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AfterEarningsQuant
(114286063)

Created by: johnkur johnkur
Started: 10/2017
Stocks
Last trade: 78 days ago
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 $197.00 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.

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.
34.6%
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.

(40.6%)
Max Drawdown
2218
Num Trades
51.6%
Win Trades
1.1 : 1
Profit Factor
54.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                               +10.4%+21.5%(1.9%)+31.5%
2018(9.6%)+14.6%+10.3%(12.5%)+9.2%+3.8%+7.0%+4.2%+0.5%+10.2%(0.5%)(2.3%)+36.2%
2019(9.9%)(14.5%)(7.1%)+18.4%+12.6%(0.5%)(0.5%)                              (5.6%)

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 2,169 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/3/19 9:31 TSE TRINSEO SA LONG 166 43.57 5/3 15:45 46.65 n/a $508
Includes Typical Broker Commissions trade costs of $3.32
5/3/19 9:31 CARB CARBONITE LONG 283 27.02 5/3 15:45 25.63 0.74%
Trade id #123519232
Max drawdown($399)
Time5/3/19 15:15
Quant open283
Worst price25.61
Drawdown as % of equity-0.74%
($399)
Includes Typical Broker Commissions trade costs of $5.66
5/3/19 9:31 OR OSISKO GOLD ROYALTIES LTD SHORT 693 10.20 5/3 15:45 9.96 0.01%
Trade id #123519231
Max drawdown($6)
Time5/3/19 10:07
Quant open-693
Worst price10.21
Drawdown as % of equity-0.01%
$161
Includes Typical Broker Commissions trade costs of $5.00
5/3/19 9:31 CBLK CARBON BLACK INC. COMMON STOCK LONG 505 15.00 5/3 15:45 15.96 0.32%
Trade id #123519229
Max drawdown($156)
Time5/3/19 9:33
Quant open505
Worst price14.69
Drawdown as % of equity-0.32%
$480
Includes Typical Broker Commissions trade costs of $5.00
5/3/19 9:31 SRCL STERICYCLE SHORT 122 48.50 5/3 15:45 51.46 0.87%
Trade id #123519226
Max drawdown($472)
Time5/3/19 15:29
Quant open-122
Worst price52.37
Drawdown as % of equity-0.87%
($363)
Includes Typical Broker Commissions trade costs of $2.44
5/3/19 9:31 LOCO EL POLLO LOCO HOLDINGS INC. C SHORT 530 12.31 5/3 15:45 11.81 n/a $260
Includes Typical Broker Commissions trade costs of $5.00
5/3/19 9:30 WAIR WESCO AIRCRAFT HOLDINGS LONG 838 9.20 5/3 15:45 10.59 0.75%
Trade id #123519214
Max drawdown($368)
Time5/3/19 9:32
Quant open838
Worst price8.76
Drawdown as % of equity-0.75%
$1,160
Includes Typical Broker Commissions trade costs of $5.00
5/3/19 9:30 REGI RENEWABLE ENERGY GROUP SHORT 307 20.52 5/3 15:45 17.96 0.27%
Trade id #123519212
Max drawdown($135)
Time5/3/19 9:32
Quant open-307
Worst price20.96
Drawdown as % of equity-0.27%
$780
Includes Typical Broker Commissions trade costs of $6.14
5/3/19 9:30 NBL NOBLE ENERGY SHORT 274 25.38 5/3 15:45 25.04 0.11%
Trade id #123519195
Max drawdown($52)
Time5/3/19 9:32
Quant open-274
Worst price25.57
Drawdown as % of equity-0.11%
$88
Includes Typical Broker Commissions trade costs of $5.48
5/3/19 9:30 X UNITED STATES STEEL LONG 494 15.06 5/3 15:45 16.87 0.13%
Trade id #123519188
Max drawdown($64)
Time5/3/19 9:32
Quant open494
Worst price14.93
Drawdown as % of equity-0.13%
$884
Includes Typical Broker Commissions trade costs of $9.88
5/3/19 9:30 CC CHEMOURS CO SHORT 206 33.31 5/3 15:45 34.03 0.49%
Trade id #123519181
Max drawdown($249)
Time5/3/19 10:04
Quant open-206
Worst price34.52
Drawdown as % of equity-0.49%
($152)
Includes Typical Broker Commissions trade costs of $4.12
5/3/19 9:30 FLDM FLUIDIGM SHORT 515 13.50 5/3 15:45 11.84 n/a $850
Includes Typical Broker Commissions trade costs of $5.00
5/3/19 9:30 GPOR GULFPORT ENERGY CORP LONG 1,119 6.37 5/3 15:45 6.80 0.07%
Trade id #123519172
Max drawdown($33)
Time5/3/19 9:32
Quant open1,119
Worst price6.34
Drawdown as % of equity-0.07%
$476
Includes Typical Broker Commissions trade costs of $5.00
5/3/19 9:30 PCTY PAYLOCITY HOLDING CORPORATION SHORT 73 97.00 5/3 15:45 98.94 0.38%
Trade id #123519162
Max drawdown($204)
Time5/3/19 13:53
Quant open-73
Worst price99.80
Drawdown as % of equity-0.38%
($143)
Includes Typical Broker Commissions trade costs of $1.46
5/2/19 9:32 ACCO ACCO BRANDS LONG 780 9.18 5/2 15:45 8.24 1.51%
Trade id #123503911
Max drawdown($741)
Time5/2/19 15:45
Quant open780
Worst price8.23
Drawdown as % of equity-1.51%
($738)
Includes Typical Broker Commissions trade costs of $5.00
5/2/19 9:31 BERY BERRY GLOBAL GROUP INC SHORT 119 54.45 5/2 15:45 53.49 n/a $112
Includes Typical Broker Commissions trade costs of $2.38
5/2/19 9:31 WTI W&T OFFSHORE SHORT 1,127 5.72 5/2 15:45 5.33 0.46%
Trade id #123503827
Max drawdown($225)
Time5/2/19 9:55
Quant open-1,127
Worst price5.92
Drawdown as % of equity-0.46%
$435
Includes Typical Broker Commissions trade costs of $5.00
5/2/19 9:31 MNTA MOMENTA PHARMACEUTICALS SHORT 500 13.06 5/2 15:45 13.89 1.09%
Trade id #123503826
Max drawdown($535)
Time5/2/19 9:58
Quant open-500
Worst price14.13
Drawdown as % of equity-1.09%
($425)
Includes Typical Broker Commissions trade costs of $10.00
5/2/19 9:31 XPO XPO LOGISTICS LONG 102 66.92 5/2 15:45 63.67 1.26%
Trade id #123503820
Max drawdown($622)
Time5/2/19 10:05
Quant open102
Worst price60.82
Drawdown as % of equity-1.26%
($334)
Includes Typical Broker Commissions trade costs of $2.04
5/2/19 9:31 CBM CAMBREX LONG 161 42.92 5/2 15:45 43.21 0.42%
Trade id #123503811
Max drawdown($206)
Time5/2/19 9:41
Quant open161
Worst price41.64
Drawdown as % of equity-0.42%
$44
Includes Typical Broker Commissions trade costs of $3.22
5/2/19 9:31 BWXT BWX TECHNOLOGIES INC SHORT 137 50.69 5/2 15:45 49.41 n/a $172
Includes Typical Broker Commissions trade costs of $2.74
5/2/19 9:31 BSIG BRIGHTSPHERE INVESTMENT GROUP INC SHORT 479 14.05 5/2 15:45 13.94 0.39%
Trade id #123503802
Max drawdown($191)
Time5/2/19 9:59
Quant open-479
Worst price14.45
Drawdown as % of equity-0.39%
$43
Includes Typical Broker Commissions trade costs of $9.58
5/2/19 9:30 MGLN MAGELLAN HEALTH INC. COMMON S LONG 100 68.31 5/2 15:45 67.20 0.49%
Trade id #123503781
Max drawdown($243)
Time5/2/19 10:10
Quant open100
Worst price65.88
Drawdown as % of equity-0.49%
($113)
Includes Typical Broker Commissions trade costs of $2.00
5/2/19 9:30 EXEL EXELIXIS SHORT 354 19.54 5/2 15:45 20.02 0.5%
Trade id #123503776
Max drawdown($247)
Time5/2/19 10:05
Quant open-354
Worst price20.24
Drawdown as % of equity-0.50%
($177)
Includes Typical Broker Commissions trade costs of $7.08
5/2/19 9:30 LPI LAREDO PETROLEUM HOLDINGS INC LONG 2,333 2.90 5/2 15:45 3.36 0.14%
Trade id #123503767
Max drawdown($69)
Time5/2/19 9:32
Quant open2,333
Worst price2.87
Drawdown as % of equity-0.14%
$1,068
Includes Typical Broker Commissions trade costs of $5.00
5/2/19 9:30 BNFT BENEFITFOCUS INC. COMMON STOC LONG 174 35.02 5/2 15:45 35.00 1.06%
Trade id #123503747
Max drawdown($522)
Time5/2/19 9:58
Quant open174
Worst price32.02
Drawdown as % of equity-1.06%
($6)
Includes Typical Broker Commissions trade costs of $3.48
5/2/19 9:30 TTMI TTM TECHNOLOGIES SHORT 522 12.25 5/2 15:45 11.94 0.72%
Trade id #123503742
Max drawdown($360)
Time5/2/19 9:33
Quant open-522
Worst price12.94
Drawdown as % of equity-0.72%
$157
Includes Typical Broker Commissions trade costs of $5.00
5/2/19 9:30 ONDK ON DECK CAPITAL INC LONG 1,246 5.28 5/2 15:45 4.76 1.32%
Trade id #123503714
Max drawdown($648)
Time5/2/19 15:45
Quant open0
Worst price4.76
Drawdown as % of equity-1.32%
($653)
Includes Typical Broker Commissions trade costs of $5.00
5/1/19 9:32 WYND WYNDHAM DESTINATIONS INC LONG 161 44.40 5/1 15:45 44.80 0.52%
Trade id #123489494
Max drawdown($252)
Time5/1/19 9:35
Quant open161
Worst price42.83
Drawdown as % of equity-0.52%
$61
Includes Typical Broker Commissions trade costs of $3.22
5/1/19 9:31 SITE SITEONE LANDSCAPE SUPPLY INC SHORT 105 64.55 5/1 15:45 60.57 0.31%
Trade id #123489384
Max drawdown($151)
Time5/1/19 10:11
Quant open-105
Worst price66.00
Drawdown as % of equity-0.31%
$416
Includes Typical Broker Commissions trade costs of $2.10

Statistics

  • Strategy began
    10/15/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    642.35
  • Age
    21 months ago
  • What it trades
    Stocks
  • # Trades
    2218
  • # Profitable
    1145
  • % Profitable
    51.60%
  • Avg trade duration
    6.3 hours
  • Max peak-to-valley drawdown
    40.57%
  • drawdown period
    Nov 01, 2018 - March 13, 2019
  • Annual Return (Compounded)
    34.6%
  • Avg win
    $211.70
  • Avg loss
    $198.83
  • Model Account Values (Raw)
  • Cash
    $54,054
  • Margin Used
    $0
  • Buying Power
    $54,054
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.99
  • Sortino Ratio
    1.61
  • Calmar Ratio
    2.049
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.06980
  • Return Statistics
  • Ann Return (w trading costs)
    34.6%
  • Ann Return (Compnd, No Fees)
    54.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.50%
  • Chance of 20% account loss
    8.00%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    590
  • 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
    $199
  • Avg Win
    $212
  • # Winners
    1145
  • # Losers
    1073
  • % Winners
    51.6%
  • Frequency
  • Avg Position Time (mins)
    380.82
  • Avg Position Time (hrs)
    6.35
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    77
  • Unknown
  • Alpha
    0.08
  • Beta
    0.13
  • Treynor Index
    0.69
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51683
  • SD
    0.41369
  • Sharpe ratio (Glass type estimate)
    1.24932
  • Sharpe ratio (Hedges UMVUE)
    1.19923
  • df
    19.00000
  • t
    1.61286
  • p
    0.28360
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33457
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80265
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36610
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76456
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.72710
  • Upside Potential Ratio
    5.61636
  • Upside part of mean
    0.77881
  • Downside part of mean
    -0.26198
  • Upside SD
    0.40695
  • Downside SD
    0.13867
  • N nonnegative terms
    11.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.07778
  • Mean of criterion
    0.51683
  • SD of predictor
    0.14876
  • SD of criterion
    0.41369
  • Covariance
    -0.01716
  • r
    -0.27878
  • b (slope, estimate of beta)
    -0.77526
  • a (intercept, estimate of alpha)
    0.57713
  • Mean Square Error
    0.16661
  • DF error
    18.00000
  • t(b)
    -1.23158
  • p(b)
    0.63939
  • t(a)
    1.80387
  • p(a)
    0.30436
  • Lowerbound of 95% confidence interval for beta
    -2.09776
  • Upperbound of 95% confidence interval for beta
    0.54724
  • Lowerbound of 95% confidence interval for alpha
    -0.09504
  • Upperbound of 95% confidence interval for alpha
    1.24930
  • Treynor index (mean / b)
    -0.66665
  • Jensen alpha (a)
    0.57713
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43471
  • SD
    0.37888
  • Sharpe ratio (Glass type estimate)
    1.14736
  • Sharpe ratio (Hedges UMVUE)
    1.10136
  • df
    19.00000
  • t
    1.48123
  • p
    0.29876
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42765
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69401
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45668
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65940
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.00512
  • Upside Potential Ratio
    4.88215
  • Upside part of mean
    0.70624
  • Downside part of mean
    -0.27153
  • Upside SD
    0.36221
  • Downside SD
    0.14466
  • N nonnegative terms
    11.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.06697
  • Mean of criterion
    0.43471
  • SD of predictor
    0.14803
  • SD of criterion
    0.37888
  • Covariance
    -0.01557
  • r
    -0.27769
  • b (slope, estimate of beta)
    -0.71074
  • a (intercept, estimate of alpha)
    0.48231
  • Mean Square Error
    0.13984
  • DF error
    18.00000
  • t(b)
    -1.22637
  • p(b)
    0.63884
  • t(a)
    1.65033
  • p(a)
    0.31874
  • Lowerbound of 95% confidence interval for beta
    -1.92833
  • Upperbound of 95% confidence interval for beta
    0.50685
  • Lowerbound of 95% confidence interval for alpha
    -0.13169
  • Upperbound of 95% confidence interval for alpha
    1.09631
  • Treynor index (mean / b)
    -0.61163
  • Jensen alpha (a)
    0.48231
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13383
  • Expected Shortfall on VaR
    0.17186
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04765
  • Expected Shortfall on VaR
    0.08878
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.89573
  • Quartile 1
    0.96479
  • Median
    1.01886
  • Quartile 3
    1.08315
  • Maximum
    1.31774
  • Mean of quarter 1
    0.92889
  • Mean of quarter 2
    0.99170
  • Mean of quarter 3
    1.04252
  • Mean of quarter 4
    1.21848
  • Inter Quartile Range
    0.11837
  • 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
    0.10000
  • Mean of outliers high
    1.29553
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.38918
  • VaR(95%) (moments method)
    0.07650
  • Expected Shortfall (moments method)
    0.08037
  • Extreme Value Index (regression method)
    -0.93549
  • VaR(95%) (regression method)
    0.09411
  • Expected Shortfall (regression method)
    0.10238
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01153
  • Quartile 1
    0.06188
  • Median
    0.09060
  • Quartile 3
    0.12825
  • Maximum
    0.20539
  • Mean of quarter 1
    0.01153
  • Mean of quarter 2
    0.07866
  • Mean of quarter 3
    0.10253
  • Mean of quarter 4
    0.20539
  • Inter Quartile Range
    0.06637
  • 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)
    0.69720
  • Compounded annual return (geometric extrapolation)
    0.58823
  • Calmar ratio (compounded annual return / max draw down)
    2.86395
  • Compounded annual return / average of 25% largest draw downs
    2.86395
  • Compounded annual return / Expected Shortfall lognormal
    3.42276
  • 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
    0.44932
  • SD
    0.23332
  • Sharpe ratio (Glass type estimate)
    1.92576
  • Sharpe ratio (Hedges UMVUE)
    1.92254
  • df
    448.00000
  • t
    2.52101
  • p
    0.00602
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42222
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.42719
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.42500
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.27574
  • Upside Potential Ratio
    9.72898
  • Upside part of mean
    1.33449
  • Downside part of mean
    -0.88517
  • Upside SD
    0.19046
  • Downside SD
    0.13717
  • N nonnegative terms
    187.00000
  • N negative terms
    262.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    449.00000
  • Mean of predictor
    0.07181
  • Mean of criterion
    0.44932
  • SD of predictor
    0.14950
  • SD of criterion
    0.23332
  • Covariance
    0.00168
  • r
    0.04828
  • b (slope, estimate of beta)
    0.07535
  • a (intercept, estimate of alpha)
    0.44400
  • Mean Square Error
    0.05443
  • DF error
    447.00000
  • t(b)
    1.02193
  • p(b)
    0.15368
  • t(a)
    2.48968
  • p(a)
    0.00657
  • Lowerbound of 95% confidence interval for beta
    -0.06956
  • Upperbound of 95% confidence interval for beta
    0.22026
  • Lowerbound of 95% confidence interval for alpha
    0.09350
  • Upperbound of 95% confidence interval for alpha
    0.79432
  • Treynor index (mean / b)
    5.96311
  • Jensen alpha (a)
    0.44391
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42201
  • SD
    0.23177
  • Sharpe ratio (Glass type estimate)
    1.82078
  • Sharpe ratio (Hedges UMVUE)
    1.81773
  • df
    448.00000
  • t
    2.38358
  • p
    0.00878
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31786
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32171
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31582
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31964
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.03002
  • Upside Potential Ratio
    9.45379
  • Upside part of mean
    1.31668
  • Downside part of mean
    -0.89467
  • Upside SD
    0.18676
  • Downside SD
    0.13928
  • N nonnegative terms
    187.00000
  • N negative terms
    262.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    449.00000
  • Mean of predictor
    0.06061
  • Mean of criterion
    0.42201
  • SD of predictor
    0.14983
  • SD of criterion
    0.23177
  • Covariance
    0.00166
  • r
    0.04783
  • b (slope, estimate of beta)
    0.07400
  • a (intercept, estimate of alpha)
    0.41752
  • Mean Square Error
    0.05372
  • DF error
    447.00000
  • t(b)
    1.01249
  • p(b)
    0.15593
  • t(a)
    2.35757
  • p(a)
    0.00941
  • Lowerbound of 95% confidence interval for beta
    -0.06963
  • Upperbound of 95% confidence interval for beta
    0.21763
  • Lowerbound of 95% confidence interval for alpha
    0.06947
  • Upperbound of 95% confidence interval for alpha
    0.76557
  • Treynor index (mean / b)
    5.70306
  • Jensen alpha (a)
    0.41752
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02170
  • Expected Shortfall on VaR
    0.02753
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00846
  • Expected Shortfall on VaR
    0.01761
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    449.00000
  • Minimum
    0.95406
  • Quartile 1
    0.99777
  • Median
    1.00000
  • Quartile 3
    1.00551
  • Maximum
    1.07305
  • Mean of quarter 1
    0.98727
  • Mean of quarter 2
    0.99955
  • Mean of quarter 3
    1.00154
  • Mean of quarter 4
    1.01906
  • Inter Quartile Range
    0.00774
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.07350
  • Mean of outliers low
    0.97296
  • Number of outliers high
    49.00000
  • Percentage of outliers high
    0.10913
  • Mean of outliers high
    1.03075
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26769
  • VaR(95%) (moments method)
    0.00865
  • Expected Shortfall (moments method)
    0.01537
  • Extreme Value Index (regression method)
    -0.00674
  • VaR(95%) (regression method)
    0.01206
  • Expected Shortfall (regression method)
    0.01807
  • 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
    0.27733
  • Mean of quarter 1
    0.00166
  • Mean of quarter 2
    0.00543
  • Mean of quarter 3
    0.02334
  • Mean of quarter 4
    0.17557
  • 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
    3.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    0.20214
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -4.16024
  • VaR(95%) (moments method)
    0.11635
  • Expected Shortfall (moments method)
    0.11644
  • Extreme Value Index (regression method)
    -0.63792
  • VaR(95%) (regression method)
    0.22759
  • Expected Shortfall (regression method)
    0.26349
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.67805
  • Compounded annual return (geometric extrapolation)
    0.56817
  • Calmar ratio (compounded annual return / max draw down)
    2.04872
  • Compounded annual return / average of 25% largest draw downs
    3.23613
  • Compounded annual return / Expected Shortfall lognormal
    20.64210
  • 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
    0.08291
  • SD
    0.23924
  • Sharpe ratio (Glass type estimate)
    0.34655
  • Sharpe ratio (Hedges UMVUE)
    0.34455
  • df
    130.00000
  • t
    0.24505
  • p
    0.48926
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.42618
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.11808
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.42757
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.11667
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.56524
  • Upside Potential Ratio
    6.61833
  • Upside part of mean
    0.97078
  • Downside part of mean
    -0.88787
  • Upside SD
    0.18791
  • Downside SD
    0.14668
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26098
  • Mean of criterion
    0.08291
  • SD of predictor
    0.11507
  • SD of criterion
    0.23924
  • Covariance
    0.00014
  • r
    0.00498
  • b (slope, estimate of beta)
    0.01036
  • a (intercept, estimate of alpha)
    0.08021
  • Mean Square Error
    0.05768
  • DF error
    129.00000
  • t(b)
    0.05661
  • p(b)
    0.49683
  • t(a)
    0.23384
  • p(a)
    0.48690
  • Lowerbound of 95% confidence interval for beta
    -0.35183
  • Upperbound of 95% confidence interval for beta
    0.37255
  • Lowerbound of 95% confidence interval for alpha
    -0.59841
  • Upperbound of 95% confidence interval for alpha
    0.75882
  • Treynor index (mean / b)
    8.00055
  • Jensen alpha (a)
    0.08021
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05486
  • SD
    0.23695
  • Sharpe ratio (Glass type estimate)
    0.23154
  • Sharpe ratio (Hedges UMVUE)
    0.23020
  • df
    130.00000
  • t
    0.16373
  • p
    0.49282
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.54077
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00313
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.54174
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00215
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.36763
  • Upside Potential Ratio
    6.39009
  • Upside part of mean
    0.95365
  • Downside part of mean
    -0.89879
  • Upside SD
    0.18291
  • Downside SD
    0.14924
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25424
  • Mean of criterion
    0.05486
  • SD of predictor
    0.11528
  • SD of criterion
    0.23695
  • Covariance
    0.00011
  • r
    0.00385
  • b (slope, estimate of beta)
    0.00791
  • a (intercept, estimate of alpha)
    0.05285
  • Mean Square Error
    0.05658
  • DF error
    129.00000
  • t(b)
    0.04372
  • p(b)
    0.49755
  • t(a)
    0.15567
  • p(a)
    0.49128
  • Lowerbound of 95% confidence interval for beta
    -0.35013
  • Upperbound of 95% confidence interval for beta
    0.36595
  • Lowerbound of 95% confidence interval for alpha
    -0.61891
  • Upperbound of 95% confidence interval for alpha
    0.72461
  • Treynor index (mean / b)
    6.93475
  • Jensen alpha (a)
    0.05285
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02359
  • Expected Shortfall on VaR
    0.02953
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00977
  • Expected Shortfall on VaR
    0.02020
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95406
  • Quartile 1
    0.99822
  • Median
    1.00000
  • Quartile 3
    1.00106
  • Maximum
    1.07305
  • Mean of quarter 1
    0.98697
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00005
  • Mean of quarter 4
    1.01477
  • Inter Quartile Range
    0.00284
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.16031
  • Mean of outliers low
    0.98156
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.02150
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52535
  • VaR(95%) (moments method)
    0.00935
  • Expected Shortfall (moments method)
    0.02386
  • Extreme Value Index (regression method)
    0.23610
  • VaR(95%) (regression method)
    0.01264
  • Expected Shortfall (regression method)
    0.02311
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00869
  • Quartile 1
    0.06264
  • Median
    0.11659
  • Quartile 3
    0.17054
  • Maximum
    0.22449
  • Mean of quarter 1
    0.00869
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22449
  • Inter Quartile Range
    0.10790
  • 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)
    0.08451
  • Compounded annual return (geometric extrapolation)
    0.08629
  • Calmar ratio (compounded annual return / max draw down)
    0.38440
  • Compounded annual return / average of 25% largest draw downs
    0.38440
  • Compounded annual return / Expected Shortfall lognormal
    2.92252

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
2218
# Profitable
1145
% Profitable
51.6%
Correlation S&P500
0.070
Sharpe Ratio
0.99
Sortino Ratio
1.61
Beta
0.13
Alpha
0.08

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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