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C2Star Strategy Atitude C2Star: in evaluation Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

JC Alpha
(129134794)

Created by: JCAlpha JCAlpha
Started: 05/2020
Stocks
Last trade: 2 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $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.

39.9%
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.

(29.9%)
Max Drawdown
626
Num Trades
58.8%
Win Trades
1.7 : 1
Profit Factor
63.2%
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%+1.8%                                    +29.8%

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/31/23 9:42 PINC PREMIER INC. CLASS A COMMON S LONG 344 25.00 6/2 12:19 25.49 0.05%
Trade id #144788846
Max drawdown($41)
Time5/31/23 10:10
Quant open344
Worst price24.88
Drawdown as % of equity-0.05%
 $162
Includes Typical Broker Commissions trade costs of $6.88
5/30/23 9:30 D DOMINION RESOURCES LONG 168 49.95 6/2 12:18 49.87 0.3%
Trade id #144777553
Max drawdown($247)
Time6/1/23 0:00
Quant open168
Worst price48.48
Drawdown as % of equity-0.30%
 ($16)
Includes Typical Broker Commissions trade costs of $3.36
5/31/23 9:40 ASO ACADEMY SPORTS AND OUTDOORS INC. LONG 180 47.77 6/2 11:02 50.17 0.15%
Trade id #144788734
Max drawdown($126)
Time5/31/23 10:29
Quant open180
Worst price47.07
Drawdown as % of equity-0.15%
 $428
Includes Typical Broker Commissions trade costs of $3.60
6/1/23 11:25 COIN COINBASE GLOBAL INC. CLASS A LONG 130 63.68 6/2 10:10 62.61 0.21%
Trade id #144802673
Max drawdown($166)
Time6/2/23 10:09
Quant open130
Worst price62.40
Drawdown as % of equity-0.21%
 ($142)
Includes Typical Broker Commissions trade costs of $2.60
5/31/23 9:41 ES EVERSOURCE ENERGY LONG 125 68.27 6/1 11:04 68.76 0.06%
Trade id #144788795
Max drawdown($46)
Time5/31/23 10:55
Quant open125
Worst price67.90
Drawdown as % of equity-0.06%
 $59
Includes Typical Broker Commissions trade costs of $2.50
5/18/23 12:28 TSLA TESLA INC. LONG 45 174.34 5/31 11:03 196.39 0.03%
Trade id #144665219
Max drawdown($20)
Time5/18/23 12:47
Quant open45
Worst price173.89
Drawdown as % of equity-0.03%
 $991
Includes Typical Broker Commissions trade costs of $0.90
5/8/23 11:27 INFN INFINERA LONG 1,673 5.22 5/31 10:39 4.88 1.11%
Trade id #144557810
Max drawdown($898)
Time5/26/23 0:00
Quant open1,673
Worst price4.68
Drawdown as % of equity-1.11%
 ($571)
Includes Typical Broker Commissions trade costs of $6.53
5/9/23 13:05 CRM SALESFORCE INC LONG 39 202.26 5/31 10:01 219.73 0.19%
Trade id #144569335
Max drawdown($144)
Time5/11/23 0:00
Quant open39
Worst price198.55
Drawdown as % of equity-0.19%
 $680
Includes Typical Broker Commissions trade costs of $0.78
5/19/23 10:56 ADBE ADOBE INC LONG 22 366.66 5/30 9:43 429.55 0.13%
Trade id #144685625
Max drawdown($108)
Time5/24/23 0:00
Quant open22
Worst price361.72
Drawdown as % of equity-0.13%
 $1,384
Includes Typical Broker Commissions trade costs of $0.44
5/11/23 11:55 BE BLOOM ENERGY CORP LONG 630 12.77 5/25 13:02 13.57 0.35%
Trade id #144590478
Max drawdown($275)
Time5/12/23 0:00
Quant open630
Worst price12.33
Drawdown as % of equity-0.35%
 $499
Includes Typical Broker Commissions trade costs of $5.00
5/18/23 10:47 CURLF CURALEAF HLDGS INC COMMON SHARES LONG 2,800 2.88 5/25 12:46 2.68 0.85%
Trade id #144662593
Max drawdown($686)
Time5/22/23 0:00
Quant open2,800
Worst price2.63
Drawdown as % of equity-0.85%
 ($551)
Includes Typical Broker Commissions trade costs of $5.00
5/22/23 12:36 TEL TE CONNECTIVITY LONG 65 124.46 5/25 10:51 118.59 0.49%
Trade id #144711280
Max drawdown($393)
Time5/25/23 10:22
Quant open65
Worst price118.41
Drawdown as % of equity-0.49%
 ($383)
Includes Typical Broker Commissions trade costs of $1.30
5/15/23 11:24 BABA ALIBABA GROUP HOLDING LIMITED LONG 91 88.09 5/25 10:50 80.13 0.95%
Trade id #144614921
Max drawdown($761)
Time5/25/23 9:33
Quant open91
Worst price79.72
Drawdown as % of equity-0.95%
 ($726)
Includes Typical Broker Commissions trade costs of $1.82
5/5/23 12:35 AVID AVID TECHNOLOGY INC LONG 370 23.01 5/24 12:50 21.33 1.53%
Trade id #144541620
Max drawdown($1,192)
Time5/17/23 0:00
Quant open370
Worst price19.78
Drawdown as % of equity-1.53%
 ($627)
Includes Typical Broker Commissions trade costs of $7.40
5/17/23 11:01 NWL NEWELL BRANDS INC LONG 950 8.78 5/24 11:12 8.75 0.31%
Trade id #144650515
Max drawdown($247)
Time5/22/23 0:00
Quant open950
Worst price8.52
Drawdown as % of equity-0.31%
 ($34)
Includes Typical Broker Commissions trade costs of $5.00
5/5/23 12:30 USM UNITED STATES CELLULAR LONG 523 16.26 5/24 10:55 15.27 1.39%
Trade id #144541565
Max drawdown($1,117)
Time5/18/23 0:00
Quant open523
Worst price14.12
Drawdown as % of equity-1.39%
 ($524)
Includes Typical Broker Commissions trade costs of $7.73
4/28/23 11:47 MXL MAXLINEAR INC. COMMON STOCK LONG 333 24.10 5/19 11:44 28.31 0.45%
Trade id #144465443
Max drawdown($351)
Time5/4/23 0:00
Quant open333
Worst price23.05
Drawdown as % of equity-0.45%
 $1,395
Includes Typical Broker Commissions trade costs of $6.66
5/8/23 13:44 NFLX NETFLIX LONG 48 335.12 5/19 9:30 354.82 0.03%
Trade id #144559749
Max drawdown($21)
Time5/10/23 0:00
Quant open24
Worst price329.51
Drawdown as % of equity-0.03%
 $945
Includes Typical Broker Commissions trade costs of $0.96
5/3/23 12:21 EL ESTEE LAUDER COS LONG 40 208.74 5/18 12:28 198.17 0.77%
Trade id #144514794
Max drawdown($596)
Time5/17/23 0:00
Quant open40
Worst price193.83
Drawdown as % of equity-0.77%
 ($424)
Includes Typical Broker Commissions trade costs of $0.80
5/9/23 13:07 GOOG ALPHABET INC CLASS C LONG 73 108.92 5/17 10:46 119.79 0.11%
Trade id #144569342
Max drawdown($87)
Time5/9/23 14:25
Quant open73
Worst price107.72
Drawdown as % of equity-0.11%
 $793
Includes Typical Broker Commissions trade costs of $1.46
5/15/23 13:18 NDAQ NASDAQ INC COMMON STOCK LONG 145 55.35 5/16 13:17 54.78 0.13%
Trade id #144617480
Max drawdown($101)
Time5/16/23 10:38
Quant open145
Worst price54.65
Drawdown as % of equity-0.13%
 ($86)
Includes Typical Broker Commissions trade costs of $2.90
5/11/23 11:24 MODG TOPGOLF CALLAWAY BRANDS CORP LONG 444 18.01 5/16 13:14 17.28 0.59%
Trade id #144589247
Max drawdown($459)
Time5/12/23 0:00
Quant open444
Worst price16.98
Drawdown as % of equity-0.59%
 ($333)
Includes Typical Broker Commissions trade costs of $8.88
5/8/23 13:48 TSN TYSON FOODS LONG 156 51.06 5/16 13:13 48.84 0.8%
Trade id #144559799
Max drawdown($616)
Time5/10/23 0:00
Quant open156
Worst price47.11
Drawdown as % of equity-0.80%
 ($349)
Includes Typical Broker Commissions trade costs of $3.12
5/9/23 13:14 EPAM EPAM SYSTEMS LONG 35 228.39 5/16 13:12 229.42 0.14%
Trade id #144569387
Max drawdown($109)
Time5/9/23 14:55
Quant open35
Worst price225.26
Drawdown as % of equity-0.14%
 $35
Includes Typical Broker Commissions trade costs of $0.70
5/5/23 12:45 WOLF WOLFSPEED INC LONG 200 40.23 5/16 13:10 40.83 0.31%
Trade id #144541701
Max drawdown($242)
Time5/12/23 0:00
Quant open200
Worst price39.02
Drawdown as % of equity-0.31%
 $116
Includes Typical Broker Commissions trade costs of $4.00
5/2/23 9:30 AYX ALTERYX INC LONG 222 37.78 5/16 13:06 36.59 0.89%
Trade id #144498918
Max drawdown($683)
Time5/3/23 0:00
Quant open222
Worst price34.70
Drawdown as % of equity-0.89%
 ($268)
Includes Typical Broker Commissions trade costs of $4.44
5/12/23 13:05 ZD ZIFF DAVIS INC. COMMON STOCK LONG 129 62.49 5/15 13:21 64.31 0.06%
Trade id #144600985
Max drawdown($45)
Time5/12/23 14:21
Quant open129
Worst price62.14
Drawdown as % of equity-0.06%
 $232
Includes Typical Broker Commissions trade costs of $2.58
4/17/23 13:12 UBER UBER TECHNOLOGIES INC LONG 263 31.88 5/15 10:18 37.96 0.92%
Trade id #144326813
Max drawdown($699)
Time4/27/23 0:00
Quant open263
Worst price29.22
Drawdown as % of equity-0.92%
 $1,593
Includes Typical Broker Commissions trade costs of $5.26
4/14/23 10:13 VRAY VIEWRAY INC. COMMON STOCK LONG 7,200 1.39 5/11 10:43 0.92 4.94%
Trade id #144298910
Max drawdown($3,860)
Time5/11/23 9:32
Quant open7,200
Worst price0.85
Drawdown as % of equity-4.94%
 ($3,382)
Includes Typical Broker Commissions trade costs of $12.50
4/28/23 11:25 STE STERIS PLC LONG 42 188.88 5/11 10:30 209.71 0.19%
Trade id #144464433
Max drawdown($153)
Time5/9/23 0:00
Quant open42
Worst price185.22
Drawdown as % of equity-0.19%
 $874
Includes Typical Broker Commissions trade costs of $0.84
Next

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1108.64
  • Age
    37 months ago
  • What it trades
    Stocks
  • # Trades
    626
  • # Profitable
    368
  • % Profitable
    58.80%
  • Avg trade duration
    19.0 days
  • Max peak-to-valley drawdown
    29.89%
  • drawdown period
    Sept 12, 2022 - Oct 03, 2022
  • Annual Return (Compounded)
    39.9%
  • Avg win
    $397.07
  • Avg loss
    $344.07
  • Model Account Values (Raw)
  • Cash
    $11,358
  • Margin Used
    $0
  • Buying Power
    $12,026
  • Ratios
  • W:L ratio
    1.65:1
  • Sharpe Ratio
    1.07
  • Sortino Ratio
    1.79
  • Calmar Ratio
    1.553
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    133.03%
  • Correlation to SP500
    0.51050
  • Return Percent SP500 (cumu) during strategy life
    45.24%
  • Return Statistics
  • Ann Return (w trading costs)
    39.9%
  • Slump
  • Current Slump as Pcnt Equity
    3.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.399%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    42.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    55.00%
  • Chance of 20% account loss
    30.00%
  • Chance of 30% account loss
    18.00%
  • 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
    1.00%
  • Popularity
  • Popularity (Today)
    533
  • Popularity (Last 6 weeks)
    920
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    977
  • Popularity (7 days, Percentile 1000 scale)
    881
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $344
  • Avg Win
    $397
  • Sum Trade PL (losers)
    $88,771.000
  • Age
  • Num Months filled monthly returns table
    38
  • Win / Loss
  • Sum Trade PL (winners)
    $146,123.000
  • # Winners
    368
  • Num Months Winners
    24
  • Dividends
  • Dividends Received in Model Acct
    529
  • Win / Loss
  • # Losers
    258
  • % Winners
    58.8%
  • Frequency
  • Avg Position Time (mins)
    27367.10
  • Avg Position Time (hrs)
    456.12
  • Avg Trade Length
    19.0 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.89
  • Daily leverage (max)
    2.17
  • Regression
  • Alpha
    0.07
  • Beta
    0.76
  • Treynor Index
    0.13
  • 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)
    0.06
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.942
  • 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
    0.227
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.721
  • Hold-and-Hope Ratio
    0.538
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39154
  • SD
    0.35342
  • Sharpe ratio (Glass type estimate)
    1.10788
  • Sharpe ratio (Hedges UMVUE)
    1.08394
  • df
    35.00000
  • t
    1.91891
  • p
    0.03159
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06036
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26114
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07578
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24367
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.43515
  • Upside Potential Ratio
    3.84135
  • Upside part of mean
    0.61765
  • Downside part of mean
    -0.22610
  • Upside SD
    0.32917
  • Downside SD
    0.16079
  • N nonnegative terms
    25.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.10355
  • Mean of criterion
    0.39154
  • SD of predictor
    0.15908
  • SD of criterion
    0.35342
  • Covariance
    0.03291
  • r
    0.58543
  • b (slope, estimate of beta)
    1.30059
  • a (intercept, estimate of alpha)
    0.25687
  • Mean Square Error
    0.08451
  • DF error
    34.00000
  • t(b)
    4.21057
  • p(b)
    0.00009
  • t(a)
    1.50337
  • p(a)
    0.07099
  • Lowerbound of 95% confidence interval for beta
    0.67286
  • Upperbound of 95% confidence interval for beta
    1.92833
  • Lowerbound of 95% confidence interval for alpha
    -0.09036
  • Upperbound of 95% confidence interval for alpha
    0.60409
  • Treynor index (mean / b)
    0.30105
  • Jensen alpha (a)
    0.25687
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32950
  • SD
    0.33404
  • Sharpe ratio (Glass type estimate)
    0.98639
  • Sharpe ratio (Hedges UMVUE)
    0.96507
  • df
    35.00000
  • t
    1.70847
  • p
    0.04820
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17512
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13442
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18888
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11902
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89995
  • Upside Potential Ratio
    3.28297
  • Upside part of mean
    0.56934
  • Downside part of mean
    -0.23985
  • Upside SD
    0.29573
  • Downside SD
    0.17342
  • N nonnegative terms
    25.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.09046
  • Mean of criterion
    0.32950
  • SD of predictor
    0.16103
  • SD of criterion
    0.33404
  • Covariance
    0.03274
  • r
    0.60860
  • b (slope, estimate of beta)
    1.26251
  • a (intercept, estimate of alpha)
    0.21529
  • Mean Square Error
    0.07232
  • DF error
    34.00000
  • t(b)
    4.47237
  • p(b)
    0.00004
  • t(a)
    1.36823
  • p(a)
    0.09011
  • Lowerbound of 95% confidence interval for beta
    0.68883
  • Upperbound of 95% confidence interval for beta
    1.83620
  • Lowerbound of 95% confidence interval for alpha
    -0.10448
  • Upperbound of 95% confidence interval for alpha
    0.53507
  • Treynor index (mean / b)
    0.26099
  • Jensen alpha (a)
    0.21529
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12292
  • Expected Shortfall on VaR
    0.15703
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03001
  • Expected Shortfall on VaR
    0.06897
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    36.00000
  • Minimum
    0.80658
  • Quartile 1
    0.99745
  • Median
    1.01805
  • Quartile 3
    1.05847
  • Maximum
    1.31735
  • Mean of quarter 1
    0.92767
  • Mean of quarter 2
    1.00637
  • Mean of quarter 3
    1.03740
  • Mean of quarter 4
    1.16838
  • Inter Quartile Range
    0.06103
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.86423
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.25473
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.09896
  • VaR(95%) (moments method)
    0.02292
  • Expected Shortfall (moments method)
    0.02348
  • Extreme Value Index (regression method)
    -0.51803
  • VaR(95%) (regression method)
    0.07792
  • Expected Shortfall (regression method)
    0.09751
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00504
  • Quartile 1
    0.04940
  • Median
    0.07004
  • Quartile 3
    0.09441
  • Maximum
    0.19342
  • Mean of quarter 1
    0.02319
  • Mean of quarter 2
    0.06375
  • Mean of quarter 3
    0.07108
  • Mean of quarter 4
    0.15558
  • Inter Quartile Range
    0.04501
  • 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
    0.19342
  • 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)
    0.64061
  • Compounded annual return (geometric extrapolation)
    0.42961
  • Calmar ratio (compounded annual return / max draw down)
    2.22110
  • Compounded annual return / average of 25% largest draw downs
    2.76139
  • Compounded annual return / Expected Shortfall lognormal
    2.73593
  • 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
    0.35946
  • SD
    0.26710
  • Sharpe ratio (Glass type estimate)
    1.34576
  • Sharpe ratio (Hedges UMVUE)
    1.34448
  • df
    788.00000
  • t
    2.33536
  • p
    0.00989
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21397
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47674
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47586
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29167
  • Upside Potential Ratio
    9.56704
  • Upside part of mean
    1.50062
  • Downside part of mean
    -1.14117
  • Upside SD
    0.21713
  • Downside SD
    0.15685
  • N nonnegative terms
    403.00000
  • N negative terms
    386.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    789.00000
  • Mean of predictor
    0.11379
  • Mean of criterion
    0.35946
  • SD of predictor
    0.18822
  • SD of criterion
    0.26710
  • Covariance
    0.02549
  • r
    0.50698
  • b (slope, estimate of beta)
    0.71945
  • a (intercept, estimate of alpha)
    0.27800
  • Mean Square Error
    0.05307
  • DF error
    787.00000
  • t(b)
    16.50020
  • p(b)
    -0.00000
  • t(a)
    2.08953
  • p(a)
    0.01849
  • Lowerbound of 95% confidence interval for beta
    0.63385
  • Upperbound of 95% confidence interval for beta
    0.80504
  • Lowerbound of 95% confidence interval for alpha
    0.01681
  • Upperbound of 95% confidence interval for alpha
    0.53837
  • Treynor index (mean / b)
    0.49963
  • Jensen alpha (a)
    0.27759
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32412
  • SD
    0.26413
  • Sharpe ratio (Glass type estimate)
    1.22711
  • Sharpe ratio (Hedges UMVUE)
    1.22594
  • df
    788.00000
  • t
    2.12947
  • p
    0.01676
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09569
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35780
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09489
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35699
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03027
  • Upside Potential Ratio
    9.25670
  • Upside part of mean
    1.47776
  • Downside part of mean
    -1.15364
  • Upside SD
    0.21117
  • Downside SD
    0.15964
  • N nonnegative terms
    403.00000
  • N negative terms
    386.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    789.00000
  • Mean of predictor
    0.09602
  • Mean of criterion
    0.32412
  • SD of predictor
    0.18859
  • SD of criterion
    0.26413
  • Covariance
    0.02526
  • r
    0.50704
  • b (slope, estimate of beta)
    0.71013
  • a (intercept, estimate of alpha)
    0.25593
  • Mean Square Error
    0.05189
  • DF error
    787.00000
  • t(b)
    16.50270
  • p(b)
    -0.00000
  • t(a)
    1.94862
  • p(a)
    0.02585
  • Lowerbound of 95% confidence interval for beta
    0.62566
  • Upperbound of 95% confidence interval for beta
    0.79460
  • Lowerbound of 95% confidence interval for alpha
    -0.00189
  • Upperbound of 95% confidence interval for alpha
    0.51374
  • Treynor index (mean / b)
    0.45642
  • Jensen alpha (a)
    0.25593
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02528
  • Expected Shortfall on VaR
    0.03188
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00982
  • Expected Shortfall on VaR
    0.02003
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    789.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99507
  • Median
    1.00027
  • Quartile 3
    1.00662
  • Maximum
    1.10903
  • Mean of quarter 1
    0.98463
  • Mean of quarter 2
    0.99822
  • Mean of quarter 3
    1.00318
  • Mean of quarter 4
    1.01997
  • Inter Quartile Range
    0.01156
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.04689
  • Mean of outliers low
    0.96564
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.06084
  • Mean of outliers high
    1.04325
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22575
  • VaR(95%) (moments method)
    0.01393
  • Expected Shortfall (moments method)
    0.02255
  • Extreme Value Index (regression method)
    0.04582
  • VaR(95%) (regression method)
    0.01463
  • Expected Shortfall (regression method)
    0.02117
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    57.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00368
  • Median
    0.01055
  • Quartile 3
    0.03384
  • Maximum
    0.27175
  • Mean of quarter 1
    0.00164
  • Mean of quarter 2
    0.00823
  • Mean of quarter 3
    0.02112
  • Mean of quarter 4
    0.10533
  • Inter Quartile Range
    0.03016
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.14035
  • Mean of outliers high
    0.14320
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.11249
  • VaR(95%) (moments method)
    0.09051
  • Expected Shortfall (moments method)
    0.13432
  • Extreme Value Index (regression method)
    0.21267
  • VaR(95%) (regression method)
    0.10745
  • Expected Shortfall (regression method)
    0.17487
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.62650
  • Compounded annual return (geometric extrapolation)
    0.42194
  • Calmar ratio (compounded annual return / max draw down)
    1.55269
  • Compounded annual return / average of 25% largest draw downs
    4.00602
  • Compounded annual return / Expected Shortfall lognormal
    13.23340
  • 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
    0.38007
  • SD
    0.26464
  • Sharpe ratio (Glass type estimate)
    1.43618
  • Sharpe ratio (Hedges UMVUE)
    1.42788
  • df
    130.00000
  • t
    1.01553
  • p
    0.45564
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34378
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21082
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34935
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.20511
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23563
  • Upside Potential Ratio
    10.29470
  • Upside part of mean
    1.75017
  • Downside part of mean
    -1.37010
  • Upside SD
    0.20285
  • Downside SD
    0.17001
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08292
  • Mean of criterion
    0.38007
  • SD of predictor
    0.15755
  • SD of criterion
    0.26464
  • Covariance
    0.02210
  • r
    0.52998
  • b (slope, estimate of beta)
    0.89024
  • a (intercept, estimate of alpha)
    0.30625
  • Mean Square Error
    0.05075
  • DF error
    129.00000
  • t(b)
    7.09833
  • p(b)
    0.17914
  • t(a)
    0.96072
  • p(a)
    0.44641
  • Lowerbound of 95% confidence interval for beta
    0.64210
  • Upperbound of 95% confidence interval for beta
    1.13838
  • Lowerbound of 95% confidence interval for alpha
    -0.32445
  • Upperbound of 95% confidence interval for alpha
    0.93694
  • Treynor index (mean / b)
    0.42693
  • Jensen alpha (a)
    0.30625
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34515
  • SD
    0.26406
  • Sharpe ratio (Glass type estimate)
    1.30707
  • Sharpe ratio (Hedges UMVUE)
    1.29952
  • df
    130.00000
  • t
    0.92424
  • p
    0.45960
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47170
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47679
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07582
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.99354
  • Upside Potential Ratio
    9.99178
  • Upside part of mean
    1.72990
  • Downside part of mean
    -1.38476
  • Upside SD
    0.19919
  • Downside SD
    0.17313
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07059
  • Mean of criterion
    0.34515
  • SD of predictor
    0.15750
  • SD of criterion
    0.26406
  • Covariance
    0.02204
  • r
    0.52998
  • b (slope, estimate of beta)
    0.88858
  • a (intercept, estimate of alpha)
    0.28242
  • Mean Square Error
    0.05053
  • DF error
    129.00000
  • t(b)
    7.09832
  • p(b)
    0.17914
  • t(a)
    0.88803
  • p(a)
    0.45043
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.64090
  • Upperbound of 95% confidence interval for beta
    1.13625
  • Lowerbound of 95% confidence interval for alpha
    -0.34681
  • Upperbound of 95% confidence interval for alpha
    0.91165
  • Treynor index (mean / b)
    0.38843
  • Jensen alpha (a)
    0.28242
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02519
  • Expected Shortfall on VaR
    0.03180
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01178
  • Expected Shortfall on VaR
    0.02295
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93458
  • Quartile 1
    0.99105
  • Median
    1.00097
  • Quartile 3
    1.00987
  • Maximum
    1.07165
  • Mean of quarter 1
    0.98275
  • Mean of quarter 2
    0.99675
  • Mean of quarter 3
    1.00588
  • Mean of quarter 4
    1.02098
  • Inter Quartile Range
    0.01882
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.94407
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.05910
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23019
  • VaR(95%) (moments method)
    0.01854
  • Expected Shortfall (moments method)
    0.02771
  • Extreme Value Index (regression method)
    0.24892
  • VaR(95%) (regression method)
    0.01579
  • Expected Shortfall (regression method)
    0.02243
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00229
  • Quartile 1
    0.00847
  • Median
    0.00932
  • Quartile 3
    0.06211
  • Maximum
    0.17093
  • Mean of quarter 1
    0.00503
  • Mean of quarter 2
    0.00924
  • Mean of quarter 3
    0.01273
  • Mean of quarter 4
    0.14120
  • Inter Quartile Range
    0.05364
  • 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
    0.17093
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -347399000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41011
  • Compounded annual return (geometric extrapolation)
    0.45216
  • Calmar ratio (compounded annual return / max draw down)
    2.64533
  • Compounded annual return / average of 25% largest draw downs
    3.20218
  • Compounded annual return / Expected Shortfall lognormal
    14.21970

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 2.3%
Rank # 
#19
# Trades
626
# Profitable
368
% Profitable
58.8%
Net Dividends
$528
Correlation S&P500
0.510
Sharpe Ratio
1.07
Sortino Ratio
1.79
Beta
0.76
Alpha
0.07
Leverage
0.89 Average
2.17 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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