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AfterEarningsQuant
(114286063)

Created by: johnkur johnkur
Started: 10/2017
Stocks
Last trade: 4 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.

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.
18.5%
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
2094
Num Trades
51.2%
Win Trades
1.1 : 1
Profit Factor
55.6%
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%)(7.3%)                                                      (28.6%)

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 2,161 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/22/19 9:32 JKS JINKOSOLAR HOLDING SHORT 340 18.51 3/22 15:45 17.11 0.38%
Trade id #123029012
Max drawdown($159)
Time3/22/19 9:53
Quant open-340
Worst price18.98
Drawdown as % of equity-0.38%
$469
Includes Typical Broker Commissions trade costs of $6.80
3/22/19 9:30 HIBB HIBBETT SPORTS LONG 394 23.00 3/22 15:45 21.91 1.56%
Trade id #123028796
Max drawdown($661)
Time3/22/19 9:32
Quant open394
Worst price21.32
Drawdown as % of equity-1.56%
($437)
Includes Typical Broker Commissions trade costs of $7.88
3/21/19 9:30 WSM WILLIAMS-SONOMA LONG 121 59.19 3/21 15:45 59.07 0.56%
Trade id #123011233
Max drawdown($234)
Time3/21/19 9:41
Quant open121
Worst price57.25
Drawdown as % of equity-0.56%
($17)
Includes Typical Broker Commissions trade costs of $2.42
3/21/19 9:30 GIII G-III APPAREL GROUP LONG 196 38.20 3/21 15:45 39.06 0.75%
Trade id #123011170
Max drawdown($317)
Time3/21/19 9:32
Quant open196
Worst price36.58
Drawdown as % of equity-0.75%
$165
Includes Typical Broker Commissions trade costs of $3.92
3/19/19 9:30 DSW DSW SHORT 278 22.91 3/19 15:45 22.05 0.11%
Trade id #122969026
Max drawdown($46)
Time3/19/19 9:32
Quant open-278
Worst price23.08
Drawdown as % of equity-0.11%
$234
Includes Typical Broker Commissions trade costs of $5.56
3/19/19 9:30 TLRY TILRAY INC. CLASS 2 COMMON STOCK SHORT 98 75.15 3/19 15:45 70.09 n/a $494
Includes Typical Broker Commissions trade costs of $1.96
3/19/19 9:30 HQY HEALTHEQUITY INC. COMMON STOC LONG 86 81.24 3/19 15:45 84.08 0.22%
Trade id #122968927
Max drawdown($89)
Time3/19/19 9:32
Quant open86
Worst price80.20
Drawdown as % of equity-0.22%
$242
Includes Typical Broker Commissions trade costs of $1.72
3/15/19 9:30 PVTL PIVOTAL SOFTWARE INC SHORT 311 21.42 3/15 15:45 21.63 0.89%
Trade id #122924909
Max drawdown($366)
Time3/15/19 11:09
Quant open-311
Worst price22.60
Drawdown as % of equity-0.89%
($71)
Includes Typical Broker Commissions trade costs of $6.22
3/15/19 9:30 NDLS NOODLES & CO CLASS A SHORT 953 6.96 3/15 15:45 6.36 n/a $567
Includes Typical Broker Commissions trade costs of $5.00
3/15/19 9:30 DOCU DOCUSIGN INC. COMMON STOCK LONG 119 58.00 3/15 15:45 56.40 0.48%
Trade id #122924894
Max drawdown($196)
Time3/15/19 15:42
Quant open119
Worst price56.35
Drawdown as % of equity-0.48%
($192)
Includes Typical Broker Commissions trade costs of $2.38
3/15/19 9:30 TLYS TILLY'S LONG 615 10.82 3/15 15:45 11.28 0.17%
Trade id #122924884
Max drawdown($67)
Time3/15/19 9:33
Quant open615
Worst price10.71
Drawdown as % of equity-0.17%
$278
Includes Typical Broker Commissions trade costs of $5.00
3/15/19 9:30 VRAY VIEWRAY INC. COMMON STOCK LONG 829 7.91 3/15 15:45 8.16 0.16%
Trade id #122924851
Max drawdown($66)
Time3/15/19 9:32
Quant open829
Worst price7.83
Drawdown as % of equity-0.16%
$202
Includes Typical Broker Commissions trade costs of $5.00
3/15/19 9:30 PDLI PDL BIOPHARMA LONG 1,989 3.50 3/15 15:45 3.56 0.14%
Trade id #122924835
Max drawdown($59)
Time3/15/19 11:29
Quant open1,989
Worst price3.47
Drawdown as % of equity-0.14%
$114
Includes Typical Broker Commissions trade costs of $5.00
3/14/19 9:30 HUD HUDSON LTD SHORT 498 13.59 3/14 15:45 14.44 2.19%
Trade id #122909143
Max drawdown($886)
Time3/14/19 10:16
Quant open-498
Worst price15.37
Drawdown as % of equity-2.19%
($433)
Includes Typical Broker Commissions trade costs of $9.96
3/14/19 9:30 SFS SMART & FINAL STORES INC SHORT 1,127 5.75 3/14 15:45 5.26 n/a $547
Includes Typical Broker Commissions trade costs of $5.00
3/14/19 9:30 VKTX VIKING THERAPEUTICS INC. COMMON STOCK LONG 868 8.06 3/14 15:45 7.70 1.2%
Trade id #122909119
Max drawdown($477)
Time3/14/19 11:29
Quant open868
Worst price7.51
Drawdown as % of equity-1.20%
($317)
Includes Typical Broker Commissions trade costs of $5.00
3/14/19 9:30 FSM FORTUNA SILVER MINES INC. LONG 1,961 3.61 3/14 15:45 3.62 0.53%
Trade id #122909107
Max drawdown($215)
Time3/14/19 9:37
Quant open1,961
Worst price3.50
Drawdown as % of equity-0.53%
$15
Includes Typical Broker Commissions trade costs of $5.00
3/14/19 9:30 AZUL AZUL S.A. SHORT 222 32.24 3/14 15:45 32.00 0.24%
Trade id #122909097
Max drawdown($95)
Time3/14/19 9:50
Quant open-222
Worst price32.67
Drawdown as % of equity-0.24%
$49
Includes Typical Broker Commissions trade costs of $4.44
3/13/19 9:30 EXPR EXPRESS LONG 1,416 4.42 3/13 15:45 4.53 0.42%
Trade id #122891596
Max drawdown($169)
Time3/13/19 13:57
Quant open1,416
Worst price4.30
Drawdown as % of equity-0.42%
$151
Includes Typical Broker Commissions trade costs of $5.00
3/13/19 9:30 CARA CARA THERAPEUTICS INC. COMMON LONG 401 19.12 3/13 15:45 19.41 1.25%
Trade id #122891538
Max drawdown($497)
Time3/13/19 9:33
Quant open401
Worst price17.88
Drawdown as % of equity-1.25%
$108
Includes Typical Broker Commissions trade costs of $8.02
3/13/19 9:30 NRE NORTH STAR REALTY EUROPE CORP SHORT 382 18.24 3/13 15:45 18.05 0.12%
Trade id #122891533
Max drawdown($49)
Time3/13/19 9:33
Quant open-382
Worst price18.37
Drawdown as % of equity-0.12%
$65
Includes Typical Broker Commissions trade costs of $7.64
3/12/19 9:30 KEYW KEYW HOLDING SHORT 925 7.26 3/12 15:45 8.31 2.7%
Trade id #122876714
Max drawdown($1,091)
Time3/12/19 12:42
Quant open-925
Worst price8.44
Drawdown as % of equity-2.70%
($976)
Includes Typical Broker Commissions trade costs of $5.00
3/12/19 9:30 SFIX STITCH FIX INC. CLASS A COMMON STOCK LONG 266 34.25 3/12 15:45 33.93 0.69%
Trade id #122876700
Max drawdown($287)
Time3/12/19 10:13
Quant open266
Worst price33.17
Drawdown as % of equity-0.69%
($90)
Includes Typical Broker Commissions trade costs of $5.32
3/8/19 9:31 MTN VAIL RESORTS LONG 35 208.00 3/8 15:45 216.66 0.23%
Trade id #122833931
Max drawdown($99)
Time3/8/19 9:33
Quant open35
Worst price205.17
Drawdown as % of equity-0.23%
$302
Includes Typical Broker Commissions trade costs of $0.70
3/8/19 9:30 BIG BIG LOTS LONG 221 34.96 3/8 15:45 36.04 0.6%
Trade id #122833922
Max drawdown($243)
Time3/8/19 10:14
Quant open221
Worst price33.86
Drawdown as % of equity-0.60%
$235
Includes Typical Broker Commissions trade costs of $4.42
3/8/19 9:30 ACRX ACELRX PHARMACEUTICALS LONG 1,928 3.57 3/8 15:45 3.28 1.44%
Trade id #122833857
Max drawdown($611)
Time3/8/19 9:34
Quant open1,928
Worst price3.25
Drawdown as % of equity-1.44%
($559)
Includes Typical Broker Commissions trade costs of $5.00
3/8/19 9:30 NAV NAVISTAR INTERNATIONAL SHORT 199 35.49 3/8 15:45 34.02 0.43%
Trade id #122833851
Max drawdown($181)
Time3/8/19 9:34
Quant open-199
Worst price36.40
Drawdown as % of equity-0.43%
$289
Includes Typical Broker Commissions trade costs of $3.98
3/8/19 9:30 NSTG NANOSTRING TECHNOLOGIES INC. SHORT 249 22.60 3/8 15:45 29.52 4.46%
Trade id #122833819
Max drawdown($1,842)
Time3/8/19 11:31
Quant open-249
Worst price30.00
Drawdown as % of equity-4.46%
($1,728)
Includes Typical Broker Commissions trade costs of $4.98
3/7/19 9:34 TWI TITAN INTERNATIONAL SHORT 1,140 5.89 3/7 15:45 4.86 n/a $1,169
Includes Typical Broker Commissions trade costs of $5.00
3/7/19 9:31 HRB H&R BLOCK SHORT 296 23.53 3/7 15:45 24.08 0.89%
Trade id #122817314
Max drawdown($372)
Time3/7/19 10:21
Quant open-296
Worst price24.79
Drawdown as % of equity-0.89%
($169)
Includes Typical Broker Commissions trade costs of $5.92

Statistics

  • Strategy began
    10/15/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    526.44
  • Age
    18 months ago
  • What it trades
    Stocks
  • # Trades
    2094
  • # Profitable
    1073
  • % Profitable
    51.20%
  • Avg trade duration
    6.4 hours
  • Max peak-to-valley drawdown
    40.57%
  • drawdown period
    Nov 01, 2018 - March 13, 2019
  • Annual Return (Compounded)
    18.5%
  • Avg win
    $203.90
  • Avg loss
    $197.25
  • Model Account Values (Raw)
  • Cash
    $42,398
  • Margin Used
    $0
  • Buying Power
    $42,398
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    1.563
  • Sortino Ratio
    2.485
  • Calmar Ratio
    1.63
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.07300
  • Return Statistics
  • Ann Return (w trading costs)
    18.5%
  • Ann Return (Compnd, No Fees)
    44.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    40.00%
  • Chance of 20% account loss
    11.50%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    523
  • Popularity (Last 6 weeks)
    895
  • C2 Score
    34.0
  • 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
    $197
  • Avg Win
    $204
  • # Winners
    1073
  • # Losers
    1021
  • % Winners
    51.2%
  • Frequency
  • Avg Position Time (mins)
    381.20
  • Avg Position Time (hrs)
    6.35
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    4
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51043
  • SD
    0.41483
  • Sharpe ratio (Glass type estimate)
    1.23044
  • Sharpe ratio (Hedges UMVUE)
    1.16770
  • df
    15.00000
  • t
    1.42079
  • p
    0.28516
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54124
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.96401
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91575
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.68784
  • Upside Potential Ratio
    5.60434
  • Upside part of mean
    0.77569
  • Downside part of mean
    -0.26526
  • Upside SD
    0.40483
  • Downside SD
    0.13841
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.04147
  • Mean of criterion
    0.51043
  • SD of predictor
    0.13137
  • SD of criterion
    0.41483
  • Covariance
    -0.00711
  • r
    -0.13048
  • b (slope, estimate of beta)
    -0.41203
  • a (intercept, estimate of alpha)
    0.52751
  • Mean Square Error
    0.18124
  • DF error
    14.00000
  • t(b)
    -0.49244
  • p(b)
    0.56524
  • t(a)
    1.42450
  • p(a)
    0.32210
  • Lowerbound of 95% confidence interval for beta
    -2.20661
  • Upperbound of 95% confidence interval for beta
    1.38254
  • Lowerbound of 95% confidence interval for alpha
    -0.26673
  • Upperbound of 95% confidence interval for alpha
    1.32176
  • Treynor index (mean / b)
    -1.23880
  • Jensen alpha (a)
    0.52751
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42927
  • SD
    0.37932
  • Sharpe ratio (Glass type estimate)
    1.13167
  • Sharpe ratio (Hedges UMVUE)
    1.07397
  • df
    15.00000
  • t
    1.30675
  • p
    0.30000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63024
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.85822
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66637
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81431
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.97075
  • Upside Potential Ratio
    4.87232
  • Upside part of mean
    0.70404
  • Downside part of mean
    -0.27477
  • Upside SD
    0.35968
  • Downside SD
    0.14450
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.03324
  • Mean of criterion
    0.42927
  • SD of predictor
    0.13143
  • SD of criterion
    0.37932
  • Covariance
    -0.00664
  • r
    -0.13314
  • b (slope, estimate of beta)
    -0.38423
  • a (intercept, estimate of alpha)
    0.44204
  • Mean Square Error
    0.15143
  • DF error
    14.00000
  • t(b)
    -0.50262
  • p(b)
    0.56657
  • t(a)
    1.30796
  • p(a)
    0.33501
  • Lowerbound of 95% confidence interval for beta
    -2.02382
  • Upperbound of 95% confidence interval for beta
    1.25536
  • Lowerbound of 95% confidence interval for alpha
    -0.28281
  • Upperbound of 95% confidence interval for alpha
    1.16689
  • Treynor index (mean / b)
    -1.11720
  • Jensen alpha (a)
    0.44204
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13441
  • Expected Shortfall on VaR
    0.17245
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04750
  • Expected Shortfall on VaR
    0.08802
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.89573
  • Quartile 1
    0.96479
  • Median
    1.01886
  • Quartile 3
    1.08315
  • Maximum
    1.31774
  • Mean of quarter 1
    0.93069
  • Mean of quarter 2
    0.98962
  • Mean of quarter 3
    1.04624
  • Mean of quarter 4
    1.21290
  • 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
    0.12500
  • Mean of outliers high
    1.29553
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.70301
  • VaR(95%) (moments method)
    0.07589
  • Expected Shortfall (moments method)
    0.08622
  • Extreme Value Index (regression method)
    -0.70609
  • VaR(95%) (regression method)
    0.08963
  • Expected Shortfall (regression method)
    0.10049
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01153
  • Quartile 1
    0.06188
  • Median
    0.09060
  • Quartile 3
    0.11137
  • Maximum
    0.13789
  • Mean of quarter 1
    0.01153
  • Mean of quarter 2
    0.07866
  • Mean of quarter 3
    0.10253
  • Mean of quarter 4
    0.13789
  • Inter Quartile Range
    0.04949
  • 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)
    0.62972
  • Compounded annual return (geometric extrapolation)
    0.57960
  • Calmar ratio (compounded annual return / max draw down)
    4.20323
  • Compounded annual return / average of 25% largest draw downs
    4.20323
  • Compounded annual return / Expected Shortfall lognormal
    3.36102
  • 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
    0.37352
  • SD
    0.23855
  • Sharpe ratio (Glass type estimate)
    1.56579
  • Sharpe ratio (Hedges UMVUE)
    1.56261
  • df
    370.00000
  • t
    1.86324
  • p
    0.03161
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08616
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.21569
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08830
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.21352
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.48475
  • Upside Potential Ratio
    9.43002
  • Upside part of mean
    1.41758
  • Downside part of mean
    -1.04406
  • Upside SD
    0.18625
  • Downside SD
    0.15033
  • N nonnegative terms
    171.00000
  • N negative terms
    200.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    371.00000
  • Mean of predictor
    0.04769
  • Mean of criterion
    0.37352
  • SD of predictor
    0.15536
  • SD of criterion
    0.23855
  • Covariance
    0.00180
  • r
    0.04858
  • b (slope, estimate of beta)
    0.07460
  • a (intercept, estimate of alpha)
    0.37000
  • Mean Square Error
    0.05693
  • DF error
    369.00000
  • t(b)
    0.93434
  • p(b)
    0.17537
  • t(a)
    1.84485
  • p(a)
    0.03293
  • Lowerbound of 95% confidence interval for beta
    -0.08240
  • Upperbound of 95% confidence interval for beta
    0.23159
  • Lowerbound of 95% confidence interval for alpha
    -0.02438
  • Upperbound of 95% confidence interval for alpha
    0.76431
  • Treynor index (mean / b)
    5.00722
  • Jensen alpha (a)
    0.36997
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34499
  • SD
    0.23780
  • Sharpe ratio (Glass type estimate)
    1.45075
  • Sharpe ratio (Hedges UMVUE)
    1.44781
  • df
    370.00000
  • t
    1.72635
  • p
    0.04256
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20057
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10019
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20256
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09817
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.26001
  • Upside Potential Ratio
    9.17437
  • Upside part of mean
    1.40047
  • Downside part of mean
    -1.05548
  • Upside SD
    0.18317
  • Downside SD
    0.15265
  • N nonnegative terms
    171.00000
  • N negative terms
    200.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    371.00000
  • Mean of predictor
    0.03561
  • Mean of criterion
    0.34499
  • SD of predictor
    0.15568
  • SD of criterion
    0.23780
  • Covariance
    0.00178
  • r
    0.04815
  • b (slope, estimate of beta)
    0.07354
  • a (intercept, estimate of alpha)
    0.34237
  • Mean Square Error
    0.05657
  • DF error
    369.00000
  • t(b)
    0.92596
  • p(b)
    0.17754
  • t(a)
    1.71274
  • p(a)
    0.04380
  • Lowerbound of 95% confidence interval for beta
    -0.08264
  • Upperbound of 95% confidence interval for beta
    0.22973
  • Lowerbound of 95% confidence interval for alpha
    -0.05071
  • Upperbound of 95% confidence interval for alpha
    0.73545
  • Treynor index (mean / b)
    4.69090
  • Jensen alpha (a)
    0.34237
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02259
  • Expected Shortfall on VaR
    0.02856
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00953
  • Expected Shortfall on VaR
    0.01954
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    371.00000
  • Minimum
    0.95406
  • Quartile 1
    0.99622
  • Median
    1.00000
  • Quartile 3
    1.00670
  • Maximum
    1.05725
  • Mean of quarter 1
    0.98535
  • Mean of quarter 2
    0.99898
  • Mean of quarter 3
    1.00233
  • Mean of quarter 4
    1.01947
  • Inter Quartile Range
    0.01047
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.05930
  • Mean of outliers low
    0.96761
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.07547
  • Mean of outliers high
    1.03467
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32238
  • VaR(95%) (moments method)
    0.01267
  • Expected Shortfall (moments method)
    0.02310
  • Extreme Value Index (regression method)
    0.02157
  • VaR(95%) (regression method)
    0.01336
  • Expected Shortfall (regression method)
    0.01952
  • 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)
    0.49123
  • Compounded annual return (geometric extrapolation)
    0.45194
  • Calmar ratio (compounded annual return / max draw down)
    1.62960
  • Compounded annual return / average of 25% largest draw downs
    2.57408
  • Compounded annual return / Expected Shortfall lognormal
    15.82580
  • 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
    -0.25291
  • SD
    0.23220
  • Sharpe ratio (Glass type estimate)
    -1.08922
  • Sharpe ratio (Hedges UMVUE)
    -1.08293
  • df
    130.00000
  • t
    -0.77020
  • p
    0.53370
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.86214
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68780
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.85786
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69200
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.49968
  • Upside Potential Ratio
    5.71137
  • Upside part of mean
    0.96319
  • Downside part of mean
    -1.21610
  • Upside SD
    0.15908
  • Downside SD
    0.16864
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08592
  • Mean of criterion
    -0.25291
  • SD of predictor
    0.19473
  • SD of criterion
    0.23220
  • Covariance
    -0.00096
  • r
    -0.02130
  • b (slope, estimate of beta)
    -0.02539
  • a (intercept, estimate of alpha)
    -0.25509
  • Mean Square Error
    0.05431
  • DF error
    129.00000
  • t(b)
    -0.24193
  • p(b)
    0.51356
  • t(a)
    -0.77373
  • p(a)
    0.54324
  • Lowerbound of 95% confidence interval for beta
    -0.23306
  • Upperbound of 95% confidence interval for beta
    0.18228
  • Lowerbound of 95% confidence interval for alpha
    -0.90740
  • Upperbound of 95% confidence interval for alpha
    0.39721
  • Treynor index (mean / b)
    9.95981
  • Jensen alpha (a)
    -0.25509
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.27973
  • SD
    0.23194
  • Sharpe ratio (Glass type estimate)
    -1.20604
  • Sharpe ratio (Hedges UMVUE)
    -1.19907
  • df
    130.00000
  • t
    -0.85280
  • p
    0.53729
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.97942
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.97470
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57657
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.63191
  • Upside Potential Ratio
    5.54666
  • Upside part of mean
    0.95077
  • Downside part of mean
    -1.23051
  • Upside SD
    0.15589
  • Downside SD
    0.17141
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10474
  • Mean of criterion
    -0.27973
  • SD of predictor
    0.19472
  • SD of criterion
    0.23194
  • Covariance
    -0.00106
  • r
    -0.02351
  • b (slope, estimate of beta)
    -0.02800
  • a (intercept, estimate of alpha)
    -0.28266
  • Mean Square Error
    0.05418
  • DF error
    129.00000
  • t(b)
    -0.26707
  • p(b)
    0.51496
  • t(a)
    -0.85818
  • p(a)
    0.54792
  • Lowerbound of 95% confidence interval for beta
    -0.23544
  • Upperbound of 95% confidence interval for beta
    0.17944
  • Lowerbound of 95% confidence interval for alpha
    -0.93434
  • Upperbound of 95% confidence interval for alpha
    0.36902
  • Treynor index (mean / b)
    9.99001
  • Jensen alpha (a)
    -0.28266
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02434
  • Expected Shortfall on VaR
    0.03015
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01185
  • Expected Shortfall on VaR
    0.02364
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95406
  • Quartile 1
    0.99494
  • Median
    1.00000
  • Quartile 3
    1.00281
  • Maximum
    1.05725
  • Mean of quarter 1
    0.98325
  • Mean of quarter 2
    0.99858
  • Mean of quarter 3
    1.00094
  • Mean of quarter 4
    1.01386
  • Inter Quartile Range
    0.00786
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.96891
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.03012
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32712
  • VaR(95%) (moments method)
    0.01566
  • Expected Shortfall (moments method)
    0.02831
  • Extreme Value Index (regression method)
    0.12546
  • VaR(95%) (regression method)
    0.01875
  • Expected Shortfall (regression method)
    0.02943
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00235
  • Quartile 1
    0.00561
  • Median
    0.01136
  • Quartile 3
    0.08136
  • Maximum
    0.27733
  • Mean of quarter 1
    0.00235
  • Mean of quarter 2
    0.00669
  • Mean of quarter 3
    0.01603
  • Mean of quarter 4
    0.27733
  • Inter Quartile Range
    0.07575
  • 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
    0.25000
  • Mean of outliers high
    0.27733
  • 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)
    -0.23661
  • Compounded annual return (geometric extrapolation)
    -0.22262
  • Calmar ratio (compounded annual return / max draw down)
    -0.80272
  • Compounded annual return / average of 25% largest draw downs
    -0.80272
  • Compounded annual return / Expected Shortfall lognormal
    -7.38437

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
2094
# Profitable
1073
% Profitable
51.2%
Correlation S&P500
0.073
Sharpe Ratio
1.563

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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