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JC Alpha
(78115907)

Created by: JCAlpha JCAlpha
Started: 12/2012
Stocks
Last trade: Yesterday

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

7.3%
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.

(26.5%)
Max Drawdown
2438
Num Trades
66.9%
Win Trades
1.4 : 1
Profit Factor
57.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                             (1.1%)(1.1%)
2013(0.7%)(0.6%)(3.2%)(2.3%)+1.4%(2.2%)+1.8%+4.1%+1.6%+0.9%(3.2%)+5.7%+3.1%
2014  -  +5.7%+2.4%+5.2%(3.3%)(14.7%)+18.1%+1.6%(5%)+2.2%(0.9%)+6.8%+15.5%
2015+1.3%+4.0%+0.7%+1.9%+5.5%(2%)+2.3%(5.8%)(2.6%)+5.2%+3.0%+3.3%+17.1%
2016(2%)+5.7%  -  +0.3%+1.9%+3.5%(0.7%)(0.2%)(0.1%)+1.2%+2.5%+0.6%+13.2%
2017+1.2%+1.6%+1.4%(0.1%)(1.6%)+1.3%+1.0%(1%)(4.5%)(0.6%)(1.5%)(0.7%)(3.7%)
2018(2.2%)(4.3%)+0.5%+2.3%+0.7%(2.2%)+0.8%+0.9%+0.1%(4.2%)+9.0%(0.1%)+0.7%
2019+1.3%+1.4%+0.4%(0.5%)(3.6%)+5.2%+0.9%                              +5.0%

Model Account Details

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

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

Trading Record

This strategy has placed 3,560 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/12/19 15:40 UNH UNITEDHEALTH GROUP SHORT 18 265.69 7/19 13:03 257.26 0.03%
Trade id #124442145
Max drawdown($54)
Time7/12/19 15:40
Quant open18
Worst price268.69
Drawdown as % of equity-0.03%
$152
Includes Typical Broker Commissions trade costs of $0.36
7/3/19 9:30 JPM JPMORGAN CHASE SHORT 41 113.80 7/19 13:03 114.44 0.05%
Trade id #124323618
Max drawdown($72)
Time7/3/19 9:30
Quant open41
Worst price115.57
Drawdown as % of equity-0.05%
($27)
Includes Typical Broker Commissions trade costs of $0.82
7/12/19 15:42 MRK MERCK LONG 58 79.60 7/18 15:48 82.64 0%
Trade id #124442199
Max drawdown($5)
Time7/12/19 15:42
Quant open58
Worst price79.50
Drawdown as % of equity-0.00%
$176
Includes Typical Broker Commissions trade costs of $1.16
7/8/19 15:48 NKE NIKE SHORT 53 88.44 7/18 15:48 87.25 0.05%
Trade id #124377280
Max drawdown($75)
Time7/8/19 15:48
Quant open53
Worst price89.87
Drawdown as % of equity-0.05%
$62
Includes Typical Broker Commissions trade costs of $1.06
7/11/19 15:51 ANTM ANTHEM INC SHORT 15 303.61 7/18 15:47 303.86 0.08%
Trade id #124426780
Max drawdown($132)
Time7/11/19 15:51
Quant open15
Worst price312.48
Drawdown as % of equity-0.08%
($4)
Includes Typical Broker Commissions trade costs of $0.30
7/12/19 9:30 ICE INTERCONTINENTALEXCHANGE SHORT 51 91.48 7/18 15:47 91.46 0.03%
Trade id #124434406
Max drawdown($42)
Time7/12/19 9:30
Quant open51
Worst price92.31
Drawdown as % of equity-0.03%
$0
Includes Typical Broker Commissions trade costs of $1.02
7/17/19 15:44 CHTR CHARTER COMMUNICATIONS SHORT 12 414.87 7/18 9:42 413.21 0.01%
Trade id #124504933
Max drawdown($14)
Time7/17/19 15:44
Quant open12
Worst price416.05
Drawdown as % of equity-0.01%
$20
Includes Typical Broker Commissions trade costs of $0.24
7/1/19 15:41 BLK BLACKROCK SHORT 10 472.27 7/17 15:46 471.64 0.07%
Trade id #124295624
Max drawdown($112)
Time7/1/19 15:41
Quant open10
Worst price483.49
Drawdown as % of equity-0.07%
$6
Includes Typical Broker Commissions trade costs of $0.20
7/15/19 15:52 TXN TEXAS INSTRUMENTS SHORT 40 119.86 7/17 15:45 117.50 0%
Trade id #124467259
Max drawdown($2)
Time7/15/19 15:52
Quant open40
Worst price119.92
Drawdown as % of equity-0.00%
$93
Includes Typical Broker Commissions trade costs of $0.80
7/3/19 9:30 ISRG INTUITIVE SURGICAL SHORT 9 530.00 7/16 15:52 516.72 0.06%
Trade id #124323586
Max drawdown($94)
Time7/3/19 9:30
Quant open9
Worst price540.46
Drawdown as % of equity-0.06%
$120
Includes Typical Broker Commissions trade costs of $0.18
7/10/19 15:50 EMR EMERSON ELECTRIC LONG 73 63.72 7/15 15:52 65.70 0.01%
Trade id #124408268
Max drawdown($19)
Time7/10/19 15:50
Quant open73
Worst price63.45
Drawdown as % of equity-0.01%
$144
Includes Typical Broker Commissions trade costs of $1.46
7/9/19 11:18 SYK STRYKER SHORT 22 208.56 7/15 15:51 205.31 0.03%
Trade id #124389113
Max drawdown($50)
Time7/9/19 11:18
Quant open22
Worst price210.85
Drawdown as % of equity-0.03%
$72
Includes Typical Broker Commissions trade costs of $0.44
7/12/19 15:38 COST COSTCO WHOLESALE SHORT 17 279.94 7/15 15:50 280.44 0.01%
Trade id #124442098
Max drawdown($10)
Time7/12/19 15:38
Quant open17
Worst price280.54
Drawdown as % of equity-0.01%
($8)
Includes Typical Broker Commissions trade costs of $0.34
6/21/19 15:30 CCL CARNIVAL LONG 99 46.78 7/12 15:42 46.30 0.13%
Trade id #124186367
Max drawdown($199)
Time6/21/19 15:30
Quant open99
Worst price44.76
Drawdown as % of equity-0.13%
($49)
Includes Typical Broker Commissions trade costs of $1.98
6/7/19 15:25 ILMN ILLUMINA SHORT 27 352.25 7/12 9:53 306.34 0.49%
Trade id #123985164
Max drawdown($769)
Time6/7/19 15:25
Quant open27
Worst price380.76
Drawdown as % of equity-0.49%
$1,239
Includes Typical Broker Commissions trade costs of $0.54
6/27/19 15:33 AMT AMERICAN TOWER LONG 23 205.75 7/11 9:30 211.25 0.09%
Trade id #124259286
Max drawdown($144)
Time6/27/19 15:33
Quant open23
Worst price199.48
Drawdown as % of equity-0.09%
$127
Includes Typical Broker Commissions trade costs of $0.46
5/29/19 12:25 SPG SIMON PROPERTY GROUP LONG 28 165.15 7/10 15:50 163.76 0.14%
Trade id #123863005
Max drawdown($204)
Time5/29/19 12:25
Quant open28
Worst price157.84
Drawdown as % of equity-0.14%
($40)
Includes Typical Broker Commissions trade costs of $0.56
6/11/19 9:30 HD HOME DEPOT SHORT 23 199.02 7/10 15:48 210.86 0.21%
Trade id #124026247
Max drawdown($331)
Time6/11/19 9:30
Quant open23
Worst price213.44
Drawdown as % of equity-0.21%
($272)
Includes Typical Broker Commissions trade costs of $0.46
6/17/19 9:30 CAT CATERPILLAR SHORT 37 127.23 7/9 15:53 134.31 0.3%
Trade id #124106836
Max drawdown($478)
Time6/17/19 9:30
Quant open37
Worst price140.17
Drawdown as % of equity-0.30%
($263)
Includes Typical Broker Commissions trade costs of $0.74
7/1/19 15:44 CCI CROWN CASTLE LONG 36 129.95 7/9 15:52 135.39 0%
Trade id #124295664
Max drawdown($4)
Time7/1/19 15:44
Quant open36
Worst price129.83
Drawdown as % of equity-0.00%
$195
Includes Typical Broker Commissions trade costs of $0.72
6/11/19 9:30 TMO THERMO FISHER SCIENTIFIC SHORT 16 286.58 7/9 15:52 296.56 0.19%
Trade id #124026197
Max drawdown($301)
Time6/11/19 9:30
Quant open16
Worst price305.45
Drawdown as % of equity-0.19%
($160)
Includes Typical Broker Commissions trade costs of $0.32
6/11/19 9:30 MSFT MICROSOFT SHORT 35 133.88 7/9 15:51 136.54 0.1%
Trade id #124026191
Max drawdown($158)
Time6/11/19 9:30
Quant open35
Worst price138.40
Drawdown as % of equity-0.10%
($94)
Includes Typical Broker Commissions trade costs of $0.70
6/19/19 15:38 TXN TEXAS INSTRUMENTS SHORT 42 111.31 7/8 15:50 115.00 0.2%
Trade id #124149880
Max drawdown($322)
Time6/19/19 15:38
Quant open42
Worst price118.98
Drawdown as % of equity-0.20%
($156)
Includes Typical Broker Commissions trade costs of $0.84
6/20/19 15:23 AVGO BROADCOM LIMITED ORDINARY SHARES SHORT 17 278.79 7/8 9:30 280.00 0.29%
Trade id #124171667
Max drawdown($458)
Time6/20/19 15:23
Quant open17
Worst price305.75
Drawdown as % of equity-0.29%
($21)
Includes Typical Broker Commissions trade costs of $0.34
7/1/19 15:43 UNH UNITEDHEALTH GROUP LONG 19 243.06 7/8 9:30 246.41 0.04%
Trade id #124295654
Max drawdown($66)
Time7/1/19 15:43
Quant open19
Worst price239.53
Drawdown as % of equity-0.04%
$64
Includes Typical Broker Commissions trade costs of $0.38
6/11/19 15:49 COST COSTCO WHOLESALE SHORT 18 257.01 7/1 15:43 263.26 0.14%
Trade id #124038101
Max drawdown($214)
Time6/11/19 15:49
Quant open18
Worst price268.94
Drawdown as % of equity-0.14%
($113)
Includes Typical Broker Commissions trade costs of $0.36
6/7/19 15:25 PFE PFIZER SHORT 108 43.03 7/1 15:42 43.74 0.09%
Trade id #123985153
Max drawdown($136)
Time6/7/19 15:25
Quant open108
Worst price44.29
Drawdown as % of equity-0.09%
($78)
Includes Typical Broker Commissions trade costs of $2.16
6/12/19 15:46 NSC NORFOLK SOUTHERN LONG 23 199.56 7/1 9:31 200.93 0.17%
Trade id #124055635
Max drawdown($265)
Time6/12/19 15:46
Quant open23
Worst price188.00
Drawdown as % of equity-0.17%
$32
Includes Typical Broker Commissions trade costs of $0.46
6/7/19 11:10 CCI CROWN CASTLE SHORT 34 135.95 6/26 14:43 130.16 0.04%
Trade id #123980463
Max drawdown($64)
Time6/7/19 11:10
Quant open34
Worst price137.85
Drawdown as % of equity-0.04%
$196
Includes Typical Broker Commissions trade costs of $0.68
5/7/19 15:43 ANTM ANTHEM INC SHORT 34 277.08 6/26 14:42 279.00 0.38%
Trade id #123564429
Max drawdown($604)
Time5/7/19 15:43
Quant open34
Worst price294.86
Drawdown as % of equity-0.38%
($66)
Includes Typical Broker Commissions trade costs of $0.68

Statistics

  • Strategy began
    12/12/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2410.8
  • Age
    80 months ago
  • What it trades
    Stocks
  • # Trades
    2438
  • # Profitable
    1631
  • % Profitable
    66.90%
  • Avg trade duration
    13.4 days
  • Max peak-to-valley drawdown
    26.48%
  • drawdown period
    Dec 03, 2016 - Oct 26, 2018
  • Annual Return (Compounded)
    7.3%
  • Avg win
    $202.26
  • Avg loss
    $316.99
  • Model Account Values (Raw)
  • Cash
    $197,741
  • Margin Used
    $62,944
  • Buying Power
    $132,973
  • Ratios
  • W:L ratio
    1.37:1
  • Sharpe Ratio
    0.34
  • Sortino Ratio
    0.53
  • Calmar Ratio
    0.392
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.28180
  • Return Statistics
  • Ann Return (w trading costs)
    7.3%
  • Ann Return (Compnd, No Fees)
    8.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    51.50%
  • Chance of 20% account loss
    26.00%
  • Chance of 30% account loss
    9.00%
  • Chance of 40% account loss
    2.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    750
  • C2 Score
    60.6
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $317
  • Avg Win
    $202
  • # Winners
    1631
  • # Losers
    807
  • % Winners
    66.9%
  • Frequency
  • Avg Position Time (mins)
    19262.30
  • Avg Position Time (hrs)
    321.04
  • Avg Trade Length
    13.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.01
  • Daily leverage (max)
    2.55
  • Unknown
  • Alpha
    0.01
  • Beta
    0.34
  • Treynor Index
    0.05
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06867
  • SD
    0.14672
  • Sharpe ratio (Glass type estimate)
    0.46800
  • Sharpe ratio (Hedges UMVUE)
    0.46336
  • df
    76.00000
  • t
    1.18549
  • p
    0.11976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31081
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24378
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31387
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24060
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75896
  • Upside Potential Ratio
    2.27897
  • Upside part of mean
    0.20619
  • Downside part of mean
    -0.13752
  • Upside SD
    0.11600
  • Downside SD
    0.09047
  • N nonnegative terms
    44.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.09014
  • Mean of criterion
    0.06867
  • SD of predictor
    0.11222
  • SD of criterion
    0.14672
  • Covariance
    0.00247
  • r
    0.15021
  • b (slope, estimate of beta)
    0.19640
  • a (intercept, estimate of alpha)
    0.05096
  • Mean Square Error
    0.02132
  • DF error
    75.00000
  • t(b)
    1.31582
  • p(b)
    0.09612
  • t(a)
    0.86093
  • p(a)
    0.19601
  • Lowerbound of 95% confidence interval for beta
    -0.10094
  • Upperbound of 95% confidence interval for beta
    0.49374
  • Lowerbound of 95% confidence interval for alpha
    -0.06696
  • Upperbound of 95% confidence interval for alpha
    0.16888
  • Treynor index (mean / b)
    0.34962
  • Jensen alpha (a)
    0.05096
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05795
  • SD
    0.14469
  • Sharpe ratio (Glass type estimate)
    0.40049
  • Sharpe ratio (Hedges UMVUE)
    0.39653
  • df
    76.00000
  • t
    1.01449
  • p
    0.15678
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37714
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37977
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17283
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61532
  • Upside Potential Ratio
    2.11794
  • Upside part of mean
    0.19946
  • Downside part of mean
    -0.14151
  • Upside SD
    0.10989
  • Downside SD
    0.09418
  • N nonnegative terms
    44.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.08338
  • Mean of criterion
    0.05795
  • SD of predictor
    0.11285
  • SD of criterion
    0.14469
  • Covariance
    0.00282
  • r
    0.17241
  • b (slope, estimate of beta)
    0.22106
  • a (intercept, estimate of alpha)
    0.03952
  • Mean Square Error
    0.02058
  • DF error
    75.00000
  • t(b)
    1.51581
  • p(b)
    0.06689
  • t(a)
    0.68216
  • p(a)
    0.24862
  • Lowerbound of 95% confidence interval for beta
    -0.06946
  • Upperbound of 95% confidence interval for beta
    0.51157
  • Lowerbound of 95% confidence interval for alpha
    -0.07588
  • Upperbound of 95% confidence interval for alpha
    0.15492
  • Treynor index (mean / b)
    0.26215
  • Jensen alpha (a)
    0.03952
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06188
  • Expected Shortfall on VaR
    0.07800
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02360
  • Expected Shortfall on VaR
    0.04957
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    77.00000
  • Minimum
    0.88279
  • Quartile 1
    0.99275
  • Median
    1.00872
  • Quartile 3
    1.02612
  • Maximum
    1.18805
  • Mean of quarter 1
    0.96131
  • Mean of quarter 2
    1.00055
  • Mean of quarter 3
    1.01593
  • Mean of quarter 4
    1.05687
  • Inter Quartile Range
    0.03338
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.06494
  • Mean of outliers low
    0.91767
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.03896
  • Mean of outliers high
    1.12645
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24967
  • VaR(95%) (moments method)
    0.02756
  • Expected Shortfall (moments method)
    0.04811
  • Extreme Value Index (regression method)
    0.09345
  • VaR(95%) (regression method)
    0.04818
  • Expected Shortfall (regression method)
    0.07795
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00288
  • Quartile 1
    0.01872
  • Median
    0.06090
  • Quartile 3
    0.12367
  • Maximum
    0.15103
  • Mean of quarter 1
    0.00901
  • Mean of quarter 2
    0.04810
  • Mean of quarter 3
    0.07548
  • Mean of quarter 4
    0.14226
  • Inter Quartile Range
    0.10495
  • 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)
    -0.93478
  • VaR(95%) (moments method)
    0.14958
  • Expected Shortfall (moments method)
    0.15206
  • Extreme Value Index (regression method)
    0.52449
  • VaR(95%) (regression method)
    0.15315
  • Expected Shortfall (regression method)
    0.18540
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11452
  • Compounded annual return (geometric extrapolation)
    0.08965
  • Calmar ratio (compounded annual return / max draw down)
    0.59359
  • Compounded annual return / average of 25% largest draw downs
    0.63019
  • Compounded annual return / Expected Shortfall lognormal
    1.14935
  • 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
    0.06966
  • SD
    0.14882
  • Sharpe ratio (Glass type estimate)
    0.46806
  • Sharpe ratio (Hedges UMVUE)
    0.46785
  • df
    1698.00000
  • t
    1.19191
  • p
    0.48554
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30183
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.23783
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30197
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23768
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73383
  • Upside Potential Ratio
    7.47549
  • Upside part of mean
    0.70959
  • Downside part of mean
    -0.63993
  • Upside SD
    0.11464
  • Downside SD
    0.09492
  • N nonnegative terms
    818.00000
  • N negative terms
    881.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1699.00000
  • Mean of predictor
    0.09372
  • Mean of criterion
    0.06966
  • SD of predictor
    0.12947
  • SD of criterion
    0.14882
  • Covariance
    0.00544
  • r
    0.28237
  • b (slope, estimate of beta)
    0.32456
  • a (intercept, estimate of alpha)
    0.03900
  • Mean Square Error
    0.02039
  • DF error
    1697.00000
  • t(b)
    12.12560
  • p(b)
    0.32266
  • t(a)
    0.69898
  • p(a)
    0.48920
  • Lowerbound of 95% confidence interval for beta
    0.27206
  • Upperbound of 95% confidence interval for beta
    0.37706
  • Lowerbound of 95% confidence interval for alpha
    -0.07086
  • Upperbound of 95% confidence interval for alpha
    0.14934
  • Treynor index (mean / b)
    0.21462
  • Jensen alpha (a)
    0.03924
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05865
  • SD
    0.14805
  • Sharpe ratio (Glass type estimate)
    0.39617
  • Sharpe ratio (Hedges UMVUE)
    0.39600
  • df
    1698.00000
  • t
    1.00886
  • p
    0.48776
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37365
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.16592
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37378
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16578
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61030
  • Upside Potential Ratio
    7.31591
  • Upside part of mean
    0.70310
  • Downside part of mean
    -0.64444
  • Upside SD
    0.11262
  • Downside SD
    0.09610
  • N nonnegative terms
    818.00000
  • N negative terms
    881.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1699.00000
  • Mean of predictor
    0.08531
  • Mean of criterion
    0.05865
  • SD of predictor
    0.12964
  • SD of criterion
    0.14805
  • Covariance
    0.00546
  • r
    0.28461
  • b (slope, estimate of beta)
    0.32503
  • a (intercept, estimate of alpha)
    0.03093
  • Mean Square Error
    0.02015
  • DF error
    1697.00000
  • t(b)
    12.23030
  • p(b)
    0.32129
  • t(a)
    0.55425
  • p(a)
    0.49144
  • Lowerbound of 95% confidence interval for beta
    0.27291
  • Upperbound of 95% confidence interval for beta
    0.37716
  • Lowerbound of 95% confidence interval for alpha
    -0.07851
  • Upperbound of 95% confidence interval for alpha
    0.14036
  • Treynor index (mean / b)
    0.18045
  • Jensen alpha (a)
    0.03093
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01471
  • Expected Shortfall on VaR
    0.01846
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00568
  • Expected Shortfall on VaR
    0.01184
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1699.00000
  • Minimum
    0.94976
  • Quartile 1
    0.99753
  • Median
    0.99997
  • Quartile 3
    1.00249
  • Maximum
    1.09726
  • Mean of quarter 1
    0.99155
  • Mean of quarter 2
    0.99891
  • Mean of quarter 3
    1.00110
  • Mean of quarter 4
    1.00993
  • Inter Quartile Range
    0.00496
  • Number outliers low
    103.00000
  • Percentage of outliers low
    0.06062
  • Mean of outliers low
    0.98029
  • Number of outliers high
    134.00000
  • Percentage of outliers high
    0.07887
  • Mean of outliers high
    1.02052
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55228
  • VaR(95%) (moments method)
    0.00851
  • Expected Shortfall (moments method)
    0.02114
  • Extreme Value Index (regression method)
    0.28915
  • VaR(95%) (regression method)
    0.00727
  • Expected Shortfall (regression method)
    0.01251
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    63.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00177
  • Median
    0.00668
  • Quartile 3
    0.01804
  • Maximum
    0.23074
  • Mean of quarter 1
    0.00083
  • Mean of quarter 2
    0.00378
  • Mean of quarter 3
    0.01030
  • Mean of quarter 4
    0.07414
  • Inter Quartile Range
    0.01628
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.11085
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40297
  • VaR(95%) (moments method)
    0.06445
  • Expected Shortfall (moments method)
    0.13149
  • Extreme Value Index (regression method)
    0.38320
  • VaR(95%) (regression method)
    0.08645
  • Expected Shortfall (regression method)
    0.17872
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11612
  • Compounded annual return (geometric extrapolation)
    0.09042
  • Calmar ratio (compounded annual return / max draw down)
    0.39186
  • Compounded annual return / average of 25% largest draw downs
    1.21957
  • Compounded annual return / Expected Shortfall lognormal
    4.89682
  • 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
    0.01007
  • SD
    0.08378
  • Sharpe ratio (Glass type estimate)
    0.12022
  • Sharpe ratio (Hedges UMVUE)
    0.11953
  • df
    130.00000
  • t
    0.08501
  • p
    0.49627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.65174
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89195
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.65231
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.89137
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.18412
  • Upside Potential Ratio
    7.59963
  • Upside part of mean
    0.41577
  • Downside part of mean
    -0.40570
  • Upside SD
    0.06304
  • Downside SD
    0.05471
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23640
  • Mean of criterion
    0.01007
  • SD of predictor
    0.10972
  • SD of criterion
    0.08378
  • Covariance
    0.00062
  • r
    0.06752
  • b (slope, estimate of beta)
    0.05156
  • a (intercept, estimate of alpha)
    -0.00212
  • Mean Square Error
    0.00704
  • DF error
    129.00000
  • t(b)
    0.76868
  • p(b)
    0.45704
  • t(a)
    -0.01767
  • p(a)
    0.50099
  • Lowerbound of 95% confidence interval for beta
    -0.08115
  • Upperbound of 95% confidence interval for beta
    0.18427
  • Lowerbound of 95% confidence interval for alpha
    -0.23900
  • Upperbound of 95% confidence interval for alpha
    0.23477
  • Treynor index (mean / b)
    0.19536
  • Jensen alpha (a)
    -0.00212
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00660
  • SD
    0.08356
  • Sharpe ratio (Glass type estimate)
    0.07900
  • Sharpe ratio (Hedges UMVUE)
    0.07854
  • df
    130.00000
  • t
    0.05586
  • p
    0.49755
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.69295
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.85070
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.69328
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.85036
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12002
  • Upside Potential Ratio
    7.52307
  • Upside part of mean
    0.41376
  • Downside part of mean
    -0.40716
  • Upside SD
    0.06249
  • Downside SD
    0.05500
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23029
  • Mean of criterion
    0.00660
  • SD of predictor
    0.10979
  • SD of criterion
    0.08356
  • Covariance
    0.00061
  • r
    0.06632
  • b (slope, estimate of beta)
    0.05048
  • a (intercept, estimate of alpha)
    -0.00502
  • Mean Square Error
    0.00701
  • DF error
    129.00000
  • t(b)
    0.75495
  • p(b)
    0.45781
  • t(a)
    -0.04209
  • p(a)
    0.50236
  • Lowerbound of 95% confidence interval for beta
    -0.08182
  • Upperbound of 95% confidence interval for beta
    0.18278
  • Lowerbound of 95% confidence interval for alpha
    -0.24120
  • Upperbound of 95% confidence interval for alpha
    0.23115
  • Treynor index (mean / b)
    0.13077
  • Jensen alpha (a)
    -0.00502
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00843
  • Expected Shortfall on VaR
    0.01057
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00353
  • Expected Shortfall on VaR
    0.00713
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98418
  • Quartile 1
    0.99836
  • Median
    1.00020
  • Quartile 3
    1.00185
  • Maximum
    1.02836
  • Mean of quarter 1
    0.99467
  • Mean of quarter 2
    0.99940
  • Mean of quarter 3
    1.00100
  • Mean of quarter 4
    1.00554
  • Inter Quartile Range
    0.00348
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98783
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01295
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32833
  • VaR(95%) (moments method)
    0.00506
  • Expected Shortfall (moments method)
    0.00911
  • Extreme Value Index (regression method)
    0.07904
  • VaR(95%) (regression method)
    0.00455
  • Expected Shortfall (regression method)
    0.00660
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00108
  • Median
    0.00951
  • Quartile 3
    0.02136
  • Maximum
    0.04216
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.00951
  • Mean of quarter 3
    0.02136
  • Mean of quarter 4
    0.04216
  • Inter Quartile Range
    0.02028
  • 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)
    0.03481
  • Compounded annual return (geometric extrapolation)
    0.03511
  • Calmar ratio (compounded annual return / max draw down)
    0.83273
  • Compounded annual return / average of 25% largest draw downs
    0.83273
  • Compounded annual return / Expected Shortfall lognormal
    3.32313

Strategy Description

Using a list of 60 US listed companies, the model uses extreme situations of fear and greed in each stock to detect signals that indicate reverse to the means. Usually each name is traded 5 to 10 times a year, both on the long and short side, with an average holding period of 13 working days. The idea is to have the minimum market exposure with a consistent positive performance. The model is based on a back-test since 2007. On average, the model has net long exposure of 10%,. During this period of back-test, the annual returns were the following: 2007 = 12.5%, 2008 = 58%, 2009 = 24%, 2010 = 5.7%, 2011 = 16,3% , 2012 = 7.05%, 75% of positive monthly return, worst month had a performance of -19% (October 2008 ) and the best month 24% (November 2008).
Each new position represents 3% but can go up to 9% in extreme situations of fear/greed sentiment on the stock. The maximum exposure is 150% of the value of the portfolio.
These results represent hypothetical backtesting.
Target return 10%-12%.

Summary Statistics

Strategy began
2012-12-12
Suggested Minimum Capital
$35,000
# Trades
2438
# Profitable
1631
% Profitable
66.9%
Net Dividends
Correlation S&P500
0.282
Sharpe Ratio
0.34
Sortino Ratio
0.53
Beta
0.34
Alpha
0.01
Leverage
1.01 Average
2.55 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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