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Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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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 $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.

29.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(29.5%)
Max Drawdown
1272
Num Trades
51.1%
Win Trades
1.3 : 1
Profit Factor
60.0%
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%)(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%)(5%)      +2.0%

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 20 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
11/18/24 13:49 AVTR AVANTOR INC LONG 250 20.31 11/22 13:09 20.74 0.2%
Trade id #150115201
Max drawdown($180)
Time11/20/24 0:00
Quant open250
Worst price19.59
Drawdown as % of equity-0.20%
 $103
Includes Typical Broker Commissions trade costs of $5.00
10/31/24 12:43 EL ESTEE LAUDER COS LONG 90 68.36 11/22 11:29 68.98 0.56%
Trade id #149922133
Max drawdown($546)
Time11/12/24 0:00
Quant open90
Worst price62.29
Drawdown as % of equity-0.56%
 $54
Includes Typical Broker Commissions trade costs of $1.80
11/11/24 12:21 NFG NATIONAL FUEL GAS CO LONG 82 60.76 11/22 11:08 63.81 0.05%
Trade id #150057460
Max drawdown($44)
Time11/14/24 0:00
Quant open82
Worst price60.22
Drawdown as % of equity-0.05%
 $248
Includes Typical Broker Commissions trade costs of $1.64
11/14/24 12:16 BFAM BRIGHT HORIZONS FAMILY SOLUTIO LONG 60 107.65 11/21 14:25 110.85 0.24%
Trade id #150088187
Max drawdown($227)
Time11/15/24 0:00
Quant open45
Worst price103.75
Drawdown as % of equity-0.24%
 $191
Includes Typical Broker Commissions trade costs of $1.20
10/24/24 10:49 ICLR ICON LONG 50 214.73 11/21 9:34 204.70 1.71%
Trade id #149818317
Max drawdown($1,567)
Time11/18/24 0:00
Quant open50
Worst price183.38
Drawdown as % of equity-1.71%
 ($502)
Includes Typical Broker Commissions trade costs of $1.00
11/7/24 11:22 CLVT CLARIVATE PLC LONG 1,200 4.64 11/19 12:54 4.87 0.52%
Trade id #150029223
Max drawdown($472)
Time11/18/24 0:00
Quant open1,200
Worst price4.25
Drawdown as % of equity-0.52%
 $265
Includes Typical Broker Commissions trade costs of $7.00
11/7/24 11:13 PATH UIPATH INC LONG 375 13.33 11/18 13:44 12.32 0.45%
Trade id #150029131
Max drawdown($423)
Time11/15/24 0:00
Quant open375
Worst price12.20
Drawdown as % of equity-0.45%
 ($387)
Includes Typical Broker Commissions trade costs of $7.50
11/6/24 12:29 GNTX GENTEX LONG 178 30.76 11/18 13:44 29.81 0.21%
Trade id #150012222
Max drawdown($204)
Time11/12/24 0:00
Quant open178
Worst price29.61
Drawdown as % of equity-0.21%
 ($173)
Includes Typical Broker Commissions trade costs of $3.56
11/12/24 13:59 MSFT MICROSOFT LONG 23 422.86 11/15 13:07 414.94 0.23%
Trade id #150068197
Max drawdown($212)
Time11/15/24 12:54
Quant open23
Worst price413.64
Drawdown as % of equity-0.23%
 ($182)
Includes Typical Broker Commissions trade costs of $0.46
11/6/24 12:23 MU MICRON TECHNOLOGY LONG 100 106.19 11/14 15:53 99.05 0.81%
Trade id #150012118
Max drawdown($762)
Time11/14/24 15:07
Quant open100
Worst price98.56
Drawdown as % of equity-0.81%
 ($716)
Includes Typical Broker Commissions trade costs of $2.00
11/6/24 12:30 CTRA COTERRA ENERGY INC LONG 225 24.53 11/14 11:53 25.40 0.08%
Trade id #150012246
Max drawdown($79)
Time11/7/24 0:00
Quant open225
Worst price24.18
Drawdown as % of equity-0.08%
 $192
Includes Typical Broker Commissions trade costs of $4.50
11/11/24 12:30 ARCT ARCTURUS THERAPEUTICS LTD LONG 240 20.84 11/12 12:02 19.03 0.47%
Trade id #150057559
Max drawdown($458)
Time11/12/24 9:58
Quant open240
Worst price18.93
Drawdown as % of equity-0.47%
 ($439)
Includes Typical Broker Commissions trade costs of $4.80
11/8/24 13:36 BABA ALIBABA GROUP HOLDING LIMITED LONG 53 94.00 11/12 12:02 91.49 0.14%
Trade id #150042719
Max drawdown($141)
Time11/12/24 11:47
Quant open53
Worst price91.33
Drawdown as % of equity-0.14%
 ($134)
Includes Typical Broker Commissions trade costs of $1.06
11/8/24 13:30 EVH EVOLENT HEALTH INC LONG 358 13.93 11/11 11:43 14.92 0.23%
Trade id #150042666
Max drawdown($221)
Time11/8/24 15:57
Quant open358
Worst price13.31
Drawdown as % of equity-0.23%
 $347
Includes Typical Broker Commissions trade costs of $7.16
10/30/24 12:51 TMDX TRANSMEDICS GROUP INC. COMMON STOCK LONG 80 83.46 11/11 11:39 91.63 0.2%
Trade id #149903367
Max drawdown($204)
Time10/31/24 0:00
Quant open60
Worst price79.90
Drawdown as % of equity-0.20%
 $652
Includes Typical Broker Commissions trade costs of $1.60
11/6/24 12:21 QCOM QUALCOMM LONG 33 171.88 11/11 11:36 167.00 0.18%
Trade id #150012098
Max drawdown($170)
Time11/11/24 10:00
Quant open33
Worst price166.71
Drawdown as % of equity-0.18%
 ($162)
Includes Typical Broker Commissions trade costs of $0.66
11/7/24 11:14 ALGM ALLEGRO MICROSYSTEMS INC. COMMON STOCK LONG 227 22.45 11/11 11:35 20.75 0.4%
Trade id #150029146
Max drawdown($394)
Time11/11/24 11:26
Quant open227
Worst price20.71
Drawdown as % of equity-0.40%
 ($391)
Includes Typical Broker Commissions trade costs of $4.54
11/8/24 14:30 META META PLATFORMS INC. CLASS A LONG 9 587.30 11/11 11:33 581.69 0.1%
Trade id #150043271
Max drawdown($97)
Time11/11/24 10:02
Quant open9
Worst price576.51
Drawdown as % of equity-0.10%
 ($50)
Includes Typical Broker Commissions trade costs of $0.18
11/8/24 14:38 FCX FREEPORT-MCMORAN INC LONG 108 45.92 11/11 11:29 44.91 0.11%
Trade id #150043334
Max drawdown($109)
Time11/11/24 11:03
Quant open108
Worst price44.91
Drawdown as % of equity-0.11%
 ($111)
Includes Typical Broker Commissions trade costs of $2.16
11/7/24 11:11 ALB ALBEMARLE LONG 49 101.17 11/11 10:26 108.99 0.2%
Trade id #150029109
Max drawdown($200)
Time11/8/24 0:00
Quant open49
Worst price97.07
Drawdown as % of equity-0.20%
 $382
Includes Typical Broker Commissions trade costs of $0.98
11/5/24 9:34 KDP KEURIG DR PEPPER INC LONG 153 32.60 11/8 13:27 33.00 0.03%
Trade id #149985231
Max drawdown($30)
Time11/5/24 9:52
Quant open153
Worst price32.40
Drawdown as % of equity-0.03%
 $58
Includes Typical Broker Commissions trade costs of $3.06
10/24/24 11:00 MGPI MGP INGREDIENTS LONG 125 53.91 11/8 13:25 51.00 1.06%
Trade id #149818553
Max drawdown($1,058)
Time11/5/24 0:00
Quant open125
Worst price45.44
Drawdown as % of equity-1.06%
 ($367)
Includes Typical Broker Commissions trade costs of $2.50
10/25/24 11:21 INFA INFORMATICA INC LONG 150 27.08 11/8 13:21 24.69 0.38%
Trade id #149832006
Max drawdown($366)
Time11/8/24 13:05
Quant open150
Worst price24.64
Drawdown as % of equity-0.38%
 ($362)
Includes Typical Broker Commissions trade costs of $3.00
11/7/24 11:12 DKNG DRAFTKINGS INC. CLASS A COMMON STOCK LONG 130 38.70 11/8 11:39 40.20 0.08%
Trade id #150029114
Max drawdown($77)
Time11/8/24 9:39
Quant open130
Worst price38.10
Drawdown as % of equity-0.08%
 $192
Includes Typical Broker Commissions trade costs of $2.60
11/5/24 9:35 ESNT ESSENT GROUP LTD LONG 93 53.60 11/7 11:10 55.40 0.04%
Trade id #149985343
Max drawdown($34)
Time11/5/24 11:43
Quant open93
Worst price53.23
Drawdown as % of equity-0.04%
 $165
Includes Typical Broker Commissions trade costs of $1.86
11/6/24 11:45 JAZZ JAZZ PHARMACEUTICALS LONG 50 112.30 11/7 11:08 120.16 0.08%
Trade id #150011051
Max drawdown($83)
Time11/6/24 15:08
Quant open50
Worst price110.63
Drawdown as % of equity-0.08%
 $392
Includes Typical Broker Commissions trade costs of $1.00
11/5/24 12:05 TCNNF TRULIEVE CANNABIS CORP LONG 440 11.55 11/6 12:30 7.21 2.81%
Trade id #149988553
Max drawdown($2,807)
Time11/6/24 9:30
Quant open440
Worst price5.17
Drawdown as % of equity-2.81%
 ($1,918)
Includes Typical Broker Commissions trade costs of $8.80
11/5/24 9:34 VRRM VERRA MOBILITY CORP LONG 224 22.40 11/6 11:02 23.80 0.04%
Trade id #149985251
Max drawdown($35)
Time11/5/24 10:11
Quant open224
Worst price22.24
Drawdown as % of equity-0.04%
 $310
Includes Typical Broker Commissions trade costs of $4.48
11/5/24 9:33 LYB LYONDELLBASELL INDUSTRIES LONG 60 83.82 11/6 11:02 85.84 0.03%
Trade id #149985219
Max drawdown($27)
Time11/5/24 9:37
Quant open60
Worst price83.36
Drawdown as % of equity-0.03%
 $120
Includes Typical Broker Commissions trade costs of $1.20
11/5/24 9:33 HII HUNTINGTON INGALLS LONG 26 192.01 11/6 11:00 204.30 0.11%
Trade id #149985209
Max drawdown($107)
Time11/5/24 13:34
Quant open26
Worst price187.89
Drawdown as % of equity-0.11%
 $319
Includes Typical Broker Commissions trade costs of $0.52
Next

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1648.17
  • Age
    55 months ago
  • What it trades
    Stocks
  • # Trades
    1272
  • # Profitable
    650
  • % Profitable
    51.10%
  • Avg trade duration
    14.6 days
  • Max peak-to-valley drawdown
    29.54%
  • drawdown period
    Sept 12, 2022 - Oct 03, 2022
  • Annual Return (Compounded)
    29.1%
  • Avg win
    $439.72
  • Avg loss
    $345.31
  • Model Account Values (Raw)
  • Cash
    $28,555
  • Margin Used
    $0
  • Buying Power
    $21,136
  • Ratios
  • W:L ratio
    1.35:1
  • Sharpe Ratio
    0.88
  • Sortino Ratio
    1.44
  • Calmar Ratio
    1.154
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    115.23%
  • Correlation to SP500
    0.49370
  • Return Percent SP500 (cumu) during strategy life
    102.45%
  • Return Statistics
  • Ann Return (w trading costs)
    29.1%
  • Slump
  • Current Slump as Pcnt Equity
    15.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.08%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.291%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    31.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    55.50%
  • Chance of 20% account loss
    26.50%
  • Chance of 30% account loss
    11.50%
  • Chance of 40% account loss
    4.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    636
  • Popularity (Last 6 weeks)
    931
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    976
  • Popularity (7 days, Percentile 1000 scale)
    679
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $345
  • Avg Win
    $440
  • Sum Trade PL (losers)
    $214,783.000
  • Age
  • Num Months filled monthly returns table
    55
  • Win / Loss
  • Sum Trade PL (winners)
    $285,820.000
  • # Winners
    650
  • Num Months Winners
    33
  • Dividends
  • Dividends Received in Model Acct
    1860
  • AUM
  • AUM (AutoTrader live capital)
    99362
  • Win / Loss
  • # Losers
    622
  • % Winners
    51.1%
  • Frequency
  • Avg Position Time (mins)
    20973.00
  • Avg Position Time (hrs)
    349.55
  • Avg Trade Length
    14.6 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.96
  • Daily leverage (max)
    2.18
  • Regression
  • Alpha
    0.04
  • Beta
    0.74
  • Treynor Index
    0.10
  • 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)
    -0.19
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    5.457
  • 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
    0.289
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.106
  • Hold-and-Hope Ratio
    0.190
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34463
  • SD
    0.33715
  • Sharpe ratio (Glass type estimate)
    1.02217
  • Sharpe ratio (Hedges UMVUE)
    1.00736
  • df
    52.00000
  • t
    2.14819
  • p
    0.01819
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06450
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97046
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05487
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95985
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.17013
  • Upside Potential Ratio
    3.63020
  • Upside part of mean
    0.57650
  • Downside part of mean
    -0.23187
  • Upside SD
    0.31017
  • Downside SD
    0.15881
  • N nonnegative terms
    38.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.16256
  • Mean of criterion
    0.34463
  • SD of predictor
    0.15037
  • SD of criterion
    0.33715
  • Covariance
    0.03106
  • r
    0.61269
  • b (slope, estimate of beta)
    1.37376
  • a (intercept, estimate of alpha)
    0.12131
  • Mean Square Error
    0.07239
  • DF error
    51.00000
  • t(b)
    5.53636
  • p(b)
    0.00000
  • t(a)
    0.90373
  • p(a)
    0.18519
  • Lowerbound of 95% confidence interval for beta
    0.87561
  • Upperbound of 95% confidence interval for beta
    1.87191
  • Lowerbound of 95% confidence interval for alpha
    -0.14817
  • Upperbound of 95% confidence interval for alpha
    0.39079
  • Treynor index (mean / b)
    0.25087
  • Jensen alpha (a)
    0.12131
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28875
  • SD
    0.32044
  • Sharpe ratio (Glass type estimate)
    0.90108
  • Sharpe ratio (Hedges UMVUE)
    0.88802
  • df
    52.00000
  • t
    1.89370
  • p
    0.03192
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05156
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84538
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06008
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83612
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.69279
  • Upside Potential Ratio
    3.13341
  • Upside part of mean
    0.53448
  • Downside part of mean
    -0.24573
  • Upside SD
    0.28036
  • Downside SD
    0.17057
  • N nonnegative terms
    38.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.15039
  • Mean of criterion
    0.28875
  • SD of predictor
    0.15133
  • SD of criterion
    0.32044
  • Covariance
    0.03063
  • r
    0.63173
  • b (slope, estimate of beta)
    1.33770
  • a (intercept, estimate of alpha)
    0.08757
  • Mean Square Error
    0.06291
  • DF error
    51.00000
  • t(b)
    5.81982
  • p(b)
    0.00000
  • t(a)
    0.70479
  • p(a)
    0.24207
  • Lowerbound of 95% confidence interval for beta
    0.87625
  • Upperbound of 95% confidence interval for beta
    1.79915
  • Lowerbound of 95% confidence interval for alpha
    -0.16188
  • Upperbound of 95% confidence interval for alpha
    0.33703
  • Treynor index (mean / b)
    0.21585
  • Jensen alpha (a)
    0.08757
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12023
  • Expected Shortfall on VaR
    0.15310
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02916
  • Expected Shortfall on VaR
    0.06728
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    53.00000
  • Minimum
    0.80658
  • Quartile 1
    0.99496
  • Median
    1.01431
  • Quartile 3
    1.05190
  • Maximum
    1.31735
  • Mean of quarter 1
    0.92697
  • Mean of quarter 2
    1.00586
  • Mean of quarter 3
    1.03304
  • Mean of quarter 4
    1.15683
  • Inter Quartile Range
    0.05694
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.09434
  • Mean of outliers low
    0.86903
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.11321
  • Mean of outliers high
    1.23721
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.87887
  • VaR(95%) (moments method)
    0.02324
  • Expected Shortfall (moments method)
    0.02387
  • Extreme Value Index (regression method)
    -0.01458
  • VaR(95%) (regression method)
    0.05366
  • Expected Shortfall (regression method)
    0.08244
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00504
  • Quartile 1
    0.05542
  • Median
    0.07004
  • Quartile 3
    0.11773
  • Maximum
    0.27441
  • Mean of quarter 1
    0.03393
  • Mean of quarter 2
    0.06375
  • Mean of quarter 3
    0.09441
  • Mean of quarter 4
    0.23392
  • Inter Quartile Range
    0.06232
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.27441
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.19699
  • VaR(95%) (moments method)
    0.20952
  • Expected Shortfall (moments method)
    0.20952
  • Extreme Value Index (regression method)
    -0.90233
  • VaR(95%) (regression method)
    0.31159
  • Expected Shortfall (regression method)
    0.33437
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58410
  • Compounded annual return (geometric extrapolation)
    0.33475
  • Calmar ratio (compounded annual return / max draw down)
    1.21989
  • Compounded annual return / average of 25% largest draw downs
    1.43107
  • Compounded annual return / Expected Shortfall lognormal
    2.18657
  • 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
    0.30519
  • SD
    0.24628
  • Sharpe ratio (Glass type estimate)
    1.23918
  • Sharpe ratio (Hedges UMVUE)
    1.23838
  • df
    1171.00000
  • t
    2.62088
  • p
    0.45143
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31089
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16698
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31034
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16643
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.06095
  • Upside Potential Ratio
    9.53078
  • Upside part of mean
    1.41133
  • Downside part of mean
    -1.10614
  • Upside SD
    0.19756
  • Downside SD
    0.14808
  • N nonnegative terms
    629.00000
  • N negative terms
    543.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1172.00000
  • Mean of predictor
    0.17209
  • Mean of criterion
    0.30519
  • SD of predictor
    0.16936
  • SD of criterion
    0.24628
  • Covariance
    0.02055
  • r
    0.49276
  • b (slope, estimate of beta)
    0.71658
  • a (intercept, estimate of alpha)
    0.18200
  • Mean Square Error
    0.04597
  • DF error
    1170.00000
  • t(b)
    19.37010
  • p(b)
    0.25362
  • t(a)
    1.79064
  • p(a)
    0.47386
  • Lowerbound of 95% confidence interval for beta
    0.64400
  • Upperbound of 95% confidence interval for beta
    0.78916
  • Lowerbound of 95% confidence interval for alpha
    -0.01740
  • Upperbound of 95% confidence interval for alpha
    0.38115
  • Treynor index (mean / b)
    0.42590
  • Jensen alpha (a)
    0.18187
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27511
  • SD
    0.24400
  • Sharpe ratio (Glass type estimate)
    1.12750
  • Sharpe ratio (Hedges UMVUE)
    1.12677
  • df
    1171.00000
  • t
    2.38467
  • p
    0.45578
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19946
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05509
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19896
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05459
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.82838
  • Upside Potential Ratio
    9.25413
  • Upside part of mean
    1.39246
  • Downside part of mean
    -1.11734
  • Upside SD
    0.19270
  • Downside SD
    0.15047
  • N nonnegative terms
    629.00000
  • N negative terms
    543.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1172.00000
  • Mean of predictor
    0.15768
  • Mean of criterion
    0.27511
  • SD of predictor
    0.16965
  • SD of criterion
    0.24400
  • Covariance
    0.02040
  • r
    0.49281
  • b (slope, estimate of beta)
    0.70880
  • a (intercept, estimate of alpha)
    0.16335
  • Mean Square Error
    0.04512
  • DF error
    1170.00000
  • t(b)
    19.37240
  • p(b)
    0.25360
  • t(a)
    1.62387
  • p(a)
    0.47629
  • Lowerbound of 95% confidence interval for beta
    0.63702
  • Upperbound of 95% confidence interval for beta
    0.78059
  • Lowerbound of 95% confidence interval for alpha
    -0.03401
  • Upperbound of 95% confidence interval for alpha
    0.36072
  • Treynor index (mean / b)
    0.38814
  • Jensen alpha (a)
    0.16335
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02347
  • Expected Shortfall on VaR
    0.02958
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00921
  • Expected Shortfall on VaR
    0.01872
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1172.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99493
  • Median
    1.00023
  • Quartile 3
    1.00658
  • Maximum
    1.10903
  • Mean of quarter 1
    0.98507
  • Mean of quarter 2
    0.99805
  • Mean of quarter 3
    1.00303
  • Mean of quarter 4
    1.01851
  • Inter Quartile Range
    0.01165
  • Number outliers low
    50.00000
  • Percentage of outliers low
    0.04266
  • Mean of outliers low
    0.96726
  • Number of outliers high
    62.00000
  • Percentage of outliers high
    0.05290
  • Mean of outliers high
    1.04096
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17263
  • VaR(95%) (moments method)
    0.01355
  • Expected Shortfall (moments method)
    0.02086
  • Extreme Value Index (regression method)
    -0.02241
  • VaR(95%) (regression method)
    0.01422
  • Expected Shortfall (regression method)
    0.01968
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    70.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00367
  • Median
    0.01043
  • Quartile 3
    0.03697
  • Maximum
    0.27441
  • Mean of quarter 1
    0.00173
  • Mean of quarter 2
    0.00753
  • Mean of quarter 3
    0.02092
  • Mean of quarter 4
    0.11441
  • 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
    0.15643
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.27221
  • VaR(95%) (moments method)
    0.09859
  • Expected Shortfall (moments method)
    0.12306
  • Extreme Value Index (regression method)
    -0.43655
  • VaR(95%) (regression method)
    0.12446
  • Expected Shortfall (regression method)
    0.15020
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.54177
  • Compounded annual return (geometric extrapolation)
    0.31668
  • Calmar ratio (compounded annual return / max draw down)
    1.15403
  • Compounded annual return / average of 25% largest draw downs
    2.76784
  • Compounded annual return / Expected Shortfall lognormal
    10.70500
  • 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
    -0.04672
  • SD
    0.16540
  • Sharpe ratio (Glass type estimate)
    -0.28246
  • Sharpe ratio (Hedges UMVUE)
    -0.28082
  • df
    130.00000
  • t
    -0.19973
  • p
    0.50876
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.05399
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49005
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.05284
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49119
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.38602
  • Upside Potential Ratio
    7.72769
  • Upside part of mean
    0.93524
  • Downside part of mean
    -0.98196
  • Upside SD
    0.11185
  • Downside SD
    0.12102
  • 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
    0.25924
  • Mean of criterion
    -0.04672
  • SD of predictor
    0.13518
  • SD of criterion
    0.16540
  • Covariance
    0.00831
  • r
    0.37174
  • b (slope, estimate of beta)
    0.45483
  • a (intercept, estimate of alpha)
    -0.16463
  • Mean Square Error
    0.02376
  • DF error
    129.00000
  • t(b)
    4.54804
  • p(b)
    0.26891
  • t(a)
    -0.74992
  • p(a)
    0.54191
  • Lowerbound of 95% confidence interval for beta
    0.25697
  • Upperbound of 95% confidence interval for beta
    0.65269
  • Lowerbound of 95% confidence interval for alpha
    -0.59896
  • Upperbound of 95% confidence interval for alpha
    0.26971
  • Treynor index (mean / b)
    -0.10272
  • Jensen alpha (a)
    -0.16463
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06032
  • SD
    0.16560
  • Sharpe ratio (Glass type estimate)
    -0.36425
  • Sharpe ratio (Hedges UMVUE)
    -0.36215
  • df
    130.00000
  • t
    -0.25757
  • p
    0.51129
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.13581
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40851
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.13430
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41001
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.49344
  • Upside Potential Ratio
    7.60017
  • Upside part of mean
    0.92906
  • Downside part of mean
    -0.98938
  • Upside SD
    0.11083
  • Downside SD
    0.12224
  • 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
    0.25003
  • Mean of criterion
    -0.06032
  • SD of predictor
    0.13537
  • SD of criterion
    0.16560
  • Covariance
    0.00836
  • r
    0.37304
  • b (slope, estimate of beta)
    0.45635
  • a (intercept, estimate of alpha)
    -0.17442
  • Mean Square Error
    0.02379
  • DF error
    129.00000
  • t(b)
    4.56657
  • p(b)
    0.26814
  • t(a)
    -0.79445
  • p(a)
    0.54439
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.25863
  • Upperbound of 95% confidence interval for beta
    0.65407
  • Lowerbound of 95% confidence interval for alpha
    -0.60881
  • Upperbound of 95% confidence interval for alpha
    0.25997
  • Treynor index (mean / b)
    -0.13218
  • Jensen alpha (a)
    -0.17442
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01691
  • Expected Shortfall on VaR
    0.02110
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00845
  • Expected Shortfall on VaR
    0.01640
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96823
  • Quartile 1
    0.99552
  • Median
    1.00027
  • Quartile 3
    1.00478
  • Maximum
    1.02844
  • Mean of quarter 1
    0.98701
  • Mean of quarter 2
    0.99812
  • Mean of quarter 3
    1.00237
  • Mean of quarter 4
    1.01185
  • Inter Quartile Range
    0.00926
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.97731
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02588
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.36384
  • VaR(95%) (moments method)
    0.01159
  • Expected Shortfall (moments method)
    0.01400
  • Extreme Value Index (regression method)
    -0.00062
  • VaR(95%) (regression method)
    0.01174
  • Expected Shortfall (regression method)
    0.01621
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00367
  • Quartile 1
    0.01337
  • Median
    0.02994
  • Quartile 3
    0.07457
  • Maximum
    0.14430
  • Mean of quarter 1
    0.00828
  • Mean of quarter 2
    0.01481
  • Mean of quarter 3
    0.04507
  • Mean of quarter 4
    0.11435
  • Inter Quartile Range
    0.06121
  • 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?
    -357712000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05942
  • Compounded annual return (geometric extrapolation)
    -0.05854
  • Calmar ratio (compounded annual return / max draw down)
    -0.40564
  • Compounded annual return / average of 25% largest draw downs
    -0.51188
  • Compounded annual return / Expected Shortfall lognormal
    -2.77422

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 2.4%
Rank # 
#18
# Trades
1272
# Profitable
650
% Profitable
51.1%
Net Dividends
$1,860
Correlation S&P500
0.494
Sharpe Ratio
0.88
Sortino Ratio
1.44
Beta
0.74
Alpha
0.04
Leverage
0.96 Average
2.18 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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