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AfterEarningsQuant
(114286063)

Created by: johnkur johnkur
Started: 10/2017
Stocks
Last trade: Today
Trading style: Equity Event-driven

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 $167.00 per month.

Trading Category: Equity
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
53.8%
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.

(22.8%)
Max Drawdown
1824
Num Trades
52.1%
Win Trades
1.2 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                               +10.5%+21.6%(1.8%)+31.9%
2018(9.4%)+14.7%+10.3%(12.3%)+9.2%+3.8%+7.1%+4.2%+0.6%+10.2%(0.4%)(2.2%)+37.2%
2019(4.7%)                                                                  (4.7%)

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 1,882 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/16/19 9:30 FULT FULTON FINANCIAL SHORT 365 15.82 1/16 15:45 16.24 n/a ($160)
Includes Typical Broker Commissions trade costs of $7.30
1/9/19 9:33 AYI ACUITY BRANDS LONG 50 125.95 1/9 15:45 116.66 1.03%
Trade id #121867373
Max drawdown($535)
Time1/9/19 11:31
Quant open50
Worst price115.25
Drawdown as % of equity-1.03%
($466)
Includes Typical Broker Commissions trade costs of $1.00
1/9/19 9:30 GBX GREENBRIER COMPANIES LONG 143 43.42 1/9 15:45 38.86 1.37%
Trade id #121867134
Max drawdown($704)
Time1/9/19 13:54
Quant open143
Worst price38.49
Drawdown as % of equity-1.37%
($655)
Includes Typical Broker Commissions trade costs of $2.86
1/3/19 9:30 SMPL THE SIMPLY GOOD FOODS COMPANY COMMON STOCK SHORT 322 17.89 1/3 15:45 20.04 1.65%
Trade id #121762081
Max drawdown($870)
Time1/3/19 11:32
Quant open-322
Worst price20.59
Drawdown as % of equity-1.65%
($700)
Includes Typical Broker Commissions trade costs of $6.44
12/19/18 9:30 JBL JABIL INC LONG 272 24.74 12/19 15:45 23.60 0.79%
Trade id #121568602
Max drawdown($421)
Time12/19/18 10:11
Quant open272
Worst price23.19
Drawdown as % of equity-0.79%
($315)
Includes Typical Broker Commissions trade costs of $5.44
12/18/18 9:30 NAV NAVISTAR INTERNATIONAL LONG 248 27.38 12/18 15:45 27.58 0.52%
Trade id #121548696
Max drawdown($280)
Time12/18/18 11:57
Quant open248
Worst price26.25
Drawdown as % of equity-0.52%
$44
Includes Typical Broker Commissions trade costs of $4.96
12/12/18 9:30 VRA VERA BRADLEY SHORT 603 9.00 12/12 15:45 9.25 1.5%
Trade id #121460983
Max drawdown($801)
Time12/12/18 9:41
Quant open-603
Worst price10.33
Drawdown as % of equity-1.50%
($155)
Includes Typical Broker Commissions trade costs of $5.00
12/12/18 9:30 PVTL PIVOTAL SOFTWARE INC SHORT 334 18.55 12/12 15:45 18.25 0.52%
Trade id #121460934
Max drawdown($277)
Time12/12/18 11:31
Quant open-334
Worst price19.38
Drawdown as % of equity-0.52%
$93
Includes Typical Broker Commissions trade costs of $6.68
12/7/18 9:30 ZUMZ ZUMIEZ LONG 314 18.65 12/7 15:45 18.37 0.53%
Trade id #121395983
Max drawdown($282)
Time12/7/18 9:36
Quant open314
Worst price17.75
Drawdown as % of equity-0.53%
($93)
Includes Typical Broker Commissions trade costs of $6.28
12/7/18 9:30 DOMO DOMO INC. CLASS B COMMON STOCK LONG 387 17.95 12/7 15:45 20.27 n/a $892
Includes Typical Broker Commissions trade costs of $7.74
12/7/18 9:30 DOCU DOCUSIGN INC. COMMON STOCK LONG 145 42.00 12/7 15:45 39.30 0.89%
Trade id #121395963
Max drawdown($471)
Time12/7/18 14:14
Quant open145
Worst price38.75
Drawdown as % of equity-0.89%
($394)
Includes Typical Broker Commissions trade costs of $2.90
12/7/18 9:30 SAIC SCIENCE APPLICATIONS INTL CORP LONG 93 70.39 12/7 15:45 69.38 0.44%
Trade id #121395951
Max drawdown($236)
Time12/7/18 9:35
Quant open93
Worst price67.85
Drawdown as % of equity-0.44%
($96)
Includes Typical Broker Commissions trade costs of $1.86
12/6/18 9:32 HOME AT HOME GROUP INC LONG 215 24.00 12/6 15:45 23.15 1.21%
Trade id #121373888
Max drawdown($642)
Time12/6/18 9:37
Quant open215
Worst price21.01
Drawdown as % of equity-1.21%
($187)
Includes Typical Broker Commissions trade costs of $4.30
12/6/18 9:31 MIK THE MICHAELS COMPANIES INC. C LONG 362 16.80 12/6 15:45 16.34 0.96%
Trade id #121373777
Max drawdown($506)
Time12/6/18 10:00
Quant open362
Worst price15.40
Drawdown as % of equity-0.96%
($173)
Includes Typical Broker Commissions trade costs of $7.24
12/6/18 9:30 PDCO PATTERSON COMPANIES LONG 244 26.37 12/6 15:45 23.07 1.63%
Trade id #121373746
Max drawdown($863)
Time12/6/18 13:32
Quant open244
Worst price22.83
Drawdown as % of equity-1.63%
($810)
Includes Typical Broker Commissions trade costs of $4.88
12/6/18 9:30 ZS ZSCALER INC. COMMON STOCK LONG 160 38.30 12/6 15:45 42.86 0.35%
Trade id #121373724
Max drawdown($184)
Time12/6/18 9:35
Quant open160
Worst price37.15
Drawdown as % of equity-0.35%
$727
Includes Typical Broker Commissions trade costs of $3.20
12/6/18 9:30 NXEO NEXEO SOLUTIONS INC LONG 638 9.60 12/6 15:45 9.13 0.71%
Trade id #121373712
Max drawdown($376)
Time12/6/18 11:27
Quant open638
Worst price9.01
Drawdown as % of equity-0.71%
($307)
Includes Typical Broker Commissions trade costs of $5.00
12/6/18 9:30 KFY KORN FERRY LONG 132 44.72 12/6 15:45 44.11 0.43%
Trade id #121373674
Max drawdown($229)
Time12/6/18 11:31
Quant open132
Worst price42.98
Drawdown as % of equity-0.43%
($84)
Includes Typical Broker Commissions trade costs of $2.64
11/30/18 9:31 ZUO ZUORA INC LONG 292 19.13 11/30 15:45 19.05 0.43%
Trade id #121270200
Max drawdown($228)
Time11/30/18 9:34
Quant open292
Worst price18.35
Drawdown as % of equity-0.43%
($29)
Includes Typical Broker Commissions trade costs of $5.84
11/30/18 9:30 GME GAMESTOP LONG 408 12.99 11/30 15:45 13.61 0.14%
Trade id #121270136
Max drawdown($77)
Time11/30/18 9:41
Quant open408
Worst price12.80
Drawdown as % of equity-0.14%
$246
Includes Typical Broker Commissions trade costs of $8.16
11/30/18 9:30 AMBA AMBARELLA INC LONG 175 38.50 11/30 15:45 39.82 0.43%
Trade id #121270113
Max drawdown($227)
Time11/30/18 9:52
Quant open175
Worst price37.20
Drawdown as % of equity-0.43%
$228
Includes Typical Broker Commissions trade costs of $3.50
11/29/18 9:30 BOX BOX INC LONG 334 18.80 11/29 15:45 18.20 1.1%
Trade id #121239199
Max drawdown($574)
Time11/29/18 9:53
Quant open334
Worst price17.08
Drawdown as % of equity-1.10%
($208)
Includes Typical Broker Commissions trade costs of $6.68
11/29/18 9:30 ANF ABERCROMBIE & FITCH LONG 351 21.82 11/29 15:45 20.66 1.49%
Trade id #121239189
Max drawdown($773)
Time11/29/18 10:52
Quant open351
Worst price19.61
Drawdown as % of equity-1.49%
($414)
Includes Typical Broker Commissions trade costs of $7.02
11/29/18 9:30 EXPR EXPRESS LONG 815 5.66 11/29 15:45 6.86 n/a $973
Includes Typical Broker Commissions trade costs of $5.00
11/29/18 9:30 TLYS TILLY'S SHORT 409 13.10 11/29 15:45 12.06 0.26%
Trade id #121239179
Max drawdown($136)
Time11/29/18 9:32
Quant open-409
Worst price13.43
Drawdown as % of equity-0.26%
$417
Includes Typical Broker Commissions trade costs of $8.18
11/29/18 9:30 GES GUESS SHORT 280 21.60 11/29 15:45 22.50 0.75%
Trade id #121239170
Max drawdown($392)
Time11/29/18 9:38
Quant open-280
Worst price23.00
Drawdown as % of equity-0.75%
($258)
Includes Typical Broker Commissions trade costs of $5.60
11/29/18 9:30 TECD TECH DATA LONG 85 84.40 11/29 15:45 91.01 0.27%
Trade id #121239161
Max drawdown($140)
Time11/29/18 10:10
Quant open85
Worst price82.75
Drawdown as % of equity-0.27%
$560
Includes Typical Broker Commissions trade costs of $1.70
11/28/18 9:30 GWPH GW PHARMACEUTICALS PLC AMERICA SHORT 49 119.00 11/28 15:45 120.96 0.35%
Trade id #121213781
Max drawdown($184)
Time11/28/18 13:56
Quant open-49
Worst price122.77
Drawdown as % of equity-0.35%
($97)
Includes Typical Broker Commissions trade costs of $0.98
11/28/18 9:30 NTNX NUTANIX INC. CLASS A COMMON STOCK LONG 144 44.90 11/28 15:45 43.52 0.76%
Trade id #121213778
Max drawdown($400)
Time11/28/18 10:50
Quant open144
Worst price42.12
Drawdown as % of equity-0.76%
($202)
Includes Typical Broker Commissions trade costs of $2.88
11/28/18 9:30 SINA SINA LONG 97 64.85 11/28 15:45 63.17 0.84%
Trade id #121213770
Max drawdown($441)
Time11/28/18 11:27
Quant open97
Worst price60.30
Drawdown as % of equity-0.84%
($165)
Includes Typical Broker Commissions trade costs of $1.94

Statistics

  • Strategy began
    10/15/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    458.06
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    1824
  • # Profitable
    950
  • % Profitable
    52.10%
  • Avg trade duration
    6.4 hours
  • Max peak-to-valley drawdown
    22.77%
  • drawdown period
    Dec 14, 2017 - Feb 02, 2018
  • Annual Return (Compounded)
    53.8%
  • Avg win
    $195.15
  • Avg loss
    $181.93
  • Model Account Values (Raw)
  • Cash
    $51,389
  • Margin Used
    $0
  • Buying Power
    $51,389
  • Ratios
  • W:L ratio
    1.17:1
  • Sharpe Ratio
    2.546
  • Sortino Ratio
    4.422
  • Calmar Ratio
    4.628
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.09100
  • Return Statistics
  • Ann Return (w trading costs)
    53.8%
  • Ann Return (Compnd, No Fees)
    77.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    27.00%
  • Chance of 20% account loss
    4.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    741
  • Popularity (Last 6 weeks)
    941
  • C2 Score
    76.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $182
  • Avg Win
    $195
  • # Winners
    950
  • # Losers
    874
  • % Winners
    52.1%
  • Frequency
  • Avg Position Time (mins)
    383.88
  • Avg Position Time (hrs)
    6.40
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70889
  • SD
    0.41016
  • Sharpe ratio (Glass type estimate)
    1.72833
  • Sharpe ratio (Hedges UMVUE)
    1.62633
  • df
    13.00000
  • t
    1.86681
  • p
    0.21796
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23079
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.62937
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29290
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.54557
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.82403
  • Upside Potential Ratio
    8.53380
  • Upside part of mean
    0.88650
  • Downside part of mean
    -0.17761
  • Upside SD
    0.43278
  • Downside SD
    0.10388
  • N nonnegative terms
    9.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    -0.05236
  • Mean of criterion
    0.70889
  • SD of predictor
    0.11596
  • SD of criterion
    0.41016
  • Covariance
    0.00461
  • r
    0.09701
  • b (slope, estimate of beta)
    0.34313
  • a (intercept, estimate of alpha)
    0.72685
  • Mean Square Error
    0.18053
  • DF error
    12.00000
  • t(b)
    0.33766
  • p(b)
    0.45149
  • t(a)
    1.83107
  • p(a)
    0.26634
  • Lowerbound of 95% confidence interval for beta
    -1.87099
  • Upperbound of 95% confidence interval for beta
    2.55724
  • Lowerbound of 95% confidence interval for alpha
    -0.13804
  • Upperbound of 95% confidence interval for alpha
    1.59174
  • Treynor index (mean / b)
    2.06595
  • Jensen alpha (a)
    0.72685
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62176
  • SD
    0.37018
  • Sharpe ratio (Glass type estimate)
    1.67960
  • Sharpe ratio (Hedges UMVUE)
    1.58048
  • df
    13.00000
  • t
    1.81418
  • p
    0.22381
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27269
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57502
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33309
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49405
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.76958
  • Upside Potential Ratio
    7.46641
  • Upside part of mean
    0.80462
  • Downside part of mean
    -0.18286
  • Upside SD
    0.38451
  • Downside SD
    0.10776
  • N nonnegative terms
    9.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    -0.05869
  • Mean of criterion
    0.62176
  • SD of predictor
    0.11720
  • SD of criterion
    0.37018
  • Covariance
    0.00449
  • r
    0.10345
  • b (slope, estimate of beta)
    0.32675
  • a (intercept, estimate of alpha)
    0.64093
  • Mean Square Error
    0.14686
  • DF error
    12.00000
  • t(b)
    0.36029
  • p(b)
    0.44828
  • t(a)
    1.78647
  • p(a)
    0.27083
  • Lowerbound of 95% confidence interval for beta
    -1.64923
  • Upperbound of 95% confidence interval for beta
    2.30272
  • Lowerbound of 95% confidence interval for alpha
    -0.14076
  • Upperbound of 95% confidence interval for alpha
    1.42263
  • Treynor index (mean / b)
    1.90288
  • Jensen alpha (a)
    0.64093
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11658
  • Expected Shortfall on VaR
    0.15451
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02734
  • Expected Shortfall on VaR
    0.05617
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.91036
  • Quartile 1
    0.98649
  • Median
    1.01963
  • Quartile 3
    1.09354
  • Maximum
    1.31774
  • Mean of quarter 1
    0.95399
  • Mean of quarter 2
    1.00873
  • Mean of quarter 3
    1.05529
  • Mean of quarter 4
    1.21290
  • Inter Quartile Range
    0.10705
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    1.29553
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.47176
  • VaR(95%) (moments method)
    0.03777
  • Expected Shortfall (moments method)
    0.03789
  • Extreme Value Index (regression method)
    -0.16393
  • VaR(95%) (regression method)
    0.07960
  • Expected Shortfall (regression method)
    0.10879
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01153
  • Quartile 1
    0.04510
  • Median
    0.07866
  • Quartile 3
    0.09060
  • Maximum
    0.10253
  • Mean of quarter 1
    0.01153
  • Mean of quarter 2
    0.07866
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10253
  • Inter Quartile Range
    0.04550
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.97190
  • Compounded annual return (geometric extrapolation)
    0.91490
  • Calmar ratio (compounded annual return / max draw down)
    8.92311
  • Compounded annual return / average of 25% largest draw downs
    8.92311
  • Compounded annual return / Expected Shortfall lognormal
    5.92128
  • 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
    0.58435
  • SD
    0.22896
  • Sharpe ratio (Glass type estimate)
    2.55217
  • Sharpe ratio (Hedges UMVUE)
    2.54622
  • df
    322.00000
  • t
    2.83374
  • p
    0.00245
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.77406
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.32643
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77009
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32235
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.42204
  • Upside Potential Ratio
    11.05860
  • Upside part of mean
    1.46134
  • Downside part of mean
    -0.87699
  • Upside SD
    0.19001
  • Downside SD
    0.13215
  • N nonnegative terms
    152.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    323.00000
  • Mean of predictor
    0.00332
  • Mean of criterion
    0.58435
  • SD of predictor
    0.16064
  • SD of criterion
    0.22896
  • Covariance
    0.00239
  • r
    0.06505
  • b (slope, estimate of beta)
    0.09271
  • a (intercept, estimate of alpha)
    0.58400
  • Mean Square Error
    0.05236
  • DF error
    321.00000
  • t(b)
    1.16792
  • p(b)
    0.12185
  • t(a)
    2.83384
  • p(a)
    0.00245
  • Lowerbound of 95% confidence interval for beta
    -0.06347
  • Upperbound of 95% confidence interval for beta
    0.24890
  • Lowerbound of 95% confidence interval for alpha
    0.17857
  • Upperbound of 95% confidence interval for alpha
    0.98951
  • Treynor index (mean / b)
    6.30263
  • Jensen alpha (a)
    0.58404
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55774
  • SD
    0.22772
  • Sharpe ratio (Glass type estimate)
    2.44919
  • Sharpe ratio (Hedges UMVUE)
    2.44348
  • df
    322.00000
  • t
    2.71939
  • p
    0.00345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.67199
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.22264
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.66820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.21875
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.16107
  • Upside Potential Ratio
    10.76970
  • Upside part of mean
    1.44353
  • Downside part of mean
    -0.88579
  • Upside SD
    0.18687
  • Downside SD
    0.13404
  • N nonnegative terms
    152.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    323.00000
  • Mean of predictor
    -0.00958
  • Mean of criterion
    0.55774
  • SD of predictor
    0.16099
  • SD of criterion
    0.22772
  • Covariance
    0.00238
  • r
    0.06486
  • b (slope, estimate of beta)
    0.09174
  • a (intercept, estimate of alpha)
    0.55861
  • Mean Square Error
    0.05180
  • DF error
    321.00000
  • t(b)
    1.16447
  • p(b)
    0.12255
  • t(a)
    2.72516
  • p(a)
    0.00339
  • Lowerbound of 95% confidence interval for beta
    -0.06326
  • Upperbound of 95% confidence interval for beta
    0.24674
  • Lowerbound of 95% confidence interval for alpha
    0.15533
  • Upperbound of 95% confidence interval for alpha
    0.96189
  • Treynor index (mean / b)
    6.07952
  • Jensen alpha (a)
    0.55861
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02079
  • Expected Shortfall on VaR
    0.02652
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00789
  • Expected Shortfall on VaR
    0.01647
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    323.00000
  • Minimum
    0.95977
  • Quartile 1
    0.99730
  • Median
    1.00000
  • Quartile 3
    1.00712
  • Maximum
    1.05725
  • Mean of quarter 1
    0.98749
  • Mean of quarter 2
    0.99939
  • Mean of quarter 3
    1.00249
  • Mean of quarter 4
    1.01999
  • Inter Quartile Range
    0.00982
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.05573
  • Mean of outliers low
    0.97054
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.08669
  • Mean of outliers high
    1.03367
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32726
  • VaR(95%) (moments method)
    0.00989
  • Expected Shortfall (moments method)
    0.01843
  • Extreme Value Index (regression method)
    -0.14002
  • VaR(95%) (regression method)
    0.01134
  • Expected Shortfall (regression method)
    0.01553
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00300
  • Median
    0.00681
  • Quartile 3
    0.04454
  • Maximum
    0.17203
  • Mean of quarter 1
    0.00166
  • Mean of quarter 2
    0.00543
  • Mean of quarter 3
    0.02334
  • Mean of quarter 4
    0.13001
  • Inter Quartile Range
    0.04155
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.16455
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.61182
  • VaR(95%) (moments method)
    0.09880
  • Expected Shortfall (moments method)
    0.09881
  • Extreme Value Index (regression method)
    -0.70221
  • VaR(95%) (regression method)
    0.09835
  • Expected Shortfall (regression method)
    0.10786
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.85863
  • Compounded annual return (geometric extrapolation)
    0.79614
  • Calmar ratio (compounded annual return / max draw down)
    4.62803
  • Compounded annual return / average of 25% largest draw downs
    6.12358
  • Compounded annual return / Expected Shortfall lognormal
    30.02120
  • 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
    0.36955
  • SD
    0.21300
  • Sharpe ratio (Glass type estimate)
    1.73501
  • Sharpe ratio (Hedges UMVUE)
    1.72499
  • df
    130.00000
  • t
    1.22684
  • p
    0.44651
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04807
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.51157
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05474
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.50471
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14758
  • Upside Potential Ratio
    9.81116
  • Upside part of mean
    1.15191
  • Downside part of mean
    -0.78236
  • Upside SD
    0.17821
  • Downside SD
    0.11741
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.14743
  • Mean of criterion
    0.36955
  • SD of predictor
    0.18650
  • SD of criterion
    0.21300
  • Covariance
    -0.00107
  • r
    -0.02701
  • b (slope, estimate of beta)
    -0.03084
  • a (intercept, estimate of alpha)
    0.36501
  • Mean Square Error
    0.04569
  • DF error
    129.00000
  • t(b)
    -0.30685
  • p(b)
    0.51719
  • t(a)
    1.20607
  • p(a)
    0.43290
  • Lowerbound of 95% confidence interval for beta
    -0.22972
  • Upperbound of 95% confidence interval for beta
    0.16803
  • Lowerbound of 95% confidence interval for alpha
    -0.23378
  • Upperbound of 95% confidence interval for alpha
    0.96379
  • Treynor index (mean / b)
    -11.98140
  • Jensen alpha (a)
    0.36501
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34703
  • SD
    0.21113
  • Sharpe ratio (Glass type estimate)
    1.64371
  • Sharpe ratio (Hedges UMVUE)
    1.63421
  • df
    130.00000
  • t
    1.16228
  • p
    0.44929
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13832
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.41956
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14471
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.41312
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91835
  • Upside Potential Ratio
    9.55586
  • Upside part of mean
    1.13632
  • Downside part of mean
    -0.78929
  • Upside SD
    0.17480
  • Downside SD
    0.11891
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.16471
  • Mean of criterion
    0.34703
  • SD of predictor
    0.18649
  • SD of criterion
    0.21113
  • Covariance
    -0.00112
  • r
    -0.02849
  • b (slope, estimate of beta)
    -0.03226
  • a (intercept, estimate of alpha)
    0.34172
  • Mean Square Error
    0.04488
  • DF error
    129.00000
  • t(b)
    -0.32376
  • p(b)
    0.51814
  • t(a)
    1.13883
  • p(a)
    0.43659
  • Lowerbound of 95% confidence interval for beta
    -0.22939
  • Upperbound of 95% confidence interval for beta
    0.16487
  • Lowerbound of 95% confidence interval for alpha
    -0.25196
  • Upperbound of 95% confidence interval for alpha
    0.93539
  • Treynor index (mean / b)
    -10.75790
  • Jensen alpha (a)
    0.34172
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01993
  • Expected Shortfall on VaR
    0.02524
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00734
  • Expected Shortfall on VaR
    0.01518
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96215
  • Quartile 1
    0.99785
  • Median
    1.00000
  • Quartile 3
    1.00272
  • Maximum
    1.05725
  • Mean of quarter 1
    0.98874
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.00110
  • Mean of quarter 4
    1.01657
  • Inter Quartile Range
    0.00487
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98060
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.02739
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.13522
  • VaR(95%) (moments method)
    0.00749
  • Expected Shortfall (moments method)
    0.01005
  • Extreme Value Index (regression method)
    0.06560
  • VaR(95%) (regression method)
    0.01152
  • Expected Shortfall (regression method)
    0.01795
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.04315
  • Quartile 1
    0.06912
  • Median
    0.09509
  • Quartile 3
    0.09548
  • Maximum
    0.09587
  • Mean of quarter 1
    0.04315
  • Mean of quarter 2
    0.09509
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09587
  • Inter Quartile Range
    0.02636
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41238
  • Compounded annual return (geometric extrapolation)
    0.45490
  • Calmar ratio (compounded annual return / max draw down)
    4.74506
  • Compounded annual return / average of 25% largest draw downs
    4.74506
  • Compounded annual return / Expected Shortfall lognormal
    18.01980

Strategy Description

Trading System “AfterEarningsQuant”
is an automated intraday system that buys and sells stocks the day after earning releases.
Specifically , it opens positions at the start of the trading day and close them at the end.
I create this system after quantitative analysis of earnings releases the last five years.
To open a position the system takes into consideration the stock’s earning announcements, the consensus analyst estimates of the stock’s earnings and revenues, the stock’s price movement etc.

Characteristics of the system:
-Full automated intraday trading system.
-Open the positions at the start of the trading day and close them at the end.
-Both takes long and short positions.
-Trade stocks with capitalization over 250 million dollars
-Full margin can be used.
-Every stock’s position size is maximum $6,000.
-The return target is 7% per month based on the hypothetical performance of 5-year backtesting. Backtesting data is hypothetical and it has not been verified by C2

Suggested minimum investment horizon: 3-6 months

I'm available to answer any questions or concerns

Summary Statistics

Strategy began
2017-10-15
Suggested Minimum Capital
$35,000
# Trades
1824
# Profitable
950
% Profitable
52.1%
Correlation S&P500
0.091
Sharpe Ratio
2.546

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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