Collective2 Collective2
Featured Strategy Monthly Income System +12.1% Annual Return (Compounded) since Jan 6, 2022 Hypothetical

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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 $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

22.6%
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.

(32.2%)
Max Drawdown
1522
Num Trades
49.0%
Win Trades
1.2 : 1
Profit Factor
58.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            (0.1%)(0.1%)+5.4%+1.8%(5.1%)(1.4%)+9.0%+4.3%+13.9%
2021  -  +4.4%+2.8%+2.8%+2.1%+1.9%+0.4%+3.6%(4.8%)+4.9%(13.5%)+13.1%+16.5%
2022(3.1%)(1.3%)+14.9%(4.1%)+24.1%+1.9%+13.5%+1.4%(23.5%)+16.1%+28.2%(6.4%)+63.7%
2023+26.5%(2.4%)+1.6%(3.4%)+5.3%+3.8%+18.9%(6.6%)(10.4%)(14.7%)+19.2%+6.8%+43.4%
2024(0.1%)+0.8%+1.9%(1.9%)+5.4%(0.2%)+4.7%+2.3%+1.6%(6.8%)(4%)(8.8%)(6.1%)
2025+14.9%(9%)(12.8%)+1.5%                                                (7.5%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 1,065 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 149 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/19/25 14:20 LLY ELI LILLY LONG 8 833.36 3/31 10:38 804.50 0.44%
Trade id #151137533
Max drawdown($351)
Time3/31/25 9:46
Quant open8
Worst price789.40
Drawdown as % of equity-0.44%
 ($231)
Includes Typical Broker Commissions trade costs of $0.16
3/17/25 13:11 NXT NEXTRACKER INC. CLASS A LONG 150 45.21 3/28 14:02 42.71 0.63%
Trade id #151117461
Max drawdown($511)
Time3/28/25 10:00
Quant open150
Worst price41.80
Drawdown as % of equity-0.63%
 ($378)
Includes Typical Broker Commissions trade costs of $3.00
2/18/25 9:47 SPSC SPS COMMERCE LONG 45 143.06 3/28 14:02 132.55 1.18%
Trade id #150892618
Max drawdown($921)
Time3/13/25 0:00
Quant open45
Worst price122.58
Drawdown as % of equity-1.18%
 ($474)
Includes Typical Broker Commissions trade costs of $0.90
3/25/25 12:59 MSFT MICROSOFT LONG 13 394.35 3/28 14:01 378.53 0.28%
Trade id #151184059
Max drawdown($220)
Time3/28/25 13:33
Quant open13
Worst price377.40
Drawdown as % of equity-0.28%
 ($206)
Includes Typical Broker Commissions trade costs of $0.26
3/25/25 12:57 AMZN AMAZON.COM LONG 25 205.15 3/28 14:01 191.99 0.41%
Trade id #151184049
Max drawdown($331)
Time3/28/25 13:33
Quant open25
Worst price191.91
Drawdown as % of equity-0.41%
 ($330)
Includes Typical Broker Commissions trade costs of $0.50
2/10/25 13:24 ILMN ILLUMINA LONG 70 99.54 3/27 15:45 82.36 1.52%
Trade id #150828953
Max drawdown($1,297)
Time3/4/25 0:00
Quant open60
Worst price80.18
Drawdown as % of equity-1.52%
 ($1,204)
Includes Typical Broker Commissions trade costs of $1.40
2/24/25 9:30 BILL BILL HOLDINGS INC LONG 125 51.41 3/27 15:45 48.73 1.38%
Trade id #150937112
Max drawdown($1,074)
Time3/13/25 0:00
Quant open125
Worst price42.82
Drawdown as % of equity-1.38%
 ($339)
Includes Typical Broker Commissions trade costs of $2.50
2/24/25 10:31 DNB DUN AND BRADSTREET HOLDINGS INC LONG 700 9.03 3/27 15:44 8.93 1.12%
Trade id #150938561
Max drawdown($875)
Time3/13/25 0:00
Quant open700
Worst price7.78
Drawdown as % of equity-1.12%
 ($77)
Includes Typical Broker Commissions trade costs of $6.50
3/10/25 12:50 EVR EVERCORE INC LONG 27 190.10 3/27 15:44 205.73 0.17%
Trade id #151058019
Max drawdown($136)
Time3/10/25 15:11
Quant open27
Worst price185.06
Drawdown as % of equity-0.17%
 $421
Includes Typical Broker Commissions trade costs of $0.54
3/12/25 15:44 AAL AMERICAN AIRLINES GROUP INC. C LONG 450 10.98 3/27 15:43 11.15 0.29%
Trade id #151083513
Max drawdown($229)
Time3/13/25 0:00
Quant open450
Worst price10.47
Drawdown as % of equity-0.29%
 $68
Includes Typical Broker Commissions trade costs of $9.00
2/18/25 9:51 TTD THE TRADE DESK INC. CLASS A LONG 140 68.81 3/27 15:43 57.56 2.54%
Trade id #150892705
Max drawdown($2,071)
Time3/18/25 0:00
Quant open120
Worst price53.39
Drawdown as % of equity-2.54%
 ($1,578)
Includes Typical Broker Commissions trade costs of $2.80
3/14/25 9:30 DAL DELTA AIR LINES LONG 111 44.54 3/27 15:42 46.23 0.05%
Trade id #151099793
Max drawdown($40)
Time3/14/25 10:22
Quant open111
Worst price44.18
Drawdown as % of equity-0.05%
 $186
Includes Typical Broker Commissions trade costs of $2.22
2/25/25 10:32 XYZ BLOCK INC LONG 100 61.83 3/27 15:41 57.55 1.02%
Trade id #150948355
Max drawdown($795)
Time3/13/25 0:00
Quant open100
Worst price53.88
Drawdown as % of equity-1.02%
 ($430)
Includes Typical Broker Commissions trade costs of $2.00
3/25/25 12:58 META META PLATFORMS INC. CLASS A LONG 8 627.47 3/27 15:40 605.00 0.26%
Trade id #151184051
Max drawdown($218)
Time3/27/25 9:41
Quant open8
Worst price600.10
Drawdown as % of equity-0.26%
 ($180)
Includes Typical Broker Commissions trade costs of $0.16
3/25/25 12:56 GOOG ALPHABET INC CLASS C LONG 29 172.05 3/27 15:39 164.73 0.27%
Trade id #151184038
Max drawdown($223)
Time3/27/25 15:00
Quant open29
Worst price164.33
Drawdown as % of equity-0.27%
 ($213)
Includes Typical Broker Commissions trade costs of $0.58
3/7/25 12:26 PINS PINTEREST INC LONG 250 33.13 3/27 15:38 32.41 0.73%
Trade id #151041676
Max drawdown($597)
Time3/18/25 0:00
Quant open250
Worst price30.74
Drawdown as % of equity-0.73%
 ($185)
Includes Typical Broker Commissions trade costs of $5.00
3/13/25 15:44 DECK DECKERS OUTDOOR CORP LONG 50 117.39 3/26 13:15 119.03 0.22%
Trade id #151094505
Max drawdown($176)
Time3/21/25 0:00
Quant open43
Worst price112.10
Drawdown as % of equity-0.22%
 $81
Includes Typical Broker Commissions trade costs of $1.00
3/24/25 10:59 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 20 359.25 3/26 13:13 349.50 0.3%
Trade id #151172588
Max drawdown($258)
Time3/26/25 12:19
Quant open20
Worst price346.31
Drawdown as % of equity-0.30%
 ($195)
Includes Typical Broker Commissions trade costs of $0.40
3/14/25 12:22 SNDR SCHNEIDER NATIONAL INC LONG 212 23.57 3/25 12:39 23.18 0.27%
Trade id #151103554
Max drawdown($216)
Time3/21/25 0:00
Quant open212
Worst price22.55
Drawdown as % of equity-0.27%
 ($87)
Includes Typical Broker Commissions trade costs of $4.24
3/10/25 12:46 HPE HEWLETT PACKARD ENTERPRISE CO LONG 333 15.07 3/25 12:35 16.45 0.18%
Trade id #151057995
Max drawdown($143)
Time3/13/25 0:00
Quant open333
Worst price14.64
Drawdown as % of equity-0.18%
 $453
Includes Typical Broker Commissions trade costs of $6.66
2/20/25 11:09 FRPT FRESHPET INC. COMMON STOCK LONG 80 104.02 3/25 10:55 85.60 2.44%
Trade id #150913017
Max drawdown($1,900)
Time3/11/25 0:00
Quant open80
Worst price80.27
Drawdown as % of equity-2.44%
 ($1,476)
Includes Typical Broker Commissions trade costs of $1.60
2/28/25 12:41 VERX VERTEX INC. CLASS A COMMON STOCK LONG 170 32.37 3/25 10:53 35.27 0.4%
Trade id #150982524
Max drawdown($334)
Time3/10/25 0:00
Quant open154
Worst price30.26
Drawdown as % of equity-0.40%
 $491
Includes Typical Broker Commissions trade costs of $3.40
3/7/25 12:33 DAY DAYFORCE INC LONG 92 54.58 3/25 10:53 60.50 0.36%
Trade id #151041717
Max drawdown($282)
Time3/13/25 0:00
Quant open92
Worst price51.51
Drawdown as % of equity-0.36%
 $543
Includes Typical Broker Commissions trade costs of $1.84
3/19/25 12:32 ASTS AST SPACEMOBILE INC LONG 276 25.38 3/25 10:52 28.86 0.46%
Trade id #151136476
Max drawdown($372)
Time3/21/25 0:00
Quant open276
Worst price24.03
Drawdown as % of equity-0.46%
 $954
Includes Typical Broker Commissions trade costs of $5.52
3/21/25 13:50 TEM TEMPUS AI INC. CLASS A LONG 125 50.45 3/25 10:49 59.23 0.1%
Trade id #151158084
Max drawdown($77)
Time3/21/25 15:07
Quant open125
Worst price49.83
Drawdown as % of equity-0.10%
 $1,096
Includes Typical Broker Commissions trade costs of $2.50
3/7/25 12:36 ANF ABERCROMBIE & FITCH LONG 75 83.01 3/21 13:51 80.20 0.84%
Trade id #151041744
Max drawdown($652)
Time3/13/25 0:00
Quant open75
Worst price74.31
Drawdown as % of equity-0.84%
 ($213)
Includes Typical Broker Commissions trade costs of $1.50
2/14/25 10:31 INFA INFORMATICA INC LONG 282 17.69 3/20 14:17 18.03 0.14%
Trade id #150870460
Max drawdown($135)
Time2/14/25 11:00
Quant open282
Worst price17.21
Drawdown as % of equity-0.14%
 $90
Includes Typical Broker Commissions trade costs of $5.64
3/7/25 12:23 CCCS CCC INTELLIGENT SOLUTIONS HOLDINGS INC. LONG 555 9.02 3/19 12:31 9.04 0.14%
Trade id #151041651
Max drawdown($108)
Time3/11/25 0:00
Quant open555
Worst price8.82
Drawdown as % of equity-0.14%
 $6
Includes Typical Broker Commissions trade costs of $5.00
3/13/25 15:25 WH WYNDHAM HOTELS & RESORTS INC LONG 57 87.58 3/18 14:08 89.86 0%
Trade id #151094301
Max drawdown($3)
Time3/13/25 15:29
Quant open57
Worst price87.52
Drawdown as % of equity-0.00%
 $129
Includes Typical Broker Commissions trade costs of $1.14
3/13/25 15:42 GMED GLOBUS MEDICAL LONG 57 69.94 3/17 13:07 72.08 0.03%
Trade id #151094482
Max drawdown($21)
Time3/14/25 0:00
Quant open57
Worst price69.57
Drawdown as % of equity-0.03%
 $121
Includes Typical Broker Commissions trade costs of $1.14
Next

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1777.47
  • Age
    59 months ago
  • What it trades
    Stocks
  • # Trades
    1522
  • # Profitable
    746
  • % Profitable
    49.00%
  • Avg trade duration
    14.0 days
  • Max peak-to-valley drawdown
    32.2%
  • drawdown period
    July 17, 2024 - March 13, 2025
  • Annual Return (Compounded)
    22.6%
  • Avg win
    $432.35
  • Avg loss
    $341.17
  • Model Account Values (Raw)
  • Cash
    $21,394
  • Margin Used
    $0
  • Buying Power
    $17,132
  • Ratios
  • W:L ratio
    1.23:1
  • Sharpe Ratio
    0.7
  • Sortino Ratio
    1.11
  • Calmar Ratio
    0.921
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    78.25%
  • Correlation to SP500
    0.50060
  • Return Percent SP500 (cumu) during strategy life
    92.33%
  • Return Statistics
  • Ann Return (w trading costs)
    22.6%
  • Slump
  • Current Slump as Pcnt Equity
    35.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.15%
  • 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)
    0.226%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    25.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    61.50%
  • Chance of 20% account loss
    32.00%
  • Chance of 30% account loss
    17.50%
  • Chance of 40% account loss
    6.50%
  • Chance of 60% account loss (Monte Carlo)
    1.00%
  • 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
    3.50%
  • Popularity
  • Popularity (Today)
    352
  • Popularity (Last 6 weeks)
    849
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    949
  • Popularity (7 days, Percentile 1000 scale)
    647
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $341
  • Avg Win
    $432
  • Sum Trade PL (losers)
    $264,748.000
  • Age
  • Num Months filled monthly returns table
    60
  • Win / Loss
  • Sum Trade PL (winners)
    $322,534.000
  • # Winners
    746
  • Num Months Winners
    35
  • Dividends
  • Dividends Received in Model Acct
    2192
  • AUM
  • AUM (AutoTrader live capital)
    85902
  • Win / Loss
  • # Losers
    776
  • % Winners
    49.0%
  • Frequency
  • Avg Position Time (mins)
    20129.40
  • Avg Position Time (hrs)
    335.49
  • Avg Trade Length
    14.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.01
  • Daily leverage (max)
    2.22
  • Regression
  • Alpha
    0.03
  • Beta
    0.77
  • Treynor Index
    0.08
  • 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)
    -0.43
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    9.104
  • 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
    0.298
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.162
  • Hold-and-Hope Ratio
    0.117
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26234
  • SD
    0.33902
  • Sharpe ratio (Glass type estimate)
    0.77382
  • Sharpe ratio (Hedges UMVUE)
    0.76341
  • df
    56.00000
  • t
    1.68649
  • p
    0.04863
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14013
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14693
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67374
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.50658
  • Upside Potential Ratio
    3.07103
  • Upside part of mean
    0.53475
  • Downside part of mean
    -0.27242
  • Upside SD
    0.29721
  • Downside SD
    0.17413
  • N nonnegative terms
    36.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    57.00000
  • Mean of predictor
    0.12534
  • Mean of criterion
    0.26234
  • SD of predictor
    0.14944
  • SD of criterion
    0.33902
  • Covariance
    0.03119
  • r
    0.61556
  • b (slope, estimate of beta)
    1.39647
  • a (intercept, estimate of alpha)
    0.08731
  • Mean Square Error
    0.07268
  • DF error
    55.00000
  • t(b)
    5.79268
  • p(b)
    0.00000
  • t(a)
    0.68565
  • p(a)
    0.24791
  • Lowerbound of 95% confidence interval for beta
    0.91334
  • Upperbound of 95% confidence interval for beta
    1.87959
  • Lowerbound of 95% confidence interval for alpha
    -0.16788
  • Upperbound of 95% confidence interval for alpha
    0.34249
  • Treynor index (mean / b)
    0.18786
  • Jensen alpha (a)
    0.08731
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20663
  • SD
    0.32444
  • Sharpe ratio (Glass type estimate)
    0.63687
  • Sharpe ratio (Hedges UMVUE)
    0.62830
  • df
    56.00000
  • t
    1.38802
  • p
    0.08532
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27288
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54105
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27849
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53509
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10553
  • Upside Potential Ratio
    2.64867
  • Upside part of mean
    0.49504
  • Downside part of mean
    -0.28841
  • Upside SD
    0.26841
  • Downside SD
    0.18690
  • N nonnegative terms
    36.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    57.00000
  • Mean of predictor
    0.11344
  • Mean of criterion
    0.20663
  • SD of predictor
    0.15029
  • SD of criterion
    0.32444
  • Covariance
    0.03093
  • r
    0.63441
  • b (slope, estimate of beta)
    1.36953
  • a (intercept, estimate of alpha)
    0.05126
  • Mean Square Error
    0.06404
  • DF error
    55.00000
  • t(b)
    6.08664
  • p(b)
    0.00000
  • t(a)
    0.43120
  • p(a)
    0.33400
  • Lowerbound of 95% confidence interval for beta
    0.91861
  • Upperbound of 95% confidence interval for beta
    1.82046
  • Lowerbound of 95% confidence interval for alpha
    -0.18699
  • Upperbound of 95% confidence interval for alpha
    0.28951
  • Treynor index (mean / b)
    0.15087
  • Jensen alpha (a)
    0.05126
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12789
  • Expected Shortfall on VaR
    0.16086
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04224
  • Expected Shortfall on VaR
    0.08995
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    57.00000
  • Minimum
    0.80658
  • Quartile 1
    0.98636
  • Median
    1.01046
  • Quartile 3
    1.05190
  • Maximum
    1.31735
  • Mean of quarter 1
    0.91807
  • Mean of quarter 2
    1.00310
  • Mean of quarter 3
    1.03170
  • Mean of quarter 4
    1.15147
  • Inter Quartile Range
    0.06554
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.07018
  • Mean of outliers low
    0.85109
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    1.23721
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.66078
  • VaR(95%) (moments method)
    0.04779
  • Expected Shortfall (moments method)
    0.04942
  • Extreme Value Index (regression method)
    -0.24540
  • VaR(95%) (regression method)
    0.08217
  • Expected Shortfall (regression method)
    0.10936
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00504
  • Quartile 1
    0.05745
  • Median
    0.07108
  • Quartile 3
    0.19342
  • Maximum
    0.27441
  • Mean of quarter 1
    0.03461
  • Mean of quarter 2
    0.07056
  • Mean of quarter 3
    0.15558
  • Mean of quarter 4
    0.23526
  • Inter Quartile Range
    0.13597
  • 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)
    0.09662
  • VaR(95%) (moments method)
    0.24983
  • Expected Shortfall (moments method)
    0.29478
  • Extreme Value Index (regression method)
    3.87111
  • VaR(95%) (regression method)
    0.48916
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43086
  • Compounded annual return (geometric extrapolation)
    0.26432
  • Calmar ratio (compounded annual return / max draw down)
    0.96321
  • Compounded annual return / average of 25% largest draw downs
    1.12353
  • Compounded annual return / Expected Shortfall lognormal
    1.64317
  • 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
    0.22977
  • SD
    0.24891
  • Sharpe ratio (Glass type estimate)
    0.92310
  • Sharpe ratio (Hedges UMVUE)
    0.92255
  • df
    1262.00000
  • t
    2.02675
  • p
    0.47152
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02952
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81633
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02914
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81596
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49165
  • Upside Potential Ratio
    9.12657
  • Upside part of mean
    1.40585
  • Downside part of mean
    -1.17608
  • Upside SD
    0.19592
  • Downside SD
    0.15404
  • N nonnegative terms
    640.00000
  • N negative terms
    623.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1263.00000
  • Mean of predictor
    0.12199
  • Mean of criterion
    0.22977
  • SD of predictor
    0.16828
  • SD of criterion
    0.24891
  • Covariance
    0.02090
  • r
    0.49898
  • b (slope, estimate of beta)
    0.73808
  • a (intercept, estimate of alpha)
    0.14000
  • Mean Square Error
    0.04657
  • DF error
    1261.00000
  • t(b)
    20.44610
  • p(b)
    0.19607
  • t(a)
    1.42027
  • p(a)
    0.47457
  • Lowerbound of 95% confidence interval for beta
    0.66726
  • Upperbound of 95% confidence interval for beta
    0.80891
  • Lowerbound of 95% confidence interval for alpha
    -0.05328
  • Upperbound of 95% confidence interval for alpha
    0.33275
  • Treynor index (mean / b)
    0.31131
  • Jensen alpha (a)
    0.13973
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19906
  • SD
    0.24687
  • Sharpe ratio (Glass type estimate)
    0.80631
  • Sharpe ratio (Hedges UMVUE)
    0.80583
  • df
    1262.00000
  • t
    1.77033
  • p
    0.47511
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08707
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69940
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08740
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69907
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27181
  • Upside Potential Ratio
    8.86260
  • Upside part of mean
    1.38713
  • Downside part of mean
    -1.18807
  • Upside SD
    0.19119
  • Downside SD
    0.15651
  • N nonnegative terms
    640.00000
  • N negative terms
    623.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1263.00000
  • Mean of predictor
    0.10777
  • Mean of criterion
    0.19906
  • SD of predictor
    0.16858
  • SD of criterion
    0.24687
  • Covariance
    0.02077
  • r
    0.49895
  • b (slope, estimate of beta)
    0.73070
  • a (intercept, estimate of alpha)
    0.12031
  • Mean Square Error
    0.04581
  • DF error
    1261.00000
  • t(b)
    20.44490
  • p(b)
    0.19608
  • t(a)
    1.23318
  • p(a)
    0.47791
  • Lowerbound of 95% confidence interval for beta
    0.66058
  • Upperbound of 95% confidence interval for beta
    0.80082
  • Lowerbound of 95% confidence interval for alpha
    -0.07109
  • Upperbound of 95% confidence interval for alpha
    0.31171
  • Treynor index (mean / b)
    0.27242
  • Jensen alpha (a)
    0.12031
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02403
  • Expected Shortfall on VaR
    0.03022
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01022
  • Expected Shortfall on VaR
    0.02038
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1263.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99454
  • Median
    1.00020
  • Quartile 3
    1.00665
  • Maximum
    1.10903
  • Mean of quarter 1
    0.98439
  • Mean of quarter 2
    0.99788
  • Mean of quarter 3
    1.00306
  • Mean of quarter 4
    1.01861
  • Inter Quartile Range
    0.01211
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.04276
  • Mean of outliers low
    0.96659
  • Number of outliers high
    65.00000
  • Percentage of outliers high
    0.05146
  • Mean of outliers high
    1.04095
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14425
  • VaR(95%) (moments method)
    0.01420
  • Expected Shortfall (moments method)
    0.02131
  • Extreme Value Index (regression method)
    -0.02051
  • VaR(95%) (regression method)
    0.01484
  • Expected Shortfall (regression method)
    0.02046
  • 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
    0.27676
  • Mean of quarter 1
    0.00173
  • Mean of quarter 2
    0.00753
  • Mean of quarter 3
    0.02092
  • Mean of quarter 4
    0.12177
  • Inter Quartile Range
    0.03330
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.16968
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.08738
  • VaR(95%) (moments method)
    0.09979
  • Expected Shortfall (moments method)
    0.13380
  • Extreme Value Index (regression method)
    -0.77274
  • VaR(95%) (regression method)
    0.12232
  • Expected Shortfall (regression method)
    0.13714
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41209
  • Compounded annual return (geometric extrapolation)
    0.25479
  • Calmar ratio (compounded annual return / max draw down)
    0.92059
  • Compounded annual return / average of 25% largest draw downs
    2.09231
  • Compounded annual return / Expected Shortfall lognormal
    8.43143
  • 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
    -0.49633
  • SD
    0.24849
  • Sharpe ratio (Glass type estimate)
    -1.99738
  • Sharpe ratio (Hedges UMVUE)
    -1.98584
  • df
    130.00000
  • t
    -1.41236
  • p
    0.56147
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.77605
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.78879
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.76813
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79646
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.57321
  • Upside Potential Ratio
    6.35221
  • Upside part of mean
    1.22524
  • Downside part of mean
    -1.72158
  • Upside SD
    0.15815
  • Downside SD
    0.19289
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04107
  • Mean of criterion
    -0.49633
  • SD of predictor
    0.14453
  • SD of criterion
    0.24849
  • Covariance
    0.02000
  • r
    0.55690
  • b (slope, estimate of beta)
    0.95751
  • a (intercept, estimate of alpha)
    -0.45700
  • Mean Square Error
    0.04293
  • DF error
    129.00000
  • t(b)
    7.61547
  • p(b)
    0.16475
  • t(a)
    -1.55945
  • p(a)
    0.58633
  • Lowerbound of 95% confidence interval for beta
    0.70874
  • Upperbound of 95% confidence interval for beta
    1.20627
  • Lowerbound of 95% confidence interval for alpha
    -1.03682
  • Upperbound of 95% confidence interval for alpha
    0.12281
  • Treynor index (mean / b)
    -0.51836
  • Jensen alpha (a)
    -0.45700
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.52753
  • SD
    0.24912
  • Sharpe ratio (Glass type estimate)
    -2.11756
  • Sharpe ratio (Hedges UMVUE)
    -2.10532
  • df
    130.00000
  • t
    -1.49734
  • p
    0.56510
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.89729
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.67017
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.88891
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67827
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.69313
  • Upside Potential Ratio
    6.19187
  • Upside part of mean
    1.21285
  • Downside part of mean
    -1.74038
  • Upside SD
    0.15582
  • Downside SD
    0.19588
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05147
  • Mean of criterion
    -0.52753
  • SD of predictor
    0.14485
  • SD of criterion
    0.24912
  • Covariance
    0.02010
  • r
    0.55693
  • b (slope, estimate of beta)
    0.95785
  • a (intercept, estimate of alpha)
    -0.47823
  • Mean Square Error
    0.04314
  • DF error
    129.00000
  • t(b)
    7.61595
  • p(b)
    0.16474
  • t(a)
    -1.62764
  • p(a)
    0.59001
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.70901
  • Upperbound of 95% confidence interval for beta
    1.20668
  • Lowerbound of 95% confidence interval for alpha
    -1.05955
  • Upperbound of 95% confidence interval for alpha
    0.10310
  • Treynor index (mean / b)
    -0.55074
  • Jensen alpha (a)
    -0.47823
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02696
  • Expected Shortfall on VaR
    0.03318
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01603
  • Expected Shortfall on VaR
    0.02889
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93941
  • Quartile 1
    0.98983
  • Median
    0.99881
  • Quartile 3
    1.00637
  • Maximum
    1.05641
  • Mean of quarter 1
    0.97912
  • Mean of quarter 2
    0.99511
  • Mean of quarter 3
    1.00228
  • Mean of quarter 4
    1.01645
  • Inter Quartile Range
    0.01654
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.93941
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.04470
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.26776
  • VaR(95%) (moments method)
    0.02133
  • Expected Shortfall (moments method)
    0.02560
  • Extreme Value Index (regression method)
    -0.24074
  • VaR(95%) (regression method)
    0.01938
  • Expected Shortfall (regression method)
    0.02297
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.27011
  • Quartile 1
    0.27011
  • Median
    0.27011
  • Quartile 3
    0.27011
  • Maximum
    0.27011
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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?
    -436375000
  • Max Equity Drawdown (num days)
    239
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.44210
  • Compounded annual return (geometric extrapolation)
    -0.39324
  • Calmar ratio (compounded annual return / max draw down)
    -1.45585
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -11.85140

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.

Summary Statistics

Strategy began
2020-05-21
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 5.1%
Rank # 
#36
# Trades
1522
# Profitable
746
% Profitable
49.0%
Net Dividends
$2,191
Correlation S&P500
0.501
Sharpe Ratio
0.70
Sortino Ratio
1.11
Beta
0.77
Alpha
0.03
Leverage
1.01 Average
2.22 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.

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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.