Collective2 Collective2
Featured Strategy SK Trader +56.3% Annual Return (Compounded) since Apr 3, 2024 Hypothetical

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JC Alpha
(129134794)

Created by: JCAlpha JCAlpha
Started: 05/2020
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.

24.1%
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.

(41.6%)
Max Drawdown
1716
Num Trades
48.5%
Win Trades
1.2 : 1
Profit Factor
56.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            (0.1%)(0.1%)+5.4%+1.8%(5.1%)(1.4%)+9.0%+4.3%+13.9%
2021  -  +4.4%+2.8%+2.8%+2.1%+1.9%+0.4%+3.6%(4.8%)+4.9%(13.5%)+13.1%+16.5%
2022(3.1%)(1.3%)+14.9%(4.1%)+24.1%+1.9%+13.5%+1.4%(23.5%)+16.1%+28.2%(6.4%)+63.7%
2023+26.5%(2.4%)+1.6%(3.4%)+5.3%+3.8%+18.9%(6.6%)(10.4%)(14.7%)+19.2%+6.8%+43.4%
2024(0.1%)+0.8%+1.9%(1.9%)+5.4%(0.2%)+4.7%+2.3%+1.6%(6.8%)(4%)(8.8%)(6.1%)
2025+14.9%(9%)(12.8%)(2%)+10.7%+10.7%(2%)(2%)                        +5.1%

Model Account Details

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

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

Trading Record

This strategy has placed 1,065 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 271 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/31/25 12:12 ALGN ALIGN TECHNOLOGY LONG 38 131.43 8/1 12:29 138.00 0.15%
Trade id #152484190
Max drawdown($141)
Time7/31/25 15:55
Quant open38
Worst price127.70
Drawdown as % of equity-0.15%
 $249
Includes Typical Broker Commissions trade costs of $0.76
7/21/25 12:27 REGN REGENERON PHARMACEUTICALS LONG 18 548.07 8/1 12:29 546.00 0.12%
Trade id #152375701
Max drawdown($116)
Time7/31/25 0:00
Quant open18
Worst price541.61
Drawdown as % of equity-0.12%
 ($37)
Includes Typical Broker Commissions trade costs of $0.36
7/30/25 10:07 MU MICRON TECHNOLOGY LONG 44 113.88 8/1 10:20 104.30 0.49%
Trade id #152470945
Max drawdown($462)
Time8/1/25 10:02
Quant open44
Worst price103.38
Drawdown as % of equity-0.49%
 ($423)
Includes Typical Broker Commissions trade costs of $0.88
6/23/25 11:14 STXS STEREOTAXIS LONG 2,000 2.10 8/1 10:19 2.18 0.22%
Trade id #152122640
Max drawdown($200)
Time6/23/25 12:32
Quant open2,000
Worst price2.00
Drawdown as % of equity-0.22%
 $155
Includes Typical Broker Commissions trade costs of $5.00
7/31/25 12:23 PONY PONY AI INC. ADS LONG 400 13.65 8/1 10:19 12.99 0.44%
Trade id #152484321
Max drawdown($416)
Time8/1/25 10:02
Quant open400
Worst price12.61
Drawdown as % of equity-0.44%
 ($272)
Includes Typical Broker Commissions trade costs of $8.00
7/22/25 14:39 GPN GLOBAL PAYMENTS LONG 100 83.60 8/1 10:19 78.93 0.52%
Trade id #152388297
Max drawdown($490)
Time8/1/25 10:07
Quant open70
Worst price76.60
Drawdown as % of equity-0.52%
 ($469)
Includes Typical Broker Commissions trade costs of $2.00
7/23/25 12:46 WMS ADVANCED DRAINAGE SYSTEMS INC LONG 85 116.73 8/1 10:18 112.53 0.53%
Trade id #152398481
Max drawdown($499)
Time8/1/25 9:42
Quant open85
Worst price110.85
Drawdown as % of equity-0.53%
 ($359)
Includes Typical Broker Commissions trade costs of $1.70
7/22/25 10:46 DVN DEVON ENERGY LONG 305 32.79 8/1 10:18 31.91 0.34%
Trade id #152385273
Max drawdown($323)
Time8/1/25 10:05
Quant open305
Worst price31.73
Drawdown as % of equity-0.34%
 ($274)
Includes Typical Broker Commissions trade costs of $6.10
7/25/25 12:15 BRKR BRUKER LONG 240 41.11 8/1 10:18 36.78 1.12%
Trade id #152421341
Max drawdown($1,056)
Time8/1/25 10:04
Quant open240
Worst price36.71
Drawdown as % of equity-1.12%
 ($1,044)
Includes Typical Broker Commissions trade costs of $4.80
7/22/25 14:45 MRK MERCK LONG 123 81.62 8/1 10:17 78.63 0.6%
Trade id #152388340
Max drawdown($610)
Time7/29/25 0:00
Quant open123
Worst price76.66
Drawdown as % of equity-0.60%
 ($370)
Includes Typical Broker Commissions trade costs of $2.46
7/22/25 14:41 BMRN BIOMARIN PHARMACEUTICAL LONG 170 58.67 8/1 10:17 56.73 0.35%
Trade id #152388313
Max drawdown($328)
Time8/1/25 10:15
Quant open170
Worst price56.73
Drawdown as % of equity-0.35%
 ($333)
Includes Typical Broker Commissions trade costs of $3.40
7/31/25 12:25 APTV APTIV PLC LONG 143 69.61 8/1 10:17 65.84 0.65%
Trade id #152484345
Max drawdown($614)
Time8/1/25 10:07
Quant open143
Worst price65.31
Drawdown as % of equity-0.65%
 ($542)
Includes Typical Broker Commissions trade costs of $2.86
7/31/25 12:22 AON AON LONG 28 359.68 8/1 10:17 352.23 0.24%
Trade id #152484304
Max drawdown($224)
Time8/1/25 9:43
Quant open28
Worst price351.67
Drawdown as % of equity-0.24%
 ($210)
Includes Typical Broker Commissions trade costs of $0.56
7/28/25 12:46 EOG EOG RESOURCES LONG 45 121.24 7/31 12:16 120.85 0.06%
Trade id #152444273
Max drawdown($55)
Time7/31/25 9:30
Quant open45
Worst price120.00
Drawdown as % of equity-0.06%
 ($19)
Includes Typical Broker Commissions trade costs of $0.90
7/22/25 14:43 VRTX VERTEX LONG 17 469.01 7/31 12:15 469.96 0.11%
Trade id #152388323
Max drawdown($109)
Time7/29/25 0:00
Quant open13
Worst price460.55
Drawdown as % of equity-0.11%
 $16
Includes Typical Broker Commissions trade costs of $0.34
7/21/25 12:23 FIVN FIVE9 INC. COMMON STOCK LONG 370 27.04 7/31 12:14 26.41 0.3%
Trade id #152375647
Max drawdown($296)
Time7/31/25 11:57
Quant open370
Worst price26.24
Drawdown as % of equity-0.30%
 ($240)
Includes Typical Broker Commissions trade costs of $7.40
7/28/25 12:46 ONTO ONTO INNOVATION INC LONG 97 102.41 7/31 12:13 97.89 0.55%
Trade id #152444263
Max drawdown($534)
Time7/31/25 11:17
Quant open97
Worst price96.90
Drawdown as % of equity-0.55%
 ($440)
Includes Typical Broker Commissions trade costs of $1.94
7/30/25 10:09 G GENPACT LONG 120 45.79 7/30 15:01 44.32 0.18%
Trade id #152470956
Max drawdown($178)
Time7/30/25 15:00
Quant open120
Worst price44.30
Drawdown as % of equity-0.18%
 ($178)
Includes Typical Broker Commissions trade costs of $2.40
7/23/25 12:49 HALO HALOZYME THERAPEUTICS LONG 86 58.52 7/30 15:00 59.84 0.07%
Trade id #152398497
Max drawdown($72)
Time7/29/25 0:00
Quant open86
Worst price57.67
Drawdown as % of equity-0.07%
 $112
Includes Typical Broker Commissions trade costs of $1.72
7/25/25 12:16 GLOB GLOBANT SA LONG 55 92.79 7/30 14:59 89.28 0.19%
Trade id #152421347
Max drawdown($188)
Time7/30/25 14:59
Quant open55
Worst price89.36
Drawdown as % of equity-0.19%
 ($194)
Includes Typical Broker Commissions trade costs of $1.10
7/23/25 12:46 CRM SALESFORCE INC LONG 19 267.56 7/30 14:59 264.31 0.07%
Trade id #152398479
Max drawdown($67)
Time7/30/25 14:59
Quant open19
Worst price264.00
Drawdown as % of equity-0.07%
 ($62)
Includes Typical Broker Commissions trade costs of $0.38
7/21/25 12:27 AKAM AKAMAI TECHNOLOGIES LONG 125 78.96 7/30 14:58 78.39 0.07%
Trade id #152375706
Max drawdown($70)
Time7/30/25 14:58
Quant open125
Worst price78.40
Drawdown as % of equity-0.07%
 ($74)
Includes Typical Broker Commissions trade costs of $2.50
7/22/25 10:46 V VISA LONG 29 352.77 7/30 14:56 348.91 0.16%
Trade id #152385276
Max drawdown($160)
Time7/30/25 9:31
Quant open29
Worst price347.23
Drawdown as % of equity-0.16%
 ($113)
Includes Typical Broker Commissions trade costs of $0.58
7/21/25 12:26 PONY PONY AI INC. ADS LONG 400 13.24 7/30 14:56 12.91 0.19%
Trade id #152375692
Max drawdown($188)
Time7/21/25 15:46
Quant open400
Worst price12.77
Drawdown as % of equity-0.19%
 ($140)
Includes Typical Broker Commissions trade costs of $8.00
7/25/25 12:15 SLB SCHLUMBERGER LONG 280 35.36 7/30 11:14 34.55 0.23%
Trade id #152421333
Max drawdown($226)
Time7/30/25 11:13
Quant open280
Worst price34.55
Drawdown as % of equity-0.23%
 ($233)
Includes Typical Broker Commissions trade costs of $5.60
7/23/25 12:45 MRVL MARVELL TECHNOLOGY LONG 69 73.24 7/30 9:41 83.53 0.06%
Trade id #152398475
Max drawdown($58)
Time7/24/25 0:00
Quant open69
Worst price72.39
Drawdown as % of equity-0.06%
 $709
Includes Typical Broker Commissions trade costs of $1.38
7/25/25 12:17 TENB TENABLE HOLDINGS INC. COMMON STOCK LONG 150 33.43 7/30 9:37 32.31 0.19%
Trade id #152421352
Max drawdown($187)
Time7/30/25 9:34
Quant open150
Worst price32.18
Drawdown as % of equity-0.19%
 ($171)
Includes Typical Broker Commissions trade costs of $3.00
7/21/25 12:24 VFC VF LONG 800 12.47 7/29 11:18 12.38 0.1%
Trade id #152375668
Max drawdown($104)
Time7/29/25 11:06
Quant open800
Worst price12.34
Drawdown as % of equity-0.10%
 ($77)
Includes Typical Broker Commissions trade costs of $5.00
7/22/25 14:40 WTW WILLIS TOWERS WATSON PUBLIC LIMITED COMPANY LONG 33 308.78 7/29 11:18 303.94 0.33%
Trade id #152388306
Max drawdown($341)
Time7/29/25 9:45
Quant open33
Worst price298.43
Drawdown as % of equity-0.33%
 ($161)
Includes Typical Broker Commissions trade costs of $0.66
7/28/25 10:42 HON HONEYWELL INTERNATIONAL LONG 22 227.19 7/29 11:18 223.54 0.09%
Trade id #152442163
Max drawdown($95)
Time7/29/25 10:58
Quant open22
Worst price222.86
Drawdown as % of equity-0.09%
 ($80)
Includes Typical Broker Commissions trade costs of $0.44
Next

Statistics

  • Strategy began
    5/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1899.18
  • Age
    63 months ago
  • What it trades
    Stocks
  • # Trades
    1716
  • # Profitable
    832
  • % Profitable
    48.50%
  • Avg trade duration
    13.4 days
  • Max peak-to-valley drawdown
    41.64%
  • drawdown period
    July 17, 2024 - April 08, 2025
  • Annual Return (Compounded)
    24.1%
  • Avg win
    $439.57
  • Avg loss
    $334.94
  • Model Account Values (Raw)
  • Cash
    $92,300
  • Margin Used
    $0
  • Buying Power
    $91,063
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    0.72
  • Sortino Ratio
    1.13
  • Calmar Ratio
    0.727
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    95.91%
  • Correlation to SP500
    0.44930
  • Return Percent SP500 (cumu) during strategy life
    111.56%
  • Return Statistics
  • Ann Return (w trading costs)
    24.1%
  • Slump
  • Current Slump as Pcnt Equity
    21.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.240%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    26.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    67.00%
  • Chance of 20% account loss
    34.50%
  • Chance of 30% account loss
    14.50%
  • Chance of 40% account loss
    7.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    816
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    935
  • Popularity (7 days, Percentile 1000 scale)
    450
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $335
  • Avg Win
    $440
  • Sum Trade PL (losers)
    $296,089.000
  • Age
  • Num Months filled monthly returns table
    64
  • Win / Loss
  • Sum Trade PL (winners)
    $365,720.000
  • # Winners
    832
  • Num Months Winners
    36
  • Dividends
  • Dividends Received in Model Acct
    2456
  • AUM
  • AUM (AutoTrader live capital)
    58510
  • Win / Loss
  • # Losers
    884
  • % Winners
    48.5%
  • Frequency
  • Avg Position Time (mins)
    19245.60
  • Avg Position Time (hrs)
    320.76
  • Avg Trade Length
    13.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.03
  • Daily leverage (max)
    2.33
  • Regression
  • Alpha
    0.04
  • Beta
    0.69
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.44
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    7.911
  • 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
    0.303
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.193
  • Hold-and-Hope Ratio
    0.127
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28176
  • SD
    0.34588
  • Sharpe ratio (Glass type estimate)
    0.81461
  • Sharpe ratio (Hedges UMVUE)
    0.80438
  • df
    60.00000
  • t
    1.83663
  • p
    0.03561
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07007
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69270
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07676
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68552
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.54976
  • Upside Potential Ratio
    3.11751
  • Upside part of mean
    0.56679
  • Downside part of mean
    -0.28503
  • Upside SD
    0.30205
  • Downside SD
    0.18181
  • N nonnegative terms
    39.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.13354
  • Mean of criterion
    0.28176
  • SD of predictor
    0.16484
  • SD of criterion
    0.34588
  • Covariance
    0.03750
  • r
    0.65763
  • b (slope, estimate of beta)
    1.37988
  • a (intercept, estimate of alpha)
    0.09749
  • Mean Square Error
    0.06905
  • DF error
    59.00000
  • t(b)
    6.70518
  • p(b)
    0.00000
  • t(a)
    0.81417
  • p(a)
    0.20941
  • Lowerbound of 95% confidence interval for beta
    0.96809
  • Upperbound of 95% confidence interval for beta
    1.79167
  • Lowerbound of 95% confidence interval for alpha
    -0.14211
  • Upperbound of 95% confidence interval for alpha
    0.33709
  • Treynor index (mean / b)
    0.20419
  • Jensen alpha (a)
    0.09749
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22303
  • SD
    0.33281
  • Sharpe ratio (Glass type estimate)
    0.67014
  • Sharpe ratio (Hedges UMVUE)
    0.66173
  • df
    60.00000
  • t
    1.51091
  • p
    0.06803
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21009
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54491
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21561
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53906
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14130
  • Upside Potential Ratio
    2.68944
  • Upside part of mean
    0.52556
  • Downside part of mean
    -0.30253
  • Upside SD
    0.27368
  • Downside SD
    0.19542
  • N nonnegative terms
    39.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.11911
  • Mean of criterion
    0.22303
  • SD of predictor
    0.16615
  • SD of criterion
    0.33281
  • Covariance
    0.03753
  • r
    0.67870
  • b (slope, estimate of beta)
    1.35946
  • a (intercept, estimate of alpha)
    0.06110
  • Mean Square Error
    0.06075
  • DF error
    59.00000
  • t(b)
    7.09836
  • p(b)
    0.00000
  • t(a)
    0.54707
  • p(a)
    0.29319
  • Lowerbound of 95% confidence interval for beta
    0.97623
  • Upperbound of 95% confidence interval for beta
    1.74268
  • Lowerbound of 95% confidence interval for alpha
    -0.16237
  • Upperbound of 95% confidence interval for alpha
    0.28456
  • Treynor index (mean / b)
    0.16406
  • Jensen alpha (a)
    0.06110
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13015
  • Expected Shortfall on VaR
    0.16386
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04355
  • Expected Shortfall on VaR
    0.09301
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    61.00000
  • Minimum
    0.80658
  • Quartile 1
    0.98636
  • Median
    1.01431
  • Quartile 3
    1.06141
  • Maximum
    1.31735
  • Mean of quarter 1
    0.91365
  • Mean of quarter 2
    1.00384
  • Mean of quarter 3
    1.03643
  • Mean of quarter 4
    1.15678
  • Inter Quartile Range
    0.07505
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.06557
  • Mean of outliers low
    0.84326
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.09836
  • Mean of outliers high
    1.23721
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.74298
  • VaR(95%) (moments method)
    0.04849
  • Expected Shortfall (moments method)
    0.04996
  • Extreme Value Index (regression method)
    -0.50682
  • VaR(95%) (regression method)
    0.08377
  • Expected Shortfall (regression method)
    0.10195
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00504
  • Quartile 1
    0.05745
  • Median
    0.07108
  • Quartile 3
    0.19342
  • Maximum
    0.31877
  • Mean of quarter 1
    0.03461
  • Mean of quarter 2
    0.07056
  • Mean of quarter 3
    0.15558
  • Mean of quarter 4
    0.29659
  • Inter Quartile Range
    0.13597
  • 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)
    -15.14180
  • VaR(95%) (moments method)
    0.28099
  • Expected Shortfall (moments method)
    0.28099
  • Extreme Value Index (regression method)
    -1.86860
  • VaR(95%) (regression method)
    0.37185
  • Expected Shortfall (regression method)
    0.37608
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.50769
  • Compounded annual return (geometric extrapolation)
    0.28523
  • Calmar ratio (compounded annual return / max draw down)
    0.89477
  • Compounded annual return / average of 25% largest draw downs
    0.96167
  • Compounded annual return / Expected Shortfall lognormal
    1.74066
  • 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
    0.24354
  • SD
    0.25691
  • Sharpe ratio (Glass type estimate)
    0.94795
  • Sharpe ratio (Hedges UMVUE)
    0.94742
  • df
    1349.00000
  • t
    2.15180
  • p
    0.46279
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08361
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81197
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08325
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81160
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.52666
  • Upside Potential Ratio
    9.06635
  • Upside part of mean
    1.44628
  • Downside part of mean
    -1.20275
  • Upside SD
    0.20182
  • Downside SD
    0.15952
  • N nonnegative terms
    687.00000
  • N negative terms
    663.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1350.00000
  • Mean of predictor
    0.13304
  • Mean of criterion
    0.24354
  • SD of predictor
    0.17597
  • SD of criterion
    0.25691
  • Covariance
    0.02058
  • r
    0.45527
  • b (slope, estimate of beta)
    0.66466
  • a (intercept, estimate of alpha)
    0.15500
  • Mean Square Error
    0.05236
  • DF error
    1348.00000
  • t(b)
    18.77400
  • p(b)
    0.27236
  • t(a)
    1.53702
  • p(a)
    0.47909
  • Lowerbound of 95% confidence interval for beta
    0.59521
  • Upperbound of 95% confidence interval for beta
    0.73411
  • Lowerbound of 95% confidence interval for alpha
    -0.04286
  • Upperbound of 95% confidence interval for alpha
    0.35308
  • Treynor index (mean / b)
    0.36640
  • Jensen alpha (a)
    0.15511
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21082
  • SD
    0.25473
  • Sharpe ratio (Glass type estimate)
    0.82764
  • Sharpe ratio (Hedges UMVUE)
    0.82718
  • df
    1349.00000
  • t
    1.87871
  • p
    0.46749
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03650
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69151
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69119
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29937
  • Upside Potential Ratio
    8.79166
  • Upside part of mean
    1.42645
  • Downside part of mean
    -1.21563
  • Upside SD
    0.19668
  • Downside SD
    0.16225
  • N nonnegative terms
    687.00000
  • N negative terms
    663.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1350.00000
  • Mean of predictor
    0.11753
  • Mean of criterion
    0.21082
  • SD of predictor
    0.17600
  • SD of criterion
    0.25473
  • Covariance
    0.02058
  • r
    0.45908
  • b (slope, estimate of beta)
    0.66442
  • a (intercept, estimate of alpha)
    0.13274
  • Mean Square Error
    0.05125
  • DF error
    1348.00000
  • t(b)
    18.97270
  • p(b)
    0.27046
  • t(a)
    1.32984
  • p(a)
    0.48190
  • Lowerbound of 95% confidence interval for beta
    0.59572
  • Upperbound of 95% confidence interval for beta
    0.73312
  • Lowerbound of 95% confidence interval for alpha
    -0.06307
  • Upperbound of 95% confidence interval for alpha
    0.32855
  • Treynor index (mean / b)
    0.31731
  • Jensen alpha (a)
    0.13274
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02477
  • Expected Shortfall on VaR
    0.03114
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01041
  • Expected Shortfall on VaR
    0.02089
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1350.00000
  • Minimum
    0.92526
  • Quartile 1
    0.99452
  • Median
    1.00023
  • Quartile 3
    1.00689
  • Maximum
    1.11736
  • Mean of quarter 1
    0.98399
  • Mean of quarter 2
    0.99788
  • Mean of quarter 3
    1.00318
  • Mean of quarter 4
    1.01908
  • Inter Quartile Range
    0.01238
  • Number outliers low
    58.00000
  • Percentage of outliers low
    0.04296
  • Mean of outliers low
    0.96510
  • Number of outliers high
    67.00000
  • Percentage of outliers high
    0.04963
  • Mean of outliers high
    1.04238
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16846
  • VaR(95%) (moments method)
    0.01456
  • Expected Shortfall (moments method)
    0.02231
  • Extreme Value Index (regression method)
    0.02662
  • VaR(95%) (regression method)
    0.01531
  • Expected Shortfall (regression method)
    0.02171
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    70.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00367
  • Median
    0.01043
  • Quartile 3
    0.03697
  • Maximum
    0.37072
  • Mean of quarter 1
    0.00173
  • Mean of quarter 2
    0.00753
  • Mean of quarter 3
    0.02092
  • Mean of quarter 4
    0.12699
  • Inter Quartile Range
    0.03330
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.17908
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.04567
  • VaR(95%) (moments method)
    0.10215
  • Expected Shortfall (moments method)
    0.14685
  • Extreme Value Index (regression method)
    -0.05059
  • VaR(95%) (regression method)
    0.12906
  • Expected Shortfall (regression method)
    0.18079
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46996
  • Compounded annual return (geometric extrapolation)
    0.26964
  • Calmar ratio (compounded annual return / max draw down)
    0.72734
  • Compounded annual return / average of 25% largest draw downs
    2.12325
  • Compounded annual return / Expected Shortfall lognormal
    8.65770
  • 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
    -0.06786
  • SD
    0.35059
  • Sharpe ratio (Glass type estimate)
    -0.19356
  • Sharpe ratio (Hedges UMVUE)
    -0.19244
  • df
    130.00000
  • t
    -0.13687
  • p
    0.50600
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.96511
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57871
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.96435
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57946
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28369
  • Upside Potential Ratio
    7.82178
  • Upside part of mean
    1.87101
  • Downside part of mean
    -1.93887
  • Upside SD
    0.25451
  • Downside SD
    0.23921
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05404
  • Mean of criterion
    -0.06786
  • SD of predictor
    0.23759
  • SD of criterion
    0.35059
  • Covariance
    0.02409
  • r
    0.28921
  • b (slope, estimate of beta)
    0.42676
  • a (intercept, estimate of alpha)
    -0.09092
  • Mean Square Error
    0.11351
  • DF error
    129.00000
  • t(b)
    3.43140
  • p(b)
    0.31849
  • t(a)
    -0.19081
  • p(a)
    0.51069
  • Lowerbound of 95% confidence interval for beta
    0.18069
  • Upperbound of 95% confidence interval for beta
    0.67283
  • Lowerbound of 95% confidence interval for alpha
    -1.03370
  • Upperbound of 95% confidence interval for alpha
    0.85186
  • Treynor index (mean / b)
    -0.15901
  • Jensen alpha (a)
    -0.09092
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12831
  • SD
    0.34833
  • Sharpe ratio (Glass type estimate)
    -0.36836
  • Sharpe ratio (Hedges UMVUE)
    -0.36623
  • df
    130.00000
  • t
    -0.26047
  • p
    0.51142
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.13992
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40442
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.13839
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40593
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.52500
  • Upside Potential Ratio
    7.52778
  • Upside part of mean
    1.83979
  • Downside part of mean
    -1.96810
  • Upside SD
    0.24645
  • Downside SD
    0.24440
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02631
  • Mean of criterion
    -0.12831
  • SD of predictor
    0.23583
  • SD of criterion
    0.34833
  • Covariance
    0.02544
  • r
    0.30972
  • b (slope, estimate of beta)
    0.45747
  • a (intercept, estimate of alpha)
    -0.14035
  • Mean Square Error
    0.11054
  • DF error
    129.00000
  • t(b)
    3.69972
  • p(b)
    0.30602
  • t(a)
    -0.29848
  • p(a)
    0.51672
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.21282
  • Upperbound of 95% confidence interval for beta
    0.70211
  • Lowerbound of 95% confidence interval for alpha
    -1.07067
  • Upperbound of 95% confidence interval for alpha
    0.78998
  • Treynor index (mean / b)
    -0.28048
  • Jensen alpha (a)
    -0.14035
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03525
  • Expected Shortfall on VaR
    0.04386
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01717
  • Expected Shortfall on VaR
    0.03313
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93046
  • Quartile 1
    0.98931
  • Median
    0.99982
  • Quartile 3
    1.01066
  • Maximum
    1.11736
  • Mean of quarter 1
    0.97479
  • Mean of quarter 2
    0.99604
  • Mean of quarter 3
    1.00430
  • Mean of quarter 4
    1.02439
  • Inter Quartile Range
    0.02135
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.94187
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.07300
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07294
  • VaR(95%) (moments method)
    0.02375
  • Expected Shortfall (moments method)
    0.03095
  • Extreme Value Index (regression method)
    -0.01818
  • VaR(95%) (regression method)
    0.02465
  • Expected Shortfall (regression method)
    0.03301
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00529
  • Quartile 1
    0.04526
  • Median
    0.08522
  • Quartile 3
    0.20991
  • Maximum
    0.33459
  • Mean of quarter 1
    0.00529
  • Mean of quarter 2
    0.08522
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.33459
  • Inter Quartile Range
    0.16465
  • 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -348515000
  • Max Equity Drawdown (num days)
    265
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.09792
  • Compounded annual return (geometric extrapolation)
    -0.09553
  • Calmar ratio (compounded annual return / max draw down)
    -0.28550
  • Compounded annual return / average of 25% largest draw downs
    -0.28550
  • Compounded annual return / Expected Shortfall lognormal
    -2.17818

Strategy Description

The strategy invests in US listed stocks with no restrictions in terms of sectors and most of the companies have at least $1b market cap. Each position represents max 20% of the assets under management and leverage can be used up to 100%. This level has been reached only for 2 times since inception on levels of high volatility. There are periods in which the strategy can be 100% in cash.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2020-05-21
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 6.5%
Rank # 
#38
# Trades
1716
# Profitable
832
% Profitable
48.5%
Net Dividends
$2,456
Correlation S&P500
0.449
Sharpe Ratio
0.72
Sortino Ratio
1.13
Beta
0.69
Alpha
0.04
Leverage
1.03 Average
2.33 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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Suggested Minimum Capital

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.