions trade costs of $7.50
5/12/22 10:56 PSA PUBLIC STORAGE LONG 96 313.87 5/23 13:41 316.82 0.62%
Trade id #140454025
Max drawdown($987)
Time5/19/22 0:00
Quant open96
Worst price303.58
Drawdown as % of equity-0.62%
$281
Includes Typical Broker Commissions trade costs of $1.92
5/20/22 12:37 ROST ROSS STORES LONG 454 70.50 5/23 9:40 73.72 0.2%
Trade id #140547304
Max drawdown($317)
Time5/20/22 14:32
Quant open454
Worst price69.80
Drawdown as % of equity-0.20%
$1,453
Includes Typical Broker Commissions trade costs of $9.08
5/18/22 10:27 DLTR DOLLAR TREE STORES LONG 246 129.91 5/19 13:33 136.44 0.64%
Trade id #140517452
Max drawdown($1,025)
Time5/19/22 9:54
Quant open246
Worst price125.74
Drawdown as % of equity-0.64%
$1,601
Includes Typical Broker Commissions trade costs of $4.92
5/6/22 11:24 EXPE EXPEDIA LONG 258 135.11 5/19 13:33 127.55 2.6%
Trade id #140394523
Max drawdown($4,143)
Time5/19/22 9:30
Quant open258
Worst price119.05
Drawdown as % of equity-2.60%
($1,955)
Includes Typical Broker Commissions trade costs of $5.16
5/6/22 9:30 ICE INTERCONTINENTALEXCHANGE LONG 329 100.96 5/18 9:30 97.86 1.72%
Trade id #140391106
Max drawdown($2,344)
Time5/12/22 0:00
Quant open299
Worst price93.52
Drawdown as % of equity-1.72%
($1,026)
Includes Typical Broker Commissions trade costs of $6.58
5/4/22 9:48 LYFT LYFT INC. CLASS A COMMON STOCK LONG 1,650 20.91 5/17 13:23 19.84 4.28%
Trade id #140361495
Max drawdown($5,823)
Time5/12/22 0:00
Quant open1,540
Worst price17.24
Drawdown as % of equity-4.28%
($1,776)
Includes Typical Broker Commissions trade costs of $7.10
5/16/22 12:10 X UNITED STATES STEEL LONG 1,300 24.70 5/17 13:22 25.34 0.47%
Trade id #140490745
Max drawdown($767)
Time5/16/22 15:49
Quant open1,300
Worst price24.11
Drawdown as % of equity-0.47%
$827
Includes Typical Broker Commissions trade costs of $5.00
5/16/22 12:17 BA BOEING LONG 254 126.20 5/17 13:21 131.66 0.61%
Trade id #140490873
Max drawdown($977)
Time5/16/22 15:43
Quant open254
Worst price122.35
Drawdown as % of equity-0.61%
$1,382
Includes Typical Broker Commissions trade costs of $5.08

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    771.78
  • Age
    26 months ago
  • What it trades
    Stocks
  • # Trades
    351
  • # Profitable
    203
  • % Profitable
    57.80%
  • Avg trade duration
    24.0 days
  • Max peak-to-valley drawdown
    23.63%
  • drawdown period
    Nov 01, 2021 - Dec 03, 2021
  • Annual Return (Compounded)
    32.4%
  • Avg win
    $960.94
  • Avg loss
    $744.87
  • Model Account Values (Raw)
  • Cash
    $101,017
  • Margin Used
    $0
  • Buying Power
    $87,482
  • Ratios
  • W:L ratio
    1.78:1
  • Sharpe Ratio
    0.98
  • Sortino Ratio
    1.66
  • Calmar Ratio
    1.607
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    51.56%
  • Correlation to SP500
    0.48270
  • Return Percent SP500 (cumu) during strategy life
    29.74%
  • Return Statistics
  • Ann Return (w trading costs)
    32.4%
  • Slump
  • Current Slump as Pcnt Equity
    3.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.324%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    33.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    58.50%
  • Chance of 20% account loss
    32.00%
  • Chance of 30% account loss
    14.00%
  • Chance of 40% account loss
    3.00%
  • 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)
    699
  • Popularity (Last 6 weeks)
    950
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    212
  • Popularity (7 days, Percentile 1000 scale)
    883
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $745
  • Avg Win
    $961
  • Sum Trade PL (losers)
    $110,241.000
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $195,071.000
  • # Winners
    203
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    808
  • Win / Loss
  • # Losers
    148
  • % Winners
    57.8%
  • Frequency
  • Avg Position Time (mins)
    34603.10
  • Avg Position Time (hrs)
    576.72
  • Avg Trade Length
    24.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.78
  • Daily leverage (max)
    2.17
  • Regression
  • Alpha
    0.06
  • Beta
    0.66
  • Treynor Index
    0.12
  • 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)
    -0.10
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.318
  • 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
    0.669
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.819
  • Hold-and-Hope Ratio
    0.236
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31560
  • SD
    0.28981
  • Sharpe ratio (Glass type estimate)
    1.08896
  • Sharpe ratio (Hedges UMVUE)
    1.05451
  • df
    24.00000
  • t
    1.57177
  • p
    0.06455
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31379
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33578
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44479
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.51681
  • Upside Potential Ratio
    3.89641
  • Upside part of mean
    0.48859
  • Downside part of mean
    -0.17299
  • Upside SD
    0.27057
  • Downside SD
    0.12540
  • N nonnegative terms
    19.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.10893
  • Mean of criterion
    0.31560
  • SD of predictor
    0.15464
  • SD of criterion
    0.28981
  • Covariance
    0.01712
  • r
    0.38204
  • b (slope, estimate of beta)
    0.71600
  • a (intercept, estimate of alpha)
    0.23760
  • Mean Square Error
    0.07485
  • DF error
    23.00000
  • t(b)
    1.98261
  • p(b)
    0.02974
  • t(a)
    1.22734
  • p(a)
    0.11606
  • Lowerbound of 95% confidence interval for beta
    -0.03108
  • Upperbound of 95% confidence interval for beta
    1.46308
  • Lowerbound of 95% confidence interval for alpha
    -0.16287
  • Upperbound of 95% confidence interval for alpha
    0.63807
  • Treynor index (mean / b)
    0.44077
  • Jensen alpha (a)
    0.23760
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27456
  • SD
    0.27171
  • Sharpe ratio (Glass type estimate)
    1.01048
  • Sharpe ratio (Hedges UMVUE)
    0.97851
  • df
    24.00000
  • t
    1.45850
  • p
    0.07883
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38687
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38780
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40732
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.36434
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08531
  • Upside Potential Ratio
    3.45981
  • Upside part of mean
    0.45553
  • Downside part of mean
    -0.18097
  • Upside SD
    0.24458
  • Downside SD
    0.13166
  • N nonnegative terms
    19.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.09658
  • Mean of criterion
    0.27456
  • SD of predictor
    0.15684
  • SD of criterion
    0.27171
  • Covariance
    0.01736
  • r
    0.40738
  • b (slope, estimate of beta)
    0.70574
  • a (intercept, estimate of alpha)
    0.20639
  • Mean Square Error
    0.06425
  • DF error
    23.00000
  • t(b)
    2.13930
  • p(b)
    0.02163
  • t(a)
    1.15638
  • p(a)
    0.12970
  • Lowerbound of 95% confidence interval for beta
    0.02330
  • Upperbound of 95% confidence interval for beta
    1.38818
  • Lowerbound of 95% confidence interval for alpha
    -0.16283
  • Upperbound of 95% confidence interval for alpha
    0.57561
  • Treynor index (mean / b)
    0.38903
  • Jensen alpha (a)
    0.20639
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10070
  • Expected Shortfall on VaR
    0.12933
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01879
  • Expected Shortfall on VaR
    0.04603
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.89196
  • Quartile 1
    1.00433
  • Median
    1.02180
  • Quartile 3
    1.04470
  • Maximum
    1.27217
  • Mean of quarter 1
    0.95113
  • Mean of quarter 2
    1.01111
  • Mean of quarter 3
    1.03456
  • Mean of quarter 4
    1.13063
  • Inter Quartile Range
    0.04037
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.16000
  • Mean of outliers low
    0.91465
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.12000
  • Mean of outliers high
    1.20301
  • 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)
    -1.87921
  • VaR(95%) (regression method)
    0.07585
  • Expected Shortfall (regression method)
    0.07881
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00503
  • Quartile 1
    0.04435
  • Median
    0.06375
  • Quartile 3
    0.08197
  • Maximum
    0.11774
  • Mean of quarter 1
    0.00503
  • Mean of quarter 2
    0.05745
  • Mean of quarter 3
    0.07004
  • Mean of quarter 4
    0.11774
  • Inter Quartile Range
    0.03762
  • 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)
    0.42137
  • Compounded annual return (geometric extrapolation)
    0.35319
  • Calmar ratio (compounded annual return / max draw down)
    2.99968
  • Compounded annual return / average of 25% largest draw downs
    2.99968
  • Compounded annual return / Expected Shortfall lognormal
    2.73091
  • 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
    0.29281
  • SD
    0.24681
  • Sharpe ratio (Glass type estimate)
    1.18640
  • Sharpe ratio (Hedges UMVUE)
    1.18478
  • df
    548.00000
  • t
    1.71739
  • p
    0.04324
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16992
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54169
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17102
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54058
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05845
  • Upside Potential Ratio
    8.84817
  • Upside part of mean
    1.25865
  • Downside part of mean
    -0.96584
  • Upside SD
    0.20223
  • Downside SD
    0.14225
  • N nonnegative terms
    285.00000
  • N negative terms
    264.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    549.00000
  • Mean of predictor
    0.11318
  • Mean of criterion
    0.29281
  • SD of predictor
    0.18304
  • SD of criterion
    0.24681
  • Covariance
    0.02184
  • r
    0.48349
  • b (slope, estimate of beta)
    0.65192
  • a (intercept, estimate of alpha)
    0.21900
  • Mean Square Error
    0.04676
  • DF error
    547.00000
  • t(b)
    12.91800
  • p(b)
    -0.00000
  • t(a)
    1.46515
  • p(a)
    0.07173
  • Lowerbound of 95% confidence interval for beta
    0.55279
  • Upperbound of 95% confidence interval for beta
    0.75105
  • Lowerbound of 95% confidence interval for alpha
    -0.07462
  • Upperbound of 95% confidence interval for alpha
    0.51268
  • Treynor index (mean / b)
    0.44916
  • Jensen alpha (a)
    0.21903
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26283
  • SD
    0.24331
  • Sharpe ratio (Glass type estimate)
    1.08022
  • Sharpe ratio (Hedges UMVUE)
    1.07874
  • df
    548.00000
  • t
    1.56368
  • p
    0.05923
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27573
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43525
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27674
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43423
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81506
  • Upside Potential Ratio
    8.55588
  • Upside part of mean
    1.23892
  • Downside part of mean
    -0.97609
  • Upside SD
    0.19592
  • Downside SD
    0.14480
  • N nonnegative terms
    285.00000
  • N negative terms
    264.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    549.00000
  • Mean of predictor
    0.09634
  • Mean of criterion
    0.26283
  • SD of predictor
    0.18379
  • SD of criterion
    0.24331
  • Covariance
    0.02164
  • r
    0.48391
  • b (slope, estimate of beta)
    0.64061
  • a (intercept, estimate of alpha)
    0.20111
  • Mean Square Error
    0.04542
  • DF error
    547.00000
  • t(b)
    12.93290
  • p(b)
    -0.00000
  • t(a)
    1.36529
  • p(a)
    0.08636
  • Lowerbound of 95% confidence interval for beta
    0.54331
  • Upperbound of 95% confidence interval for beta
    0.73791
  • Lowerbound of 95% confidence interval for alpha
    -0.08824
  • Upperbound of 95% confidence interval for alpha
    0.49046
  • Treynor index (mean / b)
    0.41027
  • Jensen alpha (a)
    0.20111
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02344
  • Expected Shortfall on VaR
    0.02954
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00816
  • Expected Shortfall on VaR
    0.01714
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    549.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99662
  • Median
    1.00030
  • Quartile 3
    1.00551
  • Maximum
    1.10903
  • Mean of quarter 1
    0.98670
  • Mean of quarter 2
    0.99885
  • Mean of quarter 3
    1.00256
  • Mean of quarter 4
    1.01689
  • Inter Quartile Range
    0.00889
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.06011
  • Mean of outliers low
    0.97110
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.05464
  • Mean of outliers high
    1.04196
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28254
  • VaR(95%) (moments method)
    0.01109
  • Expected Shortfall (moments method)
    0.01941
  • Extreme Value Index (regression method)
    0.07301
  • VaR(95%) (regression method)
    0.01248
  • Expected Shortfall (regression method)
    0.01893
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    42.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00326
  • Median
    0.01041
  • Quartile 3
    0.02920
  • Maximum
    0.20991
  • Mean of quarter 1
    0.00138
  • Mean of quarter 2
    0.00768
  • Mean of quarter 3
    0.01891
  • Mean of quarter 4
    0.08205
  • Inter Quartile Range
    0.02594
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.10624
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.35235
  • VaR(95%) (moments method)
    0.07532
  • Expected Shortfall (moments method)
    0.09161
  • Extreme Value Index (regression method)
    -0.10995
  • VaR(95%) (regression method)
    0.08704
  • Expected Shortfall (regression method)
    0.11604
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40038
  • Compounded annual return (geometric extrapolation)
    0.33741
  • Calmar ratio (compounded annual return / max draw down)
    1.60737
  • Compounded annual return / average of 25% largest draw downs
    4.11242
  • Compounded annual return / Expected Shortfall lognormal
    11.42130
  • 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
    0.66347
  • SD
    0.42135
  • Sharpe ratio (Glass type estimate)
    1.57464
  • Sharpe ratio (Hedges UMVUE)
    1.56554
  • df
    130.00000
  • t
    1.11344
  • p
    0.45140
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20667
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.35003
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21279
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.34387
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.92056
  • Upside Potential Ratio
    10.71070
  • Upside part of mean
    2.43317
  • Downside part of mean
    -1.76970
  • Upside SD
    0.35532
  • Downside SD
    0.22717
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.44158
  • Mean of criterion
    0.66347
  • SD of predictor
    0.24949
  • SD of criterion
    0.42135
  • Covariance
    0.05682
  • r
    0.54048
  • b (slope, estimate of beta)
    0.91279
  • a (intercept, estimate of alpha)
    1.06654
  • Mean Square Error
    0.12665
  • DF error
    129.00000
  • t(b)
    7.29624
  • p(b)
    0.17349
  • t(a)
    2.10652
  • p(a)
    0.38455
  • Lowerbound of 95% confidence interval for beta
    0.66527
  • Upperbound of 95% confidence interval for beta
    1.16031
  • Lowerbound of 95% confidence interval for alpha
    0.06480
  • Upperbound of 95% confidence interval for alpha
    2.06827
  • Treynor index (mean / b)
    0.72686
  • Jensen alpha (a)
    1.06654
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57676
  • SD
    0.41375
  • Sharpe ratio (Glass type estimate)
    1.39399
  • Sharpe ratio (Hedges UMVUE)
    1.38593
  • df
    130.00000
  • t
    0.98570
  • p
    0.45693
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38565
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16831
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39099
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16285
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.48330
  • Upside Potential Ratio
    10.21650
  • Upside part of mean
    2.37285
  • Downside part of mean
    -1.79609
  • Upside SD
    0.34236
  • Downside SD
    0.23226
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.47297
  • Mean of criterion
    0.57676
  • SD of predictor
    0.25039
  • SD of criterion
    0.41375
  • Covariance
    0.05586
  • r
    0.53922
  • b (slope, estimate of beta)
    0.89103
  • a (intercept, estimate of alpha)
    0.99819
  • Mean Square Error
    0.12236
  • DF error
    129.00000
  • t(b)
    7.27222
  • p(b)
    0.17417
  • t(a)
    2.00414
  • p(a)
    0.38993
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.64861
  • Upperbound of 95% confidence interval for beta
    1.13345
  • Lowerbound of 95% confidence interval for alpha
    0.01276
  • Upperbound of 95% confidence interval for alpha
    1.98363
  • Treynor index (mean / b)
    0.64730
  • Jensen alpha (a)
    0.99819
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03906
  • Expected Shortfall on VaR
    0.04923
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01562
  • Expected Shortfall on VaR
    0.03075
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99131
  • Median
    0.99995
  • Quartile 3
    1.00893
  • Maximum
    1.10903
  • Mean of quarter 1
    0.97710
  • Mean of quarter 2
    0.99630
  • Mean of quarter 3
    1.00325
  • Mean of quarter 4
    1.03392
  • Inter Quartile Range
    0.01762
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.94690
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.07151
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33156
  • VaR(95%) (moments method)
    0.02374
  • Expected Shortfall (moments method)
    0.04147
  • Extreme Value Index (regression method)
    0.18715
  • VaR(95%) (regression method)
    0.01815
  • Expected Shortfall (regression method)
    0.02614
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00312
  • Quartile 1
    0.00931
  • Median
    0.03520
  • Quartile 3
    0.09003
  • Maximum
    0.15791
  • Mean of quarter 1
    0.00591
  • Mean of quarter 2
    0.02205
  • Mean of quarter 3
    0.06272
  • Mean of quarter 4
    0.12105
  • Inter Quartile Range
    0.08072
  • 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)
    -2.22499
  • VaR(95%) (moments method)
    0.14022
  • Expected Shortfall (moments method)
    0.14187
  • Extreme Value Index (regression method)
    -0.17938
  • VaR(95%) (regression method)
    0.16718
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.20001
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -345763000
  • Max Equity Drawdown (num days)
    32
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.70603
  • Compounded annual return (geometric extrapolation)
    0.83065
  • Calmar ratio (compounded annual return / max draw down)
    5.26016
  • Compounded annual return / average of 25% largest draw downs
    6.86212
  • Compounded annual return / Expected Shortfall lognormal
    16.87380

Strategy Description

Summary Statistics

Strategy began
2020-05-21
Suggested Minimum Capital
$15,000
# Trades
351
# Profitable
203
% Profitable
57.8%
Net Dividends
Correlation S&P500
0.483
Sharpe Ratio
0.98
Sortino Ratio
1.66
Beta
0.66
Alpha
0.06
Leverage
0.78 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.