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JC Market Neutral
(127411394)

Created by: JCAlpha JCAlpha
Started: 02/2020
Stocks
Last trade: 2 days ago

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 $95.00 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.

13.7%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(2.7%)
Max Drawdown
85
Num Trades
71.8%
Win Trades
2.7 : 1
Profit Factor
85.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020       +0.6%+7.3%+2.5%+2.3%+1.5%+0.8%(1.8%)                        +13.8%

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 73 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/6/20 11:25 EA ELECTRONIC ARTS LONG 48 114.53 8/4 15:19 144.28 0.15%
Trade id #128891191
Max drawdown($164)
Time5/27/20 0:00
Quant open48
Worst price111.11
Drawdown as % of equity-0.15%
$1,427
Includes Typical Broker Commissions trade costs of $0.96
4/20/20 11:21 ZBRA ZEBRA TECHNOLOGIES LONG 33 211.39 8/4 14:37 270.26 0.36%
Trade id #128652978
Max drawdown($395)
Time4/21/20 0:00
Quant open27
Worst price192.42
Drawdown as % of equity-0.36%
$1,942
Includes Typical Broker Commissions trade costs of $0.66
5/8/20 13:09 QRVO QORVO INC. COMMON STOCK LONG 61 103.08 7/10 9:43 112.37 0.48%
Trade id #128929404
Max drawdown($539)
Time5/15/20 0:00
Quant open57
Worst price93.31
Drawdown as % of equity-0.48%
$566
Includes Typical Broker Commissions trade costs of $1.22
6/8/20 9:30 QCOM QUALCOMM LONG 66 88.88 7/10 9:39 92.25 0.34%
Trade id #129408574
Max drawdown($381)
Time6/15/20 0:00
Quant open66
Worst price83.10
Drawdown as % of equity-0.34%
$221
Includes Typical Broker Commissions trade costs of $1.32
6/2/20 9:39 AON AON LONG 31 194.99 7/2 10:49 191.19 0.49%
Trade id #129308641
Max drawdown($551)
Time6/15/20 0:00
Quant open31
Worst price177.21
Drawdown as % of equity-0.49%
($119)
Includes Typical Broker Commissions trade costs of $0.62
6/18/20 9:59 MRK MERCK LONG 75 75.61 7/2 10:40 78.81 0.04%
Trade id #129635574
Max drawdown($45)
Time6/26/20 0:00
Quant open75
Worst price75.00
Drawdown as % of equity-0.04%
$239
Includes Typical Broker Commissions trade costs of $1.50
5/28/20 10:09 MRK MERCK LONG 70 80.08 6/2 9:42 79.12 0.11%
Trade id #129237718
Max drawdown($124)
Time5/29/20 0:00
Quant open70
Worst price78.31
Drawdown as % of equity-0.11%
($68)
Includes Typical Broker Commissions trade costs of $1.40
5/28/20 10:06 ATVI ACTIVISION BLIZZARD LONG 80 70.19 6/2 9:40 72.39 0.03%
Trade id #129237633
Max drawdown($29)
Time5/29/20 0:00
Quant open80
Worst price69.82
Drawdown as % of equity-0.03%
$174
Includes Typical Broker Commissions trade costs of $1.60
4/14/20 10:32 QCOM QUALCOMM LONG 71 76.74 5/28 10:11 80.38 0.32%
Trade id #128555903
Max drawdown($354)
Time4/21/20 0:00
Quant open71
Worst price71.75
Drawdown as % of equity-0.32%
$257
Includes Typical Broker Commissions trade costs of $1.42
5/26/20 9:37 KEYS KEYSIGHT TECHNOLOGIES INC LONG 54 105.68 5/28 10:08 103.87 0.42%
Trade id #129190660
Max drawdown($473)
Time5/27/20 0:00
Quant open54
Worst price96.91
Drawdown as % of equity-0.42%
($99)
Includes Typical Broker Commissions trade costs of $1.08
3/31/20 11:22 TXN TEXAS INSTRUMENTS LONG 59 102.73 5/26 9:40 116.05 0.29%
Trade id #128339721
Max drawdown($309)
Time4/1/20 0:00
Quant open52
Worst price96.07
Drawdown as % of equity-0.29%
$785
Includes Typical Broker Commissions trade costs of $1.18
5/13/20 13:35 APH AMPHENOL LONG 68 81.20 5/19 9:44 88.27 0.06%
Trade id #129006503
Max drawdown($70)
Time5/14/20 0:00
Quant open68
Worst price80.16
Drawdown as % of equity-0.06%
$480
Includes Typical Broker Commissions trade costs of $1.36
4/20/20 11:12 BR BROADRIDGE LONG 51 108.74 5/12 9:55 118.40 0.16%
Trade id #128652760
Max drawdown($171)
Time4/21/20 0:00
Quant open51
Worst price105.39
Drawdown as % of equity-0.16%
$492
Includes Typical Broker Commissions trade costs of $1.02
3/4/20 12:21 A AGILENT TECHNOLOGIES LONG 82 78.09 5/8 13:07 79.81 1.2%
Trade id #127852340
Max drawdown($1,254)
Time3/23/20 0:00
Quant open73
Worst price62.09
Drawdown as % of equity-1.20%
$140
Includes Typical Broker Commissions trade costs of $1.64
5/4/20 9:43 APH AMPHENOL LONG 66 84.62 5/8 13:02 89.17 0.08%
Trade id #128854609
Max drawdown($92)
Time5/4/20 14:15
Quant open66
Worst price83.22
Drawdown as % of equity-0.08%
$299
Includes Typical Broker Commissions trade costs of $1.32
4/23/20 11:01 XLNX XILINX LONG 67 87.64 5/8 13:01 86.00 0.36%
Trade id #128710233
Max drawdown($396)
Time5/4/20 0:00
Quant open63
Worst price81.66
Drawdown as % of equity-0.36%
($111)
Includes Typical Broker Commissions trade costs of $1.34
4/29/20 9:57 INCY INCYTE LONG 57 96.75 5/8 12:58 96.49 0.11%
Trade id #128787030
Max drawdown($118)
Time5/8/20 10:54
Quant open57
Worst price94.67
Drawdown as % of equity-0.11%
($16)
Includes Typical Broker Commissions trade costs of $1.14
4/20/20 11:20 VAR VARIAN MEDICAL SYSTEMS LONG 48 114.29 5/6 11:18 116.13 0.47%
Trade id #128652946
Max drawdown($509)
Time4/21/20 0:00
Quant open48
Worst price103.67
Drawdown as % of equity-0.47%
$87
Includes Typical Broker Commissions trade costs of $0.96
4/20/20 11:14 HON HONEYWELL INTERNATIONAL LONG 40 137.07 5/4 9:46 135.94 0.23%
Trade id #128652811
Max drawdown($254)
Time4/21/20 0:00
Quant open40
Worst price130.72
Drawdown as % of equity-0.23%
($46)
Includes Typical Broker Commissions trade costs of $0.80
4/14/20 10:31 CERN CERNER LONG 84 68.26 5/4 9:44 66.08 0.19%
Trade id #128555865
Max drawdown($206)
Time5/4/20 9:43
Quant open79
Worst price65.64
Drawdown as % of equity-0.19%
($185)
Includes Typical Broker Commissions trade costs of $1.68
4/14/20 10:34 TEL TE CONNECTIVITY LONG 85 70.49 4/29 9:56 77.18 0.59%
Trade id #128555950
Max drawdown($636)
Time4/16/20 0:00
Quant open77
Worst price62.88
Drawdown as % of equity-0.59%
$567
Includes Typical Broker Commissions trade costs of $1.70
3/31/20 11:16 REGN REGENERON PHARMACEUTICALS LONG 11 475.61 4/29 9:55 522.32 0.05%
Trade id #128339527
Max drawdown($57)
Time3/31/20 12:02
Quant open11
Worst price470.42
Drawdown as % of equity-0.05%
$514
Includes Typical Broker Commissions trade costs of $0.22
4/20/20 11:16 JNJ JOHNSON & JOHNSON LONG 36 151.06 4/29 9:55 150.39 0.08%
Trade id #128652869
Max drawdown($89)
Time4/21/20 0:00
Quant open36
Worst price148.57
Drawdown as % of equity-0.08%
($25)
Includes Typical Broker Commissions trade costs of $0.72
4/14/20 10:29 APH AMPHENOL LONG 66 83.26 4/29 9:44 89.82 0.42%
Trade id #128555817
Max drawdown($461)
Time4/21/20 0:00
Quant open66
Worst price76.28
Drawdown as % of equity-0.42%
$432
Includes Typical Broker Commissions trade costs of $1.32
4/20/20 11:04 APD AIR PRODUCTS & CHEMICALS LONG 25 220.81 4/29 9:44 225.23 0.35%
Trade id #128652592
Max drawdown($385)
Time4/21/20 0:00
Quant open25
Worst price205.41
Drawdown as % of equity-0.35%
$111
Includes Typical Broker Commissions trade costs of $0.50
4/20/20 11:11 AABB ASIA BROADBAND INC LONG 51 0.00 4/20 11:12 0.00 n/a ($1)
Includes Typical Broker Commissions trade costs of $1.02
4/7/20 9:41 EBAY EBAY LONG 166 32.14 4/16 12:09 36.91 0.09%
Trade id #128451686
Max drawdown($97)
Time4/7/20 11:05
Quant open166
Worst price31.55
Drawdown as % of equity-0.09%
$790
Includes Typical Broker Commissions trade costs of $3.32
2/7/20 9:50 ATVI ACTIVISION BLIZZARD LONG 94 60.49 4/16 11:59 67.12 0.87%
Trade id #127411578
Max drawdown($898)
Time3/17/20 0:00
Quant open81
Worst price50.51
Drawdown as % of equity-0.87%
$622
Includes Typical Broker Commissions trade costs of $1.88
3/13/20 12:46 COO COOPER LONG 19 279.87 4/7 9:38 299.06 0.77%
Trade id #128034713
Max drawdown($800)
Time3/23/20 0:00
Quant open19
Worst price237.71
Drawdown as % of equity-0.77%
$365
Includes Typical Broker Commissions trade costs of $0.38
3/18/20 11:29 PYPL PAYPAL HOLDINGS CORP LONG 55 91.68 4/7 9:38 103.71 0.51%
Trade id #128114217
Max drawdown($528)
Time3/23/20 0:00
Quant open55
Worst price82.07
Drawdown as % of equity-0.51%
$661
Includes Typical Broker Commissions trade costs of $1.10

Statistics

  • Strategy began
    2/7/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    181.38
  • Age
    6 months ago
  • What it trades
    Stocks
  • # Trades
    85
  • # Profitable
    61
  • % Profitable
    71.80%
  • Avg trade duration
    44.4 days
  • Max peak-to-valley drawdown
    2.7%
  • drawdown period
    July 31, 2020 - Aug 06, 2020
  • Cumul. Return
    13.7%
  • Avg win
    $549.77
  • Avg loss
    $538.54
  • Model Account Values (Raw)
  • Cash
    $106,897
  • Margin Used
    $84,816
  • Buying Power
    $25,983
  • Ratios
  • W:L ratio
    2.70:1
  • Sharpe Ratio
    2.37
  • Sortino Ratio
    3.98
  • Calmar Ratio
    17.609
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    13.09%
  • Correlation to SP500
    -0.15750
  • Return Percent SP500 (cumu) during strategy life
    0.64%
  • Return Statistics
  • Ann Return (w trading costs)
    29.0%
  • Slump
  • Current Slump as Pcnt Equity
    2.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.137%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    31.2%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    682
  • Popularity (Last 6 weeks)
    928
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    840
  • Popularity (7 days, Percentile 1000 scale)
    858
  • 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
    $1,018
  • Avg Win
    $639
  • Sum Trade PL (losers)
    $24,420.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $38,976.000
  • # Winners
    61
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    7
  • AUM
  • AUM (AutoTrader live capital)
    80090
  • Win / Loss
  • # Losers
    24
  • % Winners
    71.8%
  • Frequency
  • Avg Position Time (mins)
    63867.20
  • Avg Position Time (hrs)
    1064.45
  • Avg Trade Length
    44.4 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.69
  • Daily leverage (max)
    2.36
  • Regression
  • Alpha
    0.07
  • Beta
    -0.03
  • Treynor Index
    -2.28
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.38
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    12.491
  • 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
    0.900
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.253
  • Hold-and-Hope Ratio
    0.211
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35129
  • SD
    0.09163
  • Sharpe ratio (Glass type estimate)
    3.83393
  • Sharpe ratio (Hedges UMVUE)
    3.05903
  • df
    4.00000
  • t
    2.47479
  • p
    0.03430
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26188
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.68206
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64406
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.76213
  • Statistics related to Sortino ratio
  • Sortino ratio
    153.53600
  • Upside Potential Ratio
    155.08500
  • Upside part of mean
    0.35483
  • Downside part of mean
    -0.00354
  • Upside SD
    0.13036
  • Downside SD
    0.00229
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.11980
  • Mean of criterion
    0.35129
  • SD of predictor
    0.30209
  • SD of criterion
    0.09163
  • Covariance
    -0.00378
  • r
    -0.13663
  • b (slope, estimate of beta)
    -0.04144
  • a (intercept, estimate of alpha)
    0.34632
  • Mean Square Error
    0.01098
  • DF error
    3.00000
  • t(b)
    -0.23889
  • p(b)
    0.58671
  • t(a)
    2.11568
  • p(a)
    0.06235
  • Lowerbound of 95% confidence interval for beta
    -0.59351
  • Upperbound of 95% confidence interval for beta
    0.51063
  • Lowerbound of 95% confidence interval for alpha
    -0.17462
  • Upperbound of 95% confidence interval for alpha
    0.86727
  • Treynor index (mean / b)
    -8.47674
  • Jensen alpha (a)
    0.34632
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34231
  • SD
    0.08860
  • Sharpe ratio (Glass type estimate)
    3.86349
  • Sharpe ratio (Hedges UMVUE)
    3.08262
  • df
    4.00000
  • t
    2.49387
  • p
    0.03360
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24492
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.72440
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62985
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.79509
  • Statistics related to Sortino ratio
  • Sortino ratio
    149.84800
  • Upside Potential Ratio
    151.39800
  • Upside part of mean
    0.34585
  • Downside part of mean
    -0.00354
  • Upside SD
    0.12665
  • Downside SD
    0.00228
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.15806
  • Mean of criterion
    0.34231
  • SD of predictor
    0.30983
  • SD of criterion
    0.08860
  • Covariance
    -0.00285
  • r
    -0.10380
  • b (slope, estimate of beta)
    -0.02968
  • a (intercept, estimate of alpha)
    0.33761
  • Mean Square Error
    0.01035
  • DF error
    3.00000
  • t(b)
    -0.18076
  • p(b)
    0.56596
  • t(a)
    2.11327
  • p(a)
    0.06249
  • Lowerbound of 95% confidence interval for beta
    -0.55227
  • Upperbound of 95% confidence interval for beta
    0.49291
  • Lowerbound of 95% confidence interval for alpha
    -0.17081
  • Upperbound of 95% confidence interval for alpha
    0.84604
  • Treynor index (mean / b)
    -11.53220
  • Jensen alpha (a)
    0.33761
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01345
  • Expected Shortfall on VaR
    0.02390
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00034
  • Expected Shortfall on VaR
    0.00083
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    1.00085
  • Quartile 1
    1.01227
  • Median
    1.03728
  • Quartile 3
    1.03863
  • Maximum
    1.06898
  • Mean of quarter 1
    1.00656
  • Mean of quarter 2
    1.03728
  • Mean of quarter 3
    1.03863
  • Mean of quarter 4
    1.06898
  • Inter Quartile Range
    0.02637
  • 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 for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.40029
  • Compounded annual return (geometric extrapolation)
    0.44804
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    18.74910
  • 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
    0.25727
  • SD
    0.08300
  • Sharpe ratio (Glass type estimate)
    3.09945
  • Sharpe ratio (Hedges UMVUE)
    3.08125
  • df
    128.00000
  • t
    2.17485
  • p
    0.40561
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27474
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.91241
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26266
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.89985
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.19917
  • Upside Potential Ratio
    13.16090
  • Upside part of mean
    0.65124
  • Downside part of mean
    -0.39397
  • Upside SD
    0.06812
  • Downside SD
    0.04948
  • N nonnegative terms
    77.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    129.00000
  • Mean of predictor
    0.09262
  • Mean of criterion
    0.25727
  • SD of predictor
    0.46315
  • SD of criterion
    0.08300
  • Covariance
    -0.00438
  • r
    -0.11386
  • b (slope, estimate of beta)
    -0.02041
  • a (intercept, estimate of alpha)
    0.25900
  • Mean Square Error
    0.00685
  • DF error
    127.00000
  • t(b)
    -1.29156
  • p(b)
    0.57233
  • t(a)
    2.19636
  • p(a)
    0.37896
  • Lowerbound of 95% confidence interval for beta
    -0.05167
  • Upperbound of 95% confidence interval for beta
    0.01086
  • Lowerbound of 95% confidence interval for alpha
    0.02567
  • Upperbound of 95% confidence interval for alpha
    0.49265
  • Treynor index (mean / b)
    -12.60760
  • Jensen alpha (a)
    0.25916
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25371
  • SD
    0.08288
  • Sharpe ratio (Glass type estimate)
    3.06111
  • Sharpe ratio (Hedges UMVUE)
    3.04314
  • df
    128.00000
  • t
    2.14794
  • p
    0.40674
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23703
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.87357
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22516
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.86111
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.10736
  • Upside Potential Ratio
    13.06230
  • Upside part of mean
    0.64886
  • Downside part of mean
    -0.39516
  • Upside SD
    0.06778
  • Downside SD
    0.04967
  • N nonnegative terms
    77.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    129.00000
  • Mean of predictor
    -0.01486
  • Mean of criterion
    0.25371
  • SD of predictor
    0.46677
  • SD of criterion
    0.08288
  • Covariance
    -0.00469
  • r
    -0.12136
  • b (slope, estimate of beta)
    -0.02155
  • a (intercept, estimate of alpha)
    0.25339
  • Mean Square Error
    0.00682
  • DF error
    127.00000
  • t(b)
    -1.37781
  • p(b)
    0.57707
  • t(a)
    2.15274
  • p(a)
    0.38125
  • Lowerbound of 95% confidence interval for beta
    -0.05250
  • Upperbound of 95% confidence interval for beta
    0.00940
  • Lowerbound of 95% confidence interval for alpha
    0.02047
  • Upperbound of 95% confidence interval for alpha
    0.48630
  • Treynor index (mean / b)
    -11.77370
  • Jensen alpha (a)
    0.25339
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00743
  • Expected Shortfall on VaR
    0.00955
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00302
  • Expected Shortfall on VaR
    0.00608
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    129.00000
  • Minimum
    0.98913
  • Quartile 1
    0.99827
  • Median
    1.00124
  • Quartile 3
    1.00397
  • Maximum
    1.01702
  • Mean of quarter 1
    0.99485
  • Mean of quarter 2
    0.99972
  • Mean of quarter 3
    1.00259
  • Mean of quarter 4
    1.00739
  • Inter Quartile Range
    0.00570
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02326
  • Mean of outliers low
    0.98941
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03101
  • Mean of outliers high
    1.01491
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07042
  • VaR(95%) (moments method)
    0.00443
  • Expected Shortfall (moments method)
    0.00592
  • Extreme Value Index (regression method)
    -0.53232
  • VaR(95%) (regression method)
    0.00567
  • Expected Shortfall (regression method)
    0.00667
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00116
  • Median
    0.00706
  • Quartile 3
    0.01202
  • Maximum
    0.01847
  • Mean of quarter 1
    0.00071
  • Mean of quarter 2
    0.00304
  • Mean of quarter 3
    0.00954
  • Mean of quarter 4
    0.01569
  • Inter Quartile Range
    0.01086
  • 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)
    -0.10497
  • VaR(95%) (moments method)
    0.01675
  • Expected Shortfall (moments method)
    0.01849
  • Extreme Value Index (regression method)
    -0.74403
  • VaR(95%) (regression method)
    0.01588
  • Expected Shortfall (regression method)
    0.01629
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30207
  • Compounded annual return (geometric extrapolation)
    0.32527
  • Calmar ratio (compounded annual return / max draw down)
    17.60910
  • Compounded annual return / average of 25% largest draw downs
    20.72470
  • Compounded annual return / Expected Shortfall lognormal
    34.07400
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.00700
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -274677000
  • Max Equity Drawdown (num days)
    6

Strategy Description

It is a market neutral strategy (not beta adjusted), in which on the long side the portfolio has several investments in companies based on strong fundamentals (each position represents 5% of the portfolio) and on the short side the portfolio is 100% hedge by S&P ETF.
The total investments can represent 150% of the equity (total 30 positions) which means that the gross exposure (longs + shorts) can represent up to 300% of the equity.

Summary Statistics

Strategy began
2020-02-07
Suggested Minimum Capital
$15,000
Rank at C2 
#102
# Trades
85
# Profitable
61
% Profitable
71.8%
Net Dividends
Correlation S&P500
-0.158
Sharpe Ratio
2.37
Sortino Ratio
3.98
Beta
-0.03
Alpha
0.07
Leverage
1.69 Average
2.36 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.