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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 $90.00 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.

8.2%
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.

(26.3%)
Max Drawdown
2654
Num Trades
67.2%
Win Trades
1.4 : 1
Profit Factor
59.0%
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%)(3.1%)(2.3%)+1.4%(2.2%)+1.8%+4.1%+1.6%+0.9%(3.2%)+5.7%+3.2%
2014  -  +5.7%+2.4%+5.2%(3.3%)(14.7%)+18.0%+1.6%(5%)+2.2%(0.9%)+6.8%+15.6%
2015+1.4%+4.0%+0.7%+1.9%+5.5%(2%)+2.2%(5.8%)(2.6%)+5.2%+3.0%+3.3%+17.1%
2016(2%)+5.7%  -  +0.3%+1.9%+3.5%(0.7%)(0.1%)(0.1%)+1.2%+2.5%+0.6%+13.3%
2017+1.2%+1.6%+1.4%(0.1%)(1.6%)+1.3%+1.0%(1%)(4.5%)(0.7%)(1.4%)(0.7%)(3.6%)
2018(2.2%)(4.2%)+0.6%+2.3%+0.7%(2.1%)+0.8%+0.9%+0.1%(4.2%)+9.0%(0.1%)+0.8%
2019+1.3%+1.4%+0.4%(0.5%)(3.6%)+5.2%+1.9%+2.3%+2.5%+1.8%            +13.2%

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 4,000 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/15/19 15:51 KMB KIMBERLY-CLARK LONG 54 133.96 10/18 11:59 136.55 0.03%
Trade id #125800689
Max drawdown($45)
Time10/16/19 0:00
Quant open54
Worst price133.11
Drawdown as % of equity-0.03%
$139
Includes Typical Broker Commissions trade costs of $1.08
10/16/19 15:45 WM WASTE MANAGEMENT LONG 63 114.90 10/18 11:59 116.67 0.01%
Trade id #125821694
Max drawdown($18)
Time10/18/19 9:34
Quant open63
Worst price114.61
Drawdown as % of equity-0.01%
$111
Includes Typical Broker Commissions trade costs of $1.26
10/15/19 15:49 NEE NEXTERA ENERGY LONG 32 227.77 10/18 10:56 230.86 0.02%
Trade id #125800582
Max drawdown($38)
Time10/16/19 0:00
Quant open32
Worst price226.58
Drawdown as % of equity-0.02%
$98
Includes Typical Broker Commissions trade costs of $0.64
10/16/19 15:47 AMT AMERICAN TOWER LONG 32 221.82 10/18 9:44 226.97 0%
Trade id #125821851
Max drawdown($2)
Time10/16/19 15:48
Quant open32
Worst price221.75
Drawdown as % of equity-0.00%
$164
Includes Typical Broker Commissions trade costs of $0.64
10/15/19 15:51 CCI CROWN CASTLE LONG 53 134.55 10/17 10:18 138.57 0.03%
Trade id #125800711
Max drawdown($56)
Time10/16/19 0:00
Quant open53
Worst price133.48
Drawdown as % of equity-0.03%
$212
Includes Typical Broker Commissions trade costs of $1.06
10/7/19 13:42 HPQ HEWLETT-PACKARD LONG 411 16.96 10/15 15:53 16.80 0.25%
Trade id #125664091
Max drawdown($422)
Time10/10/19 0:00
Quant open411
Worst price15.93
Drawdown as % of equity-0.25%
($75)
Includes Typical Broker Commissions trade costs of $8.22
9/27/19 15:45 CCL CARNIVAL LONG 160 43.59 10/14 13:26 42.14 0.35%
Trade id #125539229
Max drawdown($586)
Time10/8/19 0:00
Quant open160
Worst price39.92
Drawdown as % of equity-0.35%
($235)
Includes Typical Broker Commissions trade costs of $3.20
9/20/19 15:18 ACN ACCENTURE LONG 36 193.70 10/14 13:26 185.14 0.25%
Trade id #125441390
Max drawdown($421)
Time10/8/19 0:00
Quant open36
Worst price182.00
Drawdown as % of equity-0.25%
($309)
Includes Typical Broker Commissions trade costs of $0.72
9/25/19 15:18 ANTM ANTHEM INC LONG 29 244.24 10/14 10:33 237.98 0.16%
Trade id #125507574
Max drawdown($270)
Time10/8/19 0:00
Quant open29
Worst price234.91
Drawdown as % of equity-0.16%
($182)
Includes Typical Broker Commissions trade costs of $0.58
10/2/19 13:05 SCHW CHARLES SCHWAB LONG 190 36.72 10/14 10:32 37.45 0.24%
Trade id #125597423
Max drawdown($405)
Time10/8/19 0:00
Quant open190
Worst price34.58
Drawdown as % of equity-0.24%
$136
Includes Typical Broker Commissions trade costs of $3.80
9/26/19 15:11 VRTX VERTEX LONG 41 169.50 10/14 10:32 173.86 0.1%
Trade id #125523722
Max drawdown($174)
Time10/2/19 0:00
Quant open41
Worst price165.23
Drawdown as % of equity-0.10%
$178
Includes Typical Broker Commissions trade costs of $0.82
9/24/19 14:07 GM GENERAL MOTORS LONG 190 36.62 10/11 15:52 35.72 0.33%
Trade id #125486837
Max drawdown($552)
Time10/8/19 0:00
Quant open190
Worst price33.71
Drawdown as % of equity-0.33%
($175)
Includes Typical Broker Commissions trade costs of $3.80
9/25/19 15:17 UNP UNION PACIFIC LONG 42 164.24 10/11 15:52 161.81 0.38%
Trade id #125507561
Max drawdown($636)
Time10/3/19 0:00
Quant open42
Worst price149.09
Drawdown as % of equity-0.38%
($103)
Includes Typical Broker Commissions trade costs of $0.84
9/27/19 15:41 MMC MARSH & MCLENNAN LONG 70 99.50 10/11 11:19 97.86 0.19%
Trade id #125539164
Max drawdown($315)
Time10/10/19 0:00
Quant open70
Worst price95.00
Drawdown as % of equity-0.19%
($116)
Includes Typical Broker Commissions trade costs of $1.40
9/27/19 15:43 CMCSA COMCAST LONG 156 44.64 10/11 11:18 45.25 0.1%
Trade id #125539198
Max drawdown($161)
Time10/3/19 0:00
Quant open156
Worst price43.61
Drawdown as % of equity-0.10%
$92
Includes Typical Broker Commissions trade costs of $3.12
10/2/19 15:15 JPM JPMORGAN CHASE LONG 61 113.77 10/11 10:15 116.88 0.12%
Trade id #125601437
Max drawdown($198)
Time10/3/19 0:00
Quant open61
Worst price110.52
Drawdown as % of equity-0.12%
$189
Includes Typical Broker Commissions trade costs of $1.22
10/8/19 9:51 BAC BANK OF AMERICA CORP LONG 253 27.55 10/11 10:15 29.18 0.01%
Trade id #125675205
Max drawdown($22)
Time10/8/19 10:07
Quant open253
Worst price27.46
Drawdown as % of equity-0.01%
$407
Includes Typical Broker Commissions trade costs of $5.06
10/2/19 15:18 SPG SIMON PROPERTY GROUP LONG 47 149.09 10/11 9:48 148.26 0.11%
Trade id #125601499
Max drawdown($179)
Time10/9/19 0:00
Quant open47
Worst price145.28
Drawdown as % of equity-0.11%
($40)
Includes Typical Broker Commissions trade costs of $0.94
9/27/19 10:00 LOW LOWE'S COMPANIES LONG 63 110.91 10/11 9:48 110.84 0.24%
Trade id #125532498
Max drawdown($398)
Time10/3/19 0:00
Quant open63
Worst price104.59
Drawdown as % of equity-0.24%
($5)
Includes Typical Broker Commissions trade costs of $1.26
9/26/19 15:08 SYK STRYKER LONG 32 216.70 10/11 9:47 214.55 0.18%
Trade id #125523681
Max drawdown($304)
Time10/2/19 0:00
Quant open32
Worst price207.19
Drawdown as % of equity-0.18%
($70)
Includes Typical Broker Commissions trade costs of $0.64
10/8/19 15:46 USB U.S. BANCORP LONG 133 52.47 10/11 9:47 53.69 0.01%
Trade id #125686034
Max drawdown($23)
Time10/8/19 15:59
Quant open133
Worst price52.30
Drawdown as % of equity-0.01%
$159
Includes Typical Broker Commissions trade costs of $2.66
9/27/19 15:45 MU MICRON TECHNOLOGY LONG 162 43.08 10/11 9:47 44.58 0.13%
Trade id #125539226
Max drawdown($215)
Time10/1/19 0:00
Quant open162
Worst price41.75
Drawdown as % of equity-0.13%
$241
Includes Typical Broker Commissions trade costs of $3.24
10/2/19 10:01 CCI CROWN CASTLE LONG 51 136.79 10/11 9:45 137.90 0.05%
Trade id #125591551
Max drawdown($79)
Time10/2/19 10:48
Quant open51
Worst price135.23
Drawdown as % of equity-0.05%
$56
Includes Typical Broker Commissions trade costs of $1.02
10/8/19 15:47 NSC NORFOLK SOUTHERN LONG 42 167.13 10/11 9:44 176.04 0.01%
Trade id #125686059
Max drawdown($23)
Time10/8/19 15:59
Quant open42
Worst price166.57
Drawdown as % of equity-0.01%
$373
Includes Typical Broker Commissions trade costs of $0.84
9/27/19 15:47 CI CIGNA LONG 47 149.33 10/11 9:44 154.40 0.08%
Trade id #125539300
Max drawdown($133)
Time10/8/19 0:00
Quant open47
Worst price146.50
Drawdown as % of equity-0.08%
$237
Includes Typical Broker Commissions trade costs of $0.94
10/1/19 15:45 CSX CSX LONG 104 67.29 10/11 9:43 68.38 0.12%
Trade id #125581586
Max drawdown($199)
Time10/3/19 0:00
Quant open104
Worst price65.37
Drawdown as % of equity-0.12%
$111
Includes Typical Broker Commissions trade costs of $2.08
10/8/19 9:52 COF CAPITAL ONE FINANCIAL LONG 82 85.46 10/11 9:43 89.22 0.05%
Trade id #125675221
Max drawdown($90)
Time10/8/19 15:58
Quant open82
Worst price84.36
Drawdown as % of equity-0.05%
$306
Includes Typical Broker Commissions trade costs of $1.64
10/1/19 15:47 AXP AMERICAN EXPRESS LONG 60 116.89 10/11 9:30 116.49 0.21%
Trade id #125581689
Max drawdown($349)
Time10/3/19 0:00
Quant open60
Worst price111.06
Drawdown as % of equity-0.21%
($25)
Includes Typical Broker Commissions trade costs of $1.20
10/2/19 13:06 CVX CHEVRON LONG 62 112.54 10/10 12:32 114.38 0.08%
Trade id #125597436
Max drawdown($131)
Time10/3/19 0:00
Quant open62
Worst price110.42
Drawdown as % of equity-0.08%
$113
Includes Typical Broker Commissions trade costs of $1.24
9/26/19 15:12 UNH UNITEDHEALTH GROUP LONG 32 216.20 10/10 12:31 223.01 0.08%
Trade id #125523731
Max drawdown($131)
Time10/1/19 0:00
Quant open32
Worst price212.08
Drawdown as % of equity-0.08%
$217
Includes Typical Broker Commissions trade costs of $0.64

Statistics

  • Strategy began
    12/12/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2502.36
  • Age
    83 months ago
  • What it trades
    Stocks
  • # Trades
    2654
  • # Profitable
    1783
  • % Profitable
    67.20%
  • Avg trade duration
    13.2 days
  • Max peak-to-valley drawdown
    26.28%
  • drawdown period
    Dec 03, 2016 - Oct 26, 2018
  • Annual Return (Compounded)
    8.2%
  • Avg win
    $197.74
  • Avg loss
    $305.04
  • Model Account Values (Raw)
  • Cash
    $255,691
  • Margin Used
    $129,962
  • Buying Power
    $123,804
  • Ratios
  • W:L ratio
    1.41:1
  • Sharpe Ratio
    0.39
  • Sortino Ratio
    0.61
  • Calmar Ratio
    0.428
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -36.79%
  • Correlation to SP500
    0.29220
  • Return Percent SP500 (cumu) during strategy life
    109.05%
  • Return Statistics
  • Ann Return (w trading costs)
    8.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.02%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.42%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.082%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    52.50%
  • Chance of 20% account loss
    24.50%
  • Chance of 30% account loss
    4.50%
  • Chance of 40% account loss
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    944
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    23
  • Popularity (7 days, Percentile 1000 scale)
    744
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $305
  • Avg Win
    $198
  • Sum Trade PL (losers)
    $265,686.000
  • Age
  • Num Months (Age strategy)
    83
  • Win / Loss
  • Sum Trade PL (winners)
    $352,570.000
  • # Winners
    1783
  • Num Months Winners
    51
  • Dividends
  • Dividends Received in Model Acct
    1381
  • Win / Loss
  • # Losers
    871
  • % Winners
    67.2%
  • Frequency
  • Avg Position Time (mins)
    18986.40
  • Avg Position Time (hrs)
    316.44
  • Avg Trade Length
    13.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.98
  • Daily leverage (max)
    2.54
  • Regression
  • Alpha
    0.01
  • Beta
    0.35
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    63.95
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    74.82
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.71
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    11.845
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.931
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.454
  • Hold-and-Hope Ratio
    0.085
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07423
  • SD
    0.14428
  • Sharpe ratio (Glass type estimate)
    0.51449
  • Sharpe ratio (Hedges UMVUE)
    0.50959
  • df
    79.00000
  • t
    1.32840
  • p
    0.09394
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25040
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27619
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25365
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27282
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83629
  • Upside Potential Ratio
    2.32752
  • Upside part of mean
    0.20659
  • Downside part of mean
    -0.13236
  • Upside SD
    0.11462
  • Downside SD
    0.08876
  • N nonnegative terms
    47.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.08944
  • Mean of criterion
    0.07423
  • SD of predictor
    0.11265
  • SD of criterion
    0.14428
  • Covariance
    0.00245
  • r
    0.15057
  • b (slope, estimate of beta)
    0.19284
  • a (intercept, estimate of alpha)
    0.05698
  • Mean Square Error
    0.02061
  • DF error
    78.00000
  • t(b)
    1.34511
  • p(b)
    0.09124
  • t(a)
    0.99871
  • p(a)
    0.16051
  • Lowerbound of 95% confidence interval for beta
    -0.09258
  • Upperbound of 95% confidence interval for beta
    0.47827
  • Lowerbound of 95% confidence interval for alpha
    -0.05661
  • Upperbound of 95% confidence interval for alpha
    0.17057
  • Treynor index (mean / b)
    0.38492
  • Jensen alpha (a)
    0.05698
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06380
  • SD
    0.14231
  • Sharpe ratio (Glass type estimate)
    0.44834
  • Sharpe ratio (Hedges UMVUE)
    0.44407
  • df
    79.00000
  • t
    1.15760
  • p
    0.12526
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31535
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20924
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31817
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20631
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69057
  • Upside Potential Ratio
    2.16474
  • Upside part of mean
    0.20001
  • Downside part of mean
    -0.13620
  • Upside SD
    0.10864
  • Downside SD
    0.09239
  • N nonnegative terms
    47.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.08263
  • Mean of criterion
    0.06380
  • SD of predictor
    0.11328
  • SD of criterion
    0.14231
  • Covariance
    0.00277
  • r
    0.17203
  • b (slope, estimate of beta)
    0.21612
  • a (intercept, estimate of alpha)
    0.04595
  • Mean Square Error
    0.01991
  • DF error
    78.00000
  • t(b)
    1.54229
  • p(b)
    0.06352
  • t(a)
    0.82256
  • p(a)
    0.20663
  • Lowerbound of 95% confidence interval for beta
    -0.06286
  • Upperbound of 95% confidence interval for beta
    0.49509
  • Lowerbound of 95% confidence interval for alpha
    -0.06526
  • Upperbound of 95% confidence interval for alpha
    0.15715
  • Treynor index (mean / b)
    0.29523
  • Jensen alpha (a)
    0.04595
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06036
  • Expected Shortfall on VaR
    0.07624
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02207
  • Expected Shortfall on VaR
    0.04699
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    80.00000
  • Minimum
    0.88279
  • Quartile 1
    0.99337
  • Median
    1.00909
  • Quartile 3
    1.02638
  • Maximum
    1.18805
  • Mean of quarter 1
    0.96131
  • Mean of quarter 2
    1.00097
  • Mean of quarter 3
    1.01607
  • Mean of quarter 4
    1.05571
  • Inter Quartile Range
    0.03301
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.07500
  • Mean of outliers low
    0.92186
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.03750
  • 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)
    0.02697
  • Expected Shortfall (moments method)
    0.04733
  • Extreme Value Index (regression method)
    0.09345
  • VaR(95%) (regression method)
    0.04716
  • Expected Shortfall (regression method)
    0.07683
  • 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)
    0.12645
  • Compounded annual return (geometric extrapolation)
    0.09605
  • Calmar ratio (compounded annual return / max draw down)
    0.63597
  • Compounded annual return / average of 25% largest draw downs
    0.67517
  • Compounded annual return / Expected Shortfall lognormal
    1.25973
  • 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
    0.07705
  • SD
    0.14765
  • Sharpe ratio (Glass type estimate)
    0.52181
  • Sharpe ratio (Hedges UMVUE)
    0.52159
  • df
    1763.00000
  • t
    1.35398
  • p
    0.47948
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23381
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27729
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23396
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27714
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.81859
  • Upside Potential Ratio
    7.55400
  • Upside part of mean
    0.71098
  • Downside part of mean
    -0.63393
  • Upside SD
    0.11381
  • Downside SD
    0.09412
  • N nonnegative terms
    852.00000
  • N negative terms
    912.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1764.00000
  • Mean of predictor
    0.09021
  • Mean of criterion
    0.07705
  • SD of predictor
    0.13087
  • SD of criterion
    0.14765
  • Covariance
    0.00570
  • r
    0.29497
  • b (slope, estimate of beta)
    0.33280
  • a (intercept, estimate of alpha)
    0.04700
  • Mean Square Error
    0.01992
  • DF error
    1762.00000
  • t(b)
    12.95810
  • p(b)
    0.35252
  • t(a)
    0.86382
  • p(a)
    0.48971
  • Lowerbound of 95% confidence interval for beta
    0.28243
  • Upperbound of 95% confidence interval for beta
    0.38317
  • Lowerbound of 95% confidence interval for alpha
    -0.05974
  • Upperbound of 95% confidence interval for alpha
    0.15379
  • Treynor index (mean / b)
    0.23151
  • Jensen alpha (a)
    0.04702
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06621
  • SD
    0.14690
  • Sharpe ratio (Glass type estimate)
    0.45072
  • Sharpe ratio (Hedges UMVUE)
    0.45053
  • df
    1763.00000
  • t
    1.16951
  • p
    0.48228
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30482
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20618
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30497
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20603
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69489
  • Upside Potential Ratio
    7.39471
  • Upside part of mean
    0.70458
  • Downside part of mean
    -0.63837
  • Upside SD
    0.11183
  • Downside SD
    0.09528
  • N nonnegative terms
    852.00000
  • N negative terms
    912.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1764.00000
  • Mean of predictor
    0.08161
  • Mean of criterion
    0.06621
  • SD of predictor
    0.13106
  • SD of criterion
    0.14690
  • Covariance
    0.00572
  • r
    0.29720
  • b (slope, estimate of beta)
    0.33312
  • a (intercept, estimate of alpha)
    0.03902
  • Mean Square Error
    0.01968
  • DF error
    1762.00000
  • t(b)
    13.06550
  • p(b)
    0.35140
  • t(a)
    0.72115
  • p(a)
    0.49141
  • Lowerbound of 95% confidence interval for beta
    0.28312
  • Upperbound of 95% confidence interval for beta
    0.38313
  • Lowerbound of 95% confidence interval for alpha
    -0.06711
  • Upperbound of 95% confidence interval for alpha
    0.14515
  • Treynor index (mean / b)
    0.19875
  • Jensen alpha (a)
    0.03902
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01457
  • Expected Shortfall on VaR
    0.01829
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00562
  • Expected Shortfall on VaR
    0.01171
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1764.00000
  • Minimum
    0.94976
  • Quartile 1
    0.99761
  • Median
    0.99998
  • Quartile 3
    1.00251
  • Maximum
    1.09726
  • Mean of quarter 1
    0.99160
  • Mean of quarter 2
    0.99894
  • Mean of quarter 3
    1.00113
  • Mean of quarter 4
    1.00993
  • Inter Quartile Range
    0.00490
  • Number outliers low
    113.00000
  • Percentage of outliers low
    0.06406
  • Mean of outliers low
    0.98099
  • Number of outliers high
    143.00000
  • Percentage of outliers high
    0.08107
  • Mean of outliers high
    1.02009
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53318
  • VaR(95%) (moments method)
    0.00829
  • Expected Shortfall (moments method)
    0.01997
  • Extreme Value Index (regression method)
    0.25983
  • VaR(95%) (regression method)
    0.00725
  • Expected Shortfall (regression method)
    0.01223
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    73.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00169
  • Median
    0.00668
  • Quartile 3
    0.01799
  • Maximum
    0.23074
  • Mean of quarter 1
    0.00078
  • Mean of quarter 2
    0.00355
  • Mean of quarter 3
    0.01075
  • Mean of quarter 4
    0.06848
  • Inter Quartile Range
    0.01630
  • 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
    0.12329
  • Mean of outliers high
    0.11085
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.66907
  • VaR(95%) (moments method)
    0.07001
  • Expected Shortfall (moments method)
    0.23028
  • Extreme Value Index (regression method)
    0.90989
  • VaR(95%) (regression method)
    0.06114
  • Expected Shortfall (regression method)
    0.62376
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13137
  • Compounded annual return (geometric extrapolation)
    0.09869
  • Calmar ratio (compounded annual return / max draw down)
    0.42771
  • Compounded annual return / average of 25% largest draw downs
    1.44105
  • Compounded annual return / Expected Shortfall lognormal
    5.39510
  • 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
    0.18314
  • SD
    0.10016
  • Sharpe ratio (Glass type estimate)
    1.82837
  • Sharpe ratio (Hedges UMVUE)
    1.81780
  • df
    130.00000
  • t
    1.29285
  • p
    0.44367
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95572
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.60568
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96280
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59840
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.04933
  • Upside Potential Ratio
    10.18190
  • Upside part of mean
    0.61150
  • Downside part of mean
    -0.42837
  • Upside SD
    0.08048
  • Downside SD
    0.06006
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04031
  • Mean of criterion
    0.18314
  • SD of predictor
    0.14120
  • SD of criterion
    0.10016
  • Covariance
    0.00863
  • r
    0.61023
  • b (slope, estimate of beta)
    0.43287
  • a (intercept, estimate of alpha)
    0.16569
  • Mean Square Error
    0.00635
  • DF error
    129.00000
  • t(b)
    8.74857
  • p(b)
    0.13720
  • t(a)
    1.47052
  • p(a)
    0.41848
  • Lowerbound of 95% confidence interval for beta
    0.33498
  • Upperbound of 95% confidence interval for beta
    0.53077
  • Lowerbound of 95% confidence interval for alpha
    -0.05724
  • Upperbound of 95% confidence interval for alpha
    0.38861
  • Treynor index (mean / b)
    0.42307
  • Jensen alpha (a)
    0.16569
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17810
  • SD
    0.09986
  • Sharpe ratio (Glass type estimate)
    1.78338
  • Sharpe ratio (Hedges UMVUE)
    1.77307
  • df
    130.00000
  • t
    1.26104
  • p
    0.44504
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00028
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.56026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00710
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.55324
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.94870
  • Upside Potential Ratio
    10.07040
  • Upside part of mean
    0.60824
  • Downside part of mean
    -0.43014
  • Upside SD
    0.07981
  • Downside SD
    0.06040
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03036
  • Mean of criterion
    0.17810
  • SD of predictor
    0.14168
  • SD of criterion
    0.09986
  • Covariance
    0.00863
  • r
    0.61023
  • b (slope, estimate of beta)
    0.43014
  • a (intercept, estimate of alpha)
    0.16504
  • Mean Square Error
    0.00631
  • DF error
    129.00000
  • t(b)
    8.74861
  • p(b)
    0.13719
  • t(a)
    1.46922
  • p(a)
    0.41855
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.33286
  • Upperbound of 95% confidence interval for beta
    0.52741
  • Lowerbound of 95% confidence interval for alpha
    -0.05721
  • Upperbound of 95% confidence interval for alpha
    0.38728
  • Treynor index (mean / b)
    0.41405
  • Jensen alpha (a)
    0.16504
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00942
  • Expected Shortfall on VaR
    0.01197
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00352
  • Expected Shortfall on VaR
    0.00731
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98272
  • Quartile 1
    0.99862
  • Median
    1.00046
  • Quartile 3
    1.00252
  • Maximum
    1.02836
  • Mean of quarter 1
    0.99415
  • Mean of quarter 2
    0.99962
  • Mean of quarter 3
    1.00154
  • Mean of quarter 4
    1.00794
  • Inter Quartile Range
    0.00391
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98776
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01503
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43999
  • VaR(95%) (moments method)
    0.00534
  • Expected Shortfall (moments method)
    0.01137
  • Extreme Value Index (regression method)
    -0.07267
  • VaR(95%) (regression method)
    0.00529
  • Expected Shortfall (regression method)
    0.00737
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00108
  • Median
    0.00339
  • Quartile 3
    0.01342
  • Maximum
    0.04210
  • Mean of quarter 1
    0.00065
  • Mean of quarter 2
    0.00180
  • Mean of quarter 3
    0.00634
  • Mean of quarter 4
    0.02412
  • Inter Quartile Range
    0.01235
  • 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
    0.05556
  • Mean of outliers high
    0.04210
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.01113
  • VaR(95%) (moments method)
    0.02615
  • Expected Shortfall (moments method)
    0.03367
  • Extreme Value Index (regression method)
    0.64386
  • VaR(95%) (regression method)
    0.03140
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.07731
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -24
  • Max Equity Drawdown (num days)
    692
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21699
  • Compounded annual return (geometric extrapolation)
    0.22876
  • Calmar ratio (compounded annual return / max draw down)
    5.43398
  • Compounded annual return / average of 25% largest draw downs
    9.48506
  • Compounded annual return / Expected Shortfall lognormal
    19.10830

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
2654
# Profitable
1783
% Profitable
67.2%
Net Dividends
Correlation S&P500
0.292
Sharpe Ratio
0.39
Sortino Ratio
0.61
Beta
0.35
Alpha
0.01
Leverage
0.98 Average
2.54 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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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.